EWH - iShares MSCI Hong Kong ETF

Signal Pair Analysis

MRmean-RSmean

Best Pair

114.2%

Best CAGR

102

Total Months

8.1%

Avg CAGR

EWH Signal Pair Performance Heatmaps

CAGR by signal pairs and conditions for this ETF

Condition: pos-pos

Condition: pos-neg

Condition: neg-pos

Condition: neg-neg

Signal Pairs for EWH

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSmean MRmean pos-neg 6 1.7 114.2 83.3 2.5 0.0 2613.5 32.6 -0.0
pair MRmean RSmean pos-neg 6 1.7 114.2 83.3 2.5 0.0 2613.5 32.6 -0.0
pair LWTI RSmean neg-neg 3 0.8 87.6 66.7 1.5 0.0 0.0 47.0 0.0
pair RSmean LWTI neg-neg 3 0.8 87.6 66.7 1.5 0.0 0.0 47.0 0.0
pair RSmean SLmean pos-neg 9 2.5 79.9 77.8 1.9 2.9 8.6 34.3 -9.3
pair SLmean RSmean pos-neg 9 2.5 79.9 77.8 1.9 2.9 8.6 34.3 -9.3
pair RSIhist RSmean neg-pos 9 2.5 73.9 66.7 1.8 3.4 7.9 34.8 -9.3
pair RSmean RSIhist neg-pos 9 2.5 73.9 66.7 1.8 3.4 7.9 34.8 -9.3
pair MACDhist RSmean neg-pos 9 2.5 49.1 55.6 1.2 3.9 3.1 37.8 -15.7
pair RSmean MACDhist neg-pos 9 2.5 49.1 55.6 1.2 3.9 3.1 37.8 -15.7
pair MACDhist RSI neg-pos 14 3.9 46.7 50.0 1.3 4.2 3.9 34.0 -12.0
pair RSI MACDhist neg-pos 14 3.9 46.7 50.0 1.3 4.2 3.9 34.0 -12.0
pair RSI MRmean pos-neg 20 5.6 37.0 50.0 1.2 3.5 2.2 30.7 -17.1
pair MRmean RSI pos-neg 20 5.6 37.0 50.0 1.2 3.5 2.2 30.7 -17.1
pair SLmean RSI pos-neg 31 8.6 34.5 51.6 1.0 3.1 1.3 36.7 -27.4
pair RSI SLmean pos-neg 31 8.6 34.5 51.6 1.0 3.1 1.3 36.7 -27.4
pair MACDhist LWTI pos-neg 11 3.1 30.8 54.5 1.0 6.8 3.4 30.4 -9.0
pair LWTI MACDhist pos-neg 11 3.1 30.8 54.5 1.0 6.8 3.4 30.4 -9.0
pair RSI RSmean neg-neg 11 3.1 30.3 63.6 0.9 4.3 1.6 37.1 -19.1
pair RSmean RSI neg-neg 11 3.1 30.3 63.6 0.9 4.3 1.6 37.1 -19.1
pair MACDhist MRmean neg-pos 14 3.9 28.0 64.3 1.2 2.8 2.1 22.4 -13.6
pair MRmean MACDhist neg-pos 14 3.9 28.0 64.3 1.2 2.8 2.1 22.4 -13.6
pair MACD MACDhist neg-pos 30 8.4 26.6 53.3 1.0 2.6 1.4 27.6 -19.7
pair MACDhist MACD neg-pos 30 8.4 26.6 53.3 1.0 2.6 1.4 27.6 -19.7
pair SLmean LWTI pos-neg 42 11.7 25.5 57.1 0.9 2.5 1.0 30.9 -25.0
pair LWTI SLmean pos-neg 42 11.7 25.5 57.1 0.9 2.5 1.0 30.9 -25.0
pair SLmean MRmean neg-pos 22 6.1 21.4 50.0 0.7 1.8 0.9 35.3 -23.4
pair MRmean SLmean neg-pos 22 6.1 21.4 50.0 0.7 1.8 0.9 35.3 -23.4
pair SLmean RSIhist neg-pos 7 1.9 17.2 42.9 1.4 6.2 8.4 11.5 -2.0
pair RSIhist SLmean neg-pos 7 1.9 17.2 42.9 1.4 6.2 8.4 11.5 -2.0
pair RSI RSIhist neg-pos 32 8.9 16.2 46.9 0.7 1.7 0.6 28.4 -27.4
pair RSIhist RSI neg-pos 32 8.9 16.2 46.9 0.7 1.7 0.6 28.4 -27.4
pair MACD SLmean pos-neg 57 15.9 14.7 52.6 0.6 1.0 0.4 34.2 -38.1
pair SLmean MACD pos-neg 57 15.9 14.7 52.6 0.6 1.0 0.4 34.2 -38.1
pair MACDhist RSIhist pos-pos 146 40.7 14.1 61.6 0.8 1.6 0.6 19.2 -23.1
pair RSIhist MACDhist pos-pos 146 40.7 14.1 61.6 0.8 1.6 0.6 19.2 -23.1
pair MRmean MACD pos-neg 48 13.4 13.8 54.2 0.6 0.8 0.3 30.4 -40.3
pair MACD MRmean pos-neg 48 13.4 13.8 54.2 0.6 0.8 0.3 30.4 -40.3
pair MACD LWTI neg-neg 78 21.7 12.9 50.0 0.5 1.1 0.3 32.7 -47.5
pair LWTI MACD neg-neg 78 21.7 12.9 50.0 0.5 1.1 0.3 32.7 -47.5
pair SLmean MACDhist pos-pos 160 44.6 12.7 62.5 0.7 1.4 0.6 18.8 -21.3
pair MACDhist SLmean pos-pos 160 44.6 12.7 62.5 0.7 1.4 0.6 18.8 -21.3
pair MACD RSI neg-neg 94 26.2 12.4 51.1 0.5 1.1 0.3 31.7 -47.6
pair RSI MACD neg-neg 94 26.2 12.4 51.1 0.5 1.1 0.3 31.7 -47.6
pair RSmean MACD neg-neg 19 5.3 12.2 47.4 0.5 1.4 0.5 31.0 -22.6
pair MACD RSmean neg-neg 19 5.3 12.2 47.4 0.5 1.4 0.5 31.0 -22.6
pair MACD RSIhist neg-pos 59 16.4 11.8 49.2 0.6 1.1 0.4 25.6 -31.4
pair RSIhist MACD neg-pos 59 16.4 11.8 49.2 0.6 1.1 0.4 25.6 -31.4
pair RSIhist MRmean pos-pos 174 48.5 11.8 60.9 0.7 1.3 0.4 19.5 -29.3
pair MRmean RSIhist pos-pos 174 48.5 11.8 60.9 0.7 1.3 0.4 19.5 -29.3
pair RSI LWTI neg-pos 43 12.0 11.5 51.2 0.6 1.2 0.6 23.2 -20.3
pair LWTI RSI neg-pos 43 12.0 11.5 51.2 0.6 1.2 0.6 23.2 -20.3
single MACDhist MACDhist pos-pos 191 53.2 11.0 61.8 0.7 1.2 0.4 18.9 -28.3
pair LWTI RSIhist pos-pos 148 41.2 10.4 61.5 0.6 1.1 0.4 18.5 -28.9
pair RSIhist LWTI pos-pos 148 41.2 10.4 61.5 0.6 1.1 0.4 18.5 -28.9
single RSIhist RSIhist pos-pos 190 52.9 10.4 59.5 0.6 1.1 0.3 19.6 -34.1
pair RSIhist LWTI pos-neg 42 11.7 10.2 52.4 0.5 1.1 0.4 23.5 -24.4
pair LWTI RSIhist pos-neg 42 11.7 10.2 52.4 0.5 1.1 0.4 23.5 -24.4
pair RSIhist SLmean pos-pos 183 51.0 10.1 60.1 0.6 1.1 0.3 19.9 -33.3
pair SLmean RSIhist pos-pos 183 51.0 10.1 60.1 0.6 1.1 0.3 19.9 -33.3
pair MACDhist LWTI pos-pos 180 50.1 9.9 62.2 0.6 1.1 0.4 18.1 -27.1
pair LWTI MACDhist pos-pos 180 50.1 9.9 62.2 0.6 1.1 0.4 18.1 -27.1
pair RSIhist MACD pos-pos 131 36.5 9.8 64.1 0.7 1.1 0.5 16.3 -19.1
pair MACD RSIhist pos-pos 131 36.5 9.8 64.1 0.7 1.1 0.5 16.3 -19.1
pair MRmean MACDhist pos-pos 177 49.3 9.8 61.6 0.6 1.1 0.3 18.7 -32.9
pair MACDhist MRmean pos-pos 177 49.3 9.8 61.6 0.6 1.1 0.3 18.7 -32.9
pair MRmean LWTI pos-neg 31 8.6 9.6 51.6 0.5 1.2 0.5 24.4 -20.3
pair LWTI MRmean pos-neg 31 8.6 9.6 51.6 0.5 1.2 0.5 24.4 -20.3
pair RSmean MACDhist pos-pos 182 50.7 9.4 62.1 0.6 1.1 0.3 17.6 -31.0
pair MACDhist RSmean pos-pos 182 50.7 9.4 62.1 0.6 1.1 0.3 17.6 -31.0
pair RSIhist RSI pos-pos 158 44.0 9.2 62.0 0.6 1.0 0.4 17.4 -23.6
pair RSI RSIhist pos-pos 158 44.0 9.2 62.0 0.6 1.0 0.4 17.4 -23.6
single SLmean SLmean pos-pos 219 61.0 9.2 59.4 0.5 0.8 0.2 22.3 -38.1
pair RSI MACDhist pos-pos 177 49.3 8.6 62.7 0.6 1.0 0.3 17.2 -28.3
pair MACDhist RSI pos-pos 177 49.3 8.6 62.7 0.6 1.0 0.3 17.2 -28.3
pair MACD MACDhist pos-pos 161 44.8 8.3 63.4 0.6 0.9 0.3 16.8 -28.7
pair MACDhist MACD pos-pos 161 44.8 8.3 63.4 0.6 0.9 0.3 16.8 -28.7
single MACD MACD neg-neg 132 36.8 8.0 50.8 0.4 0.7 0.1 30.4 -65.5
pair RSmean RSIhist pos-pos 181 50.4 7.9 59.1 0.5 0.9 0.2 18.4 -34.4
pair RSIhist RSmean pos-pos 181 50.4 7.9 59.1 0.5 0.9 0.2 18.4 -34.4
pair MRmean SLmean pos-pos 197 54.9 7.9 60.4 0.5 0.7 0.2 20.5 -43.9
pair SLmean MRmean pos-pos 197 54.9 7.9 60.4 0.5 0.7 0.2 20.5 -43.9
single MRmean MRmean pos-pos 220 61.3 7.8 60.5 0.5 0.7 0.2 20.4 -40.3
single RSI RSI neg-neg 126 35.1 7.8 50.8 0.4 0.7 0.2 30.5 -48.1
pair RSI LWTI pos-neg 17 4.7 7.6 58.8 0.5 0.8 0.6 20.3 -12.8
pair LWTI RSI pos-neg 17 4.7 7.6 58.8 0.5 0.8 0.6 20.3 -12.8
pair MRmean LWTI pos-pos 189 52.6 7.5 61.9 0.5 0.6 0.2 19.7 -34.2
pair LWTI MRmean pos-pos 189 52.6 7.5 61.9 0.5 0.6 0.2 19.7 -34.2
pair MACD RSmean pos-neg 113 31.5 7.3 51.3 0.4 0.6 0.1 30.5 -61.8
pair RSmean MACD pos-neg 113 31.5 7.3 51.3 0.4 0.6 0.1 30.5 -61.8
pair MACD SLmean pos-pos 162 45.1 7.3 61.7 0.5 0.8 0.2 16.3 -32.8
pair SLmean MACD pos-pos 162 45.1 7.3 61.7 0.5 0.8 0.2 16.3 -32.8
pair RSmean SLmean pos-pos 210 58.5 6.9 58.6 0.4 0.6 0.2 21.6 -38.1
pair SLmean RSmean pos-pos 210 58.5 6.9 58.6 0.4 0.6 0.2 21.6 -38.1
pair SLmean MRmean pos-neg 23 6.4 6.9 60.9 0.4 0.7 0.3 20.1 -22.6
pair MRmean SLmean pos-neg 23 6.4 6.9 60.9 0.4 0.7 0.3 20.1 -22.6
pair MACD MRmean pos-pos 172 47.9 6.2 62.2 0.5 0.7 0.2 16.6 -35.2
single LWTI LWTI neg-neg 100 27.9 6.2 52.0 0.3 0.6 0.1 31.8 -47.5
pair MRmean MACD pos-pos 172 47.9 6.2 62.2 0.5 0.7 0.2 16.6 -35.2
pair RSI LWTI neg-neg 83 23.1 5.9 50.6 0.3 0.6 0.1 33.8 -47.5
pair RSI RSmean pos-neg 115 32.0 5.9 49.6 0.3 0.6 0.1 29.9 -46.3
pair LWTI RSI neg-neg 83 23.1 5.9 50.6 0.3 0.6 0.1 33.8 -47.5
pair RSmean RSI pos-neg 115 32.0 5.9 49.6 0.3 0.6 0.1 29.9 -46.3
pair MRmean RSmean pos-pos 214 59.6 5.8 59.8 0.4 0.5 0.1 19.7 -47.4
pair LWTI MACD pos-pos 205 57.1 5.8 60.0 0.4 0.6 0.2 18.0 -36.1
pair MACD LWTI pos-pos 205 57.1 5.8 60.0 0.4 0.6 0.2 18.0 -36.1
pair RSmean MRmean pos-pos 214 59.6 5.8 59.8 0.4 0.5 0.1 19.7 -47.4
pair SLmean LWTI pos-pos 177 49.3 5.7 59.9 0.4 0.5 0.1 19.7 -38.1
pair LWTI SLmean pos-pos 177 49.3 5.7 59.9 0.4 0.5 0.1 19.7 -38.1
pair RSmean LWTI pos-pos 235 65.5 5.6 59.1 0.4 0.5 0.1 19.7 -44.8
pair LWTI RSmean pos-pos 235 65.5 5.6 59.1 0.4 0.5 0.1 19.7 -44.8
pair RSI SLmean pos-pos 188 52.4 5.5 60.6 0.4 0.5 0.1 18.9 -45.3
pair SLmean RSI pos-pos 188 52.4 5.5 60.6 0.4 0.5 0.1 18.9 -45.3
pair RSI MRmean pos-pos 200 55.7 5.3 61.5 0.4 0.5 0.1 19.0 -40.0
pair MRmean RSI pos-pos 200 55.7 5.3 61.5 0.4 0.5 0.1 19.0 -40.0
single RSmean RSmean pos-pos 332 92.5 5.2 56.9 0.3 0.5 0.1 23.7 -61.8
pair benchmark___benchmark_ benchmark-benchmark 359 100.0 5.2 56.5 0.3 0.5 0.1 23.9 -65.5
pair benchmark___benchmark_ benchmark-benchmark 359 100.0 5.2 56.5 0.3 0.5 0.1 23.9 -65.5
pair RSI RSIhist neg-neg 94 26.2 5.1 52.1 0.3 0.5 0.1 31.3 -50.5
pair RSIhist RSI neg-neg 94 26.2 5.1 52.1 0.3 0.5 0.1 31.3 -50.5
pair RSIhist MACD neg-neg 73 20.3 5.1 52.1 0.3 0.5 0.1 34.0 -62.3
pair MACD RSIhist neg-neg 73 20.3 5.1 52.1 0.3 0.5 0.1 34.0 -62.3
pair MACD RSI pos-pos 195 54.3 5.0 61.5 0.4 0.5 0.1 17.7 -34.4
pair RSI MACD pos-pos 195 54.3 5.0 61.5 0.4 0.5 0.1 17.7 -34.4
single RSmean RSmean neg-neg 27 7.5 5.0 51.9 0.3 0.7 0.2 27.0 -25.0
pair RSI RSmean pos-pos 217 60.4 4.9 60.8 0.3 0.4 0.1 19.7 -39.2
pair RSmean RSI pos-pos 217 60.4 4.9 60.8 0.3 0.4 0.1 19.7 -39.2
pair MACD MRmean neg-neg 84 23.4 4.8 48.8 0.3 0.6 0.1 30.6 -52.6
pair MRmean MACD neg-neg 84 23.4 4.8 48.8 0.3 0.6 0.1 30.6 -52.6
single LWTI LWTI pos-pos 259 72.1 4.8 58.3 0.3 0.5 0.1 20.1 -40.2
pair MRmean LWTI neg-neg 69 19.2 4.7 52.2 0.3 0.5 0.1 34.8 -47.7
pair LWTI MRmean neg-neg 69 19.2 4.7 52.2 0.3 0.5 0.1 34.8 -47.7
pair RSIhist SLmean pos-neg 36 10.0 4.7 55.6 0.3 0.4 0.2 32.4 -28.1
pair SLmean RSIhist pos-neg 36 10.0 4.7 55.6 0.3 0.4 0.2 32.4 -28.1
pair LWTI RSmean pos-neg 97 27.0 4.4 51.5 0.3 0.5 0.1 31.4 -41.9
pair RSmean LWTI pos-neg 97 27.0 4.4 51.5 0.3 0.5 0.1 31.4 -41.9
pair RSmean MRmean neg-pos 118 32.9 4.3 51.7 0.3 0.5 0.1 29.7 -54.4
pair MRmean RSmean neg-pos 118 32.9 4.3 51.7 0.3 0.5 0.1 29.7 -54.4
pair MACD RSmean pos-pos 219 61.0 4.2 59.8 0.3 0.4 0.1 19.4 -58.0
pair RSmean MACD pos-pos 219 61.0 4.2 59.8 0.3 0.4 0.1 19.4 -58.0
single RSI RSI pos-pos 233 64.9 3.8 59.7 0.3 0.4 0.1 19.5 -42.6
pair RSI MACDhist neg-neg 112 31.2 3.7 50.9 0.3 0.5 0.1 30.0 -52.2
pair MACDhist RSI neg-neg 112 31.2 3.7 50.9 0.3 0.5 0.1 30.0 -52.2
single MACD MACD pos-pos 227 63.2 3.6 59.9 0.3 0.4 0.1 19.2 -58.0
pair LWTI MACDhist neg-neg 89 24.8 3.5 51.7 0.3 0.5 0.1 32.1 -47.5
pair MACDhist LWTI neg-neg 89 24.8 3.5 51.7 0.3 0.5 0.1 32.1 -47.5
pair RSIhist LWTI neg-neg 58 16.2 3.5 51.7 0.3 0.5 0.1 36.9 -47.5
pair LWTI RSIhist neg-neg 58 16.2 3.5 51.7 0.3 0.5 0.1 36.9 -47.5
pair RSI LWTI pos-pos 216 60.2 3.5 59.7 0.3 0.4 0.1 19.5 -42.6
pair LWTI RSI pos-pos 216 60.2 3.5 59.7 0.3 0.4 0.1 19.5 -42.6
pair SLmean MACD neg-neg 75 20.9 3.2 49.3 0.2 0.4 0.1 27.3 -51.7
pair MACD SLmean neg-neg 75 20.9 3.2 49.3 0.2 0.4 0.1 27.3 -51.7
pair MACD MACDhist neg-neg 102 28.4 3.1 50.0 0.2 0.4 0.1 31.2 -65.5
pair MACDhist MACD neg-neg 102 28.4 3.1 50.0 0.2 0.4 0.1 31.2 -65.5
pair MRmean RSI neg-neg 106 29.5 3.0 50.9 0.2 0.4 0.1 30.4 -55.5
pair RSI MRmean neg-neg 106 29.5 3.0 50.9 0.2 0.4 0.1 30.4 -55.5
pair SLmean LWTI neg-pos 82 22.8 3.0 54.9 0.2 0.4 0.1 21.1 -24.3
pair LWTI SLmean neg-pos 82 22.8 3.0 54.9 0.2 0.4 0.1 21.1 -24.3
pair SLmean MACDhist neg-pos 31 8.6 2.6 58.1 0.2 0.4 0.1 19.9 -18.7
pair MACDhist SLmean neg-pos 31 8.6 2.6 58.1 0.2 0.4 0.1 19.9 -18.7
pair RSmean SLmean neg-pos 122 34.0 2.4 54.1 0.2 0.3 0.0 27.1 -57.2
pair SLmean RSmean neg-pos 122 34.0 2.4 54.1 0.2 0.3 0.0 27.1 -57.2
pair RSmean RSIhist pos-neg 151 42.1 2.1 54.3 0.2 0.3 0.0 28.9 -58.3
pair RSIhist RSmean pos-neg 151 42.1 2.1 54.3 0.2 0.3 0.0 28.9 -58.3
pair RSIhist MRmean neg-neg 123 34.3 1.9 51.2 0.2 0.3 0.0 29.6 -54.7
pair MRmean RSIhist neg-neg 123 34.3 1.9 51.2 0.2 0.3 0.0 29.6 -54.7
pair RSIhist MACDhist pos-neg 45 12.5 1.5 62.2 0.2 0.3 0.1 18.1 -19.4
pair MACDhist RSIhist pos-neg 45 12.5 1.5 62.2 0.2 0.3 0.1 18.1 -19.4
pair MACD LWTI neg-pos 54 15.0 1.3 51.9 0.2 0.2 0.0 27.0 -40.2
pair LWTI MACD neg-pos 54 15.0 1.3 51.9 0.2 0.2 0.0 27.0 -40.2
single MRmean MRmean neg-neg 139 38.7 1.2 50.4 0.2 0.3 0.0 28.7 -59.5
pair MACDhist RSmean pos-neg 150 41.8 0.4 50.7 0.2 0.2 0.0 29.5 -68.7
pair RSmean MACDhist pos-neg 150 41.8 0.4 50.7 0.2 0.2 0.0 29.5 -68.7
pair SLmean RSI neg-neg 95 26.5 0.3 50.5 0.1 0.2 0.0 28.1 -67.6
pair SLmean MACDhist pos-neg 59 16.4 0.3 50.8 0.1 0.2 0.0 30.1 -38.1
pair MACDhist SLmean pos-neg 59 16.4 0.3 50.8 0.1 0.2 0.0 30.1 -38.1
pair RSI SLmean neg-neg 95 26.5 0.3 50.5 0.1 0.2 0.0 28.1 -67.6
pair MACDhist MRmean pos-neg 43 12.0 0.2 55.8 0.1 0.2 0.0 26.5 -38.1
pair MRmean MACDhist pos-neg 43 12.0 0.2 55.8 0.1 0.2 0.0 26.5 -38.1
single RSIhist RSIhist neg-neg 169 47.1 -0.3 53.3 0.1 0.2 -0.0 28.0 -65.4
single SLmean SLmean neg-neg 140 39.0 -0.8 52.1 0.1 0.1 -0.0 26.2 -67.0
pair RSIhist MACDhist neg-neg 124 34.5 -1.0 50.0 0.1 0.2 -0.0 30.9 -66.6
pair MACDhist RSIhist neg-neg 124 34.5 -1.0 50.0 0.1 0.2 -0.0 30.9 -66.6
single MACDhist MACDhist neg-neg 168 46.8 -1.0 50.6 0.1 0.2 -0.0 28.5 -71.7
pair MACDhist RSIhist neg-pos 44 12.3 -1.1 52.3 0.1 0.1 -0.0 20.9 -25.8
pair RSIhist MACDhist neg-pos 44 12.3 -1.1 52.3 0.1 0.1 -0.0 20.9 -25.8
pair MACDhist MRmean neg-neg 125 34.8 -1.4 48.8 0.1 0.1 -0.0 29.3 -58.7
pair MRmean MACDhist neg-neg 125 34.8 -1.4 48.8 0.1 0.1 -0.0 29.3 -58.7
pair SLmean RSIhist neg-neg 133 37.0 -1.6 52.6 0.1 0.1 -0.0 26.8 -68.6
pair RSIhist SLmean neg-neg 133 37.0 -1.6 52.6 0.1 0.1 -0.0 26.8 -68.6
pair MACDhist SLmean neg-neg 109 30.4 -1.7 50.5 0.1 0.1 -0.0 27.8 -64.1
pair SLmean MACDhist neg-neg 109 30.4 -1.7 50.5 0.1 0.1 -0.0 27.8 -64.1
pair MACD RSI neg-pos 38 10.6 -2.1 50.0 0.1 0.1 -0.1 27.3 -38.3
pair RSI MACD neg-pos 38 10.6 -2.1 50.0 0.1 0.1 -0.1 27.3 -38.3
pair RSIhist LWTI neg-pos 111 30.9 -2.2 54.1 0.0 0.0 -0.1 22.1 -45.6
pair LWTI RSIhist neg-pos 111 30.9 -2.2 54.1 0.0 0.0 -0.1 22.1 -45.6
pair LWTI MRmean neg-pos 70 19.5 -2.2 48.6 0.0 0.0 -0.1 21.2 -38.0
pair MRmean LWTI neg-pos 70 19.5 -2.2 48.6 0.0 0.0 -0.1 21.2 -38.0
pair MRmean SLmean neg-neg 117 32.6 -2.2 50.4 0.1 0.1 -0.0 27.3 -68.8
pair SLmean MRmean neg-neg 117 32.6 -2.2 50.4 0.1 0.1 -0.0 27.3 -68.8
pair LWTI RSmean neg-pos 24 6.7 -2.4 50.0 0.0 0.0 -0.1 24.1 -25.0
pair RSmean LWTI neg-pos 24 6.7 -2.4 50.0 0.0 0.0 -0.1 24.1 -25.0
pair RSI SLmean neg-pos 45 12.5 -2.9 55.6 -0.0 -0.0 -0.1 22.1 -31.3
pair SLmean RSI neg-pos 45 12.5 -2.9 55.6 -0.0 -0.0 -0.1 22.1 -31.3
pair RSIhist MRmean neg-pos 16 4.5 -3.7 43.8 -0.1 -0.1 -0.2 20.7 -19.9
pair MRmean RSIhist neg-pos 16 4.5 -3.7 43.8 -0.1 -0.1 -0.2 20.7 -19.9
pair MACD MRmean neg-pos 55 15.3 -4.1 52.7 -0.0 -0.0 -0.1 25.7 -54.8
pair MRmean MACD neg-pos 55 15.3 -4.1 52.7 -0.0 -0.0 -0.1 25.7 -54.8
pair RSIhist MACD pos-neg 96 26.7 -4.2 54.2 -0.1 -0.1 -0.1 22.5 -57.5
pair MACD RSIhist pos-neg 96 26.7 -4.2 54.2 -0.1 -0.1 -0.1 22.5 -57.5
pair MRmean RSI neg-pos 33 9.2 -4.4 48.5 -0.1 -0.1 -0.1 22.5 -28.7
pair RSI MRmean neg-pos 33 9.2 -4.4 48.5 -0.1 -0.1 -0.1 22.5 -28.7
pair MACD RSI pos-neg 32 8.9 -4.7 50.0 -0.0 -0.1 -0.1 26.9 -42.3
pair RSI MACD pos-neg 32 8.9 -4.7 50.0 -0.0 -0.1 -0.1 26.9 -42.3
pair SLmean MACD neg-pos 65 18.1 -5.1 55.4 -0.1 -0.1 -0.1 25.1 -43.8
pair MACD SLmean neg-pos 65 18.1 -5.1 55.4 -0.1 -0.1 -0.1 25.1 -43.8
pair SLmean LWTI neg-neg 58 16.2 -5.8 48.3 -0.0 -0.0 -0.1 32.3 -61.9
pair LWTI SLmean neg-neg 58 16.2 -5.8 48.3 -0.0 -0.0 -0.1 32.3 -61.9
pair LWTI MACDhist neg-pos 79 22.0 -5.9 49.4 -0.1 -0.1 -0.1 24.0 -56.6
pair MACDhist LWTI neg-pos 79 22.0 -5.9 49.4 -0.1 -0.1 -0.1 24.0 -56.6
pair RSIhist MRmean pos-neg 46 12.8 -5.9 58.7 -0.1 -0.1 -0.2 23.2 -33.5
pair MRmean RSIhist pos-neg 46 12.8 -5.9 58.7 -0.1 -0.1 -0.2 23.2 -33.5
pair RSIhist RSI pos-neg 75 20.9 -6.7 54.7 -0.2 -0.2 -0.2 23.2 -42.2
pair RSI RSIhist pos-neg 75 20.9 -6.7 54.7 -0.2 -0.2 -0.2 23.2 -42.2
pair MACDhist MACD pos-neg 66 18.4 -7.1 51.5 -0.2 -0.2 -0.1 23.9 -57.6
pair MACD MACDhist pos-neg 66 18.4 -7.1 51.5 -0.2 -0.2 -0.1 23.9 -57.6
pair RSI RSmean neg-pos 16 4.5 -9.6 43.8 -0.5 -0.8 -0.5 16.8 -20.6
pair RSmean RSI neg-pos 16 4.5 -9.6 43.8 -0.5 -0.8 -0.5 16.8 -20.6
pair RSI MACDhist pos-neg 56 15.6 -9.9 50.0 -0.3 -0.3 -0.2 25.4 -50.3
pair MACDhist RSI pos-neg 56 15.6 -9.9 50.0 -0.3 -0.3 -0.2 25.4 -50.3
pair RSmean MACD neg-pos 8 2.2 -10.4 62.5 -0.7 -0.7 -1.3 13.6 -8.1
pair MACD RSmean neg-pos 8 2.2 -10.4 62.5 -0.7 -0.7 -1.3 13.6 -8.1
pair MACDhist RSmean neg-neg 18 5.0 -11.9 50.0 -0.6 -0.9 -0.4 18.5 -31.1
pair RSmean MACDhist neg-neg 18 5.0 -11.9 50.0 -0.6 -0.9 -0.4 18.5 -31.1
pair RSmean MRmean neg-neg 21 5.8 -14.4 42.9 -0.6 -1.2 -0.3 22.4 -44.9
pair MRmean RSmean neg-neg 21 5.8 -14.4 42.9 -0.6 -1.2 -0.3 22.4 -44.9
pair MACD LWTI pos-neg 22 6.1 -14.5 59.1 -0.4 -0.5 -0.4 28.4 -38.3
pair LWTI MACD pos-neg 22 6.1 -14.5 59.1 -0.4 -0.5 -0.4 28.4 -38.3
pair RSIhist RSmean neg-neg 18 5.0 -18.5 44.4 -1.0 -1.9 -0.5 18.8 -38.6
pair RSmean RSIhist neg-neg 18 5.0 -18.5 44.4 -1.0 -1.9 -0.5 18.8 -38.6
pair RSmean SLmean neg-neg 18 5.0 -19.8 38.9 -1.1 -1.9 -0.5 18.5 -40.1
pair SLmean RSmean neg-neg 18 5.0 -19.8 38.9 -1.1 -1.9 -0.5 18.5 -40.1

All Contingency Tables for EWH

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 7.9% | Win 60%
Sharpe 0.48 | Sortino 0.69 | Calmar 0.2
Vol 20% | MDD -43.9%
Months 197M (55%)
CAGR 6.9% | Win 61%
Sharpe 0.43 | Sortino 0.66 | Calmar 0.3
Vol 20% | MDD -22.6%
Months 23M (6%)
CAGR 7.8% | Win 60%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 20% | MDD -40.3%
Months 220M (61%)
MRmean
neg
CAGR 21.4% | Win 50%
Sharpe 0.70 | Sortino 1.79 | Calmar 0.9
Vol 35% | MDD -23.4%
Months 22M (6%)
CAGR -2.2% | Win 50%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 27% | MDD -68.8%
Months 117M (33%)
CAGR 1.2% | Win 50%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 29% | MDD -59.5%
Months 139M (39%)
SLmean
only
CAGR 9.2% | Win 59%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 22% | MDD -38.1%
Months 219M (61%)
CAGR -0.8% | Win 52%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -67.0%
Months 140M (39%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 5.8% | Win 60%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.1
Vol 20% | MDD -47.4%
Months 214M (60%)
CAGR 114.2% | Win 83%
Sharpe 2.54 | Sortino 0.00 | Calmar 2613.5
Vol 33% | MDD -0.0%
Months 6M (2%)
CAGR 7.8% | Win 60%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 20% | MDD -40.3%
Months 220M (61%)
MRmean
neg
CAGR 4.3% | Win 52%
Sharpe 0.28 | Sortino 0.46 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 118M (33%)
CAGR -14.4% | Win 43%
Sharpe -0.58 | Sortino -1.19 | Calmar -0.3
Vol 22% | MDD -44.9%
Months 21M (6%)
CAGR 1.2% | Win 50%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 29% | MDD -59.5%
Months 139M (39%)
RSmean
only
CAGR 5.2% | Win 57%
Sharpe 0.33 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -61.8%
Months 332M (92%)
CAGR 5.0% | Win 52%
Sharpe 0.30 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -25.0%
Months 27M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 6.2% | Win 62%
Sharpe 0.45 | Sortino 0.70 | Calmar 0.2
Vol 17% | MDD -35.2%
Months 172M (48%)
CAGR 13.8% | Win 54%
Sharpe 0.58 | Sortino 0.83 | Calmar 0.3
Vol 30% | MDD -40.3%
Months 48M (13%)
CAGR 7.8% | Win 60%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 20% | MDD -40.3%
Months 220M (61%)
MRmean
neg
CAGR -4.1% | Win 53%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 26% | MDD -54.8%
Months 55M (15%)
CAGR 4.8% | Win 49%
Sharpe 0.30 | Sortino 0.60 | Calmar 0.1
Vol 31% | MDD -52.6%
Months 84M (23%)
CAGR 1.2% | Win 50%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 29% | MDD -59.5%
Months 139M (39%)
MACD
only
CAGR 3.6% | Win 60%
Sharpe 0.28 | Sortino 0.37 | Calmar 0.1
Vol 19% | MDD -58.0%
Months 227M (63%)
CAGR 8.0% | Win 51%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 30% | MDD -65.5%
Months 132M (37%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 5.3% | Win 62%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 19% | MDD -40.0%
Months 200M (56%)
CAGR 37.0% | Win 50%
Sharpe 1.18 | Sortino 3.46 | Calmar 2.2
Vol 31% | MDD -17.1%
Months 20M (6%)
CAGR 7.8% | Win 60%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 20% | MDD -40.3%
Months 220M (61%)
MRmean
neg
CAGR -4.4% | Win 48%
Sharpe -0.09 | Sortino -0.11 | Calmar -0.2
Vol 22% | MDD -28.7%
Months 33M (9%)
CAGR 3.0% | Win 51%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.1
Vol 30% | MDD -55.5%
Months 106M (30%)
CAGR 1.2% | Win 50%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 29% | MDD -59.5%
Months 139M (39%)
RSI
only
CAGR 3.8% | Win 60%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -42.6%
Months 233M (65%)
CAGR 7.8% | Win 51%
Sharpe 0.39 | Sortino 0.72 | Calmar 0.2
Vol 30% | MDD -48.1%
Months 126M (35%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 9.8% | Win 62%
Sharpe 0.59 | Sortino 1.09 | Calmar 0.3
Vol 19% | MDD -32.9%
Months 177M (49%)
CAGR 0.2% | Win 56%
Sharpe 0.14 | Sortino 0.17 | Calmar 0.0
Vol 26% | MDD -38.1%
Months 43M (12%)
CAGR 7.8% | Win 60%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 20% | MDD -40.3%
Months 220M (61%)
MRmean
neg
CAGR 28.0% | Win 64%
Sharpe 1.22 | Sortino 2.80 | Calmar 2.1
Vol 22% | MDD -13.6%
Months 14M (4%)
CAGR -1.4% | Win 49%
Sharpe 0.09 | Sortino 0.15 | Calmar -0.0
Vol 29% | MDD -58.7%
Months 125M (35%)
CAGR 1.2% | Win 50%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 29% | MDD -59.5%
Months 139M (39%)
MACDhist
only
CAGR 11.0% | Win 62%
Sharpe 0.65 | Sortino 1.22 | Calmar 0.4
Vol 19% | MDD -28.3%
Months 191M (53%)
CAGR -1.0% | Win 51%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 28% | MDD -71.7%
Months 168M (47%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 11.8% | Win 61%
Sharpe 0.67 | Sortino 1.28 | Calmar 0.4
Vol 20% | MDD -29.3%
Months 174M (48%)
CAGR -5.9% | Win 59%
Sharpe -0.14 | Sortino -0.14 | Calmar -0.2
Vol 23% | MDD -33.5%
Months 46M (13%)
CAGR 7.8% | Win 60%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 20% | MDD -40.3%
Months 220M (61%)
MRmean
neg
CAGR -3.7% | Win 44%
Sharpe -0.09 | Sortino -0.14 | Calmar -0.2
Vol 21% | MDD -19.9%
Months 16M (4%)
CAGR 1.9% | Win 51%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.0
Vol 30% | MDD -54.7%
Months 123M (34%)
CAGR 1.2% | Win 50%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 29% | MDD -59.5%
Months 139M (39%)
RSIhist
only
CAGR 10.4% | Win 60%
Sharpe 0.60 | Sortino 1.12 | Calmar 0.3
Vol 20% | MDD -34.1%
Months 190M (53%)
CAGR -0.3% | Win 53%
Sharpe 0.13 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -65.4%
Months 169M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.5% | Win 62%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 20% | MDD -34.2%
Months 189M (53%)
CAGR 9.6% | Win 52%
Sharpe 0.49 | Sortino 1.20 | Calmar 0.5
Vol 24% | MDD -20.3%
Months 31M (9%)
CAGR 7.8% | Win 60%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 20% | MDD -40.3%
Months 220M (61%)
MRmean
neg
CAGR -2.2% | Win 49%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.1
Vol 21% | MDD -38.0%
Months 70M (20%)
CAGR 4.7% | Win 52%
Sharpe 0.30 | Sortino 0.52 | Calmar 0.1
Vol 35% | MDD -47.7%
Months 69M (19%)
CAGR 1.2% | Win 50%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 29% | MDD -59.5%
Months 139M (39%)
LWTI
only
CAGR 4.8% | Win 58%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -40.2%
Months 259M (72%)
CAGR 6.2% | Win 52%
Sharpe 0.34 | Sortino 0.62 | Calmar 0.1
Vol 32% | MDD -47.5%
Months 100M (28%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 6.9% | Win 59%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -38.1%
Months 210M (58%)
CAGR 79.9% | Win 78%
Sharpe 1.89 | Sortino 2.87 | Calmar 8.6
Vol 34% | MDD -9.3%
Months 9M (2%)
CAGR 9.2% | Win 59%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 22% | MDD -38.1%
Months 219M (61%)
SLmean
neg
CAGR 2.4% | Win 54%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.0
Vol 27% | MDD -57.2%
Months 122M (34%)
CAGR -19.8% | Win 39%
Sharpe -1.09 | Sortino -1.89 | Calmar -0.5
Vol 18% | MDD -40.1%
Months 18M (5%)
CAGR -0.8% | Win 52%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -67.0%
Months 140M (39%)
RSmean
only
CAGR 5.2% | Win 57%
Sharpe 0.33 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -61.8%
Months 332M (92%)
CAGR 5.0% | Win 52%
Sharpe 0.30 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -25.0%
Months 27M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 7.3% | Win 62%
Sharpe 0.52 | Sortino 0.82 | Calmar 0.2
Vol 16% | MDD -32.8%
Months 162M (45%)
CAGR 14.7% | Win 53%
Sharpe 0.57 | Sortino 0.98 | Calmar 0.4
Vol 34% | MDD -38.1%
Months 57M (16%)
CAGR 9.2% | Win 59%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 22% | MDD -38.1%
Months 219M (61%)
SLmean
neg
CAGR -5.1% | Win 55%
Sharpe -0.08 | Sortino -0.10 | Calmar -0.1
Vol 25% | MDD -43.8%
Months 65M (18%)
CAGR 3.2% | Win 49%
Sharpe 0.25 | Sortino 0.44 | Calmar 0.1
Vol 27% | MDD -51.7%
Months 75M (21%)
CAGR -0.8% | Win 52%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -67.0%
Months 140M (39%)
MACD
only
CAGR 3.6% | Win 60%
Sharpe 0.28 | Sortino 0.37 | Calmar 0.1
Vol 19% | MDD -58.0%
Months 227M (63%)
CAGR 8.0% | Win 51%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 30% | MDD -65.5%
Months 132M (37%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 5.5% | Win 61%
Sharpe 0.38 | Sortino 0.49 | Calmar 0.1
Vol 19% | MDD -45.3%
Months 188M (52%)
CAGR 34.5% | Win 52%
Sharpe 0.98 | Sortino 3.15 | Calmar 1.3
Vol 37% | MDD -27.4%
Months 31M (9%)
CAGR 9.2% | Win 59%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 22% | MDD -38.1%
Months 219M (61%)
SLmean
neg
CAGR -2.9% | Win 56%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 22% | MDD -31.3%
Months 45M (12%)
CAGR 0.3% | Win 50%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 28% | MDD -67.6%
Months 95M (26%)
CAGR -0.8% | Win 52%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -67.0%
Months 140M (39%)
RSI
only
CAGR 3.8% | Win 60%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -42.6%
Months 233M (65%)
CAGR 7.8% | Win 51%
Sharpe 0.39 | Sortino 0.72 | Calmar 0.2
Vol 30% | MDD -48.1%
Months 126M (35%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 12.7% | Win 62%
Sharpe 0.73 | Sortino 1.44 | Calmar 0.6
Vol 19% | MDD -21.3%
Months 160M (45%)
CAGR 0.3% | Win 51%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 30% | MDD -38.1%
Months 59M (16%)
CAGR 9.2% | Win 59%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 22% | MDD -38.1%
Months 219M (61%)
SLmean
neg
CAGR 2.6% | Win 58%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 20% | MDD -18.7%
Months 31M (9%)
CAGR -1.7% | Win 50%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -64.1%
Months 109M (30%)
CAGR -0.8% | Win 52%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -67.0%
Months 140M (39%)
MACDhist
only
CAGR 11.0% | Win 62%
Sharpe 0.65 | Sortino 1.22 | Calmar 0.4
Vol 19% | MDD -28.3%
Months 191M (53%)
CAGR -1.0% | Win 51%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 28% | MDD -71.7%
Months 168M (47%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 10.1% | Win 60%
Sharpe 0.58 | Sortino 1.11 | Calmar 0.3
Vol 20% | MDD -33.3%
Months 183M (51%)
CAGR 4.7% | Win 56%
Sharpe 0.29 | Sortino 0.39 | Calmar 0.2
Vol 32% | MDD -28.1%
Months 36M (10%)
CAGR 9.2% | Win 59%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 22% | MDD -38.1%
Months 219M (61%)
SLmean
neg
CAGR 17.2% | Win 43%
Sharpe 1.44 | Sortino 6.25 | Calmar 8.5
Vol 12% | MDD -2.0%
Months 7M (2%)
CAGR -1.6% | Win 53%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 27% | MDD -68.6%
Months 133M (37%)
CAGR -0.8% | Win 52%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -67.0%
Months 140M (39%)
RSIhist
only
CAGR 10.4% | Win 60%
Sharpe 0.60 | Sortino 1.12 | Calmar 0.3
Vol 20% | MDD -34.1%
Months 190M (53%)
CAGR -0.3% | Win 53%
Sharpe 0.13 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -65.4%
Months 169M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 5.7% | Win 60%
Sharpe 0.38 | Sortino 0.51 | Calmar 0.1
Vol 20% | MDD -38.1%
Months 177M (49%)
CAGR 25.5% | Win 57%
Sharpe 0.88 | Sortino 2.45 | Calmar 1.0
Vol 31% | MDD -25.0%
Months 42M (12%)
CAGR 9.2% | Win 59%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 22% | MDD -38.1%
Months 219M (61%)
SLmean
neg
CAGR 3.0% | Win 55%
Sharpe 0.25 | Sortino 0.36 | Calmar 0.1
Vol 21% | MDD -24.3%
Months 82M (23%)
CAGR -5.8% | Win 48%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 32% | MDD -61.9%
Months 58M (16%)
CAGR -0.8% | Win 52%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -67.0%
Months 140M (39%)
LWTI
only
CAGR 4.8% | Win 58%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -40.2%
Months 259M (72%)
CAGR 6.2% | Win 52%
Sharpe 0.34 | Sortino 0.62 | Calmar 0.1
Vol 32% | MDD -47.5%
Months 100M (28%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 4.2% | Win 60%
Sharpe 0.31 | Sortino 0.41 | Calmar 0.1
Vol 19% | MDD -58.0%
Months 219M (61%)
CAGR 7.3% | Win 51%
Sharpe 0.38 | Sortino 0.64 | Calmar 0.1
Vol 30% | MDD -61.8%
Months 113M (32%)
CAGR 5.2% | Win 57%
Sharpe 0.33 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -61.8%
Months 332M (92%)
RSmean
neg
CAGR -10.4% | Win 62%
Sharpe -0.74 | Sortino -0.70 | Calmar -1.3
Vol 14% | MDD -8.1%
Months 8M (2%)
CAGR 12.2% | Win 47%
Sharpe 0.51 | Sortino 1.35 | Calmar 0.5
Vol 31% | MDD -22.6%
Months 19M (5%)
CAGR 5.0% | Win 52%
Sharpe 0.30 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -25.0%
Months 27M (8%)
MACD
only
CAGR 3.6% | Win 60%
Sharpe 0.28 | Sortino 0.37 | Calmar 0.1
Vol 19% | MDD -58.0%
Months 227M (63%)
CAGR 8.0% | Win 51%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 30% | MDD -65.5%
Months 132M (37%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 4.9% | Win 61%
Sharpe 0.34 | Sortino 0.44 | Calmar 0.1
Vol 20% | MDD -39.2%
Months 217M (60%)
CAGR 5.9% | Win 50%
Sharpe 0.33 | Sortino 0.58 | Calmar 0.1
Vol 30% | MDD -46.3%
Months 115M (32%)
CAGR 5.2% | Win 57%
Sharpe 0.33 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -61.8%
Months 332M (92%)
RSmean
neg
CAGR -9.6% | Win 44%
Sharpe -0.52 | Sortino -0.76 | Calmar -0.5
Vol 17% | MDD -20.6%
Months 16M (4%)
CAGR 30.3% | Win 64%
Sharpe 0.88 | Sortino 4.32 | Calmar 1.6
Vol 37% | MDD -19.1%
Months 11M (3%)
CAGR 5.0% | Win 52%
Sharpe 0.30 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -25.0%
Months 27M (8%)
RSI
only
CAGR 3.8% | Win 60%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -42.6%
Months 233M (65%)
CAGR 7.8% | Win 51%
Sharpe 0.39 | Sortino 0.72 | Calmar 0.2
Vol 30% | MDD -48.1%
Months 126M (35%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.4% | Win 62%
Sharpe 0.60 | Sortino 1.05 | Calmar 0.3
Vol 18% | MDD -31.0%
Months 182M (51%)
CAGR 0.4% | Win 51%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 30% | MDD -68.7%
Months 150M (42%)
CAGR 5.2% | Win 57%
Sharpe 0.33 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -61.8%
Months 332M (92%)
RSmean
neg
CAGR 49.1% | Win 56%
Sharpe 1.23 | Sortino 3.92 | Calmar 3.1
Vol 38% | MDD -15.7%
Months 9M (2%)
CAGR -11.9% | Win 50%
Sharpe -0.60 | Sortino -0.89 | Calmar -0.4
Vol 18% | MDD -31.1%
Months 18M (5%)
CAGR 5.0% | Win 52%
Sharpe 0.30 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -25.0%
Months 27M (8%)
MACDhist
only
CAGR 11.0% | Win 62%
Sharpe 0.65 | Sortino 1.22 | Calmar 0.4
Vol 19% | MDD -28.3%
Months 191M (53%)
CAGR -1.0% | Win 51%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 28% | MDD -71.7%
Months 168M (47%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 7.9% | Win 59%
Sharpe 0.51 | Sortino 0.91 | Calmar 0.2
Vol 18% | MDD -34.4%
Months 181M (50%)
CAGR 2.1% | Win 54%
Sharpe 0.21 | Sortino 0.31 | Calmar 0.0
Vol 29% | MDD -58.3%
Months 151M (42%)
CAGR 5.2% | Win 57%
Sharpe 0.33 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -61.8%
Months 332M (92%)
RSmean
neg
CAGR 73.9% | Win 67%
Sharpe 1.77 | Sortino 3.40 | Calmar 7.9
Vol 35% | MDD -9.3%
Months 9M (2%)
CAGR -18.5% | Win 44%
Sharpe -0.99 | Sortino -1.91 | Calmar -0.5
Vol 19% | MDD -38.6%
Months 18M (5%)
CAGR 5.0% | Win 52%
Sharpe 0.30 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -25.0%
Months 27M (8%)
RSIhist
only
CAGR 10.4% | Win 60%
Sharpe 0.60 | Sortino 1.12 | Calmar 0.3
Vol 20% | MDD -34.1%
Months 190M (53%)
CAGR -0.3% | Win 53%
Sharpe 0.13 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -65.4%
Months 169M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 5.6% | Win 59%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 20% | MDD -44.8%
Months 235M (66%)
CAGR 4.4% | Win 52%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.1
Vol 31% | MDD -41.9%
Months 97M (27%)
CAGR 5.2% | Win 57%
Sharpe 0.33 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -61.8%
Months 332M (92%)
RSmean
neg
CAGR -2.4% | Win 50%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 24% | MDD -25.0%
Months 24M (7%)
CAGR 87.6% | Win 67%
Sharpe 1.53 | Sortino 0.00 | Calmar 0.0
Vol 47% | MDD 0.0%
Months 3M (1%)
CAGR 5.0% | Win 52%
Sharpe 0.30 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -25.0%
Months 27M (8%)
LWTI
only
CAGR 4.8% | Win 58%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -40.2%
Months 259M (72%)
CAGR 6.2% | Win 52%
Sharpe 0.34 | Sortino 0.62 | Calmar 0.1
Vol 32% | MDD -47.5%
Months 100M (28%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 5.0% | Win 62%
Sharpe 0.37 | Sortino 0.53 | Calmar 0.1
Vol 18% | MDD -34.4%
Months 195M (54%)
CAGR -4.7% | Win 50%
Sharpe -0.04 | Sortino -0.05 | Calmar -0.1
Vol 27% | MDD -42.3%
Months 32M (9%)
CAGR 3.6% | Win 60%
Sharpe 0.28 | Sortino 0.37 | Calmar 0.1
Vol 19% | MDD -58.0%
Months 227M (63%)
MACD
neg
CAGR -2.1% | Win 50%
Sharpe 0.07 | Sortino 0.08 | Calmar -0.1
Vol 27% | MDD -38.3%
Months 38M (11%)
CAGR 12.4% | Win 51%
Sharpe 0.52 | Sortino 1.13 | Calmar 0.3
Vol 32% | MDD -47.6%
Months 94M (26%)
CAGR 8.0% | Win 51%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 30% | MDD -65.5%
Months 132M (37%)
RSI
only
CAGR 3.8% | Win 60%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -42.6%
Months 233M (65%)
CAGR 7.8% | Win 51%
Sharpe 0.39 | Sortino 0.72 | Calmar 0.2
Vol 30% | MDD -48.1%
Months 126M (35%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 8.3% | Win 63%
Sharpe 0.56 | Sortino 0.93 | Calmar 0.3
Vol 17% | MDD -28.7%
Months 161M (45%)
CAGR -7.1% | Win 52%
Sharpe -0.18 | Sortino -0.22 | Calmar -0.1
Vol 24% | MDD -57.6%
Months 66M (18%)
CAGR 3.6% | Win 60%
Sharpe 0.28 | Sortino 0.37 | Calmar 0.1
Vol 19% | MDD -58.0%
Months 227M (63%)
MACD
neg
CAGR 26.6% | Win 53%
Sharpe 0.99 | Sortino 2.65 | Calmar 1.4
Vol 28% | MDD -19.7%
Months 30M (8%)
CAGR 3.1% | Win 50%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.0
Vol 31% | MDD -65.5%
Months 102M (28%)
CAGR 8.0% | Win 51%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 30% | MDD -65.5%
Months 132M (37%)
MACDhist
only
CAGR 11.0% | Win 62%
Sharpe 0.65 | Sortino 1.22 | Calmar 0.4
Vol 19% | MDD -28.3%
Months 191M (53%)
CAGR -1.0% | Win 51%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 28% | MDD -71.7%
Months 168M (47%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 9.8% | Win 64%
Sharpe 0.65 | Sortino 1.15 | Calmar 0.5
Vol 16% | MDD -19.1%
Months 131M (36%)
CAGR -4.2% | Win 54%
Sharpe -0.08 | Sortino -0.09 | Calmar -0.1
Vol 22% | MDD -57.5%
Months 96M (27%)
CAGR 3.6% | Win 60%
Sharpe 0.28 | Sortino 0.37 | Calmar 0.1
Vol 19% | MDD -58.0%
Months 227M (63%)
MACD
neg
CAGR 11.8% | Win 49%
Sharpe 0.56 | Sortino 1.15 | Calmar 0.4
Vol 26% | MDD -31.4%
Months 59M (16%)
CAGR 5.1% | Win 52%
Sharpe 0.31 | Sortino 0.53 | Calmar 0.1
Vol 34% | MDD -62.3%
Months 73M (20%)
CAGR 8.0% | Win 51%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 30% | MDD -65.5%
Months 132M (37%)
RSIhist
only
CAGR 10.4% | Win 60%
Sharpe 0.60 | Sortino 1.12 | Calmar 0.3
Vol 20% | MDD -34.1%
Months 190M (53%)
CAGR -0.3% | Win 53%
Sharpe 0.13 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -65.4%
Months 169M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 5.8% | Win 60%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.2
Vol 18% | MDD -36.1%
Months 205M (57%)
CAGR -14.5% | Win 59%
Sharpe -0.40 | Sortino -0.46 | Calmar -0.4
Vol 28% | MDD -38.3%
Months 22M (6%)
CAGR 3.6% | Win 60%
Sharpe 0.28 | Sortino 0.37 | Calmar 0.1
Vol 19% | MDD -58.0%
Months 227M (63%)
MACD
neg
CAGR 1.3% | Win 52%
Sharpe 0.18 | Sortino 0.25 | Calmar 0.0
Vol 27% | MDD -40.2%
Months 54M (15%)
CAGR 12.9% | Win 50%
Sharpe 0.53 | Sortino 1.13 | Calmar 0.3
Vol 33% | MDD -47.5%
Months 78M (22%)
CAGR 8.0% | Win 51%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 30% | MDD -65.5%
Months 132M (37%)
LWTI
only
CAGR 4.8% | Win 58%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -40.2%
Months 259M (72%)
CAGR 6.2% | Win 52%
Sharpe 0.34 | Sortino 0.62 | Calmar 0.1
Vol 32% | MDD -47.5%
Months 100M (28%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 8.6% | Win 63%
Sharpe 0.57 | Sortino 0.97 | Calmar 0.3
Vol 17% | MDD -28.3%
Months 177M (49%)
CAGR -9.9% | Win 50%
Sharpe -0.27 | Sortino -0.31 | Calmar -0.2
Vol 25% | MDD -50.3%
Months 56M (16%)
CAGR 3.8% | Win 60%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -42.6%
Months 233M (65%)
RSI
neg
CAGR 46.7% | Win 50%
Sharpe 1.29 | Sortino 4.17 | Calmar 3.9
Vol 34% | MDD -12.0%
Months 14M (4%)
CAGR 3.7% | Win 51%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.1
Vol 30% | MDD -52.2%
Months 112M (31%)
CAGR 7.8% | Win 51%
Sharpe 0.39 | Sortino 0.72 | Calmar 0.2
Vol 30% | MDD -48.1%
Months 126M (35%)
MACDhist
only
CAGR 11.0% | Win 62%
Sharpe 0.65 | Sortino 1.22 | Calmar 0.4
Vol 19% | MDD -28.3%
Months 191M (53%)
CAGR -1.0% | Win 51%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 28% | MDD -71.7%
Months 168M (47%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 9.2% | Win 62%
Sharpe 0.59 | Sortino 1.00 | Calmar 0.4
Vol 17% | MDD -23.6%
Months 158M (44%)
CAGR -6.7% | Win 55%
Sharpe -0.17 | Sortino -0.20 | Calmar -0.2
Vol 23% | MDD -42.2%
Months 75M (21%)
CAGR 3.8% | Win 60%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -42.6%
Months 233M (65%)
RSI
neg
CAGR 16.2% | Win 47%
Sharpe 0.66 | Sortino 1.66 | Calmar 0.6
Vol 28% | MDD -27.4%
Months 32M (9%)
CAGR 5.1% | Win 52%
Sharpe 0.31 | Sortino 0.53 | Calmar 0.1
Vol 31% | MDD -50.5%
Months 94M (26%)
CAGR 7.8% | Win 51%
Sharpe 0.39 | Sortino 0.72 | Calmar 0.2
Vol 30% | MDD -48.1%
Months 126M (35%)
RSIhist
only
CAGR 10.4% | Win 60%
Sharpe 0.60 | Sortino 1.12 | Calmar 0.3
Vol 20% | MDD -34.1%
Months 190M (53%)
CAGR -0.3% | Win 53%
Sharpe 0.13 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -65.4%
Months 169M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 3.5% | Win 60%
Sharpe 0.28 | Sortino 0.36 | Calmar 0.1
Vol 20% | MDD -42.6%
Months 216M (60%)
CAGR 7.6% | Win 59%
Sharpe 0.46 | Sortino 0.84 | Calmar 0.6
Vol 20% | MDD -12.8%
Months 17M (5%)
CAGR 3.8% | Win 60%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -42.6%
Months 233M (65%)
RSI
neg
CAGR 11.5% | Win 51%
Sharpe 0.58 | Sortino 1.19 | Calmar 0.6
Vol 23% | MDD -20.3%
Months 43M (12%)
CAGR 5.9% | Win 51%
Sharpe 0.33 | Sortino 0.61 | Calmar 0.1
Vol 34% | MDD -47.5%
Months 83M (23%)
CAGR 7.8% | Win 51%
Sharpe 0.39 | Sortino 0.72 | Calmar 0.2
Vol 30% | MDD -48.1%
Months 126M (35%)
LWTI
only
CAGR 4.8% | Win 58%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -40.2%
Months 259M (72%)
CAGR 6.2% | Win 52%
Sharpe 0.34 | Sortino 0.62 | Calmar 0.1
Vol 32% | MDD -47.5%
Months 100M (28%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 14.1% | Win 62%
Sharpe 0.78 | Sortino 1.59 | Calmar 0.6
Vol 19% | MDD -23.1%
Months 146M (41%)
CAGR 1.5% | Win 62%
Sharpe 0.17 | Sortino 0.27 | Calmar 0.1
Vol 18% | MDD -19.4%
Months 45M (12%)
CAGR 11.0% | Win 62%
Sharpe 0.65 | Sortino 1.22 | Calmar 0.4
Vol 19% | MDD -28.3%
Months 191M (53%)
MACDhist
neg
CAGR -1.1% | Win 52%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.0
Vol 21% | MDD -25.8%
Months 44M (12%)
CAGR -1.0% | Win 50%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.0
Vol 31% | MDD -66.6%
Months 124M (34%)
CAGR -1.0% | Win 51%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 28% | MDD -71.7%
Months 168M (47%)
RSIhist
only
CAGR 10.4% | Win 60%
Sharpe 0.60 | Sortino 1.12 | Calmar 0.3
Vol 20% | MDD -34.1%
Months 190M (53%)
CAGR -0.3% | Win 53%
Sharpe 0.13 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -65.4%
Months 169M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 9.9% | Win 62%
Sharpe 0.61 | Sortino 1.10 | Calmar 0.4
Vol 18% | MDD -27.1%
Months 180M (50%)
CAGR 30.8% | Win 55%
Sharpe 1.03 | Sortino 6.83 | Calmar 3.4
Vol 30% | MDD -9.0%
Months 11M (3%)
CAGR 11.0% | Win 62%
Sharpe 0.65 | Sortino 1.22 | Calmar 0.4
Vol 19% | MDD -28.3%
Months 191M (53%)
MACDhist
neg
CAGR -5.9% | Win 49%
Sharpe -0.13 | Sortino -0.15 | Calmar -0.1
Vol 24% | MDD -56.6%
Months 79M (22%)
CAGR 3.5% | Win 52%
Sharpe 0.26 | Sortino 0.46 | Calmar 0.1
Vol 32% | MDD -47.5%
Months 89M (25%)
CAGR -1.0% | Win 51%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 28% | MDD -71.7%
Months 168M (47%)
LWTI
only
CAGR 4.8% | Win 58%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -40.2%
Months 259M (72%)
CAGR 6.2% | Win 52%
Sharpe 0.34 | Sortino 0.62 | Calmar 0.1
Vol 32% | MDD -47.5%
Months 100M (28%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 10.4% | Win 62%
Sharpe 0.63 | Sortino 1.11 | Calmar 0.4
Vol 18% | MDD -28.9%
Months 148M (41%)
CAGR 10.2% | Win 52%
Sharpe 0.53 | Sortino 1.12 | Calmar 0.4
Vol 24% | MDD -24.4%
Months 42M (12%)
CAGR 10.4% | Win 60%
Sharpe 0.60 | Sortino 1.12 | Calmar 0.3
Vol 20% | MDD -34.1%
Months 190M (53%)
RSIhist
neg
CAGR -2.2% | Win 54%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 22% | MDD -45.6%
Months 111M (31%)
CAGR 3.5% | Win 52%
Sharpe 0.27 | Sortino 0.49 | Calmar 0.1
Vol 37% | MDD -47.5%
Months 58M (16%)
CAGR -0.3% | Win 53%
Sharpe 0.13 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -65.4%
Months 169M (47%)
LWTI
only
CAGR 4.8% | Win 58%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -40.2%
Months 259M (72%)
CAGR 6.2% | Win 52%
Sharpe 0.34 | Sortino 0.62 | Calmar 0.1
Vol 32% | MDD -47.5%
Months 100M (28%)