EWI - iShares MSCI Italy ETF

Signal Pair Analysis

MACDhist-LWTI

Best Pair

44.3%

Best CAGR

103

Total Months

6.9%

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 4.2 44.3 73.3 1.5 1.9 2.8 27.6 -15.6
pair LWTI MACDhist pos-neg 15 4.2 44.3 73.3 1.5 1.9 2.8 27.6 -15.6
pair RSmean SLmean pos-neg 7 1.9 39.2 71.4 2.1 150.3 20.8 16.7 -1.9
pair SLmean RSmean pos-neg 7 1.9 39.2 71.4 2.1 150.3 20.8 16.7 -1.9
pair SLmean RSIhist pos-neg 38 10.5 27.1 57.9 1.2 2.8 1.3 21.8 -21.2
pair RSIhist SLmean pos-neg 38 10.5 27.1 57.9 1.2 2.8 1.3 21.8 -21.2
pair RSI MACD neg-pos 37 10.2 26.9 62.2 1.1 2.1 0.8 25.4 -32.9
pair MACD RSI neg-pos 37 10.2 26.9 62.2 1.1 2.1 0.8 25.4 -32.9
pair RSmean MACDhist neg-neg 20 5.5 24.5 50.0 1.1 2.4 2.0 23.6 -12.3
pair MACDhist RSmean neg-neg 20 5.5 24.5 50.0 1.1 2.4 2.0 23.6 -12.3
pair MACDhist MACD neg-neg 94 26.0 23.9 59.6 0.9 1.5 0.6 29.7 -43.9
pair MACD MACDhist neg-neg 94 26.0 23.9 59.6 0.9 1.5 0.6 29.7 -43.9
pair MRmean RSmean neg-neg 15 4.2 22.9 46.7 0.9 2.0 2.8 24.8 -8.1
pair RSmean MRmean neg-neg 15 4.2 22.9 46.7 0.9 2.0 2.8 24.8 -8.1
pair MACD RSmean neg-pos 10 2.8 22.4 40.0 0.9 2.9 2.5 25.1 -8.9
pair RSmean MACD neg-pos 10 2.8 22.4 40.0 0.9 2.9 2.5 25.1 -8.9
pair MRmean RSIhist pos-neg 59 16.3 21.1 59.3 1.1 2.5 1.1 20.2 -18.8
pair RSIhist MRmean pos-neg 59 16.3 21.1 59.3 1.1 2.5 1.1 20.2 -18.8
pair MACD SLmean pos-neg 69 19.1 20.6 58.0 0.9 1.6 0.6 24.5 -34.0
pair SLmean MACD pos-neg 69 19.1 20.6 58.0 0.9 1.6 0.6 24.5 -34.0
pair RSmean RSI neg-pos 13 3.6 20.3 53.8 0.9 2.6 2.3 21.8 -8.9
pair RSI RSmean neg-pos 13 3.6 20.3 53.8 0.9 2.6 2.3 21.8 -8.9
pair RSmean LWTI neg-pos 24 6.6 19.8 54.2 0.9 2.0 1.6 22.5 -12.3
pair LWTI RSmean neg-pos 24 6.6 19.8 54.2 0.9 2.0 1.6 22.5 -12.3
pair RSmean RSIhist neg-neg 20 5.5 19.4 50.0 0.8 2.2 1.6 24.5 -12.3
pair RSIhist RSmean neg-neg 20 5.5 19.4 50.0 0.8 2.2 1.6 24.5 -12.3
pair MACD LWTI neg-neg 74 20.5 18.3 60.8 0.7 1.1 0.4 30.8 -43.9
pair LWTI MACD neg-neg 74 20.5 18.3 60.8 0.7 1.1 0.4 30.8 -43.9
single RSmean RSmean neg-neg 25 6.9 17.8 52.0 0.8 1.9 1.4 22.1 -12.3
pair MACD RSIhist neg-neg 80 22.2 17.6 60.0 0.7 1.2 0.4 32.8 -46.4
pair RSIhist MACD neg-neg 80 22.2 17.6 60.0 0.7 1.2 0.4 32.8 -46.4
pair MACDhist MRmean pos-neg 67 18.6 15.6 56.7 0.8 1.6 0.8 22.2 -20.5
pair MRmean MACDhist pos-neg 67 18.6 15.6 56.7 0.8 1.6 0.8 22.2 -20.5
pair MACD MRmean neg-neg 76 21.1 15.3 57.9 0.6 1.0 0.3 32.9 -43.9
pair MRmean MACD neg-neg 76 21.1 15.3 57.9 0.6 1.0 0.3 32.9 -43.9
pair RSI RSmean neg-neg 12 3.3 15.2 50.0 0.7 1.5 1.9 23.4 -8.1
pair MACDhist SLmean pos-neg 70 19.4 15.2 52.9 0.7 1.4 0.8 23.0 -19.0
pair RSmean RSI neg-neg 12 3.3 15.2 50.0 0.7 1.5 1.9 23.4 -8.1
pair SLmean MACDhist pos-neg 70 19.4 15.2 52.9 0.7 1.4 0.8 23.0 -19.0
pair MACD RSmean neg-neg 15 4.2 14.9 60.0 0.8 1.4 1.8 20.8 -8.1
pair RSmean MACD neg-neg 15 4.2 14.9 60.0 0.8 1.4 1.8 20.8 -8.1
single MACD MACD neg-neg 142 39.3 14.3 57.7 0.6 1.0 0.3 29.1 -48.5
pair RSmean MACD pos-neg 127 35.2 14.2 57.5 0.6 1.0 0.3 30.0 -49.6
pair MACD RSmean pos-neg 127 35.2 14.2 57.5 0.6 1.0 0.3 30.0 -49.6
pair MRmean RSI pos-pos 201 55.7 13.7 60.7 0.8 1.4 0.4 18.7 -32.9
pair RSI MRmean pos-pos 201 55.7 13.7 60.7 0.8 1.4 0.4 18.7 -32.9
pair LWTI RSI neg-neg 77 21.3 13.5 59.7 0.6 0.9 0.2 30.8 -56.5
pair RSI LWTI neg-neg 77 21.3 13.5 59.7 0.6 0.9 0.2 30.8 -56.5
pair MRmean MACD pos-neg 66 18.3 13.1 57.6 0.6 1.1 0.4 24.2 -34.5
pair MACD MRmean pos-neg 66 18.3 13.1 57.6 0.6 1.1 0.4 24.2 -34.5
pair RSIhist LWTI neg-neg 54 15.0 12.5 61.1 0.5 0.9 0.2 33.7 -60.2
pair LWTI RSIhist neg-neg 54 15.0 12.5 61.1 0.5 0.9 0.2 33.7 -60.2
pair RSI SLmean pos-pos 176 48.8 12.1 59.7 0.7 1.2 0.4 18.7 -28.8
pair SLmean RSI pos-pos 176 48.8 12.1 59.7 0.7 1.2 0.4 18.7 -28.8
pair LWTI MRmean pos-pos 196 54.3 12.1 60.2 0.7 1.2 0.3 18.8 -42.1
pair MRmean LWTI pos-pos 196 54.3 12.1 60.2 0.7 1.2 0.3 18.8 -42.1
pair SLmean LWTI pos-neg 44 12.2 12.0 52.3 0.6 1.0 0.8 23.1 -15.6
pair LWTI SLmean pos-neg 44 12.2 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 SLmean MRmean pos-neg 32 8.9 11.8 59.4 0.7 1.4 0.5 19.9 -22.2
pair MRmean SLmean pos-neg 32 8.9 11.8 59.4 0.7 1.4 0.5 19.9 -22.2
pair LWTI MRmean neg-neg 62 17.2 11.7 58.1 0.5 0.8 0.2 32.5 -60.2
pair MRmean LWTI neg-neg 62 17.2 11.7 58.1 0.5 0.8 0.2 32.5 -60.2
pair RSmean MRmean pos-pos 220 60.9 11.6 59.5 0.7 1.1 0.3 19.2 -35.8
single MRmean MRmean pos-pos 230 63.7 11.6 59.6 0.7 1.1 0.3 19.2 -34.5
pair MRmean RSmean pos-pos 220 60.9 11.6 59.5 0.7 1.1 0.3 19.2 -35.8
pair SLmean MRmean pos-pos 198 54.8 11.5 59.6 0.7 1.1 0.3 19.1 -34.0
single SLmean SLmean pos-pos 212 58.7 11.5 58.5 0.7 1.1 0.3 19.5 -34.0
pair MRmean SLmean pos-pos 198 54.8 11.5 59.6 0.7 1.1 0.3 19.1 -34.0
pair LWTI SLmean pos-pos 168 46.5 11.4 60.1 0.7 1.1 0.3 18.6 -36.6
pair SLmean LWTI pos-pos 168 46.5 11.4 60.1 0.7 1.1 0.3 18.6 -36.6
pair MRmean SLmean neg-pos 14 3.9 11.1 42.9 0.5 1.0 0.7 25.7 -15.8
pair SLmean MRmean neg-pos 14 3.9 11.1 42.9 0.5 1.0 0.7 25.7 -15.8
pair RSmean LWTI pos-neg 95 26.3 11.0 57.9 0.5 0.8 0.2 29.1 -60.2
pair LWTI RSmean pos-neg 95 26.3 11.0 57.9 0.5 0.8 0.2 29.1 -60.2
pair MRmean MACD pos-pos 164 45.4 10.9 60.4 0.7 1.2 0.5 16.8 -20.7
pair MACD MRmean pos-pos 164 45.4 10.9 60.4 0.7 1.2 0.5 16.8 -20.7
pair MACDhist RSIhist neg-neg 137 38.0 10.7 56.9 0.5 0.8 0.2 27.9 -63.7
pair RSIhist MACDhist neg-neg 137 38.0 10.7 56.9 0.5 0.8 0.2 27.9 -63.7
pair MACDhist RSI pos-neg 77 21.3 10.7 53.2 0.6 1.1 0.3 22.7 -39.3
pair RSI MACDhist pos-neg 77 21.3 10.7 53.2 0.6 1.1 0.3 22.7 -39.3
pair RSmean SLmean pos-pos 205 56.8 10.7 58.0 0.6 1.0 0.3 19.6 -34.5
pair SLmean RSmean pos-pos 205 56.8 10.7 58.0 0.6 1.0 0.3 19.6 -34.5
pair MRmean RSmean pos-neg 10 2.8 10.6 60.0 0.6 1.4 1.6 18.5 -6.7
single LWTI LWTI neg-neg 96 26.6 10.6 57.3 0.5 0.8 0.2 29.0 -60.2
pair RSmean MRmean pos-neg 10 2.8 10.6 60.0 0.6 1.4 1.6 18.5 -6.7
pair RSmean SLmean neg-neg 18 5.0 10.4 44.4 0.5 1.2 1.0 24.1 -10.5
pair MACDhist RSIhist pos-pos 137 38.0 10.4 61.3 0.6 1.0 0.3 17.9 -34.0
pair SLmean RSmean neg-neg 18 5.0 10.4 44.4 0.5 1.2 1.0 24.1 -10.5
pair RSIhist MACDhist pos-pos 137 38.0 10.4 61.3 0.6 1.0 0.3 17.9 -34.0
pair LWTI MACDhist neg-pos 100 27.7 10.3 55.0 0.5 1.0 0.3 24.5 -34.1
pair MACDhist LWTI neg-pos 100 27.7 10.3 55.0 0.5 1.0 0.3 24.5 -34.1
pair RSIhist MACD neg-pos 62 17.2 10.1 54.8 0.5 0.9 0.3 23.7 -35.4
pair RSI LWTI pos-pos 211 58.4 10.1 59.2 0.6 0.9 0.2 19.6 -41.1
pair MACD RSI neg-neg 105 29.1 10.1 56.2 0.5 0.8 0.2 30.3 -45.6
pair MACD RSIhist neg-pos 62 17.2 10.1 54.8 0.5 0.9 0.3 23.7 -35.4
pair LWTI RSI pos-pos 211 58.4 10.1 59.2 0.6 0.9 0.2 19.6 -41.1
pair RSI MACD neg-neg 105 29.1 10.1 56.2 0.5 0.8 0.2 30.3 -45.6
pair RSIhist RSI pos-pos 147 40.7 10.0 59.9 0.6 1.0 0.2 18.0 -42.5
pair MACDhist MRmean pos-pos 163 45.2 10.0 60.7 0.6 1.0 0.3 17.9 -38.4
pair MRmean MACDhist pos-pos 163 45.2 10.0 60.7 0.6 1.0 0.3 17.9 -38.4
pair RSI RSIhist pos-pos 147 40.7 10.0 59.9 0.6 1.0 0.2 18.0 -42.5
pair MACD LWTI neg-pos 68 18.8 10.0 54.4 0.5 0.9 0.2 27.3 -53.9
pair LWTI MACD neg-pos 68 18.8 10.0 54.4 0.5 0.9 0.2 27.3 -53.9
pair SLmean MACDhist pos-pos 142 39.3 9.7 61.3 0.6 0.9 0.3 17.6 -34.1
pair MACDhist SLmean pos-pos 142 39.3 9.7 61.3 0.6 0.9 0.3 17.6 -34.1
pair LWTI SLmean neg-neg 52 14.4 9.4 61.5 0.4 0.7 0.2 33.4 -55.1
pair SLmean LWTI neg-neg 52 14.4 9.4 61.5 0.4 0.7 0.2 33.4 -55.1
single RSI RSI pos-pos 230 63.7 9.2 58.3 0.6 0.8 0.2 19.6 -52.4
pair RSI SLmean pos-neg 36 10.0 8.7 52.8 0.5 0.7 0.3 23.5 -34.0
pair SLmean RSI pos-neg 36 10.0 8.7 52.8 0.5 0.7 0.3 23.5 -34.0
pair MACDhist MACD pos-pos 132 36.6 8.7 60.6 0.6 0.8 0.2 17.1 -39.7
pair MACD MACDhist pos-pos 132 36.6 8.7 60.6 0.6 0.8 0.2 17.1 -39.7
pair LWTI MRmean pos-neg 34 9.4 8.6 55.9 0.5 0.8 0.5 21.4 -17.0
pair MRmean LWTI pos-neg 34 9.4 8.6 55.9 0.5 0.8 0.5 21.4 -17.0
pair SLmean MACD neg-neg 73 20.2 8.6 57.5 0.4 0.8 0.2 33.0 -48.2
pair MACD SLmean neg-neg 73 20.2 8.6 57.5 0.4 0.8 0.2 33.0 -48.2
pair RSI RSmean pos-pos 217 60.1 8.6 58.5 0.5 0.8 0.2 19.5 -53.5
pair RSmean RSI pos-pos 217 60.1 8.6 58.5 0.5 0.8 0.2 19.5 -53.5
pair RSIhist MRmean pos-pos 171 47.4 8.5 59.6 0.5 0.8 0.2 18.8 -46.3
pair MRmean RSIhist pos-pos 171 47.4 8.5 59.6 0.5 0.8 0.2 18.8 -46.3
pair RSI MACDhist pos-pos 153 42.4 8.5 60.8 0.6 0.7 0.2 18.0 -37.4
pair MACDhist RSI pos-pos 153 42.4 8.5 60.8 0.6 0.7 0.2 18.0 -37.4
pair SLmean RSIhist pos-pos 174 48.2 8.4 58.6 0.5 0.8 0.2 19.0 -47.1
pair RSIhist SLmean pos-pos 174 48.2 8.4 58.6 0.5 0.8 0.2 19.0 -47.1
pair RSIhist LWTI pos-neg 42 11.6 8.2 52.4 0.5 0.8 0.5 21.8 -16.4
pair LWTI RSIhist pos-neg 42 11.6 8.2 52.4 0.5 0.8 0.5 21.8 -16.4
single MACDhist MACDhist neg-neg 181 50.1 8.0 54.7 0.4 0.7 0.1 26.6 -63.7
pair RSI RSIhist pos-neg 83 23.0 7.8 55.4 0.5 0.7 0.1 22.4 -56.3
single RSIhist RSIhist pos-pos 181 50.1 7.8 58.0 0.5 0.8 0.1 19.0 -51.7
pair RSIhist RSI pos-neg 83 23.0 7.8 55.4 0.5 0.7 0.1 22.4 -56.3
pair LWTI RSIhist pos-pos 139 38.5 7.7 59.7 0.5 0.8 0.2 18.1 -45.7
pair RSIhist LWTI pos-pos 139 38.5 7.7 59.7 0.5 0.8 0.2 18.1 -45.7
pair RSmean RSIhist pos-pos 176 48.8 7.7 58.0 0.5 0.8 0.1 19.2 -51.7
pair RSIhist RSmean pos-pos 176 48.8 7.7 58.0 0.5 0.8 0.1 19.2 -51.7
pair MACD SLmean pos-pos 143 39.6 7.4 58.7 0.5 0.8 0.3 16.6 -21.8
pair SLmean MACD pos-pos 143 39.6 7.4 58.7 0.5 0.8 0.3 16.6 -21.8
pair benchmark___benchmark_ benchmark-benchmark 361 100.0 6.8 56.8 0.4 0.6 0.1 23.7 -66.0
pair benchmark___benchmark_ benchmark-benchmark 361 100.0 6.8 56.8 0.4 0.6 0.1 23.7 -66.0
pair RSIhist MACD pos-pos 119 33.0 6.6 59.7 0.5 0.7 0.2 16.1 -42.5
pair MACD RSIhist pos-pos 119 33.0 6.6 59.7 0.5 0.7 0.2 16.1 -42.5
pair MACD RSI pos-pos 193 53.5 6.1 57.5 0.4 0.6 0.1 18.3 -50.8
pair RSI MACD pos-pos 193 53.5 6.1 57.5 0.4 0.6 0.1 18.3 -50.8
pair RSI MACDhist neg-neg 104 28.8 6.1 55.8 0.3 0.6 0.1 29.3 -58.3
pair MACDhist RSI neg-neg 104 28.8 6.1 55.8 0.3 0.6 0.1 29.3 -58.3
pair RSmean MACDhist pos-neg 161 44.6 6.1 55.3 0.3 0.6 0.1 27.0 -64.7
pair MACDhist RSmean pos-neg 161 44.6 6.1 55.3 0.3 0.6 0.1 27.0 -64.7
single RSmean RSmean pos-pos 336 93.1 6.0 57.1 0.4 0.6 0.1 23.8 -66.7
pair RSmean MACDhist pos-pos 175 48.5 5.9 58.9 0.4 0.5 0.1 20.5 -51.5
pair MACDhist RSmean pos-pos 175 48.5 5.9 58.9 0.4 0.5 0.1 20.5 -51.5
single RSIhist RSIhist neg-neg 180 49.9 5.8 55.6 0.3 0.6 0.1 27.6 -65.3
single MACDhist MACDhist pos-pos 180 49.9 5.6 58.9 0.4 0.5 0.1 20.4 -50.5
single LWTI LWTI pos-pos 265 73.4 5.5 56.6 0.4 0.5 0.1 21.5 -63.5
pair MACDhist LWTI neg-neg 81 22.4 5.3 54.3 0.3 0.5 0.1 29.1 -60.2
pair LWTI MACDhist neg-neg 81 22.4 5.3 54.3 0.3 0.5 0.1 29.1 -60.2
pair RSmean RSIhist pos-neg 160 44.3 4.3 56.2 0.3 0.5 0.1 28.0 -65.3
pair RSIhist RSmean pos-neg 160 44.3 4.3 56.2 0.3 0.5 0.1 28.0 -65.3
pair RSI MRmean neg-neg 102 28.3 4.2 54.9 0.3 0.5 0.1 31.3 -58.6
pair MRmean RSI neg-neg 102 28.3 4.2 54.9 0.3 0.5 0.1 31.3 -58.6
pair RSmean LWTI pos-pos 241 66.8 4.2 56.8 0.3 0.4 0.1 21.4 -65.8
pair LWTI RSmean pos-pos 241 66.8 4.2 56.8 0.3 0.4 0.1 21.4 -65.8
pair RSIhist RSI neg-neg 97 26.9 4.2 55.7 0.3 0.5 0.1 31.6 -55.1
pair RSI RSIhist neg-neg 97 26.9 4.2 55.7 0.3 0.5 0.1 31.6 -55.1
pair MACD LWTI pos-pos 197 54.6 4.0 57.4 0.3 0.4 0.1 19.1 -58.8
pair LWTI MACD pos-pos 197 54.6 4.0 57.4 0.3 0.4 0.1 19.1 -58.8
pair MRmean MACDhist neg-neg 114 31.6 3.8 53.5 0.3 0.5 0.1 28.9 -64.6
pair MACDhist MRmean neg-neg 114 31.6 3.8 53.5 0.3 0.5 0.1 28.9 -64.6
pair SLmean MACDhist neg-neg 111 30.7 3.7 55.9 0.3 0.5 0.1 28.7 -57.6
pair MACDhist SLmean neg-neg 111 30.7 3.7 55.9 0.3 0.5 0.1 28.7 -57.6
pair RSIhist LWTI neg-pos 126 34.9 3.1 53.2 0.2 0.4 0.1 24.7 -63.8
pair LWTI RSIhist neg-pos 126 34.9 3.1 53.2 0.2 0.4 0.1 24.7 -63.8
pair MACDhist LWTI pos-pos 165 45.7 2.7 57.6 0.2 0.3 0.0 19.5 -62.8
pair LWTI MACDhist pos-pos 165 45.7 2.7 57.6 0.2 0.3 0.0 19.5 -62.8
single RSI RSI neg-neg 131 36.3 2.7 54.2 0.2 0.4 0.0 29.5 -61.4
single MACD MACD pos-pos 219 60.7 2.2 56.2 0.2 0.3 0.0 19.3 -65.6
pair RSI RSmean pos-neg 119 33.0 1.5 54.6 0.2 0.3 0.0 30.1 -58.5
pair RSmean RSI pos-neg 119 33.0 1.5 54.6 0.2 0.3 0.0 30.1 -58.5
pair MACD RSmean pos-pos 209 57.9 1.4 56.9 0.2 0.2 0.0 19.0 -63.0
pair RSmean MACD pos-pos 209 57.9 1.4 56.9 0.2 0.2 0.0 19.0 -63.0
pair RSIhist SLmean neg-neg 142 39.3 0.8 54.9 0.2 0.3 0.0 28.9 -59.3
pair SLmean RSIhist neg-neg 142 39.3 0.8 54.9 0.2 0.3 0.0 28.9 -59.3
single SLmean SLmean neg-neg 149 41.3 0.5 54.4 0.2 0.2 0.0 28.6 -60.6
pair SLmean RSI neg-neg 95 26.3 0.5 54.7 0.2 0.3 0.0 31.6 -58.0
pair RSI SLmean neg-neg 95 26.3 0.5 54.7 0.2 0.3 0.0 31.6 -58.0
pair SLmean RSI neg-pos 54 15.0 0.3 53.7 0.1 0.2 0.0 22.5 -50.4
pair RSI SLmean neg-pos 54 15.0 0.3 53.7 0.1 0.2 0.0 22.5 -50.4
pair RSIhist MACDhist neg-pos 44 12.2 0.1 47.7 0.1 0.2 0.0 22.1 -41.5
pair MACDhist RSIhist neg-pos 44 12.2 0.1 47.7 0.1 0.2 0.0 22.1 -41.5
pair RSI LWTI pos-neg 19 5.3 -0.3 47.4 0.1 0.1 -0.0 20.2 -22.8
pair LWTI RSI pos-neg 19 5.3 -0.3 47.4 0.1 0.1 -0.0 20.2 -22.8
pair RSmean SLmean neg-pos 131 36.3 -0.8 55.7 0.1 0.2 -0.0 29.2 -60.6
pair SLmean RSmean neg-pos 131 36.3 -0.8 55.7 0.1 0.2 -0.0 29.2 -60.6
pair MRmean RSIhist neg-neg 121 33.5 -0.9 53.7 0.1 0.2 -0.0 30.5 -61.8
pair RSIhist MRmean neg-neg 121 33.5 -0.9 53.7 0.1 0.2 -0.0 30.5 -61.8
single MRmean MRmean neg-neg 131 36.3 -1.1 51.9 0.1 0.2 -0.0 30.0 -64.6
pair RSIhist RSI neg-pos 34 9.4 -1.5 50.0 0.1 0.1 -0.0 23.0 -34.0
pair RSI RSIhist neg-pos 34 9.4 -1.5 50.0 0.1 0.1 -0.0 23.0 -34.0
pair MRmean RSI pos-neg 29 8.0 -2.3 51.7 0.0 0.0 -0.1 22.2 -31.9
pair RSI MRmean pos-neg 29 8.0 -2.3 51.7 0.0 0.0 -0.1 22.2 -31.9
pair MRmean SLmean neg-neg 117 32.4 -2.4 53.0 0.1 0.1 -0.0 30.5 -59.9
pair SLmean MRmean neg-neg 117 32.4 -2.4 53.0 0.1 0.1 -0.0 30.5 -59.9
pair MACDhist MACD neg-pos 48 13.3 -2.5 54.2 0.1 0.1 -0.1 27.6 -50.5
pair MACD MACDhist neg-pos 48 13.3 -2.5 54.2 0.1 0.1 -0.1 27.6 -50.5
pair RSIhist MACD pos-neg 100 27.7 -2.7 52.0 -0.0 -0.0 -0.0 22.5 -67.1
pair MACD RSIhist pos-neg 100 27.7 -2.7 52.0 -0.0 -0.0 -0.0 22.5 -67.1
pair RSIhist MRmean neg-pos 10 2.8 -3.2 30.0 -0.0 -0.1 -0.3 23.4 -12.5
pair MRmean RSIhist neg-pos 10 2.8 -3.2 30.0 -0.0 -0.1 -0.3 23.4 -12.5
pair MRmean RSmean neg-pos 116 32.1 -3.8 52.6 0.0 0.0 -0.1 30.6 -65.1
pair RSmean MRmean neg-pos 116 32.1 -3.8 52.6 0.0 0.0 -0.1 30.6 -65.1
pair LWTI SLmean neg-pos 97 26.9 -4.0 50.5 -0.0 -0.1 -0.1 25.7 -67.2
pair SLmean LWTI neg-pos 97 26.9 -4.0 50.5 -0.0 -0.1 -0.1 25.7 -67.2
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 RSmean MACDhist neg-pos 5 1.4 -5.6 60.0 -0.3 -0.5 -0.6 15.2 -8.9
pair MACDhist RSmean neg-pos 5 1.4 -5.6 60.0 -0.3 -0.5 -0.6 15.2 -8.9
pair SLmean MACD neg-pos 76 21.1 -6.8 51.3 -0.2 -0.2 -0.1 23.5 -65.9
pair MACD SLmean neg-pos 76 21.1 -6.8 51.3 -0.2 -0.2 -0.1 23.5 -65.9
pair MACDhist MACD pos-neg 87 24.1 -6.9 49.4 -0.2 -0.3 -0.1 22.1 -58.2
pair MACD MACDhist pos-neg 87 24.1 -6.9 49.4 -0.2 -0.3 -0.1 22.1 -58.2
pair MACDhist RSIhist pos-neg 43 11.9 -8.3 51.2 -0.2 -0.2 -0.2 26.6 -46.9
pair RSIhist MACDhist pos-neg 43 11.9 -8.3 51.2 -0.2 -0.2 -0.2 26.6 -46.9
pair SLmean MACDhist neg-pos 38 10.5 -8.5 50.0 -0.2 -0.2 -0.2 28.4 -50.8
pair MACDhist SLmean neg-pos 38 10.5 -8.5 50.0 -0.2 -0.2 -0.2 28.4 -50.8
pair RSI MACDhist neg-pos 27 7.5 -9.4 48.1 -0.2 -0.3 -0.2 30.8 -41.6
pair MACDhist RSI neg-pos 27 7.5 -9.4 48.1 -0.2 -0.3 -0.2 30.8 -41.6
pair LWTI RSI neg-pos 54 15.0 -10.9 46.3 -0.3 -0.5 -0.2 27.3 -56.3
pair RSI LWTI neg-pos 54 15.0 -10.9 46.3 -0.3 -0.5 -0.2 27.3 -56.3
pair LWTI MRmean neg-pos 69 19.1 -11.3 46.4 -0.3 -0.5 -0.2 27.3 -66.3
pair MRmean LWTI neg-pos 69 19.1 -11.3 46.4 -0.3 -0.5 -0.2 27.3 -66.3
pair MACD LWTI pos-neg 22 6.1 -12.0 45.5 -0.5 -0.8 -0.6 20.8 -20.0
pair LWTI MACD pos-neg 22 6.1 -12.0 45.5 -0.5 -0.8 -0.6 20.8 -20.0
pair MRmean RSI neg-pos 29 8.0 -17.4 41.4 -0.7 -0.8 -0.3 24.3 -49.4
pair RSI MRmean neg-pos 29 8.0 -17.4 41.4 -0.7 -0.8 -0.3 24.3 -49.4
pair MACD MRmean neg-pos 55 15.2 -19.9 43.6 -0.8 -1.0 -0.3 24.2 -70.9
pair MRmean MACD neg-pos 55 15.2 -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 7.2 -22.5 46.2 -0.9 -1.3 -0.5 24.6 -44.3
pair RSI MACD pos-neg 26 7.2 -22.5 46.2 -0.9 -1.3 -0.5 24.6 -44.3
pair MRmean MACDhist neg-pos 17 4.7 -28.3 41.2 -0.7 -1.1 -0.7 36.1 -41.7
pair MACDhist MRmean neg-pos 17 4.7 -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 198M (55%)
CAGR 11.8% | Win 59%
Sharpe 0.66 | Sortino 1.43 | Calmar 0.5
Vol 20% | MDD -22.2%
Months 32M (9%)
CAGR 11.6% | Win 60%
Sharpe 0.67 | Sortino 1.14 | Calmar 0.3
Vol 19% | MDD -34.5%
Months 230M (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 58%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -34.0%
Months 212M (59%)
CAGR 0.5% | Win 54%
Sharpe 0.16 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -60.6%
Months 149M (41%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 11.6% | Win 60%
Sharpe 0.67 | Sortino 1.13 | Calmar 0.3
Vol 19% | MDD -35.8%
Months 220M (61%)
CAGR 10.6% | Win 60%
Sharpe 0.63 | Sortino 1.45 | Calmar 1.6
Vol 18% | MDD -6.7%
Months 10M (3%)
CAGR 11.6% | Win 60%
Sharpe 0.67 | Sortino 1.14 | Calmar 0.3
Vol 19% | MDD -34.5%
Months 230M (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 6.0% | Win 57%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 24% | MDD -66.7%
Months 336M (93%)
CAGR 17.8% | Win 52%
Sharpe 0.85 | Sortino 1.91 | Calmar 1.4
Vol 22% | MDD -12.3%
Months 25M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 10.9% | Win 60%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.5
Vol 17% | MDD -20.7%
Months 164M (45%)
CAGR 13.1% | Win 58%
Sharpe 0.63 | Sortino 1.11 | Calmar 0.4
Vol 24% | MDD -34.5%
Months 66M (18%)
CAGR 11.6% | Win 60%
Sharpe 0.67 | Sortino 1.14 | Calmar 0.3
Vol 19% | MDD -34.5%
Months 230M (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 2.2% | Win 56%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 19% | MDD -65.6%
Months 219M (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 13.7% | Win 61%
Sharpe 0.78 | Sortino 1.40 | Calmar 0.4
Vol 19% | MDD -32.9%
Months 201M (56%)
CAGR -2.3% | Win 52%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 22% | MDD -31.9%
Months 29M (8%)
CAGR 11.6% | Win 60%
Sharpe 0.67 | Sortino 1.14 | Calmar 0.3
Vol 19% | MDD -34.5%
Months 230M (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 9.2% | Win 58%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 230M (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 10.0% | Win 61%
Sharpe 0.62 | Sortino 0.96 | Calmar 0.3
Vol 18% | MDD -38.4%
Months 163M (45%)
CAGR 15.6% | Win 57%
Sharpe 0.76 | Sortino 1.57 | Calmar 0.8
Vol 22% | MDD -20.5%
Months 67M (19%)
CAGR 11.6% | Win 60%
Sharpe 0.67 | Sortino 1.14 | Calmar 0.3
Vol 19% | MDD -34.5%
Months 230M (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 (32%)
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 5.6% | Win 59%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 20% | MDD -50.5%
Months 180M (50%)
CAGR 8.0% | Win 55%
Sharpe 0.42 | Sortino 0.71 | Calmar 0.1
Vol 27% | MDD -63.7%
Months 181M (50%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 8.5% | Win 60%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.2
Vol 19% | MDD -46.3%
Months 171M (47%)
CAGR 21.1% | Win 59%
Sharpe 1.05 | Sortino 2.55 | Calmar 1.1
Vol 20% | MDD -18.8%
Months 59M (16%)
CAGR 11.6% | Win 60%
Sharpe 0.67 | Sortino 1.14 | Calmar 0.3
Vol 19% | MDD -34.5%
Months 230M (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 (34%)
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 7.8% | Win 58%
Sharpe 0.49 | Sortino 0.77 | Calmar 0.2
Vol 19% | MDD -51.7%
Months 181M (50%)
CAGR 5.8% | Win 56%
Sharpe 0.34 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -65.3%
Months 180M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 12.1% | Win 60%
Sharpe 0.70 | Sortino 1.22 | Calmar 0.3
Vol 19% | MDD -42.1%
Months 196M (54%)
CAGR 8.6% | Win 56%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.5
Vol 21% | MDD -17.0%
Months 34M (9%)
CAGR 11.6% | Win 60%
Sharpe 0.67 | Sortino 1.14 | Calmar 0.3
Vol 19% | MDD -34.5%
Months 230M (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 5.5% | Win 57%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -63.5%
Months 265M (73%)
CAGR 10.6% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 96M (27%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.7% | Win 58%
Sharpe 0.62 | Sortino 1.03 | Calmar 0.3
Vol 20% | MDD -34.5%
Months 205M (57%)
CAGR 39.2% | Win 71%
Sharpe 2.08 | Sortino 150.30 | Calmar 20.8
Vol 17% | MDD -1.9%
Months 7M (2%)
CAGR 11.5% | Win 58%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -34.0%
Months 212M (59%)
SLmean
neg
CAGR -0.8% | Win 56%
Sharpe 0.12 | Sortino 0.19 | Calmar -0.0
Vol 29% | MDD -60.6%
Months 131M (36%)
CAGR 10.4% | Win 44%
Sharpe 0.52 | Sortino 1.23 | Calmar 1.0
Vol 24% | MDD -10.5%
Months 18M (5%)
CAGR 0.5% | Win 54%
Sharpe 0.16 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -60.6%
Months 149M (41%)
RSmean
only
CAGR 6.0% | Win 57%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 24% | MDD -66.7%
Months 336M (93%)
CAGR 17.8% | Win 52%
Sharpe 0.85 | Sortino 1.91 | Calmar 1.4
Vol 22% | MDD -12.3%
Months 25M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 7.4% | Win 59%
Sharpe 0.51 | Sortino 0.81 | Calmar 0.3
Vol 17% | MDD -21.8%
Months 143M (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 58%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -34.0%
Months 212M (59%)
SLmean
neg
CAGR -6.8% | Win 51%
Sharpe -0.18 | Sortino -0.24 | Calmar -0.1
Vol 24% | MDD -65.9%
Months 76M (21%)
CAGR 8.6% | Win 57%
Sharpe 0.41 | Sortino 0.75 | Calmar 0.2
Vol 33% | MDD -48.2%
Months 73M (20%)
CAGR 0.5% | Win 54%
Sharpe 0.16 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -60.6%
Months 149M (41%)
MACD
only
CAGR 2.2% | Win 56%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 19% | MDD -65.6%
Months 219M (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 12.1% | Win 60%
Sharpe 0.71 | Sortino 1.21 | Calmar 0.4
Vol 19% | MDD -28.8%
Months 176M (49%)
CAGR 8.7% | Win 53%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 24% | MDD -34.0%
Months 36M (10%)
CAGR 11.5% | Win 58%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -34.0%
Months 212M (59%)
SLmean
neg
CAGR 0.3% | Win 54%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 22% | MDD -50.4%
Months 54M (15%)
CAGR 0.5% | Win 55%
Sharpe 0.17 | Sortino 0.31 | Calmar 0.0
Vol 32% | MDD -58.0%
Months 95M (26%)
CAGR 0.5% | Win 54%
Sharpe 0.16 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -60.6%
Months 149M (41%)
RSI
only
CAGR 9.2% | Win 58%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 230M (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 61%
Sharpe 0.62 | Sortino 0.93 | Calmar 0.3
Vol 18% | MDD -34.1%
Months 142M (39%)
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 58%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -34.0%
Months 212M (59%)
SLmean
neg
CAGR -8.5% | Win 50%
Sharpe -0.17 | Sortino -0.23 | Calmar -0.2
Vol 28% | MDD -50.8%
Months 38M (10%)
CAGR 3.7% | Win 56%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.1
Vol 29% | MDD -57.6%
Months 111M (31%)
CAGR 0.5% | Win 54%
Sharpe 0.16 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -60.6%
Months 149M (41%)
MACDhist
only
CAGR 5.6% | Win 59%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 20% | MDD -50.5%
Months 180M (50%)
CAGR 8.0% | Win 55%
Sharpe 0.42 | Sortino 0.71 | Calmar 0.1
Vol 27% | MDD -63.7%
Months 181M (50%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 8.4% | Win 59%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 19% | MDD -47.1%
Months 174M (48%)
CAGR 27.1% | Win 58%
Sharpe 1.22 | Sortino 2.75 | Calmar 1.3
Vol 22% | MDD -21.2%
Months 38M (10%)
CAGR 11.5% | Win 58%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -34.0%
Months 212M (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 0.8% | Win 55%
Sharpe 0.17 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -59.3%
Months 142M (39%)
CAGR 0.5% | Win 54%
Sharpe 0.16 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -60.6%
Months 149M (41%)
RSIhist
only
CAGR 7.8% | Win 58%
Sharpe 0.49 | Sortino 0.77 | Calmar 0.2
Vol 19% | MDD -51.7%
Months 181M (50%)
CAGR 5.8% | Win 56%
Sharpe 0.34 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -65.3%
Months 180M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.4% | Win 60%
Sharpe 0.68 | Sortino 1.13 | Calmar 0.3
Vol 19% | MDD -36.6%
Months 168M (46%)
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 58%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -34.0%
Months 212M (59%)
SLmean
neg
CAGR -4.0% | Win 50%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 26% | MDD -67.2%
Months 97M (27%)
CAGR 9.4% | Win 62%
Sharpe 0.44 | Sortino 0.73 | Calmar 0.2
Vol 33% | MDD -55.1%
Months 52M (14%)
CAGR 0.5% | Win 54%
Sharpe 0.16 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -60.6%
Months 149M (41%)
LWTI
only
CAGR 5.5% | Win 57%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -63.5%
Months 265M (73%)
CAGR 10.6% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 96M (27%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 1.4% | Win 57%
Sharpe 0.17 | Sortino 0.23 | Calmar 0.0
Vol 19% | MDD -63.0%
Months 209M (58%)
CAGR 14.2% | Win 57%
Sharpe 0.59 | Sortino 1.01 | Calmar 0.3
Vol 30% | MDD -49.6%
Months 127M (35%)
CAGR 6.0% | Win 57%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 24% | MDD -66.7%
Months 336M (93%)
RSmean
neg
CAGR 22.4% | 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 1.4
Vol 22% | MDD -12.3%
Months 25M (7%)
MACD
only
CAGR 2.2% | Win 56%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 19% | MDD -65.6%
Months 219M (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 8.6% | Win 58%
Sharpe 0.52 | Sortino 0.79 | Calmar 0.2
Vol 20% | MDD -53.5%
Months 217M (60%)
CAGR 1.5% | Win 55%
Sharpe 0.20 | Sortino 0.34 | Calmar 0.0
Vol 30% | MDD -58.5%
Months 119M (33%)
CAGR 6.0% | Win 57%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 24% | MDD -66.7%
Months 336M (93%)
RSmean
neg
CAGR 20.3% | Win 54%
Sharpe 0.95 | Sortino 2.64 | Calmar 2.3
Vol 22% | MDD -8.9%
Months 13M (4%)
CAGR 15.2% | 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 1.4
Vol 22% | MDD -12.3%
Months 25M (7%)
RSI
only
CAGR 9.2% | Win 58%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 230M (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 5.9% | Win 59%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.1
Vol 20% | MDD -51.5%
Months 175M (48%)
CAGR 6.1% | Win 55%
Sharpe 0.35 | Sortino 0.59 | Calmar 0.1
Vol 27% | MDD -64.7%
Months 161M (45%)
CAGR 6.0% | Win 57%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 24% | MDD -66.7%
Months 336M (93%)
RSmean
neg
CAGR -5.6% | 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 2.38 | Calmar 2.0
Vol 24% | MDD -12.3%
Months 20M (6%)
CAGR 17.8% | Win 52%
Sharpe 0.85 | Sortino 1.91 | Calmar 1.4
Vol 22% | MDD -12.3%
Months 25M (7%)
MACDhist
only
CAGR 5.6% | Win 59%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 20% | MDD -50.5%
Months 180M (50%)
CAGR 8.0% | Win 55%
Sharpe 0.42 | Sortino 0.71 | Calmar 0.1
Vol 27% | MDD -63.7%
Months 181M (50%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 7.7% | Win 58%
Sharpe 0.48 | Sortino 0.77 | Calmar 0.1
Vol 19% | MDD -51.7%
Months 176M (49%)
CAGR 4.3% | Win 56%
Sharpe 0.29 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -65.3%
Months 160M (44%)
CAGR 6.0% | Win 57%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 24% | MDD -66.7%
Months 336M (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 2.20 | Calmar 1.6
Vol 24% | MDD -12.3%
Months 20M (6%)
CAGR 17.8% | Win 52%
Sharpe 0.85 | Sortino 1.91 | Calmar 1.4
Vol 22% | MDD -12.3%
Months 25M (7%)
RSIhist
only
CAGR 7.8% | Win 58%
Sharpe 0.49 | Sortino 0.77 | Calmar 0.2
Vol 19% | MDD -51.7%
Months 181M (50%)
CAGR 5.8% | Win 56%
Sharpe 0.34 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -65.3%
Months 180M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 4.2% | Win 57%
Sharpe 0.30 | Sortino 0.44 | Calmar 0.1
Vol 21% | MDD -65.8%
Months 241M (67%)
CAGR 11.0% | Win 58%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 95M (26%)
CAGR 6.0% | Win 57%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 24% | MDD -66.7%
Months 336M (93%)
RSmean
neg
CAGR 19.8% | Win 54%
Sharpe 0.91 | Sortino 2.04 | Calmar 1.6
Vol 22% | MDD -12.3%
Months 24M (7%)
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 1.4
Vol 22% | MDD -12.3%
Months 25M (7%)
LWTI
only
CAGR 5.5% | Win 57%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -63.5%
Months 265M (73%)
CAGR 10.6% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 96M (27%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 6.1% | Win 57%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 18% | MDD -50.8%
Months 193M (54%)
CAGR -22.5% | Win 46%
Sharpe -0.91 | Sortino -1.34 | Calmar -0.5
Vol 25% | MDD -44.3%
Months 26M (7%)
CAGR 2.2% | Win 56%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 19% | MDD -65.6%
Months 219M (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 9.2% | Win 58%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 230M (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 8.7% | Win 61%
Sharpe 0.58 | Sortino 0.77 | Calmar 0.2
Vol 17% | MDD -39.7%
Months 132M (37%)
CAGR -6.9% | Win 49%
Sharpe -0.21 | Sortino -0.33 | Calmar -0.1
Vol 22% | MDD -58.2%
Months 87M (24%)
CAGR 2.2% | Win 56%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 19% | MDD -65.6%
Months 219M (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 5.6% | Win 59%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 20% | MDD -50.5%
Months 180M (50%)
CAGR 8.0% | Win 55%
Sharpe 0.42 | Sortino 0.71 | Calmar 0.1
Vol 27% | MDD -63.7%
Months 181M (50%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 6.6% | Win 60%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -42.5%
Months 119M (33%)
CAGR -2.7% | Win 52%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 22% | MDD -67.1%
Months 100M (28%)
CAGR 2.2% | Win 56%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 19% | MDD -65.6%
Months 219M (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 7.8% | Win 58%
Sharpe 0.49 | Sortino 0.77 | Calmar 0.2
Vol 19% | MDD -51.7%
Months 181M (50%)
CAGR 5.8% | Win 56%
Sharpe 0.34 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -65.3%
Months 180M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 4.0% | Win 57%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -58.8%
Months 197M (55%)
CAGR -12.0% | Win 46%
Sharpe -0.51 | Sortino -0.79 | Calmar -0.6
Vol 21% | MDD -20.0%
Months 22M (6%)
CAGR 2.2% | Win 56%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 19% | MDD -65.6%
Months 219M (61%)
MACD
neg
CAGR 10.0% | Win 54%
Sharpe 0.48 | Sortino 0.94 | Calmar 0.2
Vol 27% | MDD -53.9%
Months 68M (19%)
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 5.5% | Win 57%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -63.5%
Months 265M (73%)
CAGR 10.6% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 96M (27%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 8.5% | Win 61%
Sharpe 0.55 | Sortino 0.74 | Calmar 0.2
Vol 18% | MDD -37.4%
Months 153M (42%)
CAGR 10.7% | Win 53%
Sharpe 0.56 | Sortino 1.10 | Calmar 0.3
Vol 23% | MDD -39.3%
Months 77M (21%)
CAGR 9.2% | Win 58%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 230M (64%)
RSI
neg
CAGR -9.4% | Win 48%
Sharpe -0.17 | Sortino -0.29 | Calmar -0.2
Vol 31% | MDD -41.6%
Months 27M (8%)
CAGR 6.1% | Win 56%
Sharpe 0.35 | Sortino 0.58 | Calmar 0.1
Vol 29% | MDD -58.3%
Months 104M (29%)
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 5.6% | Win 59%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 20% | MDD -50.5%
Months 180M (50%)
CAGR 8.0% | Win 55%
Sharpe 0.42 | Sortino 0.71 | Calmar 0.1
Vol 27% | MDD -63.7%
Months 181M (50%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 10.0% | Win 60%
Sharpe 0.62 | Sortino 1.01 | Calmar 0.2
Vol 18% | MDD -42.5%
Months 147M (41%)
CAGR 7.8% | Win 55%
Sharpe 0.45 | Sortino 0.68 | Calmar 0.1
Vol 22% | MDD -56.3%
Months 83M (23%)
CAGR 9.2% | Win 58%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 230M (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 (27%)
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 7.8% | Win 58%
Sharpe 0.49 | Sortino 0.77 | Calmar 0.2
Vol 19% | MDD -51.7%
Months 181M (50%)
CAGR 5.8% | Win 56%
Sharpe 0.34 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -65.3%
Months 180M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 10.1% | Win 59%
Sharpe 0.59 | Sortino 0.91 | Calmar 0.2
Vol 20% | MDD -41.1%
Months 211M (58%)
CAGR -0.3% | Win 47%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 20% | MDD -22.8%
Months 19M (5%)
CAGR 9.2% | Win 58%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 230M (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 5.5% | Win 57%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -63.5%
Months 265M (73%)
CAGR 10.6% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 96M (27%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 10.4% | Win 61%
Sharpe 0.64 | Sortino 0.96 | Calmar 0.3
Vol 18% | MDD -34.0%
Months 137M (38%)
CAGR -8.3% | Win 51%
Sharpe -0.19 | Sortino -0.25 | Calmar -0.2
Vol 27% | MDD -46.9%
Months 43M (12%)
CAGR 5.6% | Win 59%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 20% | MDD -50.5%
Months 180M (50%)
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 (38%)
CAGR 8.0% | Win 55%
Sharpe 0.42 | Sortino 0.71 | Calmar 0.1
Vol 27% | MDD -63.7%
Months 181M (50%)
RSIhist
only
CAGR 7.8% | Win 58%
Sharpe 0.49 | Sortino 0.77 | Calmar 0.2
Vol 19% | MDD -51.7%
Months 181M (50%)
CAGR 5.8% | Win 56%
Sharpe 0.34 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -65.3%
Months 180M (50%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 2.7% | Win 58%
Sharpe 0.23 | Sortino 0.31 | Calmar 0.0
Vol 20% | MDD -62.8%
Months 165M (46%)
CAGR 44.3% | Win 73%
Sharpe 1.48 | Sortino 1.87 | Calmar 2.8
Vol 28% | MDD -15.6%
Months 15M (4%)
CAGR 5.6% | Win 59%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 20% | MDD -50.5%
Months 180M (50%)
MACDhist
neg
CAGR 10.3% | Win 55%
Sharpe 0.52 | Sortino 0.96 | Calmar 0.3
Vol 24% | MDD -34.1%
Months 100M (28%)
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 (50%)
LWTI
only
CAGR 5.5% | Win 57%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -63.5%
Months 265M (73%)
CAGR 10.6% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 96M (27%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 7.7% | Win 60%
Sharpe 0.50 | Sortino 0.77 | Calmar 0.2
Vol 18% | MDD -45.7%
Months 139M (38%)
CAGR 8.2% | Win 52%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.5
Vol 22% | MDD -16.4%
Months 42M (12%)
CAGR 7.8% | Win 58%
Sharpe 0.49 | Sortino 0.77 | Calmar 0.2
Vol 19% | MDD -51.7%
Months 181M (50%)
RSIhist
neg
CAGR 3.1% | Win 53%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.0
Vol 25% | MDD -63.8%
Months 126M (35%)
CAGR 12.5% | Win 61%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 34% | MDD -60.2%
Months 54M (15%)
CAGR 5.8% | Win 56%
Sharpe 0.34 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -65.3%
Months 180M (50%)
LWTI
only
CAGR 5.5% | Win 57%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -63.5%
Months 265M (73%)
CAGR 10.6% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 29% | MDD -60.2%
Months 96M (27%)