EWK - iShares MSCI Belgium ETF

Signal Pair Analysis

MACDhist-LWTI

Best Pair

25.7%

Best CAGR

102

Total Months

4.1%

Avg CAGR

EWK 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 EWK

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 9 2.5 25.7 77.8 2.1 4.3 7.8 11.0 -3.3
pair LWTI MACDhist pos-neg 9 2.5 25.7 77.8 2.1 4.3 7.8 11.0 -3.3
pair MRmean RSIhist neg-pos 15 4.2 23.3 60.0 1.0 1.6 1.7 24.1 -13.9
pair RSIhist MRmean neg-pos 15 4.2 23.3 60.0 1.0 1.6 1.7 24.1 -13.9
pair RSIhist MACD neg-neg 72 20.1 16.7 70.8 0.7 0.7 0.3 28.3 -56.2
pair MACD RSIhist neg-neg 72 20.1 16.7 70.8 0.7 0.7 0.3 28.3 -56.2
pair MACD MRmean neg-neg 77 21.4 16.2 67.5 0.7 0.7 0.3 29.0 -57.9
pair MRmean MACD neg-neg 77 21.4 16.2 67.5 0.7 0.7 0.3 29.0 -57.9
pair SLmean RSI pos-neg 36 10.0 15.7 61.1 0.8 1.4 0.7 19.9 -22.7
pair RSI SLmean pos-neg 36 10.0 15.7 61.1 0.8 1.4 0.7 19.9 -22.7
pair LWTI MACD neg-pos 67 18.7 15.0 68.7 0.8 1.0 0.4 20.3 -39.3
pair MACD LWTI neg-pos 67 18.7 15.0 68.7 0.8 1.0 0.4 20.3 -39.3
pair MRmean RSIhist pos-neg 46 12.8 14.4 67.4 1.0 2.4 1.0 14.0 -14.8
pair RSIhist MRmean pos-neg 46 12.8 14.4 67.4 1.0 2.4 1.0 14.0 -14.8
pair MACD RSmean pos-neg 118 32.9 14.2 64.4 0.6 0.8 0.2 26.6 -56.2
pair RSmean MACD pos-neg 118 32.9 14.2 64.4 0.6 0.8 0.2 26.6 -56.2
pair RSI MACD neg-pos 49 13.6 13.7 71.4 0.9 0.9 0.9 16.0 -14.4
pair MACD RSI neg-pos 49 13.6 13.7 71.4 0.9 0.9 0.9 16.0 -14.4
pair MACD SLmean pos-neg 72 20.1 13.4 65.3 0.8 1.1 0.4 18.9 -30.3
pair SLmean MACD pos-neg 72 20.1 13.4 65.3 0.8 1.1 0.4 18.9 -30.3
pair MACDhist MRmean pos-neg 68 18.9 13.3 67.6 0.8 1.3 0.7 16.6 -19.0
pair MRmean MACDhist pos-neg 68 18.9 13.3 67.6 0.8 1.3 0.7 16.6 -19.0
pair MACDhist MACD neg-neg 102 28.4 13.2 64.7 0.6 0.7 0.2 25.8 -56.2
pair MACD MACDhist neg-neg 102 28.4 13.2 64.7 0.6 0.7 0.2 25.8 -56.2
single MACD MACD neg-neg 139 38.7 12.9 64.7 0.6 0.7 0.2 24.9 -58.4
pair MACD RSI neg-neg 90 25.1 12.5 61.1 0.6 0.7 0.2 28.7 -57.4
pair RSI MACD neg-neg 90 25.1 12.5 61.1 0.6 0.7 0.2 28.7 -57.4
pair SLmean MACD neg-neg 67 18.7 12.4 64.2 0.6 0.6 0.2 30.2 -56.2
pair MACD SLmean neg-neg 67 18.7 12.4 64.2 0.6 0.6 0.2 30.2 -56.2
pair RSIhist LWTI pos-neg 37 10.3 12.3 56.8 0.7 1.3 0.7 18.5 -17.0
pair LWTI RSIhist pos-neg 37 10.3 12.3 56.8 0.7 1.3 0.7 18.5 -17.0
pair MACDhist RSIhist pos-pos 139 38.7 12.2 59.7 0.8 1.3 0.4 15.6 -27.6
pair RSIhist MACDhist pos-pos 139 38.7 12.2 59.7 0.8 1.3 0.4 15.6 -27.6
pair MACD MACDhist neg-pos 37 10.3 12.1 64.9 0.6 0.8 0.4 22.7 -28.1
pair MACDhist MACD neg-pos 37 10.3 12.1 64.9 0.6 0.8 0.4 22.7 -28.1
pair LWTI MACDhist neg-pos 103 28.7 11.8 67.0 0.8 1.2 0.6 15.9 -18.8
pair MACDhist LWTI neg-pos 103 28.7 11.8 67.0 0.8 1.2 0.6 15.9 -18.8
pair SLmean MRmean pos-pos 206 57.4 11.7 60.7 0.8 1.3 0.3 15.4 -35.3
pair MRmean SLmean pos-pos 206 57.4 11.7 60.7 0.8 1.3 0.3 15.4 -35.3
pair MRmean RSI pos-pos 199 55.4 11.4 62.8 0.8 1.2 0.4 14.9 -29.5
pair RSIhist SLmean pos-pos 183 51.0 11.4 60.7 0.8 1.2 0.3 16.1 -40.6
pair RSI MRmean pos-pos 199 55.4 11.4 62.8 0.8 1.2 0.4 14.9 -29.5
pair SLmean RSIhist pos-pos 183 51.0 11.4 60.7 0.8 1.2 0.3 16.1 -40.6
pair MACD RSIhist pos-pos 127 35.4 11.3 59.8 0.8 1.4 0.4 14.1 -28.6
pair RSIhist MACD pos-pos 127 35.4 11.3 59.8 0.8 1.4 0.4 14.1 -28.6
pair MACD MRmean pos-pos 163 45.4 11.1 60.7 0.8 1.5 0.3 14.3 -31.7
pair MRmean MACD pos-pos 163 45.4 11.1 60.7 0.8 1.5 0.3 14.3 -31.7
pair SLmean MACDhist pos-pos 146 40.7 11.0 58.9 0.8 1.3 0.4 14.6 -25.6
pair LWTI SLmean pos-pos 187 52.1 11.0 61.5 0.8 1.2 0.3 15.4 -38.3
pair SLmean LWTI pos-pos 187 52.1 11.0 61.5 0.8 1.2 0.3 15.4 -38.3
pair MACD LWTI neg-neg 72 20.1 11.0 61.1 0.5 0.6 0.2 28.6 -56.2
pair MACDhist SLmean pos-pos 146 40.7 11.0 58.9 0.8 1.3 0.4 14.6 -25.6
pair LWTI MACD neg-neg 72 20.1 11.0 61.1 0.5 0.6 0.2 28.6 -56.2
pair RSmean MRmean pos-pos 216 60.2 10.9 61.1 0.7 1.2 0.3 15.7 -37.5
pair RSIhist RSmean pos-pos 183 51.0 10.9 60.1 0.7 1.1 0.2 17.0 -43.1
pair RSmean RSIhist pos-pos 183 51.0 10.9 60.1 0.7 1.1 0.2 17.0 -43.1
pair MRmean RSmean pos-pos 216 60.2 10.9 61.1 0.7 1.2 0.3 15.7 -37.5
pair SLmean RSmean pos-pos 215 59.9 10.8 61.4 0.7 1.0 0.2 16.6 -51.1
pair RSmean SLmean pos-pos 215 59.9 10.8 61.4 0.7 1.0 0.2 16.6 -51.1
pair LWTI RSI pos-pos 231 64.3 10.7 61.5 0.8 1.2 0.3 14.8 -32.4
pair RSIhist RSI pos-pos 157 43.7 10.7 61.1 0.8 1.1 0.4 15.2 -25.6
pair RSI RSIhist pos-pos 157 43.7 10.7 61.1 0.8 1.1 0.4 15.2 -25.6
pair RSI LWTI pos-pos 231 64.3 10.7 61.5 0.8 1.2 0.3 14.8 -32.4
single MRmean MRmean pos-pos 225 62.7 10.5 60.9 0.7 1.1 0.3 15.6 -35.3
pair LWTI MRmean pos-pos 199 55.4 10.5 61.8 0.7 1.1 0.3 15.6 -36.5
pair MRmean LWTI pos-pos 199 55.4 10.5 61.8 0.7 1.1 0.3 15.6 -36.5
single SLmean SLmean pos-pos 225 62.7 10.5 61.3 0.7 1.0 0.2 16.4 -49.4
single RSIhist RSIhist pos-pos 194 54.0 10.5 59.3 0.7 1.1 0.3 16.7 -41.3
pair LWTI MRmean pos-neg 26 7.2 10.2 53.8 0.7 1.5 0.6 16.0 -17.9
pair MRmean LWTI pos-neg 26 7.2 10.2 53.8 0.7 1.5 0.6 16.0 -17.9
pair LWTI RSIhist pos-pos 157 43.7 10.1 59.9 0.7 1.0 0.3 16.3 -37.1
pair RSIhist LWTI pos-pos 157 43.7 10.1 59.9 0.7 1.0 0.3 16.3 -37.1
pair RSI RSIhist neg-pos 37 10.3 9.7 51.4 0.5 1.0 0.5 22.3 -21.4
pair RSIhist RSI neg-pos 37 10.3 9.7 51.4 0.5 1.0 0.5 22.3 -21.4
pair SLmean MACDhist pos-neg 79 22.0 9.6 65.8 0.6 0.8 0.3 19.4 -36.7
pair MACDhist SLmean pos-neg 79 22.0 9.6 65.8 0.6 0.8 0.3 19.4 -36.7
pair LWTI RSI neg-neg 71 19.8 9.5 60.6 0.5 0.6 0.2 29.4 -59.6
pair RSI LWTI neg-neg 71 19.8 9.5 60.6 0.5 0.6 0.2 29.4 -59.6
pair SLmean RSI pos-pos 189 52.6 9.5 61.4 0.7 0.9 0.2 15.7 -41.8
pair RSI SLmean pos-pos 189 52.6 9.5 61.4 0.7 0.9 0.2 15.7 -41.8
pair RSIhist MRmean pos-pos 179 49.9 9.5 59.2 0.7 1.0 0.3 16.0 -32.9
pair MRmean RSIhist pos-pos 179 49.9 9.5 59.2 0.7 1.0 0.3 16.0 -32.9
pair MACDhist MRmean pos-pos 157 43.7 9.3 58.0 0.7 1.1 0.3 15.1 -26.3
pair MRmean MACDhist pos-pos 157 43.7 9.3 58.0 0.7 1.1 0.3 15.1 -26.3
pair MACD SLmean pos-pos 153 42.6 9.2 59.5 0.7 1.0 0.3 15.2 -32.3
pair SLmean MACD pos-pos 153 42.6 9.2 59.5 0.7 1.0 0.3 15.2 -32.3
pair MRmean MACD pos-neg 62 17.3 9.0 61.3 0.6 0.8 0.4 18.7 -23.7
pair MACD MRmean pos-neg 62 17.3 9.0 61.3 0.6 0.8 0.4 18.7 -23.7
pair MACD RSIhist neg-pos 67 18.7 9.0 58.2 0.5 0.8 0.3 20.8 -32.3
pair RSIhist MACD neg-pos 67 18.7 9.0 58.2 0.5 0.8 0.3 20.8 -32.3
pair RSI MACDhist pos-pos 152 42.3 8.9 57.9 0.7 1.1 0.3 14.7 -28.6
pair MACDhist RSI pos-pos 152 42.3 8.9 57.9 0.7 1.1 0.3 14.7 -28.6
pair LWTI RSmean pos-pos 244 68.0 8.0 59.4 0.5 0.8 0.2 17.4 -49.1
pair RSmean LWTI pos-pos 244 68.0 8.0 59.4 0.5 0.8 0.2 17.4 -49.1
pair RSI RSmean pos-pos 226 63.0 7.9 60.2 0.6 0.8 0.2 16.2 -38.3
pair RSmean RSI pos-pos 226 63.0 7.9 60.2 0.6 0.8 0.2 16.2 -38.3
pair LWTI SLmean pos-neg 38 10.6 7.9 60.5 0.5 0.6 0.6 21.1 -13.2
pair SLmean LWTI pos-neg 38 10.6 7.9 60.5 0.5 0.6 0.6 21.1 -13.2
single LWTI LWTI pos-pos 269 74.9 7.8 59.9 0.5 0.8 0.2 16.7 -48.9
single RSI RSI pos-pos 250 69.6 7.7 60.0 0.6 0.8 0.2 15.6 -40.0
pair RSmean MACDhist pos-pos 167 46.5 7.2 57.5 0.5 0.7 0.2 17.2 -34.4
pair MACDhist RSmean pos-pos 167 46.5 7.2 57.5 0.5 0.7 0.2 17.2 -34.4
single RSmean RSmean pos-pos 327 91.1 6.8 59.3 0.4 0.5 0.1 20.9 -70.4
pair SLmean RSIhist pos-neg 42 11.7 6.6 64.3 0.5 0.5 0.2 18.0 -29.8
pair RSIhist SLmean pos-neg 42 11.7 6.6 64.3 0.5 0.5 0.2 18.0 -29.8
pair RSI MACDhist neg-neg 86 24.0 6.5 59.3 0.4 0.5 0.1 28.3 -59.6
pair MACDhist RSI neg-neg 86 24.0 6.5 59.3 0.4 0.5 0.1 28.3 -59.6
pair MACDhist RSmean pos-neg 160 44.6 6.5 61.2 0.4 0.5 0.1 24.2 -69.8
pair RSmean MACDhist pos-neg 160 44.6 6.5 61.2 0.4 0.5 0.1 24.2 -69.8
single MACDhist MACDhist pos-pos 175 48.7 6.4 56.6 0.5 0.6 0.2 17.0 -36.3
pair RSIhist MACDhist neg-pos 55 15.3 6.3 58.2 0.4 0.7 0.2 19.3 -34.6
pair MACDhist RSIhist neg-pos 55 15.3 6.3 58.2 0.4 0.7 0.2 19.3 -34.6
pair benchmark___benchmark_ benchmark-benchmark 359 100.0 6.3 59.1 0.4 0.5 0.1 20.2 -70.4
pair benchmark___benchmark_ benchmark-benchmark 359 100.0 6.3 59.1 0.4 0.5 0.1 20.2 -70.4
pair MACD RSI pos-pos 201 56.0 6.3 57.2 0.5 0.7 0.1 15.6 -43.0
pair RSI MACD pos-pos 201 56.0 6.3 57.2 0.5 0.7 0.1 15.6 -43.0
single MACDhist MACDhist neg-neg 184 51.3 6.1 61.4 0.4 0.5 0.1 22.9 -69.8
pair LWTI RSmean neg-pos 25 7.0 6.0 64.0 0.7 1.0 0.8 8.5 -7.2
pair RSmean LWTI neg-pos 25 7.0 6.0 64.0 0.7 1.0 0.8 8.5 -7.2
pair MACDhist RSIhist neg-neg 129 35.9 6.0 62.8 0.4 0.4 0.1 24.4 -69.8
pair RSIhist MACDhist neg-neg 129 35.9 6.0 62.8 0.4 0.4 0.1 24.4 -69.8
pair MACD RSmean neg-neg 21 5.8 5.9 66.7 0.5 0.5 0.4 11.8 -14.7
pair RSmean MACD neg-neg 21 5.8 5.9 66.7 0.5 0.5 0.4 11.8 -14.7
pair MACDhist RSI pos-neg 98 27.3 5.8 63.3 0.4 0.5 0.2 17.0 -33.2
pair RSI MACDhist pos-neg 98 27.3 5.8 63.3 0.4 0.5 0.2 17.0 -33.2
pair LWTI MACD pos-pos 202 56.3 5.6 56.9 0.4 0.7 0.1 15.3 -56.0
pair MACD LWTI pos-pos 202 56.3 5.6 56.9 0.4 0.7 0.1 15.3 -56.0
pair LWTI MACDhist pos-pos 166 46.2 5.5 55.4 0.4 0.6 0.1 17.2 -39.1
pair MACDhist LWTI pos-pos 166 46.2 5.5 55.4 0.4 0.6 0.1 17.2 -39.1
pair RSmean RSI neg-pos 24 6.7 5.4 58.3 0.7 1.0 0.8 8.2 -6.5
pair RSI RSmean neg-pos 24 6.7 5.4 58.3 0.7 1.0 0.8 8.2 -6.5
pair RSmean SLmean pos-neg 10 2.8 5.1 60.0 0.5 1.1 1.1 11.6 -4.7
pair SLmean RSmean pos-neg 10 2.8 5.1 60.0 0.5 1.1 1.1 11.6 -4.7
pair MACD MACDhist pos-pos 138 38.4 5.0 54.3 0.4 0.6 0.1 15.2 -44.7
pair MACDhist MACD pos-pos 138 38.4 5.0 54.3 0.4 0.6 0.1 15.2 -44.7
pair RSIhist LWTI neg-pos 112 31.2 4.7 59.8 0.3 0.5 0.1 17.4 -31.9
pair LWTI RSIhist neg-pos 112 31.2 4.7 59.8 0.3 0.5 0.1 17.4 -31.9
pair RSI RSmean pos-neg 101 28.1 4.4 57.4 0.3 0.4 0.1 28.8 -59.6
pair RSmean RSI pos-neg 101 28.1 4.4 57.4 0.3 0.4 0.1 28.8 -59.6
pair RSmean RSIhist neg-pos 11 3.1 4.3 45.5 0.4 0.8 1.0 11.5 -4.3
pair RSIhist RSmean neg-pos 11 3.1 4.3 45.5 0.4 0.8 1.0 11.5 -4.3
pair MRmean RSI pos-neg 26 7.2 4.1 46.2 0.3 0.6 0.2 20.2 -18.1
pair RSI MRmean pos-neg 26 7.2 4.1 46.2 0.3 0.6 0.2 20.2 -18.1
pair MACDhist RSmean neg-neg 24 6.7 4.0 62.5 0.4 0.4 0.2 11.3 -16.7
pair RSmean MACDhist neg-neg 24 6.7 4.0 62.5 0.4 0.4 0.2 11.3 -16.7
pair MACDhist SLmean neg-neg 105 29.2 3.6 58.1 0.3 0.3 0.1 25.3 -66.5
pair SLmean MACDhist neg-neg 105 29.2 3.6 58.1 0.3 0.3 0.1 25.3 -66.5
pair RSmean LWTI pos-neg 83 23.1 3.4 59.0 0.3 0.3 0.1 29.0 -67.4
pair LWTI RSmean pos-neg 83 23.1 3.4 59.0 0.3 0.3 0.1 29.0 -67.4
single RSI RSI neg-neg 109 30.4 3.1 56.9 0.3 0.3 0.1 28.1 -59.6
pair MACD RSmean pos-pos 209 58.2 2.9 56.5 0.3 0.3 0.1 16.8 -54.7
pair RSmean MACD pos-pos 209 58.2 2.9 56.5 0.3 0.3 0.1 16.8 -54.7
pair MRmean RSI neg-neg 83 23.1 2.8 60.2 0.2 0.3 0.1 30.3 -59.6
pair RSI MRmean neg-neg 83 23.1 2.8 60.2 0.2 0.3 0.1 30.3 -59.6
pair RSIhist RSI pos-neg 93 25.9 2.8 58.1 0.2 0.3 0.1 16.4 -40.5
pair RSI RSIhist pos-neg 93 25.9 2.8 58.1 0.2 0.3 0.1 16.4 -40.5
single MACD MACD pos-pos 220 61.3 2.3 55.5 0.2 0.3 0.0 16.5 -58.0
pair MACDhist MRmean neg-neg 116 32.3 2.2 57.8 0.2 0.3 0.0 25.9 -67.6
pair MRmean MACDhist neg-neg 116 32.3 2.2 57.8 0.2 0.3 0.0 25.9 -67.6
pair RSI SLmean neg-pos 61 17.0 2.1 55.7 0.2 0.3 0.1 15.5 -25.7
pair SLmean RSI neg-pos 61 17.0 2.1 55.7 0.2 0.3 0.1 15.5 -25.7
pair RSIhist RSmean pos-neg 144 40.1 1.9 58.3 0.2 0.2 0.0 25.0 -70.0
pair RSmean RSIhist pos-neg 144 40.1 1.9 58.3 0.2 0.2 0.0 25.0 -70.0
single LWTI LWTI neg-neg 90 25.1 1.7 56.7 0.2 0.2 0.0 28.3 -67.4
single RSIhist RSIhist neg-neg 165 46.0 1.5 58.8 0.2 0.2 0.0 23.7 -70.0
pair RSmean MRmean pos-neg 9 2.5 1.1 55.6 0.1 0.3 0.2 11.7 -5.5
pair MRmean RSmean pos-neg 9 2.5 1.1 55.6 0.1 0.3 0.2 11.7 -5.5
pair LWTI SLmean neg-pos 82 22.8 0.9 56.1 0.1 0.2 0.0 19.5 -35.8
pair SLmean LWTI neg-pos 82 22.8 0.9 56.1 0.1 0.2 0.0 19.5 -35.8
single RSmean RSmean neg-neg 32 8.9 0.7 56.2 0.1 0.1 0.0 11.1 -17.3
pair MRmean LWTI neg-pos 70 19.5 0.5 54.3 0.1 0.2 0.0 19.7 -35.6
pair LWTI MRmean neg-pos 70 19.5 0.5 54.3 0.1 0.2 0.0 19.7 -35.6
pair RSmean MRmean neg-neg 23 6.4 0.5 56.5 0.1 0.1 0.0 11.1 -16.4
pair MRmean RSmean neg-neg 23 6.4 0.5 56.5 0.1 0.1 0.0 11.1 -16.4
pair RSI RSIhist neg-neg 72 20.1 -0.1 59.7 0.2 0.2 -0.0 30.8 -59.6
pair RSIhist RSI neg-neg 72 20.1 -0.1 59.7 0.2 0.2 -0.0 30.8 -59.6
pair RSIhist SLmean neg-neg 123 34.3 -0.2 56.9 0.1 0.1 -0.0 25.4 -66.5
pair SLmean RSIhist neg-neg 123 34.3 -0.2 56.9 0.1 0.1 -0.0 25.4 -66.5
pair MRmean SLmean neg-neg 115 32.0 -0.2 53.9 0.1 0.2 -0.0 26.5 -66.5
pair SLmean MRmean neg-neg 115 32.0 -0.2 53.9 0.1 0.2 -0.0 26.5 -66.5
pair RSmean SLmean neg-pos 112 31.2 -0.3 55.4 0.1 0.2 -0.0 27.3 -66.5
pair SLmean RSmean neg-pos 112 31.2 -0.3 55.4 0.1 0.2 -0.0 27.3 -66.5
single MRmean MRmean neg-neg 134 37.3 -0.4 56.0 0.1 0.1 -0.0 26.2 -72.4
single SLmean SLmean neg-neg 134 37.3 -0.5 55.2 0.1 0.1 -0.0 25.3 -66.5
pair MACDhist LWTI neg-neg 81 22.6 -0.6 54.3 0.1 0.2 -0.0 29.6 -67.4
pair LWTI MACDhist neg-neg 81 22.6 -0.6 54.3 0.1 0.2 -0.0 29.6 -67.4
pair MRmean RSmean neg-pos 111 30.9 -0.6 55.9 0.1 0.2 -0.0 28.4 -68.2
pair RSmean MRmean neg-pos 111 30.9 -0.6 55.9 0.1 0.2 -0.0 28.4 -68.2
pair RSIhist RSmean neg-neg 21 5.8 -1.1 61.9 -0.1 -0.0 -0.1 11.1 -18.4
pair RSmean RSIhist neg-neg 21 5.8 -1.1 61.9 -0.1 -0.0 -0.1 11.1 -18.4
pair RSmean SLmean neg-neg 22 6.1 -1.2 54.5 -0.1 -0.1 -0.1 11.1 -16.4
pair SLmean RSmean neg-neg 22 6.1 -1.2 54.5 -0.1 -0.1 -0.1 11.1 -16.4
pair MRmean LWTI neg-neg 64 17.8 -1.5 57.8 0.1 0.1 -0.0 32.0 -67.4
pair LWTI MRmean neg-neg 64 17.8 -1.5 57.8 0.1 0.1 -0.0 32.0 -67.4
pair SLmean MRmean neg-pos 19 5.3 -1.6 68.4 0.1 0.1 -0.1 25.4 -14.8
pair MRmean SLmean neg-pos 19 5.3 -1.6 68.4 0.1 0.1 -0.1 25.4 -14.8
pair SLmean MRmean pos-neg 19 5.3 -1.8 63.2 -0.0 -0.0 -0.1 17.5 -19.0
pair MRmean SLmean pos-neg 19 5.3 -1.8 63.2 -0.0 -0.0 -0.1 17.5 -19.0
pair MACDhist MACD pos-neg 82 22.8 -2.1 57.3 -0.0 -0.0 -0.1 18.6 -36.5
pair MACD MACDhist pos-neg 82 22.8 -2.1 57.3 -0.0 -0.0 -0.1 18.6 -36.5
pair SLmean LWTI neg-neg 52 14.5 -2.6 53.8 0.1 0.1 -0.0 32.7 -66.2
pair LWTI SLmean neg-neg 52 14.5 -2.6 53.8 0.1 0.1 -0.0 32.7 -66.2
pair SLmean RSI neg-neg 73 20.3 -2.6 54.8 0.1 0.1 -0.0 31.4 -59.6
pair RSI SLmean neg-neg 73 20.3 -2.6 54.8 0.1 0.1 -0.0 31.4 -59.6
pair MRmean RSIhist neg-neg 119 33.1 -3.1 55.5 0.0 0.0 -0.0 26.5 -68.5
pair RSIhist MRmean neg-neg 119 33.1 -3.1 55.5 0.0 0.0 -0.0 26.5 -68.5
pair RSIhist SLmean neg-pos 11 3.1 -3.3 36.4 -0.0 -0.0 -0.2 25.6 -16.9
pair SLmean RSIhist neg-pos 11 3.1 -3.3 36.4 -0.0 -0.0 -0.2 25.6 -16.9
pair LWTI RSIhist neg-neg 53 14.8 -5.0 56.6 0.0 0.0 -0.1 33.6 -67.4
pair RSIhist LWTI neg-neg 53 14.8 -5.0 56.6 0.0 0.0 -0.1 33.6 -67.4
pair MRmean RSI neg-pos 51 14.2 -5.5 49.0 -0.2 -0.3 -0.1 17.9 -42.8
pair RSI MRmean neg-pos 51 14.2 -5.5 49.0 -0.2 -0.3 -0.1 17.9 -42.8
pair LWTI RSI neg-pos 38 10.6 -7.8 50.0 -0.2 -0.3 -0.2 25.4 -40.7
pair RSI LWTI neg-pos 38 10.6 -7.8 50.0 -0.2 -0.3 -0.2 25.4 -40.7
pair RSmean MACD neg-pos 11 3.1 -8.5 36.4 -0.9 -1.7 -1.0 9.3 -8.5
pair MACD RSmean neg-pos 11 3.1 -8.5 36.4 -0.9 -1.7 -1.0 9.3 -8.5
pair RSmean MACDhist neg-pos 8 2.2 -8.5 37.5 -0.8 -1.6 -0.8 10.7 -11.3
pair MACDhist RSmean neg-pos 8 2.2 -8.5 37.5 -0.8 -1.6 -0.8 10.7 -11.3
pair RSI MACDhist neg-pos 23 6.4 -8.6 47.8 -0.2 -0.3 -0.3 27.8 -26.6
pair MACDhist RSI neg-pos 23 6.4 -8.6 47.8 -0.2 -0.3 -0.3 27.8 -26.6
pair RSIhist MACD pos-neg 93 25.9 -8.9 49.5 -0.4 -0.5 -0.1 18.9 -62.6
pair MACD RSIhist pos-neg 93 25.9 -8.9 49.5 -0.4 -0.5 -0.1 18.9 -62.6
pair SLmean MACD neg-pos 67 18.7 -11.9 46.3 -0.6 -0.8 -0.2 18.7 -55.1
pair MACD SLmean neg-pos 67 18.7 -11.9 46.3 -0.6 -0.8 -0.2 18.7 -55.1
pair RSmean RSI neg-neg 8 2.2 -12.2 50.0 -0.7 -0.8 -0.8 17.3 -14.7
pair RSI RSmean neg-neg 8 2.2 -12.2 50.0 -0.7 -0.8 -0.8 17.3 -14.7
pair MACDhist RSIhist pos-neg 36 10.0 -13.3 44.4 -0.6 -0.8 -0.3 20.8 -38.6
pair RSIhist MACDhist pos-neg 36 10.0 -13.3 44.4 -0.6 -0.8 -0.3 20.8 -38.6
pair SLmean MACDhist neg-pos 29 8.1 -13.9 44.8 -0.5 -0.6 -0.4 25.4 -36.5
pair MACDhist SLmean neg-pos 29 8.1 -13.9 44.8 -0.5 -0.6 -0.4 25.4 -36.5
pair MRmean MACDhist neg-pos 18 5.0 -15.7 44.4 -0.5 -0.6 -0.5 28.4 -33.0
pair MACDhist MRmean neg-pos 18 5.0 -15.7 44.4 -0.5 -0.6 -0.5 28.4 -33.0
pair RSmean LWTI neg-neg 7 1.9 -16.1 28.6 -0.9 -1.1 -1.3 17.5 -12.3
pair LWTI RSmean neg-neg 7 1.9 -16.1 28.6 -0.9 -1.1 -1.3 17.5 -12.3
pair MACD MRmean neg-pos 57 15.9 -19.2 40.4 -0.9 -1.2 -0.3 20.5 -66.7
pair MRmean MACD neg-pos 57 15.9 -19.2 40.4 -0.9 -1.2 -0.3 20.5 -66.7
pair LWTI RSI pos-neg 19 5.3 -22.7 42.1 -1.0 -1.1 -0.6 22.1 -38.1
pair RSI LWTI pos-neg 19 5.3 -22.7 42.1 -1.0 -1.1 -0.6 22.1 -38.1
pair MACD LWTI pos-neg 18 5.0 -28.2 38.9 -1.2 -1.4 -0.7 24.9 -41.3
pair LWTI MACD pos-neg 18 5.0 -28.2 38.9 -1.2 -1.4 -0.7 24.9 -41.3
pair MACD RSI pos-neg 19 5.3 -31.8 36.8 -1.6 -2.1 -0.7 21.8 -44.9
pair RSI MACD pos-neg 19 5.3 -31.8 36.8 -1.6 -2.1 -0.7 21.8 -44.9

All Contingency Tables for EWK

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 11.7% | Win 61%
Sharpe 0.80 | Sortino 1.30 | Calmar 0.3
Vol 15% | MDD -35.3%
Months 206M (57%)
CAGR -1.8% | Win 63%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 18% | MDD -19.0%
Months 19M (5%)
CAGR 10.5% | Win 61%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 225M (63%)
MRmean
neg
CAGR -1.6% | Win 68%
Sharpe 0.06 | Sortino 0.07 | Calmar -0.1
Vol 25% | MDD -14.8%
Months 19M (5%)
CAGR -0.2% | Win 54%
Sharpe 0.13 | Sortino 0.16 | Calmar -0.0
Vol 26% | MDD -66.5%
Months 115M (32%)
CAGR -0.4% | Win 56%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -72.4%
Months 134M (37%)
SLmean
only
CAGR 10.5% | Win 61%
Sharpe 0.69 | Sortino 1.02 | Calmar 0.2
Vol 16% | MDD -49.4%
Months 225M (63%)
CAGR -0.5% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar -0.0
Vol 25% | MDD -66.5%
Months 134M (37%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.9% | Win 61%
Sharpe 0.74 | Sortino 1.17 | Calmar 0.3
Vol 16% | MDD -37.5%
Months 216M (60%)
CAGR 1.1% | Win 56%
Sharpe 0.14 | Sortino 0.32 | Calmar 0.2
Vol 12% | MDD -5.5%
Months 9M (2%)
CAGR 10.5% | Win 61%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 225M (63%)
MRmean
neg
CAGR -0.6% | Win 56%
Sharpe 0.13 | Sortino 0.16 | Calmar -0.0
Vol 28% | MDD -68.2%
Months 111M (31%)
CAGR 0.5% | Win 56%
Sharpe 0.10 | Sortino 0.10 | Calmar 0.0
Vol 11% | MDD -16.4%
Months 23M (6%)
CAGR -0.4% | Win 56%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -72.4%
Months 134M (37%)
RSmean
only
CAGR 6.8% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 21% | MDD -70.4%
Months 327M (91%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.13 | Calmar 0.0
Vol 11% | MDD -17.3%
Months 32M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 11.1% | Win 61%
Sharpe 0.81 | Sortino 1.49 | Calmar 0.3
Vol 14% | MDD -31.7%
Months 163M (45%)
CAGR 9.0% | Win 61%
Sharpe 0.55 | Sortino 0.77 | Calmar 0.4
Vol 19% | MDD -23.7%
Months 62M (17%)
CAGR 10.5% | Win 61%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 225M (63%)
MRmean
neg
CAGR -19.2% | Win 40%
Sharpe -0.93 | Sortino -1.16 | Calmar -0.3
Vol 20% | MDD -66.7%
Months 57M (16%)
CAGR 16.2% | Win 68%
Sharpe 0.67 | Sortino 0.72 | Calmar 0.3
Vol 29% | MDD -57.9%
Months 77M (21%)
CAGR -0.4% | Win 56%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -72.4%
Months 134M (37%)
MACD
only
CAGR 2.3% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 16% | MDD -58.0%
Months 220M (61%)
CAGR 12.9% | Win 65%
Sharpe 0.62 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -58.4%
Months 139M (39%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 11.4% | Win 63%
Sharpe 0.80 | Sortino 1.24 | Calmar 0.4
Vol 15% | MDD -29.5%
Months 199M (55%)
CAGR 4.1% | Win 46%
Sharpe 0.30 | Sortino 0.55 | Calmar 0.2
Vol 20% | MDD -18.1%
Months 26M (7%)
CAGR 10.5% | Win 61%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 225M (63%)
MRmean
neg
CAGR -5.5% | Win 49%
Sharpe -0.22 | Sortino -0.26 | Calmar -0.1
Vol 18% | MDD -42.8%
Months 51M (14%)
CAGR 2.8% | Win 60%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 30% | MDD -59.6%
Months 83M (23%)
CAGR -0.4% | Win 56%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -72.4%
Months 134M (37%)
RSI
only
CAGR 7.7% | Win 60%
Sharpe 0.55 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -40.0%
Months 250M (70%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 28% | MDD -59.6%
Months 109M (30%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 9.3% | Win 58%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.4
Vol 15% | MDD -26.3%
Months 157M (44%)
CAGR 13.3% | Win 68%
Sharpe 0.84 | Sortino 1.28 | Calmar 0.7
Vol 17% | MDD -19.0%
Months 68M (19%)
CAGR 10.5% | Win 61%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 225M (63%)
MRmean
neg
CAGR -15.7% | Win 44%
Sharpe -0.46 | Sortino -0.61 | Calmar -0.5
Vol 28% | MDD -33.0%
Months 18M (5%)
CAGR 2.2% | Win 58%
Sharpe 0.22 | Sortino 0.26 | Calmar 0.0
Vol 26% | MDD -67.6%
Months 116M (32%)
CAGR -0.4% | Win 56%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -72.4%
Months 134M (37%)
MACDhist
only
CAGR 6.4% | Win 57%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.2
Vol 17% | MDD -36.3%
Months 175M (49%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.1
Vol 23% | MDD -69.8%
Months 184M (51%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 9.5% | Win 59%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -32.9%
Months 179M (50%)
CAGR 14.4% | Win 67%
Sharpe 1.03 | Sortino 2.36 | Calmar 1.0
Vol 14% | MDD -14.8%
Months 46M (13%)
CAGR 10.5% | Win 61%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 225M (63%)
MRmean
neg
CAGR 23.3% | Win 60%
Sharpe 0.99 | Sortino 1.60 | Calmar 1.7
Vol 24% | MDD -13.9%
Months 15M (4%)
CAGR -3.1% | Win 56%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 26% | MDD -68.5%
Months 119M (33%)
CAGR -0.4% | Win 56%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -72.4%
Months 134M (37%)
RSIhist
only
CAGR 10.5% | Win 59%
Sharpe 0.69 | Sortino 1.07 | Calmar 0.3
Vol 17% | MDD -41.3%
Months 194M (54%)
CAGR 1.5% | Win 59%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 24% | MDD -70.0%
Months 165M (46%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 10.5% | Win 62%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.3
Vol 16% | MDD -36.5%
Months 199M (55%)
CAGR 10.2% | Win 54%
Sharpe 0.68 | Sortino 1.53 | Calmar 0.6
Vol 16% | MDD -17.9%
Months 26M (7%)
CAGR 10.5% | Win 61%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 225M (63%)
MRmean
neg
CAGR 0.5% | Win 54%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 20% | MDD -35.6%
Months 70M (20%)
CAGR -1.5% | Win 58%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.0
Vol 32% | MDD -67.4%
Months 64M (18%)
CAGR -0.4% | Win 56%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -72.4%
Months 134M (37%)
LWTI
only
CAGR 7.8% | Win 60%
Sharpe 0.54 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 269M (75%)
CAGR 1.7% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 28% | MDD -67.4%
Months 90M (25%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.8% | Win 61%
Sharpe 0.70 | Sortino 1.02 | Calmar 0.2
Vol 17% | MDD -51.1%
Months 215M (60%)
CAGR 5.1% | Win 60%
Sharpe 0.48 | Sortino 1.06 | Calmar 1.1
Vol 12% | MDD -4.7%
Months 10M (3%)
CAGR 10.5% | Win 61%
Sharpe 0.69 | Sortino 1.02 | Calmar 0.2
Vol 16% | MDD -49.4%
Months 225M (63%)
SLmean
neg
CAGR -0.3% | Win 55%
Sharpe 0.13 | Sortino 0.17 | Calmar -0.0
Vol 27% | MDD -66.5%
Months 112M (31%)
CAGR -1.2% | Win 55%
Sharpe -0.06 | Sortino -0.05 | Calmar -0.1
Vol 11% | MDD -16.4%
Months 22M (6%)
CAGR -0.5% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar -0.0
Vol 25% | MDD -66.5%
Months 134M (37%)
RSmean
only
CAGR 6.8% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 21% | MDD -70.4%
Months 327M (91%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.13 | Calmar 0.0
Vol 11% | MDD -17.3%
Months 32M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 9.2% | Win 60%
Sharpe 0.66 | Sortino 0.99 | Calmar 0.3
Vol 15% | MDD -32.3%
Months 153M (43%)
CAGR 13.4% | Win 65%
Sharpe 0.77 | Sortino 1.07 | Calmar 0.4
Vol 19% | MDD -30.3%
Months 72M (20%)
CAGR 10.5% | Win 61%
Sharpe 0.69 | Sortino 1.02 | Calmar 0.2
Vol 16% | MDD -49.4%
Months 225M (63%)
SLmean
neg
CAGR -11.9% | Win 46%
Sharpe -0.58 | Sortino -0.76 | Calmar -0.2
Vol 19% | MDD -55.1%
Months 67M (19%)
CAGR 12.4% | Win 64%
Sharpe 0.55 | Sortino 0.60 | Calmar 0.2
Vol 30% | MDD -56.2%
Months 67M (19%)
CAGR -0.5% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar -0.0
Vol 25% | MDD -66.5%
Months 134M (37%)
MACD
only
CAGR 2.3% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 16% | MDD -58.0%
Months 220M (61%)
CAGR 12.9% | Win 65%
Sharpe 0.62 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -58.4%
Months 139M (39%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 9.5% | Win 61%
Sharpe 0.66 | Sortino 0.93 | Calmar 0.2
Vol 16% | MDD -41.8%
Months 189M (53%)
CAGR 15.7% | Win 61%
Sharpe 0.83 | Sortino 1.45 | Calmar 0.7
Vol 20% | MDD -22.7%
Months 36M (10%)
CAGR 10.5% | Win 61%
Sharpe 0.69 | Sortino 1.02 | Calmar 0.2
Vol 16% | MDD -49.4%
Months 225M (63%)
SLmean
neg
CAGR 2.1% | Win 56%
Sharpe 0.21 | Sortino 0.28 | Calmar 0.1
Vol 16% | MDD -25.7%
Months 61M (17%)
CAGR -2.6% | Win 55%
Sharpe 0.08 | Sortino 0.10 | Calmar -0.0
Vol 31% | MDD -59.6%
Months 73M (20%)
CAGR -0.5% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar -0.0
Vol 25% | MDD -66.5%
Months 134M (37%)
RSI
only
CAGR 7.7% | Win 60%
Sharpe 0.55 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -40.0%
Months 250M (70%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 28% | MDD -59.6%
Months 109M (30%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 11.0% | Win 59%
Sharpe 0.79 | Sortino 1.30 | Calmar 0.4
Vol 15% | MDD -25.6%
Months 146M (41%)
CAGR 9.6% | Win 66%
Sharpe 0.57 | Sortino 0.77 | Calmar 0.3
Vol 19% | MDD -36.7%
Months 79M (22%)
CAGR 10.5% | Win 61%
Sharpe 0.69 | Sortino 1.02 | Calmar 0.2
Vol 16% | MDD -49.4%
Months 225M (63%)
SLmean
neg
CAGR -13.9% | Win 45%
Sharpe -0.46 | Sortino -0.64 | Calmar -0.4
Vol 25% | MDD -36.5%
Months 29M (8%)
CAGR 3.6% | Win 58%
Sharpe 0.27 | Sortino 0.32 | Calmar 0.1
Vol 25% | MDD -66.5%
Months 105M (29%)
CAGR -0.5% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar -0.0
Vol 25% | MDD -66.5%
Months 134M (37%)
MACDhist
only
CAGR 6.4% | Win 57%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.2
Vol 17% | MDD -36.3%
Months 175M (49%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.1
Vol 23% | MDD -69.8%
Months 184M (51%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 11.4% | Win 61%
Sharpe 0.76 | Sortino 1.18 | Calmar 0.3
Vol 16% | MDD -40.6%
Months 183M (51%)
CAGR 6.6% | Win 64%
Sharpe 0.45 | Sortino 0.54 | Calmar 0.2
Vol 18% | MDD -29.8%
Months 42M (12%)
CAGR 10.5% | Win 61%
Sharpe 0.69 | Sortino 1.02 | Calmar 0.2
Vol 16% | MDD -49.4%
Months 225M (63%)
SLmean
neg
CAGR -3.3% | Win 36%
Sharpe -0.01 | Sortino -0.03 | Calmar -0.2
Vol 26% | MDD -16.9%
Months 11M (3%)
CAGR -0.2% | Win 57%
Sharpe 0.13 | Sortino 0.15 | Calmar -0.0
Vol 25% | MDD -66.5%
Months 123M (34%)
CAGR -0.5% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar -0.0
Vol 25% | MDD -66.5%
Months 134M (37%)
RSIhist
only
CAGR 10.5% | Win 59%
Sharpe 0.69 | Sortino 1.07 | Calmar 0.3
Vol 17% | MDD -41.3%
Months 194M (54%)
CAGR 1.5% | Win 59%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 24% | MDD -70.0%
Months 165M (46%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.0% | Win 62%
Sharpe 0.76 | Sortino 1.20 | Calmar 0.3
Vol 15% | MDD -38.3%
Months 187M (52%)
CAGR 7.9% | Win 60%
Sharpe 0.47 | Sortino 0.60 | Calmar 0.6
Vol 21% | MDD -13.2%
Months 38M (11%)
CAGR 10.5% | Win 61%
Sharpe 0.69 | Sortino 1.02 | Calmar 0.2
Vol 16% | MDD -49.4%
Months 225M (63%)
SLmean
neg
CAGR 0.9% | Win 56%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 20% | MDD -35.8%
Months 82M (23%)
CAGR -2.6% | Win 54%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 33% | MDD -66.2%
Months 52M (14%)
CAGR -0.5% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar -0.0
Vol 25% | MDD -66.5%
Months 134M (37%)
LWTI
only
CAGR 7.8% | Win 60%
Sharpe 0.54 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 269M (75%)
CAGR 1.7% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 28% | MDD -67.4%
Months 90M (25%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 2.9% | Win 56%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 17% | MDD -54.7%
Months 209M (58%)
CAGR 14.2% | Win 64%
Sharpe 0.64 | Sortino 0.76 | Calmar 0.3
Vol 27% | MDD -56.2%
Months 118M (33%)
CAGR 6.8% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 21% | MDD -70.4%
Months 327M (91%)
RSmean
neg
CAGR -8.5% | Win 36%
Sharpe -0.91 | Sortino -1.70 | Calmar -1.0
Vol 9% | MDD -8.5%
Months 11M (3%)
CAGR 5.9% | Win 67%
Sharpe 0.54 | Sortino 0.49 | Calmar 0.4
Vol 12% | MDD -14.7%
Months 21M (6%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.13 | Calmar 0.0
Vol 11% | MDD -17.3%
Months 32M (9%)
MACD
only
CAGR 2.3% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 16% | MDD -58.0%
Months 220M (61%)
CAGR 12.9% | Win 65%
Sharpe 0.62 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -58.4%
Months 139M (39%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.9% | Win 60%
Sharpe 0.55 | Sortino 0.77 | Calmar 0.2
Vol 16% | MDD -38.3%
Months 226M (63%)
CAGR 4.4% | Win 57%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.1
Vol 29% | MDD -59.6%
Months 101M (28%)
CAGR 6.8% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 21% | MDD -70.4%
Months 327M (91%)
RSmean
neg
CAGR 5.4% | Win 58%
Sharpe 0.68 | Sortino 1.03 | Calmar 0.8
Vol 8% | MDD -6.5%
Months 24M (7%)
CAGR -12.2% | Win 50%
Sharpe -0.67 | Sortino -0.75 | Calmar -0.8
Vol 17% | MDD -14.7%
Months 8M (2%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.13 | Calmar 0.0
Vol 11% | MDD -17.3%
Months 32M (9%)
RSI
only
CAGR 7.7% | Win 60%
Sharpe 0.55 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -40.0%
Months 250M (70%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 28% | MDD -59.6%
Months 109M (30%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 7.2% | Win 57%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.2
Vol 17% | MDD -34.4%
Months 167M (46%)
CAGR 6.5% | Win 61%
Sharpe 0.39 | Sortino 0.47 | Calmar 0.1
Vol 24% | MDD -69.8%
Months 160M (45%)
CAGR 6.8% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 21% | MDD -70.4%
Months 327M (91%)
RSmean
neg
CAGR -8.5% | Win 38%
Sharpe -0.78 | Sortino -1.59 | Calmar -0.8
Vol 11% | MDD -11.3%
Months 8M (2%)
CAGR 4.0% | Win 62%
Sharpe 0.40 | Sortino 0.39 | Calmar 0.2
Vol 11% | MDD -16.7%
Months 24M (7%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.13 | Calmar 0.0
Vol 11% | MDD -17.3%
Months 32M (9%)
MACDhist
only
CAGR 6.4% | Win 57%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.2
Vol 17% | MDD -36.3%
Months 175M (49%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.1
Vol 23% | MDD -69.8%
Months 184M (51%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 10.9% | Win 60%
Sharpe 0.70 | Sortino 1.09 | Calmar 0.3
Vol 17% | MDD -43.1%
Months 183M (51%)
CAGR 1.9% | Win 58%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 25% | MDD -70.0%
Months 144M (40%)
CAGR 6.8% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 21% | MDD -70.4%
Months 327M (91%)
RSmean
neg
CAGR 4.3% | Win 46%
Sharpe 0.41 | Sortino 0.76 | Calmar 1.0
Vol 12% | MDD -4.3%
Months 11M (3%)
CAGR -1.1% | Win 62%
Sharpe -0.05 | Sortino -0.04 | Calmar -0.1
Vol 11% | MDD -18.4%
Months 21M (6%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.13 | Calmar 0.0
Vol 11% | MDD -17.3%
Months 32M (9%)
RSIhist
only
CAGR 10.5% | Win 59%
Sharpe 0.69 | Sortino 1.07 | Calmar 0.3
Vol 17% | MDD -41.3%
Months 194M (54%)
CAGR 1.5% | Win 59%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 24% | MDD -70.0%
Months 165M (46%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 8.0% | Win 59%
Sharpe 0.53 | Sortino 0.79 | Calmar 0.2
Vol 17% | MDD -49.1%
Months 244M (68%)
CAGR 3.4% | Win 59%
Sharpe 0.27 | Sortino 0.32 | Calmar 0.1
Vol 29% | MDD -67.4%
Months 83M (23%)
CAGR 6.8% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 21% | MDD -70.4%
Months 327M (91%)
RSmean
neg
CAGR 6.0% | Win 64%
Sharpe 0.72 | Sortino 0.97 | Calmar 0.8
Vol 8% | MDD -7.2%
Months 25M (7%)
CAGR -16.1% | Win 29%
Sharpe -0.92 | Sortino -1.11 | Calmar -1.3
Vol 18% | MDD -12.3%
Months 7M (2%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.13 | Calmar 0.0
Vol 11% | MDD -17.3%
Months 32M (9%)
LWTI
only
CAGR 7.8% | Win 60%
Sharpe 0.54 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 269M (75%)
CAGR 1.7% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 28% | MDD -67.4%
Months 90M (25%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 6.3% | Win 57%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.1
Vol 16% | MDD -43.0%
Months 201M (56%)
CAGR -31.8% | Win 37%
Sharpe -1.62 | Sortino -2.15 | Calmar -0.7
Vol 22% | MDD -44.9%
Months 19M (5%)
CAGR 2.3% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 16% | MDD -58.0%
Months 220M (61%)
MACD
neg
CAGR 13.7% | Win 71%
Sharpe 0.89 | Sortino 0.91 | Calmar 0.9
Vol 16% | MDD -14.4%
Months 49M (14%)
CAGR 12.5% | Win 61%
Sharpe 0.56 | Sortino 0.69 | Calmar 0.2
Vol 29% | MDD -57.4%
Months 90M (25%)
CAGR 12.9% | Win 65%
Sharpe 0.62 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -58.4%
Months 139M (39%)
RSI
only
CAGR 7.7% | Win 60%
Sharpe 0.55 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -40.0%
Months 250M (70%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 28% | MDD -59.6%
Months 109M (30%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 5.0% | Win 54%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.1
Vol 15% | MDD -44.7%
Months 138M (38%)
CAGR -2.1% | Win 57%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.1
Vol 19% | MDD -36.5%
Months 82M (23%)
CAGR 2.3% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 16% | MDD -58.0%
Months 220M (61%)
MACD
neg
CAGR 12.1% | Win 65%
Sharpe 0.62 | Sortino 0.77 | Calmar 0.4
Vol 23% | MDD -28.1%
Months 37M (10%)
CAGR 13.2% | Win 65%
Sharpe 0.62 | Sortino 0.69 | Calmar 0.2
Vol 26% | MDD -56.2%
Months 102M (28%)
CAGR 12.9% | Win 65%
Sharpe 0.62 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -58.4%
Months 139M (39%)
MACDhist
only
CAGR 6.4% | Win 57%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.2
Vol 17% | MDD -36.3%
Months 175M (49%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.1
Vol 23% | MDD -69.8%
Months 184M (51%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 11.3% | Win 60%
Sharpe 0.83 | Sortino 1.44 | Calmar 0.4
Vol 14% | MDD -28.6%
Months 127M (35%)
CAGR -8.9% | Win 50%
Sharpe -0.39 | Sortino -0.52 | Calmar -0.1
Vol 19% | MDD -62.6%
Months 93M (26%)
CAGR 2.3% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 16% | MDD -58.0%
Months 220M (61%)
MACD
neg
CAGR 9.0% | Win 58%
Sharpe 0.52 | Sortino 0.80 | Calmar 0.3
Vol 21% | MDD -32.3%
Months 67M (19%)
CAGR 16.7% | Win 71%
Sharpe 0.70 | Sortino 0.69 | Calmar 0.3
Vol 28% | MDD -56.2%
Months 72M (20%)
CAGR 12.9% | Win 65%
Sharpe 0.62 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -58.4%
Months 139M (39%)
RSIhist
only
CAGR 10.5% | Win 59%
Sharpe 0.69 | Sortino 1.07 | Calmar 0.3
Vol 17% | MDD -41.3%
Months 194M (54%)
CAGR 1.5% | Win 59%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 24% | MDD -70.0%
Months 165M (46%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 5.6% | Win 57%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.1
Vol 15% | MDD -56.0%
Months 202M (56%)
CAGR -28.2% | Win 39%
Sharpe -1.19 | Sortino -1.39 | Calmar -0.7
Vol 25% | MDD -41.3%
Months 18M (5%)
CAGR 2.3% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 16% | MDD -58.0%
Months 220M (61%)
MACD
neg
CAGR 15.0% | Win 69%
Sharpe 0.80 | Sortino 0.97 | Calmar 0.4
Vol 20% | MDD -39.3%
Months 67M (19%)
CAGR 11.0% | Win 61%
Sharpe 0.52 | Sortino 0.59 | Calmar 0.2
Vol 29% | MDD -56.2%
Months 72M (20%)
CAGR 12.9% | Win 65%
Sharpe 0.62 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -58.4%
Months 139M (39%)
LWTI
only
CAGR 7.8% | Win 60%
Sharpe 0.54 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 269M (75%)
CAGR 1.7% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 28% | MDD -67.4%
Months 90M (25%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 8.9% | Win 58%
Sharpe 0.66 | Sortino 1.05 | Calmar 0.3
Vol 15% | MDD -28.6%
Months 152M (42%)
CAGR 5.8% | Win 63%
Sharpe 0.42 | Sortino 0.50 | Calmar 0.2
Vol 17% | MDD -33.2%
Months 98M (27%)
CAGR 7.7% | Win 60%
Sharpe 0.55 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -40.0%
Months 250M (70%)
RSI
neg
CAGR -8.6% | Win 48%
Sharpe -0.19 | Sortino -0.26 | Calmar -0.3
Vol 28% | MDD -26.6%
Months 23M (6%)
CAGR 6.5% | Win 59%
Sharpe 0.37 | Sortino 0.46 | Calmar 0.1
Vol 28% | MDD -59.6%
Months 86M (24%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 28% | MDD -59.6%
Months 109M (30%)
MACDhist
only
CAGR 6.4% | Win 57%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.2
Vol 17% | MDD -36.3%
Months 175M (49%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.1
Vol 23% | MDD -69.8%
Months 184M (51%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 10.7% | Win 61%
Sharpe 0.75 | Sortino 1.11 | Calmar 0.4
Vol 15% | MDD -25.6%
Months 157M (44%)
CAGR 2.8% | Win 58%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 16% | MDD -40.5%
Months 93M (26%)
CAGR 7.7% | Win 60%
Sharpe 0.55 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -40.0%
Months 250M (70%)
RSI
neg
CAGR 9.7% | Win 51%
Sharpe 0.53 | Sortino 0.98 | Calmar 0.5
Vol 22% | MDD -21.4%
Months 37M (10%)
CAGR -0.1% | Win 60%
Sharpe 0.16 | Sortino 0.19 | Calmar -0.0
Vol 31% | MDD -59.6%
Months 72M (20%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 28% | MDD -59.6%
Months 109M (30%)
RSIhist
only
CAGR 10.5% | Win 59%
Sharpe 0.69 | Sortino 1.07 | Calmar 0.3
Vol 17% | MDD -41.3%
Months 194M (54%)
CAGR 1.5% | Win 59%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 24% | MDD -70.0%
Months 165M (46%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 10.7% | Win 62%
Sharpe 0.76 | Sortino 1.22 | Calmar 0.3
Vol 15% | MDD -32.4%
Months 231M (64%)
CAGR -22.7% | Win 42%
Sharpe -1.04 | Sortino -1.05 | Calmar -0.6
Vol 22% | MDD -38.1%
Months 19M (5%)
CAGR 7.7% | Win 60%
Sharpe 0.55 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -40.0%
Months 250M (70%)
RSI
neg
CAGR -7.8% | Win 50%
Sharpe -0.19 | Sortino -0.29 | Calmar -0.2
Vol 25% | MDD -40.7%
Months 38M (11%)
CAGR 9.5% | Win 61%
Sharpe 0.46 | Sortino 0.55 | Calmar 0.2
Vol 29% | MDD -59.6%
Months 71M (20%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 28% | MDD -59.6%
Months 109M (30%)
LWTI
only
CAGR 7.8% | Win 60%
Sharpe 0.54 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 269M (75%)
CAGR 1.7% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 28% | MDD -67.4%
Months 90M (25%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 12.2% | Win 60%
Sharpe 0.82 | Sortino 1.29 | Calmar 0.4
Vol 16% | MDD -27.6%
Months 139M (39%)
CAGR -13.3% | Win 44%
Sharpe -0.58 | Sortino -0.75 | Calmar -0.3
Vol 21% | MDD -38.6%
Months 36M (10%)
CAGR 6.4% | Win 57%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.2
Vol 17% | MDD -36.3%
Months 175M (49%)
MACDhist
neg
CAGR 6.3% | Win 58%
Sharpe 0.41 | Sortino 0.66 | Calmar 0.2
Vol 19% | MDD -34.6%
Months 55M (15%)
CAGR 6.0% | Win 63%
Sharpe 0.37 | Sortino 0.42 | Calmar 0.1
Vol 24% | MDD -69.8%
Months 129M (36%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.1
Vol 23% | MDD -69.8%
Months 184M (51%)
RSIhist
only
CAGR 10.5% | Win 59%
Sharpe 0.69 | Sortino 1.07 | Calmar 0.3
Vol 17% | MDD -41.3%
Months 194M (54%)
CAGR 1.5% | Win 59%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 24% | MDD -70.0%
Months 165M (46%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 5.5% | Win 55%
Sharpe 0.40 | Sortino 0.57 | Calmar 0.1
Vol 17% | MDD -39.1%
Months 166M (46%)
CAGR 25.7% | Win 78%
Sharpe 2.15 | Sortino 4.32 | Calmar 7.8
Vol 11% | MDD -3.3%
Months 9M (2%)
CAGR 6.4% | Win 57%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.2
Vol 17% | MDD -36.3%
Months 175M (49%)
MACDhist
neg
CAGR 11.8% | Win 67%
Sharpe 0.78 | Sortino 1.20 | Calmar 0.6
Vol 16% | MDD -18.8%
Months 103M (29%)
CAGR -0.6% | Win 54%
Sharpe 0.14 | Sortino 0.17 | Calmar -0.0
Vol 30% | MDD -67.4%
Months 81M (23%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.1
Vol 23% | MDD -69.8%
Months 184M (51%)
LWTI
only
CAGR 7.8% | Win 60%
Sharpe 0.54 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 269M (75%)
CAGR 1.7% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 28% | MDD -67.4%
Months 90M (25%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 10.1% | Win 60%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.3
Vol 16% | MDD -37.1%
Months 157M (44%)
CAGR 12.3% | Win 57%
Sharpe 0.72 | Sortino 1.30 | Calmar 0.7
Vol 18% | MDD -17.0%
Months 37M (10%)
CAGR 10.5% | Win 59%
Sharpe 0.69 | Sortino 1.07 | Calmar 0.3
Vol 17% | MDD -41.3%
Months 194M (54%)
RSIhist
neg
CAGR 4.7% | Win 60%
Sharpe 0.35 | Sortino 0.49 | Calmar 0.1
Vol 17% | MDD -31.9%
Months 112M (31%)
CAGR -5.0% | Win 57%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 34% | MDD -67.4%
Months 53M (15%)
CAGR 1.5% | Win 59%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 24% | MDD -70.0%
Months 165M (46%)
LWTI
only
CAGR 7.8% | Win 60%
Sharpe 0.54 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 269M (75%)
CAGR 1.7% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 28% | MDD -67.4%
Months 90M (25%)