EWI - iShares MSCI Italy ETF

Signal Pair Analysis

MACDhist-LWTI

Best Pair

44.3%

Best CAGR

105

Total Months

6.8%

Avg CAGR

EWI 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 EWI

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist LWTI pos-neg 15 4.1 44.3 73.3 1.5 1.9 2.8 27.6 -15.6
pair LWTI MACDhist pos-neg 15 4.1 44.3 73.3 1.5 1.9 2.8 27.6 -15.6
pair RSmean SLmean pos-neg 7 1.9 39.3 71.4 2.1 142.4 20.8 16.7 -1.9
pair SLmean RSmean pos-neg 7 1.9 39.3 71.4 2.1 142.4 20.8 16.7 -1.9
pair SLmean RSIhist pos-neg 40 10.9 27.3 60.0 1.2 2.8 1.3 21.2 -21.2
pair RSIhist SLmean pos-neg 40 10.9 27.3 60.0 1.2 2.8 1.3 21.2 -21.2
pair RSI MACD neg-pos 37 10.1 26.9 62.2 1.1 2.1 0.8 25.4 -32.9
pair MACD RSI neg-pos 37 10.1 26.9 62.2 1.1 2.1 0.8 25.4 -32.9
pair RSmean MACDhist neg-neg 20 5.4 24.5 50.0 1.1 2.4 2.0 23.6 -12.3
pair MACDhist RSmean neg-neg 20 5.4 24.5 50.0 1.1 2.4 2.0 23.6 -12.3
pair MACDhist MACD neg-neg 94 25.6 23.9 59.6 0.9 1.5 0.6 29.7 -43.9
pair MACD MACDhist neg-neg 94 25.6 23.9 59.6 0.9 1.5 0.6 29.7 -43.9
pair MRmean RSmean neg-neg 15 4.1 22.9 46.7 0.9 2.0 2.8 24.8 -8.1
pair RSmean MRmean neg-neg 15 4.1 22.9 46.7 0.9 2.0 2.8 24.8 -8.1
pair MACD RSmean neg-pos 10 2.7 22.5 40.0 0.9 2.9 2.5 25.1 -8.9
pair RSmean MACD neg-pos 10 2.7 22.5 40.0 0.9 2.9 2.5 25.1 -8.9
pair MACD SLmean pos-neg 69 18.8 20.6 58.0 0.9 1.6 0.6 24.5 -34.0
pair SLmean MACD pos-neg 69 18.8 20.6 58.0 0.9 1.6 0.6 24.5 -34.0
pair RSmean RSI neg-pos 13 3.5 20.4 53.8 0.9 2.6 2.3 21.8 -8.9
pair RSI RSmean neg-pos 13 3.5 20.4 53.8 0.9 2.6 2.3 21.8 -8.9
pair MRmean RSIhist pos-neg 62 16.9 19.8 59.7 1.0 2.5 1.1 20.0 -18.8
pair RSIhist MRmean pos-neg 62 16.9 19.8 59.7 1.0 2.5 1.1 20.0 -18.8
pair RSmean LWTI neg-pos 24 6.5 19.8 54.2 0.9 2.0 1.6 22.5 -12.3
pair LWTI RSmean neg-pos 24 6.5 19.8 54.2 0.9 2.0 1.6 22.5 -12.3
pair RSmean RSIhist neg-neg 20 5.4 19.4 50.0 0.8 2.2 1.6 24.5 -12.3
pair RSIhist RSmean neg-neg 20 5.4 19.4 50.0 0.8 2.2 1.6 24.5 -12.3
pair MACD LWTI neg-neg 74 20.2 18.3 60.8 0.7 1.1 0.4 30.8 -43.9
pair LWTI MACD neg-neg 74 20.2 18.3 60.8 0.7 1.1 0.4 30.8 -43.9
single RSmean RSmean neg-neg 25 6.8 17.8 52.0 0.8 1.9 1.4 22.1 -12.3
pair MACD RSIhist neg-neg 80 21.8 17.6 60.0 0.7 1.2 0.4 32.8 -46.4
pair RSIhist MACD neg-neg 80 21.8 17.6 60.0 0.7 1.2 0.4 32.8 -46.4
pair MACDhist MRmean pos-neg 67 18.3 15.6 56.7 0.8 1.6 0.8 22.2 -20.5
pair MRmean MACDhist pos-neg 67 18.3 15.6 56.7 0.8 1.6 0.8 22.2 -20.5
pair MACD MRmean neg-neg 76 20.7 15.3 57.9 0.6 1.0 0.3 32.9 -43.9
pair MRmean MACD neg-neg 76 20.7 15.3 57.9 0.6 1.0 0.3 32.9 -43.9
pair MACDhist SLmean pos-neg 70 19.1 15.2 52.9 0.7 1.4 0.8 23.0 -19.0
pair SLmean MACDhist pos-neg 70 19.1 15.2 52.9 0.7 1.4 0.8 23.0 -19.0
pair RSI RSmean neg-neg 12 3.3 15.1 50.0 0.7 1.5 1.9 23.4 -8.1
pair RSmean RSI neg-neg 12 3.3 15.1 50.0 0.7 1.5 1.9 23.4 -8.1
pair MACD RSmean neg-neg 15 4.1 14.9 60.0 0.8 1.4 1.8 20.8 -8.1
pair RSmean MACD neg-neg 15 4.1 14.9 60.0 0.8 1.4 1.8 20.8 -8.1
single MACD MACD neg-neg 142 38.7 14.3 57.7 0.6 1.0 0.3 29.1 -48.5
pair RSmean MACD pos-neg 127 34.6 14.2 57.5 0.6 1.0 0.3 30.0 -49.6
pair MACD RSmean pos-neg 127 34.6 14.2 57.5 0.6 1.0 0.3 30.0 -49.6
pair LWTI RSI neg-neg 77 21.0 13.5 59.7 0.6 0.9 0.2 30.8 -56.5
pair RSI LWTI neg-neg 77 21.0 13.5 59.7 0.6 0.9 0.2 30.8 -56.5
pair MRmean RSI pos-pos 207 56.4 13.2 60.9 0.8 1.4 0.4 18.6 -32.9
pair RSI MRmean pos-pos 207 56.4 13.2 60.9 0.8 1.4 0.4 18.6 -32.9
pair MRmean MACD pos-neg 66 18.0 13.1 57.6 0.6 1.1 0.4 24.2 -34.5
pair MACD MRmean pos-neg 66 18.0 13.1 57.6 0.6 1.1 0.4 24.2 -34.5
pair RSIhist LWTI neg-neg 54 14.7 12.5 61.1 0.5 0.9 0.2 33.7 -60.2
pair LWTI RSIhist neg-neg 54 14.7 12.5 61.1 0.5 0.9 0.2 33.7 -60.2
pair RSI SLmean pos-pos 181 49.3 12.0 60.2 0.7 1.2 0.4 18.5 -28.8
pair SLmean RSI pos-pos 181 49.3 12.0 60.2 0.7 1.2 0.4 18.5 -28.8
pair SLmean LWTI pos-neg 44 12.0 12.0 52.3 0.6 1.0 0.8 23.1 -15.6
pair LWTI SLmean pos-neg 44 12.0 12.0 52.3 0.6 1.0 0.8 23.1 -15.6
pair RSmean RSIhist neg-pos 5 1.4 11.8 60.0 1.3 3.2 5.1 8.8 -2.3
pair RSIhist RSmean neg-pos 5 1.4 11.8 60.0 1.3 3.2 5.1 8.8 -2.3
pair LWTI MRmean neg-neg 62 16.9 11.7 58.1 0.5 0.8 0.2 32.5 -60.2
pair MRmean LWTI neg-neg 62 16.9 11.7 58.1 0.5 0.8 0.2 32.5 -60.2
pair LWTI MRmean pos-pos 202 55.0 11.6 60.4 0.7 1.2 0.3 18.7 -42.1
pair MRmean LWTI pos-pos 202 55.0 11.6 60.4 0.7 1.2 0.3 18.7 -42.1
pair MRmean SLmean pos-pos 203 55.3 11.5 60.1 0.7 1.1 0.3 19.0 -34.0
pair SLmean MRmean pos-pos 203 55.3 11.5 60.1 0.7 1.1 0.3 19.0 -34.0
single SLmean SLmean pos-pos 217 59.1 11.5 59.0 0.7 1.1 0.3 19.4 -34.0
pair LWTI SLmean pos-pos 173 47.1 11.3 60.7 0.7 1.1 0.3 18.4 -36.6
pair SLmean LWTI pos-pos 173 47.1 11.3 60.7 0.7 1.1 0.3 18.4 -36.6
pair RSmean MRmean pos-pos 226 61.6 11.2 59.7 0.7 1.1 0.3 19.1 -35.8
single MRmean MRmean pos-pos 236 64.3 11.2 59.7 0.7 1.1 0.3 19.1 -34.5
pair MRmean RSmean pos-pos 226 61.6 11.2 59.7 0.7 1.1 0.3 19.1 -35.8
pair SLmean MRmean neg-pos 14 3.8 11.1 42.9 0.5 1.0 0.7 25.7 -15.8
pair MRmean SLmean neg-pos 14 3.8 11.1 42.9 0.5 1.0 0.7 25.7 -15.8
pair RSmean LWTI pos-neg 95 25.9 11.0 57.9 0.5 0.8 0.2 29.1 -60.2
pair LWTI RSmean pos-neg 95 25.9 11.0 57.9 0.5 0.8 0.2 29.1 -60.2
pair MRmean RSmean pos-neg 10 2.7 10.7 60.0 0.6 1.4 1.6 18.5 -6.7
pair RSmean MRmean pos-neg 10 2.7 10.7 60.0 0.6 1.4 1.6 18.5 -6.7
pair MACDhist RSI pos-neg 77 21.0 10.7 53.2 0.6 1.1 0.3 22.7 -39.3
pair RSI MACDhist pos-neg 77 21.0 10.7 53.2 0.6 1.1 0.3 22.7 -39.3
pair MACDhist RSIhist neg-neg 137 37.3 10.7 56.9 0.5 0.8 0.2 27.9 -63.7
pair RSIhist MACDhist neg-neg 137 37.3 10.7 56.9 0.5 0.8 0.2 27.9 -63.7
pair RSmean SLmean pos-pos 210 57.2 10.6 58.6 0.6 1.0 0.3 19.5 -34.5
single LWTI LWTI neg-neg 96 26.2 10.6 57.3 0.5 0.8 0.2 29.0 -60.2
pair SLmean RSmean pos-pos 210 57.2 10.6 58.6 0.6 1.0 0.3 19.5 -34.5
pair SLmean RSmean neg-neg 18 4.9 10.4 44.4 0.5 1.2 1.0 24.1 -10.5
pair MRmean MACD pos-pos 170 46.3 10.4 60.6 0.7 1.2 0.5 16.7 -20.7
pair RSmean SLmean neg-neg 18 4.9 10.4 44.4 0.5 1.2 1.0 24.1 -10.5
pair MACD MRmean pos-pos 170 46.3 10.4 60.6 0.7 1.2 0.5 16.7 -20.7
pair LWTI MACDhist neg-pos 100 27.2 10.3 55.0 0.5 1.0 0.3 24.5 -34.1
pair MACDhist LWTI neg-pos 100 27.2 10.3 55.0 0.5 1.0 0.3 24.5 -34.1
pair MACD RSI neg-neg 105 28.6 10.1 56.2 0.5 0.8 0.2 30.3 -45.6
pair RSI MACD neg-neg 105 28.6 10.1 56.2 0.5 0.8 0.2 30.3 -45.6
pair MACDhist RSIhist pos-pos 140 38.1 10.1 61.4 0.6 0.9 0.3 17.9 -34.0
pair RSIhist MACD neg-pos 62 16.9 10.1 54.8 0.5 0.9 0.3 23.7 -35.4
pair RSIhist MACDhist pos-pos 140 38.1 10.1 61.4 0.6 0.9 0.3 17.9 -34.0
pair MACD RSIhist neg-pos 62 16.9 10.1 54.8 0.5 0.9 0.3 23.7 -35.4
pair LWTI MACD neg-pos 68 18.5 10.0 54.4 0.5 0.9 0.2 27.3 -53.9
pair MACD LWTI neg-pos 68 18.5 10.0 54.4 0.5 0.9 0.2 27.3 -53.9
pair RSIhist RSI pos-pos 150 40.9 9.8 60.0 0.6 1.0 0.2 17.9 -42.5
pair RSI RSIhist pos-pos 150 40.9 9.8 60.0 0.6 1.0 0.2 17.9 -42.5
pair SLmean MACDhist pos-pos 147 40.1 9.7 61.9 0.6 0.9 0.3 17.5 -34.1
pair LWTI RSI pos-pos 217 59.1 9.7 59.4 0.6 0.9 0.2 19.5 -41.1
pair MACDhist SLmean pos-pos 147 40.1 9.7 61.9 0.6 0.9 0.3 17.5 -34.1
pair RSI LWTI pos-pos 217 59.1 9.7 59.4 0.6 0.9 0.2 19.5 -41.1
pair MACDhist MRmean pos-pos 169 46.0 9.5 60.9 0.6 0.9 0.2 17.7 -38.4
pair MRmean MACDhist pos-pos 169 46.0 9.5 60.9 0.6 0.9 0.2 17.7 -38.4
pair MRmean SLmean pos-neg 33 9.0 9.4 57.6 0.6 1.2 0.4 19.9 -22.2
pair LWTI SLmean neg-neg 52 14.2 9.4 61.5 0.4 0.7 0.2 33.4 -55.1
pair SLmean MRmean pos-neg 33 9.0 9.4 57.6 0.6 1.2 0.4 19.9 -22.2
pair SLmean LWTI neg-neg 52 14.2 9.4 61.5 0.4 0.7 0.2 33.4 -55.1
single RSI RSI pos-pos 236 64.3 8.9 58.5 0.5 0.8 0.2 19.5 -52.4
pair RSI SLmean pos-neg 36 9.8 8.6 52.8 0.5 0.7 0.3 23.5 -34.0
pair SLmean RSI pos-neg 36 9.8 8.6 52.8 0.5 0.7 0.3 23.5 -34.0
pair MACD SLmean neg-neg 73 19.9 8.6 57.5 0.4 0.8 0.2 33.0 -48.2
pair SLmean MACD neg-neg 73 19.9 8.6 57.5 0.4 0.8 0.2 33.0 -48.2
pair LWTI MRmean pos-neg 34 9.3 8.5 55.9 0.5 0.8 0.5 21.4 -17.0
pair MRmean LWTI pos-neg 34 9.3 8.5 55.9 0.5 0.8 0.5 21.4 -17.0
pair RSIhist MRmean pos-pos 174 47.4 8.3 59.8 0.5 0.8 0.2 18.7 -46.3
pair MRmean RSIhist pos-pos 174 47.4 8.3 59.8 0.5 0.8 0.2 18.7 -46.3
pair RSI RSmean pos-pos 223 60.8 8.3 58.7 0.5 0.8 0.1 19.4 -53.5
pair RSmean RSI pos-pos 223 60.8 8.3 58.7 0.5 0.8 0.1 19.4 -53.5
pair RSIhist LWTI pos-neg 42 11.4 8.2 52.4 0.5 0.8 0.5 21.8 -16.4
pair LWTI RSIhist pos-neg 42 11.4 8.2 52.4 0.5 0.8 0.5 21.8 -16.4
pair MACD MACDhist pos-pos 138 37.6 8.2 60.9 0.6 0.7 0.2 16.9 -39.7
pair MACDhist MACD pos-pos 138 37.6 8.2 60.9 0.6 0.7 0.2 16.9 -39.7
pair RSI MACDhist pos-pos 159 43.3 8.1 61.0 0.5 0.7 0.2 17.8 -37.4
pair MACDhist RSI pos-pos 159 43.3 8.1 61.0 0.5 0.7 0.2 17.8 -37.4
pair SLmean RSIhist pos-pos 177 48.2 8.1 58.8 0.5 0.8 0.2 18.9 -47.1
pair RSIhist SLmean pos-pos 177 48.2 8.1 58.8 0.5 0.8 0.2 18.9 -47.1
single MACDhist MACDhist neg-neg 181 49.3 8.0 54.7 0.4 0.7 0.1 26.6 -63.7
single RSIhist RSIhist pos-pos 184 50.1 7.6 58.2 0.5 0.8 0.1 18.9 -51.7
pair RSIhist RSmean pos-pos 179 48.8 7.5 58.1 0.5 0.8 0.1 19.2 -51.7
pair RSmean RSIhist pos-pos 179 48.8 7.5 58.1 0.5 0.8 0.1 19.2 -51.7
pair LWTI RSIhist pos-pos 142 38.7 7.4 59.9 0.5 0.8 0.2 18.1 -45.7
pair RSIhist LWTI pos-pos 142 38.7 7.4 59.9 0.5 0.8 0.2 18.1 -45.7
pair MACD SLmean pos-pos 148 40.3 7.4 59.5 0.5 0.8 0.3 16.4 -21.8
pair SLmean MACD pos-pos 148 40.3 7.4 59.5 0.5 0.8 0.3 16.4 -21.8
pair RSIhist RSI pos-neg 86 23.4 7.4 55.8 0.4 0.7 0.1 22.1 -56.3
pair RSI RSIhist pos-neg 86 23.4 7.4 55.8 0.4 0.7 0.1 22.1 -56.3
pair benchmark___benchmark_ benchmark-benchmark 367 100.0 6.7 56.9 0.4 0.6 0.1 23.5 -66.0
pair benchmark___benchmark_ benchmark-benchmark 367 100.0 6.7 56.9 0.4 0.6 0.1 23.5 -66.0
pair RSIhist MACD pos-pos 122 33.2 6.3 59.8 0.5 0.7 0.1 16.1 -42.5
pair MACD RSIhist pos-pos 122 33.2 6.3 59.8 0.5 0.7 0.1 16.1 -42.5
pair RSmean MACDhist pos-neg 161 43.9 6.1 55.3 0.3 0.6 0.1 27.0 -64.7
pair MACDhist RSmean pos-neg 161 43.9 6.1 55.3 0.3 0.6 0.1 27.0 -64.7
pair RSI MACDhist neg-neg 104 28.3 6.1 55.8 0.3 0.6 0.1 29.3 -58.3
pair MACDhist RSI neg-neg 104 28.3 6.1 55.8 0.3 0.6 0.1 29.3 -58.3
single RSmean RSmean pos-pos 342 93.2 5.9 57.3 0.4 0.6 0.1 23.7 -66.7
pair RSI MACD pos-pos 199 54.2 5.9 57.8 0.4 0.6 0.1 18.1 -50.8
pair MACD RSI pos-pos 199 54.2 5.9 57.8 0.4 0.6 0.1 18.1 -50.8
single RSIhist RSIhist neg-neg 183 49.9 5.7 55.7 0.3 0.5 0.1 27.4 -65.3
pair MACDhist RSmean pos-pos 181 49.3 5.6 59.1 0.4 0.5 0.1 20.3 -51.5
pair RSmean MACDhist pos-pos 181 49.3 5.6 59.1 0.4 0.5 0.1 20.3 -51.5
single LWTI LWTI pos-pos 271 73.8 5.3 56.8 0.3 0.5 0.1 21.3 -63.5
single MACDhist MACDhist pos-pos 186 50.7 5.3 59.1 0.4 0.5 0.1 20.2 -50.5
pair MACDhist LWTI neg-neg 81 22.1 5.3 54.3 0.3 0.5 0.1 29.1 -60.2
pair LWTI MACDhist neg-neg 81 22.1 5.3 54.3 0.3 0.5 0.1 29.1 -60.2
pair RSI MRmean neg-neg 102 27.8 4.2 54.9 0.3 0.5 0.1 31.3 -58.6
pair MRmean RSI neg-neg 102 27.8 4.2 54.9 0.3 0.5 0.1 31.3 -58.6
pair RSIhist RSI neg-neg 97 26.4 4.2 55.7 0.3 0.5 0.1 31.6 -55.1
pair RSI RSIhist neg-neg 97 26.4 4.2 55.7 0.3 0.5 0.1 31.6 -55.1
pair RSmean RSIhist pos-neg 163 44.4 4.1 56.4 0.3 0.4 0.1 27.8 -65.3
pair RSIhist RSmean pos-neg 163 44.4 4.1 56.4 0.3 0.4 0.1 27.8 -65.3
pair RSmean LWTI pos-pos 247 67.3 4.0 57.1 0.3 0.4 0.1 21.2 -65.8
pair LWTI RSmean pos-pos 247 67.3 4.0 57.1 0.3 0.4 0.1 21.2 -65.8
pair MACD LWTI pos-pos 203 55.3 3.8 57.6 0.3 0.4 0.1 18.9 -58.8
pair LWTI MACD pos-pos 203 55.3 3.8 57.6 0.3 0.4 0.1 18.9 -58.8
pair MRmean MACDhist neg-neg 114 31.1 3.8 53.5 0.3 0.5 0.1 28.9 -64.6
pair MACDhist MRmean neg-neg 114 31.1 3.8 53.5 0.3 0.5 0.1 28.9 -64.6
pair SLmean MACDhist neg-neg 111 30.2 3.7 55.9 0.3 0.5 0.1 28.7 -57.6
pair MACDhist SLmean neg-neg 111 30.2 3.7 55.9 0.3 0.5 0.1 28.7 -57.6
pair RSIhist LWTI neg-pos 129 35.1 3.0 53.5 0.2 0.4 0.1 24.5 -63.8
pair LWTI RSIhist neg-pos 129 35.1 3.0 53.5 0.2 0.4 0.1 24.5 -63.8
single RSI RSI neg-neg 131 35.7 2.7 54.2 0.2 0.4 0.0 29.5 -61.4
pair LWTI MACDhist pos-pos 171 46.6 2.5 57.9 0.2 0.3 0.0 19.3 -62.8
pair MACDhist LWTI pos-pos 171 46.6 2.5 57.9 0.2 0.3 0.0 19.3 -62.8
single MACD MACD pos-pos 225 61.3 2.1 56.4 0.2 0.3 0.0 19.1 -65.6
pair RSI RSmean pos-neg 119 32.4 1.5 54.6 0.2 0.3 0.0 30.1 -58.5
pair RSmean RSI pos-neg 119 32.4 1.5 54.6 0.2 0.3 0.0 30.1 -58.5
pair MACD RSmean pos-pos 215 58.6 1.2 57.2 0.2 0.2 0.0 18.8 -63.0
pair RSmean MACD pos-pos 215 58.6 1.2 57.2 0.2 0.2 0.0 18.8 -63.0
pair RSI SLmean neg-neg 95 25.9 0.5 54.7 0.2 0.3 0.0 31.6 -58.0
pair SLmean RSI neg-neg 95 25.9 0.5 54.7 0.2 0.3 0.0 31.6 -58.0
pair RSIhist SLmean neg-neg 143 39.0 0.4 54.5 0.2 0.2 0.0 28.9 -59.3
pair SLmean RSIhist neg-neg 143 39.0 0.4 54.5 0.2 0.2 0.0 28.9 -59.3
single SLmean SLmean neg-neg 150 40.9 0.1 54.0 0.1 0.2 0.0 28.5 -60.6
pair RSIhist MACDhist neg-pos 44 12.0 0.1 47.7 0.1 0.2 0.0 22.1 -41.5
pair MACDhist RSIhist neg-pos 44 12.0 0.1 47.7 0.1 0.2 0.0 22.1 -41.5
pair RSI LWTI pos-neg 19 5.2 -0.3 47.4 0.1 0.1 -0.0 20.2 -22.8
pair LWTI RSI pos-neg 19 5.2 -0.3 47.4 0.1 0.1 -0.0 20.2 -22.8
pair SLmean RSI neg-pos 55 15.0 -0.7 52.7 0.1 0.1 -0.0 22.4 -50.4
pair RSI SLmean neg-pos 55 15.0 -0.7 52.7 0.1 0.1 -0.0 22.4 -50.4
pair MRmean RSIhist neg-neg 121 33.0 -0.9 53.7 0.1 0.2 -0.0 30.5 -61.8
pair RSIhist MRmean neg-neg 121 33.0 -0.9 53.7 0.1 0.2 -0.0 30.5 -61.8
single MRmean MRmean neg-neg 131 35.7 -1.1 51.9 0.1 0.2 -0.0 30.0 -64.6
pair SLmean RSmean neg-pos 132 36.0 -1.3 55.3 0.1 0.2 -0.0 29.1 -60.6
pair RSmean SLmean neg-pos 132 36.0 -1.3 55.3 0.1 0.2 -0.0 29.1 -60.6
pair RSIhist RSI neg-pos 34 9.3 -1.5 50.0 0.1 0.1 -0.0 23.0 -34.0
pair RSI RSIhist neg-pos 34 9.3 -1.5 50.0 0.1 0.1 -0.0 23.0 -34.0
pair MRmean RSI pos-neg 29 7.9 -2.3 51.7 0.0 0.0 -0.1 22.2 -31.9
pair RSI MRmean pos-neg 29 7.9 -2.3 51.7 0.0 0.0 -0.1 22.2 -31.9
pair MRmean SLmean neg-neg 117 31.9 -2.4 53.0 0.1 0.1 -0.0 30.5 -59.9
pair SLmean MRmean neg-neg 117 31.9 -2.4 53.0 0.1 0.1 -0.0 30.5 -59.9
pair MACDhist MACD neg-pos 48 13.1 -2.5 54.2 0.1 0.1 -0.1 27.6 -50.5
pair MACD MACDhist neg-pos 48 13.1 -2.5 54.2 0.1 0.1 -0.1 27.6 -50.5
pair RSIhist MACD pos-neg 103 28.1 -2.7 52.4 -0.0 -0.0 -0.0 22.2 -67.1
pair MACD RSIhist pos-neg 103 28.1 -2.7 52.4 -0.0 -0.0 -0.0 22.2 -67.1
pair RSIhist MRmean neg-pos 10 2.7 -3.2 30.0 -0.0 -0.1 -0.3 23.4 -12.5
pair MRmean RSIhist neg-pos 10 2.7 -3.2 30.0 -0.0 -0.1 -0.3 23.4 -12.5
pair MRmean RSmean neg-pos 116 31.6 -3.8 52.6 0.0 0.0 -0.1 30.6 -65.1
pair RSmean MRmean neg-pos 116 31.6 -3.8 52.6 0.0 0.0 -0.1 30.6 -65.1
pair LWTI SLmean neg-pos 98 26.7 -4.6 50.0 -0.1 -0.1 -0.1 25.6 -67.2
pair SLmean LWTI neg-pos 98 26.7 -4.6 50.0 -0.1 -0.1 -0.1 25.6 -67.2
pair RSmean MACDhist neg-pos 5 1.4 -5.5 60.0 -0.3 -0.5 -0.6 15.2 -8.9
pair MACDhist RSmean neg-pos 5 1.4 -5.5 60.0 -0.3 -0.5 -0.6 15.2 -8.9
pair RSIhist SLmean neg-pos 7 1.9 -5.5 42.9 -0.2 -0.3 -0.8 20.9 -7.3
pair SLmean RSIhist neg-pos 7 1.9 -5.5 42.9 -0.2 -0.3 -0.8 20.9 -7.3
pair MACDhist MACD pos-neg 87 23.7 -6.9 49.4 -0.2 -0.3 -0.1 22.1 -58.2
pair MACD MACDhist pos-neg 87 23.7 -6.9 49.4 -0.2 -0.3 -0.1 22.1 -58.2
pair SLmean MACD neg-pos 77 21.0 -7.4 50.6 -0.2 -0.3 -0.1 23.4 -65.9
pair MACD SLmean neg-pos 77 21.0 -7.4 50.6 -0.2 -0.3 -0.1 23.4 -65.9
pair MACDhist RSIhist pos-neg 46 12.5 -7.9 52.2 -0.2 -0.2 -0.2 25.9 -46.9
pair RSIhist MACDhist pos-neg 46 12.5 -7.9 52.2 -0.2 -0.2 -0.2 25.9 -46.9
pair RSI MACDhist neg-pos 27 7.4 -9.4 48.1 -0.2 -0.3 -0.2 30.8 -41.6
pair MACDhist RSI neg-pos 27 7.4 -9.4 48.1 -0.2 -0.3 -0.2 30.8 -41.6
pair SLmean MACDhist neg-pos 39 10.6 -9.7 48.7 -0.2 -0.3 -0.2 28.1 -50.8
pair MACDhist SLmean neg-pos 39 10.6 -9.7 48.7 -0.2 -0.3 -0.2 28.1 -50.8
pair LWTI RSI neg-pos 54 14.7 -10.9 46.3 -0.3 -0.5 -0.2 27.3 -56.3
pair RSI LWTI neg-pos 54 14.7 -10.9 46.3 -0.3 -0.5 -0.2 27.3 -56.3
pair LWTI MRmean neg-pos 69 18.8 -11.3 46.4 -0.3 -0.5 -0.2 27.3 -66.3
pair MRmean LWTI neg-pos 69 18.8 -11.3 46.4 -0.3 -0.5 -0.2 27.3 -66.3
pair MACD LWTI pos-neg 22 6.0 -12.0 45.5 -0.5 -0.8 -0.6 20.8 -20.0
pair LWTI MACD pos-neg 22 6.0 -12.0 45.5 -0.5 -0.8 -0.6 20.8 -20.0
pair MRmean RSI neg-pos 29 7.9 -17.4 41.4 -0.7 -0.8 -0.3 24.3 -49.4
pair RSI MRmean neg-pos 29 7.9 -17.4 41.4 -0.7 -0.8 -0.3 24.3 -49.4
pair MACD MRmean neg-pos 55 15.0 -19.9 43.6 -0.8 -1.0 -0.3 24.2 -70.9
pair MRmean MACD neg-pos 55 15.0 -19.9 43.6 -0.8 -1.0 -0.3 24.2 -70.9
pair RSmean LWTI neg-neg 1 0.3 -20.4 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.3 -20.4 0.0 0.0 0.0 0.0 - 0.0
pair MACD RSI pos-neg 26 7.1 -22.5 46.2 -0.9 -1.3 -0.5 24.6 -44.3
pair RSI MACD pos-neg 26 7.1 -22.5 46.2 -0.9 -1.3 -0.5 24.6 -44.3
pair MRmean MACDhist neg-pos 17 4.6 -28.3 41.2 -0.7 -1.1 -0.7 36.1 -41.7
pair MACDhist MRmean neg-pos 17 4.6 -28.3 41.2 -0.7 -1.1 -0.7 36.1 -41.7

All Contingency Tables for EWI

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 11.5% | Win 60%
Sharpe 0.67 | Sortino 1.10 | Calmar 0.3
Vol 19% | MDD -34.0%
Months 203M (55%)
CAGR 9.4% | Win 58%
Sharpe 0.55 | Sortino 1.24 | Calmar 0.4
Vol 20% | MDD -22.2%
Months 33M (9%)
CAGR 11.2% | Win 60%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.3
Vol 19% | MDD -34.5%
Months 236M (64%)
MRmean
neg
CAGR 11.1% | Win 43%
Sharpe 0.53 | Sortino 1.04 | Calmar 0.7
Vol 26% | MDD -15.8%
Months 14M (4%)
CAGR -2.4% | Win 53%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.0
Vol 30% | MDD -59.9%
Months 117M (32%)
CAGR -1.1% | Win 52%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.0
Vol 30% | MDD -64.6%
Months 131M (36%)
SLmean
only
CAGR 11.5% | Win 59%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 19% | MDD -34.0%
Months 217M (59%)
CAGR 0.1% | Win 54%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 28% | MDD -60.6%
Months 150M (41%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 11.2% | Win 60%
Sharpe 0.65 | Sortino 1.10 | Calmar 0.3
Vol 19% | MDD -35.8%
Months 226M (62%)
CAGR 10.7% | Win 60%
Sharpe 0.63 | Sortino 1.45 | Calmar 1.6
Vol 18% | MDD -6.7%
Months 10M (3%)
CAGR 11.2% | Win 60%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.3
Vol 19% | MDD -34.5%
Months 236M (64%)
MRmean
neg
CAGR -3.8% | Win 53%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 31% | MDD -65.1%
Months 116M (32%)
CAGR 22.9% | Win 47%
Sharpe 0.95 | Sortino 2.03 | Calmar 2.8
Vol 25% | MDD -8.1%
Months 15M (4%)
CAGR -1.1% | Win 52%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.0
Vol 30% | MDD -64.6%
Months 131M (36%)
RSmean
only
CAGR 5.9% | Win 57%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 24% | MDD -66.7%
Months 342M (93%)
CAGR 17.8% | Win 52%
Sharpe 0.85 | Sortino 1.91 | Calmar 1.5
Vol 22% | MDD -12.3%
Months 25M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 10.4% | Win 61%
Sharpe 0.68 | Sortino 1.18 | Calmar 0.5
Vol 17% | MDD -20.7%
Months 170M (46%)
CAGR 13.1% | Win 58%
Sharpe 0.63 | Sortino 1.11 | Calmar 0.4
Vol 24% | MDD -34.5%
Months 66M (18%)
CAGR 11.2% | Win 60%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.3
Vol 19% | MDD -34.5%
Months 236M (64%)
MRmean
neg
CAGR -19.9% | Win 44%
Sharpe -0.78 | Sortino -1.02 | Calmar -0.3
Vol 24% | MDD -70.9%
Months 55M (15%)
CAGR 15.3% | Win 58%
Sharpe 0.60 | Sortino 1.02 | Calmar 0.3
Vol 33% | MDD -43.9%
Months 76M (21%)
CAGR -1.1% | Win 52%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.0
Vol 30% | MDD -64.6%
Months 131M (36%)
MACD
only
CAGR 2.1% | Win 56%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -65.6%
Months 225M (61%)
CAGR 14.3% | Win 58%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 29% | MDD -48.5%
Months 142M (39%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 13.2% | Win 61%
Sharpe 0.76 | Sortino 1.37 | Calmar 0.4
Vol 19% | MDD -32.9%
Months 207M (56%)
CAGR -2.3% | Win 52%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 22% | MDD -31.9%
Months 29M (8%)
CAGR 11.2% | Win 60%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.3
Vol 19% | MDD -34.5%
Months 236M (64%)
MRmean
neg
CAGR -17.4% | Win 41%
Sharpe -0.66 | Sortino -0.79 | Calmar -0.4
Vol 24% | MDD -49.4%
Months 29M (8%)
CAGR 4.2% | Win 55%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.1
Vol 31% | MDD -58.6%
Months 102M (28%)
CAGR -1.1% | Win 52%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.0
Vol 30% | MDD -64.6%
Months 131M (36%)
RSI
only
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 236M (64%)
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.0
Vol 30% | MDD -61.4%
Months 131M (36%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 9.5% | Win 61%
Sharpe 0.60 | Sortino 0.94 | Calmar 0.2
Vol 18% | MDD -38.4%
Months 169M (46%)
CAGR 15.6% | Win 57%
Sharpe 0.76 | Sortino 1.57 | Calmar 0.8
Vol 22% | MDD -20.5%
Months 67M (18%)
CAGR 11.2% | Win 60%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.3
Vol 19% | MDD -34.5%
Months 236M (64%)
MRmean
neg
CAGR -28.3% | Win 41%
Sharpe -0.73 | Sortino -1.06 | Calmar -0.7
Vol 36% | MDD -41.7%
Months 17M (5%)
CAGR 3.8% | Win 54%
Sharpe 0.27 | Sortino 0.45 | Calmar 0.1
Vol 29% | MDD -64.6%
Months 114M (31%)
CAGR -1.1% | Win 52%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.0
Vol 30% | MDD -64.6%
Months 131M (36%)
MACDhist
only
CAGR 5.3% | Win 59%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 20% | MDD -50.5%
Months 186M (51%)
CAGR 8.0% | Win 55%
Sharpe 0.42 | Sortino 0.71 | Calmar 0.1
Vol 27% | MDD -63.7%
Months 181M (49%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 8.3% | Win 60%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 19% | MDD -46.3%
Months 174M (47%)
CAGR 19.8% | Win 60%
Sharpe 1.01 | Sortino 2.47 | Calmar 1.1
Vol 20% | MDD -18.8%
Months 62M (17%)
CAGR 11.2% | Win 60%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.3
Vol 19% | MDD -34.5%
Months 236M (64%)
MRmean
neg
CAGR -3.2% | Win 30%
Sharpe -0.04 | Sortino -0.08 | Calmar -0.3
Vol 23% | MDD -12.5%
Months 10M (3%)
CAGR -0.9% | Win 54%
Sharpe 0.12 | Sortino 0.20 | Calmar -0.0
Vol 30% | MDD -61.8%
Months 121M (33%)
CAGR -1.1% | Win 52%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.0
Vol 30% | MDD -64.6%
Months 131M (36%)
RSIhist
only
CAGR 7.6% | Win 58%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.1
Vol 19% | MDD -51.7%
Months 184M (50%)
CAGR 5.7% | Win 56%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.1
Vol 27% | MDD -65.3%
Months 183M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 11.6% | Win 60%
Sharpe 0.68 | Sortino 1.19 | Calmar 0.3
Vol 19% | MDD -42.1%
Months 202M (55%)
CAGR 8.5% | Win 56%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.5
Vol 21% | MDD -17.0%
Months 34M (9%)
CAGR 11.2% | Win 60%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.3
Vol 19% | MDD -34.5%
Months 236M (64%)
MRmean
neg
CAGR -11.3% | Win 46%
Sharpe -0.30 | Sortino -0.45 | Calmar -0.2
Vol 27% | MDD -66.3%
Months 69M (19%)
CAGR 11.7% | Win 58%
Sharpe 0.50 | Sortino 0.82 | Calmar 0.2
Vol 32% | MDD -60.2%
Months 62M (17%)
CAGR -1.1% | Win 52%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.0
Vol 30% | MDD -64.6%
Months 131M (36%)
LWTI
only
CAGR 5.3% | Win 57%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -63.5%
Months 271M (74%)
CAGR 10.6% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 96M (26%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.6% | Win 59%
Sharpe 0.62 | Sortino 1.03 | Calmar 0.3
Vol 20% | MDD -34.5%
Months 210M (57%)
CAGR 39.3% | Win 71%
Sharpe 2.08 | Sortino 142.43 | Calmar 20.8
Vol 17% | MDD -1.9%
Months 7M (2%)
CAGR 11.5% | Win 59%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 19% | MDD -34.0%
Months 217M (59%)
SLmean
neg
CAGR -1.3% | Win 55%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 29% | MDD -60.6%
Months 132M (36%)
CAGR 10.4% | Win 44%
Sharpe 0.52 | Sortino 1.23 | Calmar 1.0
Vol 24% | MDD -10.5%
Months 18M (5%)
CAGR 0.1% | Win 54%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 28% | MDD -60.6%
Months 150M (41%)
RSmean
only
CAGR 5.9% | Win 57%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 24% | MDD -66.7%
Months 342M (93%)
CAGR 17.8% | Win 52%
Sharpe 0.85 | Sortino 1.91 | Calmar 1.5
Vol 22% | MDD -12.3%
Months 25M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 7.4% | Win 60%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.3
Vol 16% | MDD -21.8%
Months 148M (40%)
CAGR 20.6% | Win 58%
Sharpe 0.89 | Sortino 1.58 | Calmar 0.6
Vol 24% | MDD -34.0%
Months 69M (19%)
CAGR 11.5% | Win 59%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 19% | MDD -34.0%
Months 217M (59%)
SLmean
neg
CAGR -7.4% | Win 51%
Sharpe -0.21 | Sortino -0.29 | Calmar -0.1
Vol 23% | MDD -65.9%
Months 77M (21%)
CAGR 8.6% | Win 57%
Sharpe 0.41 | Sortino 0.75 | Calmar 0.2
Vol 33% | MDD -48.2%
Months 73M (20%)
CAGR 0.1% | Win 54%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 28% | MDD -60.6%
Months 150M (41%)
MACD
only
CAGR 2.1% | Win 56%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -65.6%
Months 225M (61%)
CAGR 14.3% | Win 58%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 29% | MDD -48.5%
Months 142M (39%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 12.0% | Win 60%
Sharpe 0.71 | Sortino 1.21 | Calmar 0.4
Vol 18% | MDD -28.8%
Months 181M (49%)
CAGR 8.6% | Win 53%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 24% | MDD -34.0%
Months 36M (10%)
CAGR 11.5% | Win 59%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 19% | MDD -34.0%
Months 217M (59%)
SLmean
neg
CAGR -0.7% | Win 53%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 22% | MDD -50.4%
Months 55M (15%)
CAGR 0.5% | Win 55%
Sharpe 0.17 | Sortino 0.31 | Calmar 0.0
Vol 32% | MDD -58.0%
Months 95M (26%)
CAGR 0.1% | Win 54%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 28% | MDD -60.6%
Months 150M (41%)
RSI
only
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 236M (64%)
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.0
Vol 30% | MDD -61.4%
Months 131M (36%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 9.7% | Win 62%
Sharpe 0.62 | Sortino 0.93 | Calmar 0.3
Vol 18% | MDD -34.1%
Months 147M (40%)
CAGR 15.2% | Win 53%
Sharpe 0.73 | Sortino 1.43 | Calmar 0.8
Vol 23% | MDD -19.0%
Months 70M (19%)
CAGR 11.5% | Win 59%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 19% | MDD -34.0%
Months 217M (59%)
SLmean
neg
CAGR -9.7% | Win 49%
Sharpe -0.22 | Sortino -0.30 | Calmar -0.2
Vol 28% | MDD -50.8%
Months 39M (11%)
CAGR 3.7% | Win 56%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.1
Vol 29% | MDD -57.6%
Months 111M (30%)
CAGR 0.1% | Win 54%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 28% | MDD -60.6%
Months 150M (41%)
MACDhist
only
CAGR 5.3% | Win 59%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 20% | MDD -50.5%
Months 186M (51%)
CAGR 8.0% | Win 55%
Sharpe 0.42 | Sortino 0.71 | Calmar 0.1
Vol 27% | MDD -63.7%
Months 181M (49%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 8.1% | Win 59%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -47.1%
Months 177M (48%)
CAGR 27.3% | Win 60%
Sharpe 1.25 | Sortino 2.76 | Calmar 1.3
Vol 21% | MDD -21.2%
Months 40M (11%)
CAGR 11.5% | Win 59%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 19% | MDD -34.0%
Months 217M (59%)
SLmean
neg
CAGR -5.5% | Win 43%
Sharpe -0.18 | Sortino -0.31 | Calmar -0.8
Vol 21% | MDD -7.3%
Months 7M (2%)
CAGR 0.4% | Win 55%
Sharpe 0.16 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -59.3%
Months 143M (39%)
CAGR 0.1% | Win 54%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 28% | MDD -60.6%
Months 150M (41%)
RSIhist
only
CAGR 7.6% | Win 58%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.1
Vol 19% | MDD -51.7%
Months 184M (50%)
CAGR 5.7% | Win 56%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.1
Vol 27% | MDD -65.3%
Months 183M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.3% | Win 61%
Sharpe 0.68 | Sortino 1.12 | Calmar 0.3
Vol 18% | MDD -36.6%
Months 173M (47%)
CAGR 12.0% | Win 52%
Sharpe 0.60 | Sortino 1.03 | Calmar 0.8
Vol 23% | MDD -15.6%
Months 44M (12%)
CAGR 11.5% | Win 59%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 19% | MDD -34.0%
Months 217M (59%)
SLmean
neg
CAGR -4.6% | Win 50%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 26% | MDD -67.2%
Months 98M (27%)
CAGR 9.4% | Win 62%
Sharpe 0.44 | Sortino 0.73 | Calmar 0.2
Vol 33% | MDD -55.1%
Months 52M (14%)
CAGR 0.1% | Win 54%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 28% | MDD -60.6%
Months 150M (41%)
LWTI
only
CAGR 5.3% | Win 57%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -63.5%
Months 271M (74%)
CAGR 10.6% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 96M (26%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 1.2% | Win 57%
Sharpe 0.16 | Sortino 0.22 | Calmar 0.0
Vol 19% | MDD -63.0%
Months 215M (59%)
CAGR 14.2% | Win 57%
Sharpe 0.59 | Sortino 1.01 | Calmar 0.3
Vol 30% | MDD -49.6%
Months 127M (35%)
CAGR 5.9% | Win 57%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 24% | MDD -66.7%
Months 342M (93%)
RSmean
neg
CAGR 22.5% | Win 40%
Sharpe 0.92 | Sortino 2.94 | Calmar 2.5
Vol 25% | MDD -8.9%
Months 10M (3%)
CAGR 14.9% | Win 60%
Sharpe 0.77 | Sortino 1.42 | Calmar 1.8
Vol 21% | MDD -8.1%
Months 15M (4%)
CAGR 17.8% | Win 52%
Sharpe 0.85 | Sortino 1.91 | Calmar 1.5
Vol 22% | MDD -12.3%
Months 25M (7%)
MACD
only
CAGR 2.1% | Win 56%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -65.6%
Months 225M (61%)
CAGR 14.3% | Win 58%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 29% | MDD -48.5%
Months 142M (39%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 8.3% | Win 59%
Sharpe 0.51 | Sortino 0.77 | Calmar 0.2
Vol 19% | MDD -53.5%
Months 223M (61%)
CAGR 1.5% | Win 55%
Sharpe 0.20 | Sortino 0.34 | Calmar 0.0
Vol 30% | MDD -58.5%
Months 119M (32%)
CAGR 5.9% | Win 57%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 24% | MDD -66.7%
Months 342M (93%)
RSmean
neg
CAGR 20.4% | Win 54%
Sharpe 0.95 | Sortino 2.64 | Calmar 2.3
Vol 22% | MDD -8.9%
Months 13M (4%)
CAGR 15.1% | Win 50%
Sharpe 0.71 | Sortino 1.49 | Calmar 1.9
Vol 23% | MDD -8.1%
Months 12M (3%)
CAGR 17.8% | Win 52%
Sharpe 0.85 | Sortino 1.91 | Calmar 1.5
Vol 22% | MDD -12.3%
Months 25M (7%)
RSI
only
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 236M (64%)
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.0
Vol 30% | MDD -61.4%
Months 131M (36%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 5.6% | Win 59%
Sharpe 0.38 | Sortino 0.51 | Calmar 0.1
Vol 20% | MDD -51.5%
Months 181M (49%)
CAGR 6.1% | Win 55%
Sharpe 0.35 | Sortino 0.59 | Calmar 0.1
Vol 27% | MDD -64.7%
Months 161M (44%)
CAGR 5.9% | Win 57%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 24% | MDD -66.7%
Months 342M (93%)
RSmean
neg
CAGR -5.5% | Win 60%
Sharpe -0.31 | Sortino -0.45 | Calmar -0.6
Vol 15% | MDD -8.9%
Months 5M (1%)
CAGR 24.5% | Win 50%
Sharpe 1.05 | Sortino 2.39 | Calmar 2.0
Vol 24% | MDD -12.3%
Months 20M (5%)
CAGR 17.8% | Win 52%
Sharpe 0.85 | Sortino 1.91 | Calmar 1.5
Vol 22% | MDD -12.3%
Months 25M (7%)
MACDhist
only
CAGR 5.3% | Win 59%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 20% | MDD -50.5%
Months 186M (51%)
CAGR 8.0% | Win 55%
Sharpe 0.42 | Sortino 0.71 | Calmar 0.1
Vol 27% | MDD -63.7%
Months 181M (49%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 7.5% | Win 58%
Sharpe 0.47 | Sortino 0.76 | Calmar 0.1
Vol 19% | MDD -51.7%
Months 179M (49%)
CAGR 4.1% | Win 56%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 28% | MDD -65.3%
Months 163M (44%)
CAGR 5.9% | Win 57%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 24% | MDD -66.7%
Months 342M (93%)
RSmean
neg
CAGR 11.8% | Win 60%
Sharpe 1.30 | Sortino 3.25 | Calmar 5.1
Vol 9% | MDD -2.3%
Months 5M (1%)
CAGR 19.4% | Win 50%
Sharpe 0.84 | Sortino 2.21 | Calmar 1.6
Vol 24% | MDD -12.3%
Months 20M (5%)
CAGR 17.8% | Win 52%
Sharpe 0.85 | Sortino 1.91 | Calmar 1.5
Vol 22% | MDD -12.3%
Months 25M (7%)
RSIhist
only
CAGR 7.6% | Win 58%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.1
Vol 19% | MDD -51.7%
Months 184M (50%)
CAGR 5.7% | Win 56%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.1
Vol 27% | MDD -65.3%
Months 183M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 4.0% | Win 57%
Sharpe 0.29 | Sortino 0.43 | Calmar 0.1
Vol 21% | MDD -65.8%
Months 247M (67%)
CAGR 11.0% | Win 58%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 95M (26%)
CAGR 5.9% | Win 57%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 24% | MDD -66.7%
Months 342M (93%)
RSmean
neg
CAGR 19.8% | Win 54%
Sharpe 0.91 | Sortino 2.04 | Calmar 1.6
Vol 22% | MDD -12.3%
Months 24M (6%)
CAGR -20.4% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 17.8% | Win 52%
Sharpe 0.85 | Sortino 1.91 | Calmar 1.5
Vol 22% | MDD -12.3%
Months 25M (7%)
LWTI
only
CAGR 5.3% | Win 57%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -63.5%
Months 271M (74%)
CAGR 10.6% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 96M (26%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 5.9% | Win 58%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -50.8%
Months 199M (54%)
CAGR -22.5% | Win 46%
Sharpe -0.91 | Sortino -1.34 | Calmar -0.5
Vol 25% | MDD -44.3%
Months 26M (7%)
CAGR 2.1% | Win 56%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -65.6%
Months 225M (61%)
MACD
neg
CAGR 26.9% | Win 62%
Sharpe 1.07 | Sortino 2.08 | Calmar 0.8
Vol 25% | MDD -32.9%
Months 37M (10%)
CAGR 10.1% | Win 56%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 30% | MDD -45.6%
Months 105M (29%)
CAGR 14.3% | Win 58%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 29% | MDD -48.5%
Months 142M (39%)
RSI
only
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 236M (64%)
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.0
Vol 30% | MDD -61.4%
Months 131M (36%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 8.2% | Win 61%
Sharpe 0.55 | Sortino 0.74 | Calmar 0.2
Vol 17% | MDD -39.7%
Months 138M (38%)
CAGR -6.9% | Win 49%
Sharpe -0.21 | Sortino -0.33 | Calmar -0.1
Vol 22% | MDD -58.2%
Months 87M (24%)
CAGR 2.1% | Win 56%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -65.6%
Months 225M (61%)
MACD
neg
CAGR -2.5% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 28% | MDD -50.5%
Months 48M (13%)
CAGR 23.9% | Win 60%
Sharpe 0.88 | Sortino 1.48 | Calmar 0.5
Vol 30% | MDD -43.9%
Months 94M (26%)
CAGR 14.3% | Win 58%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 29% | MDD -48.5%
Months 142M (39%)
MACDhist
only
CAGR 5.3% | Win 59%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 20% | MDD -50.5%
Months 186M (51%)
CAGR 8.0% | Win 55%
Sharpe 0.42 | Sortino 0.71 | Calmar 0.1
Vol 27% | MDD -63.7%
Months 181M (49%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 6.3% | Win 60%
Sharpe 0.47 | Sortino 0.70 | Calmar 0.1
Vol 16% | MDD -42.5%
Months 122M (33%)
CAGR -2.7% | Win 52%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 22% | MDD -67.1%
Months 103M (28%)
CAGR 2.1% | Win 56%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -65.6%
Months 225M (61%)
MACD
neg
CAGR 10.1% | Win 55%
Sharpe 0.52 | Sortino 0.88 | Calmar 0.3
Vol 24% | MDD -35.4%
Months 62M (17%)
CAGR 17.6% | Win 60%
Sharpe 0.66 | Sortino 1.20 | Calmar 0.4
Vol 33% | MDD -46.4%
Months 80M (22%)
CAGR 14.3% | Win 58%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 29% | MDD -48.5%
Months 142M (39%)
RSIhist
only
CAGR 7.6% | Win 58%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.1
Vol 19% | MDD -51.7%
Months 184M (50%)
CAGR 5.7% | Win 56%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.1
Vol 27% | MDD -65.3%
Months 183M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 3.8% | Win 58%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 19% | MDD -58.8%
Months 203M (55%)
CAGR -12.0% | Win 46%
Sharpe -0.51 | Sortino -0.79 | Calmar -0.6
Vol 21% | MDD -20.0%
Months 22M (6%)
CAGR 2.1% | Win 56%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -65.6%
Months 225M (61%)
MACD
neg
CAGR 10.0% | Win 54%
Sharpe 0.48 | Sortino 0.94 | Calmar 0.2
Vol 27% | MDD -53.9%
Months 68M (18%)
CAGR 18.3% | Win 61%
Sharpe 0.70 | Sortino 1.08 | Calmar 0.4
Vol 31% | MDD -43.9%
Months 74M (20%)
CAGR 14.3% | Win 58%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 29% | MDD -48.5%
Months 142M (39%)
LWTI
only
CAGR 5.3% | Win 57%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -63.5%
Months 271M (74%)
CAGR 10.6% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 96M (26%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 8.1% | Win 61%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -37.4%
Months 159M (43%)
CAGR 10.7% | Win 53%
Sharpe 0.56 | Sortino 1.10 | Calmar 0.3
Vol 23% | MDD -39.3%
Months 77M (21%)
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 236M (64%)
RSI
neg
CAGR -9.4% | Win 48%
Sharpe -0.17 | Sortino -0.29 | Calmar -0.2
Vol 31% | MDD -41.6%
Months 27M (7%)
CAGR 6.1% | Win 56%
Sharpe 0.35 | Sortino 0.58 | Calmar 0.1
Vol 29% | MDD -58.3%
Months 104M (28%)
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.0
Vol 30% | MDD -61.4%
Months 131M (36%)
MACDhist
only
CAGR 5.3% | Win 59%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 20% | MDD -50.5%
Months 186M (51%)
CAGR 8.0% | Win 55%
Sharpe 0.42 | Sortino 0.71 | Calmar 0.1
Vol 27% | MDD -63.7%
Months 181M (49%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 9.8% | Win 60%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.2
Vol 18% | MDD -42.5%
Months 150M (41%)
CAGR 7.4% | Win 56%
Sharpe 0.44 | Sortino 0.66 | Calmar 0.1
Vol 22% | MDD -56.3%
Months 86M (23%)
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 236M (64%)
RSI
neg
CAGR -1.5% | Win 50%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.0
Vol 23% | MDD -34.0%
Months 34M (9%)
CAGR 4.2% | Win 56%
Sharpe 0.29 | Sortino 0.50 | Calmar 0.1
Vol 32% | MDD -55.1%
Months 97M (26%)
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.0
Vol 30% | MDD -61.4%
Months 131M (36%)
RSIhist
only
CAGR 7.6% | Win 58%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.1
Vol 19% | MDD -51.7%
Months 184M (50%)
CAGR 5.7% | Win 56%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.1
Vol 27% | MDD -65.3%
Months 183M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 9.7% | Win 59%
Sharpe 0.58 | Sortino 0.89 | Calmar 0.2
Vol 20% | MDD -41.1%
Months 217M (59%)
CAGR -0.3% | Win 47%
Sharpe 0.08 | Sortino 0.14 | Calmar -0.0
Vol 20% | MDD -22.8%
Months 19M (5%)
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 236M (64%)
RSI
neg
CAGR -10.9% | Win 46%
Sharpe -0.28 | Sortino -0.49 | Calmar -0.2
Vol 27% | MDD -56.3%
Months 54M (15%)
CAGR 13.5% | Win 60%
Sharpe 0.56 | Sortino 0.90 | Calmar 0.2
Vol 31% | MDD -56.5%
Months 77M (21%)
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.0
Vol 30% | MDD -61.4%
Months 131M (36%)
LWTI
only
CAGR 5.3% | Win 57%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -63.5%
Months 271M (74%)
CAGR 10.6% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 96M (26%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 10.1% | Win 61%
Sharpe 0.63 | Sortino 0.95 | Calmar 0.3
Vol 18% | MDD -34.0%
Months 140M (38%)
CAGR -7.9% | Win 52%
Sharpe -0.18 | Sortino -0.24 | Calmar -0.2
Vol 26% | MDD -46.9%
Months 46M (12%)
CAGR 5.3% | Win 59%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 20% | MDD -50.5%
Months 186M (51%)
MACDhist
neg
CAGR 0.1% | Win 48%
Sharpe 0.11 | Sortino 0.19 | Calmar 0.0
Vol 22% | MDD -41.5%
Months 44M (12%)
CAGR 10.7% | Win 57%
Sharpe 0.51 | Sortino 0.85 | Calmar 0.2
Vol 28% | MDD -63.7%
Months 137M (37%)
CAGR 8.0% | Win 55%
Sharpe 0.42 | Sortino 0.71 | Calmar 0.1
Vol 27% | MDD -63.7%
Months 181M (49%)
RSIhist
only
CAGR 7.6% | Win 58%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.1
Vol 19% | MDD -51.7%
Months 184M (50%)
CAGR 5.7% | Win 56%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.1
Vol 27% | MDD -65.3%
Months 183M (50%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 2.5% | Win 58%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.0
Vol 19% | MDD -62.8%
Months 171M (47%)
CAGR 44.3% | Win 73%
Sharpe 1.48 | Sortino 1.87 | Calmar 2.8
Vol 28% | MDD -15.6%
Months 15M (4%)
CAGR 5.3% | Win 59%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 20% | MDD -50.5%
Months 186M (51%)
MACDhist
neg
CAGR 10.3% | Win 55%
Sharpe 0.52 | Sortino 0.96 | Calmar 0.3
Vol 24% | MDD -34.1%
Months 100M (27%)
CAGR 5.3% | Win 54%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 29% | MDD -60.2%
Months 81M (22%)
CAGR 8.0% | Win 55%
Sharpe 0.42 | Sortino 0.71 | Calmar 0.1
Vol 27% | MDD -63.7%
Months 181M (49%)
LWTI
only
CAGR 5.3% | Win 57%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -63.5%
Months 271M (74%)
CAGR 10.6% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 96M (26%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 7.4% | Win 60%
Sharpe 0.49 | Sortino 0.75 | Calmar 0.2
Vol 18% | MDD -45.7%
Months 142M (39%)
CAGR 8.2% | Win 52%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.5
Vol 22% | MDD -16.4%
Months 42M (11%)
CAGR 7.6% | Win 58%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.1
Vol 19% | MDD -51.7%
Months 184M (50%)
RSIhist
neg
CAGR 3.0% | Win 54%
Sharpe 0.24 | Sortino 0.38 | Calmar 0.0
Vol 24% | MDD -63.8%
Months 129M (35%)
CAGR 12.5% | Win 61%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 34% | MDD -60.2%
Months 54M (15%)
CAGR 5.7% | Win 56%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.1
Vol 27% | MDD -65.3%
Months 183M (50%)
LWTI
only
CAGR 5.3% | Win 57%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -63.5%
Months 271M (74%)
CAGR 10.6% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 96M (26%)