EWK - iShares MSCI Belgium ETF

Signal Pair Analysis

MACDhist-LWTI

Best Pair

25.6%

Best CAGR

105

Total Months

4.2%

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 25.6 77.8 2.1 4.3 7.7 11.0 -3.3
pair LWTI MACDhist pos-neg 9 2.5 25.6 77.8 2.1 4.3 7.7 11.0 -3.3
pair MRmean RSIhist neg-pos 15 4.1 23.3 60.0 1.0 1.6 1.7 24.1 -14.0
pair RSIhist MRmean neg-pos 15 4.1 23.3 60.0 1.0 1.6 1.7 24.1 -14.0
pair MACD MRmean neg-neg 77 21.0 16.2 67.5 0.7 0.7 0.3 29.0 -57.9
pair MRmean MACD neg-neg 77 21.0 16.2 67.5 0.7 0.7 0.3 29.0 -57.9
pair SLmean RSI pos-neg 37 10.1 15.4 62.2 0.8 1.4 0.7 19.7 -22.7
pair RSI SLmean pos-neg 37 10.1 15.4 62.2 0.8 1.4 0.7 19.7 -22.7
pair RSIhist MACD neg-neg 75 20.4 15.1 70.7 0.7 0.7 0.3 28.1 -56.2
pair MACD RSIhist neg-neg 75 20.4 15.1 70.7 0.7 0.7 0.3 28.1 -56.2
pair LWTI MACD neg-pos 67 18.3 15.0 68.7 0.8 1.0 0.4 20.3 -39.3
pair MACD LWTI neg-pos 67 18.3 15.0 68.7 0.8 1.0 0.4 20.3 -39.3
pair MRmean RSIhist pos-neg 52 14.2 14.5 69.2 1.0 1.7 1.0 14.6 -14.7
pair RSIhist MRmean pos-neg 52 14.2 14.5 69.2 1.0 1.7 1.0 14.6 -14.7
pair MACD RSmean pos-neg 118 32.2 14.2 64.4 0.6 0.8 0.2 26.6 -56.2
pair RSmean MACD pos-neg 118 32.2 14.2 64.4 0.6 0.8 0.2 26.6 -56.2
pair RSI MACD neg-pos 37 10.1 14.0 70.3 0.8 0.9 1.0 18.3 -14.4
pair MACD RSI neg-pos 37 10.1 14.0 70.3 0.8 0.9 1.0 18.3 -14.4
pair MACD SLmean pos-neg 72 19.6 13.4 65.3 0.8 1.1 0.4 18.9 -30.3
pair SLmean MACD pos-neg 72 19.6 13.4 65.3 0.8 1.1 0.4 18.9 -30.3
pair MACDhist MRmean pos-neg 68 18.5 13.3 67.6 0.8 1.3 0.7 16.6 -19.0
pair MRmean MACDhist pos-neg 68 18.5 13.3 67.6 0.8 1.3 0.7 16.6 -19.0
pair MACDhist MACD neg-neg 102 27.8 13.2 64.7 0.6 0.7 0.2 25.8 -56.2
pair MACD MACDhist neg-neg 102 27.8 13.2 64.7 0.6 0.7 0.2 25.8 -56.2
single MACD MACD neg-neg 139 37.9 12.9 64.7 0.6 0.7 0.2 24.9 -58.4
pair MACD RSI neg-neg 102 27.8 12.6 62.7 0.6 0.7 0.2 27.0 -57.4
pair RSI MACD neg-neg 102 27.8 12.6 62.7 0.6 0.7 0.2 27.0 -57.4
pair SLmean MACD neg-neg 67 18.3 12.4 64.2 0.6 0.6 0.2 30.2 -56.2
pair MACD SLmean neg-neg 67 18.3 12.4 64.2 0.6 0.6 0.2 30.2 -56.2
pair RSIhist LWTI pos-neg 37 10.1 12.3 56.8 0.7 1.3 0.7 18.5 -17.0
pair LWTI RSIhist pos-neg 37 10.1 12.3 56.8 0.7 1.3 0.7 18.5 -17.0
pair MACD MACDhist neg-pos 37 10.1 12.1 64.9 0.6 0.8 0.4 22.7 -28.1
pair MACDhist MACD neg-pos 37 10.1 12.1 64.9 0.6 0.8 0.4 22.7 -28.1
pair LWTI MACDhist neg-pos 103 28.1 11.8 67.0 0.8 1.2 0.6 15.9 -18.7
pair MACDhist LWTI neg-pos 103 28.1 11.8 67.0 0.8 1.2 0.6 15.9 -18.7
pair MACD LWTI neg-neg 72 19.6 11.0 61.1 0.5 0.6 0.2 28.6 -56.2
pair LWTI MACD neg-neg 72 19.6 11.0 61.1 0.5 0.6 0.2 28.6 -56.2
pair MRmean RSI pos-pos 206 56.1 10.9 62.6 0.8 1.2 0.4 15.0 -29.5
pair SLmean MRmean pos-pos 212 57.8 10.9 60.4 0.8 1.2 0.3 15.5 -35.3
pair MRmean SLmean pos-pos 212 57.8 10.9 60.4 0.8 1.2 0.3 15.5 -35.3
pair RSI MRmean pos-pos 206 56.1 10.9 62.6 0.8 1.2 0.4 15.0 -29.5
pair RSIhist SLmean pos-pos 185 50.4 10.8 60.0 0.7 1.1 0.3 16.0 -40.6
pair SLmean RSIhist pos-pos 185 50.4 10.8 60.0 0.7 1.1 0.3 16.0 -40.6
pair MACDhist RSIhist pos-pos 144 39.2 10.7 59.0 0.7 1.1 0.4 15.7 -27.6
pair RSIhist MACDhist pos-pos 144 39.2 10.7 59.0 0.7 1.1 0.4 15.7 -27.6
pair MACD RSIhist neg-pos 64 17.4 10.5 57.8 0.6 0.9 0.3 20.7 -32.2
pair MACD MRmean pos-pos 171 46.6 10.5 60.8 0.8 1.4 0.3 14.4 -31.7
pair MRmean MACD pos-pos 171 46.6 10.5 60.8 0.8 1.4 0.3 14.4 -31.7
pair RSmean MRmean pos-pos 224 61.0 10.5 61.2 0.7 1.1 0.3 15.7 -37.5
pair MRmean RSmean pos-pos 224 61.0 10.5 61.2 0.7 1.1 0.3 15.7 -37.5
pair RSIhist MACD neg-pos 64 17.4 10.5 57.8 0.6 0.9 0.3 20.7 -32.2
pair RSIhist RSmean pos-pos 185 50.4 10.3 59.5 0.7 1.1 0.2 16.9 -43.1
pair RSmean RSIhist pos-pos 185 50.4 10.3 59.5 0.7 1.1 0.2 16.9 -43.1
pair LWTI SLmean pos-pos 193 52.6 10.2 61.1 0.7 1.1 0.3 15.4 -38.4
pair MRmean LWTI pos-neg 26 7.1 10.2 53.8 0.7 1.5 0.6 16.0 -17.9
pair SLmean LWTI pos-pos 193 52.6 10.2 61.1 0.7 1.1 0.3 15.4 -38.4
pair LWTI MRmean pos-neg 26 7.1 10.2 53.8 0.7 1.5 0.6 16.0 -17.9
single MRmean MRmean pos-pos 233 63.5 10.1 60.9 0.7 1.1 0.3 15.6 -35.3
pair SLmean RSmean pos-pos 221 60.2 10.1 61.1 0.7 1.0 0.2 16.7 -51.2
pair RSmean SLmean pos-pos 221 60.2 10.1 61.1 0.7 1.0 0.2 16.7 -51.2
pair LWTI RSI pos-pos 227 61.9 10.1 60.8 0.7 1.2 0.3 15.2 -32.3
pair RSI LWTI pos-pos 227 61.9 10.1 60.8 0.7 1.2 0.3 15.2 -32.3
pair MRmean LWTI pos-pos 207 56.4 10.1 61.8 0.7 1.1 0.3 15.6 -36.5
pair LWTI MRmean pos-pos 207 56.4 10.1 61.8 0.7 1.1 0.3 15.6 -36.5
pair RSIhist RSI pos-pos 159 43.3 10.0 60.4 0.7 1.1 0.4 15.1 -25.6
pair RSI RSIhist pos-pos 159 43.3 10.0 60.4 0.7 1.1 0.4 15.1 -25.6
pair SLmean MACDhist pos-pos 152 41.4 9.9 58.6 0.7 1.2 0.4 14.8 -25.6
pair MACDhist SLmean pos-pos 152 41.4 9.9 58.6 0.7 1.2 0.4 14.8 -25.6
single RSIhist RSIhist pos-pos 196 53.4 9.9 58.7 0.7 1.0 0.2 16.6 -41.3
single SLmean SLmean pos-pos 231 62.9 9.8 61.0 0.7 1.0 0.2 16.5 -49.4
pair MACD RSIhist pos-pos 132 36.0 9.7 59.1 0.7 1.2 0.3 14.3 -28.5
pair RSIhist MACD pos-pos 132 36.0 9.7 59.1 0.7 1.2 0.3 14.3 -28.5
pair RSI RSIhist neg-pos 37 10.1 9.7 51.4 0.5 1.0 0.5 22.3 -21.4
pair RSIhist RSI neg-pos 37 10.1 9.7 51.4 0.5 1.0 0.5 22.3 -21.4
pair SLmean MACDhist pos-neg 79 21.5 9.6 65.8 0.6 0.8 0.3 19.4 -36.7
pair MACDhist SLmean pos-neg 79 21.5 9.6 65.8 0.6 0.8 0.3 19.4 -36.7
pair LWTI RSI neg-neg 71 19.3 9.5 60.6 0.5 0.6 0.2 29.4 -59.6
pair RSI LWTI neg-neg 71 19.3 9.5 60.6 0.5 0.6 0.2 29.4 -59.6
pair LWTI RSIhist pos-pos 159 43.3 9.4 59.1 0.6 1.0 0.2 16.2 -37.1
pair RSIhist LWTI pos-pos 159 43.3 9.4 59.1 0.6 1.0 0.2 16.2 -37.1
pair MRmean MACD pos-neg 62 16.9 9.0 61.3 0.6 0.8 0.4 18.7 -23.7
pair MACD MRmean pos-neg 62 16.9 9.0 61.3 0.6 0.8 0.4 18.7 -23.7
pair MRmean RSIhist pos-pos 181 49.3 8.9 58.6 0.6 1.0 0.3 15.9 -32.9
pair RSIhist MRmean pos-pos 181 49.3 8.9 58.6 0.6 1.0 0.3 15.9 -32.9
pair SLmean RSI pos-pos 194 52.9 8.8 60.8 0.6 0.9 0.2 15.8 -41.8
pair RSI SLmean pos-pos 194 52.9 8.8 60.8 0.6 0.9 0.2 15.8 -41.8
pair MRmean MACDhist pos-pos 165 45.0 8.8 58.2 0.6 1.0 0.3 15.2 -26.3
pair MACDhist MRmean pos-pos 165 45.0 8.8 58.2 0.6 1.0 0.3 15.2 -26.3
pair RSI MACDhist pos-pos 160 43.6 8.4 58.1 0.6 1.0 0.3 14.8 -28.6
pair MACDhist RSI pos-pos 160 43.6 8.4 58.1 0.6 1.0 0.3 14.8 -28.6
pair MACD SLmean pos-pos 159 43.3 8.2 59.1 0.6 0.9 0.3 15.3 -32.3
pair SLmean MACD pos-pos 159 43.3 8.2 59.1 0.6 0.9 0.3 15.3 -32.3
pair RSIhist MACDhist neg-pos 52 14.2 7.9 57.7 0.5 0.8 0.2 19.0 -34.6
pair MACDhist RSIhist neg-pos 52 14.2 7.9 57.7 0.5 0.8 0.2 19.0 -34.6
pair LWTI SLmean pos-neg 38 10.4 7.9 60.5 0.5 0.6 0.6 21.1 -13.2
pair SLmean LWTI pos-neg 38 10.4 7.9 60.5 0.5 0.6 0.6 21.1 -13.2
pair LWTI RSmean pos-pos 252 68.7 7.8 59.5 0.5 0.8 0.2 17.3 -49.0
pair RSmean LWTI pos-pos 252 68.7 7.8 59.5 0.5 0.8 0.2 17.3 -49.0
pair RSI RSmean pos-pos 233 63.5 7.7 60.1 0.5 0.8 0.2 16.3 -38.3
pair RSmean RSI pos-pos 233 63.5 7.7 60.1 0.5 0.8 0.2 16.3 -38.3
single LWTI LWTI pos-pos 277 75.5 7.6 59.9 0.5 0.8 0.1 16.7 -48.9
pair RSI MACDhist neg-neg 98 26.7 7.3 61.2 0.4 0.5 0.1 26.5 -59.6
pair MACDhist RSI neg-neg 98 26.7 7.3 61.2 0.4 0.5 0.1 26.5 -59.6
single RSI RSI pos-pos 246 67.0 7.2 59.3 0.5 0.7 0.2 16.0 -40.0
pair RSmean MACDhist pos-pos 175 47.7 6.9 57.7 0.5 0.7 0.2 17.2 -34.4
pair MACDhist RSmean pos-pos 175 47.7 6.9 57.7 0.5 0.7 0.2 17.2 -34.4
single RSmean RSmean pos-pos 335 91.3 6.7 59.4 0.4 0.5 0.1 20.8 -70.4
pair MACDhist RSmean pos-neg 160 43.6 6.5 61.2 0.4 0.5 0.1 24.2 -69.8
pair RSmean MACDhist pos-neg 160 43.6 6.5 61.2 0.4 0.5 0.1 24.2 -69.8
pair SLmean RSIhist pos-neg 46 12.5 6.1 65.2 0.4 0.5 0.2 18.3 -29.8
single MACDhist MACDhist pos-pos 183 49.9 6.1 56.8 0.4 0.6 0.2 17.0 -36.3
pair RSIhist SLmean pos-neg 46 12.5 6.1 65.2 0.4 0.5 0.2 18.3 -29.8
pair benchmark___benchmark_ benchmark-benchmark 367 100.0 6.1 59.1 0.4 0.5 0.1 20.1 -70.4
pair benchmark___benchmark_ benchmark-benchmark 367 100.0 6.1 59.1 0.4 0.5 0.1 20.1 -70.4
single MACDhist MACDhist neg-neg 184 50.1 6.1 61.4 0.4 0.5 0.1 22.9 -69.8
pair MACD RSI pos-pos 209 56.9 6.0 57.4 0.5 0.7 0.1 15.6 -43.0
pair LWTI RSmean neg-pos 25 6.8 6.0 64.0 0.7 1.0 0.8 8.5 -7.2
pair RSI MACD pos-pos 209 56.9 6.0 57.4 0.5 0.7 0.1 15.6 -43.0
pair RSmean LWTI neg-pos 25 6.8 6.0 64.0 0.7 1.0 0.8 8.5 -7.2
pair MACD RSmean neg-neg 21 5.7 5.9 66.7 0.6 0.5 0.4 11.8 -14.7
pair RSmean MACD neg-neg 21 5.7 5.9 66.7 0.6 0.5 0.4 11.8 -14.7
pair MACDhist RSIhist neg-neg 132 36.0 5.4 62.9 0.3 0.4 0.1 24.3 -69.8
pair RSIhist MACDhist neg-neg 132 36.0 5.4 62.9 0.3 0.4 0.1 24.3 -69.8
pair LWTI MACD pos-pos 210 57.2 5.3 57.1 0.4 0.7 0.1 15.4 -56.0
pair LWTI RSIhist neg-pos 118 32.2 5.3 61.0 0.4 0.5 0.2 17.4 -31.9
pair RSIhist LWTI neg-pos 118 32.2 5.3 61.0 0.4 0.5 0.2 17.4 -31.9
pair MACD LWTI pos-pos 210 57.2 5.3 57.1 0.4 0.7 0.1 15.4 -56.0
pair LWTI MACDhist pos-pos 174 47.4 5.2 55.7 0.4 0.5 0.1 17.2 -39.1
pair MACDhist LWTI pos-pos 174 47.4 5.2 55.7 0.4 0.5 0.1 17.2 -39.1
pair RSmean SLmean pos-neg 10 2.7 5.1 60.0 0.5 1.1 1.1 11.6 -4.6
pair SLmean RSmean pos-neg 10 2.7 5.1 60.0 0.5 1.1 1.1 11.6 -4.6
pair MACDhist RSI pos-neg 86 23.4 4.8 61.6 0.3 0.5 0.1 18.1 -33.2
pair RSI MACDhist pos-neg 86 23.4 4.8 61.6 0.3 0.5 0.1 18.1 -33.2
pair MACD MACDhist pos-pos 146 39.8 4.7 54.8 0.4 0.6 0.1 15.2 -44.7
pair MACDhist MACD pos-pos 146 39.8 4.7 54.8 0.4 0.6 0.1 15.2 -44.7
pair RSI RSmean pos-neg 102 27.8 4.4 57.8 0.3 0.4 0.1 28.7 -59.6
pair RSmean RSI pos-neg 102 27.8 4.4 57.8 0.3 0.4 0.1 28.7 -59.6
pair RSIhist RSmean neg-pos 11 3.0 4.3 45.5 0.4 0.8 1.0 11.5 -4.3
pair RSmean RSIhist neg-pos 11 3.0 4.3 45.5 0.4 0.8 1.0 11.5 -4.3
pair MRmean RSI pos-neg 27 7.4 4.1 48.1 0.3 0.6 0.2 19.8 -18.1
pair RSI MRmean pos-neg 27 7.4 4.1 48.1 0.3 0.6 0.2 19.8 -18.1
single RSI RSI neg-neg 121 33.0 4.0 58.7 0.3 0.4 0.1 26.7 -59.6
pair MRmean RSI neg-neg 94 25.6 4.0 61.7 0.3 0.3 0.1 28.5 -59.6
pair RSI MRmean neg-neg 94 25.6 4.0 61.7 0.3 0.3 0.1 28.5 -59.6
pair RSmean MACDhist neg-neg 24 6.5 4.0 62.5 0.4 0.4 0.2 11.3 -16.7
pair MACDhist RSmean neg-neg 24 6.5 4.0 62.5 0.4 0.4 0.2 11.3 -16.7
pair SLmean MACDhist neg-neg 105 28.6 3.6 58.1 0.3 0.3 0.1 25.3 -66.5
pair MACDhist SLmean neg-neg 105 28.6 3.6 58.1 0.3 0.3 0.1 25.3 -66.5
pair LWTI RSmean pos-neg 83 22.6 3.4 59.0 0.3 0.3 0.1 29.0 -67.4
pair RSmean LWTI pos-neg 83 22.6 3.4 59.0 0.3 0.3 0.1 29.0 -67.4
pair MACD RSmean pos-pos 217 59.1 2.8 56.7 0.2 0.3 0.1 16.8 -54.7
pair RSmean MACD pos-pos 217 59.1 2.8 56.7 0.2 0.3 0.1 16.8 -54.7
pair RSmean RSIhist pos-neg 150 40.9 2.4 59.3 0.2 0.3 0.0 24.8 -70.0
pair RSIhist RSmean pos-neg 150 40.9 2.4 59.3 0.2 0.3 0.0 24.8 -70.0
single MACD MACD pos-pos 228 62.1 2.2 55.7 0.2 0.3 0.0 16.5 -58.0
pair RSI RSIhist pos-neg 87 23.7 2.2 57.5 0.2 0.3 0.1 17.6 -40.5
pair RSIhist RSI pos-neg 87 23.7 2.2 57.5 0.2 0.3 0.1 17.6 -40.5
pair MRmean SLmean pos-neg 21 5.7 2.2 66.7 0.2 0.3 0.1 17.1 -19.0
pair MRmean MACDhist neg-neg 116 31.6 2.2 57.8 0.2 0.3 0.0 25.9 -67.6
pair MACDhist MRmean neg-neg 116 31.6 2.2 57.8 0.2 0.3 0.0 25.9 -67.6
pair SLmean MRmean pos-neg 21 5.7 2.2 66.7 0.2 0.3 0.1 17.1 -19.0
pair RSmean RSI neg-neg 19 5.2 2.0 63.2 0.2 0.2 0.1 11.9 -14.7
pair RSI RSmean neg-neg 19 5.2 2.0 63.2 0.2 0.2 0.1 11.9 -14.7
single RSIhist RSIhist neg-neg 171 46.6 1.9 59.6 0.2 0.2 0.0 23.5 -70.0
pair SLmean LWTI neg-pos 84 22.9 1.8 57.1 0.2 0.3 0.1 19.4 -35.8
pair LWTI SLmean neg-pos 84 22.9 1.8 57.1 0.2 0.3 0.1 19.4 -35.8
single LWTI LWTI neg-neg 90 24.5 1.7 56.7 0.2 0.2 0.0 28.3 -67.4
pair RSIhist RSI neg-neg 84 22.9 1.6 61.9 0.2 0.2 0.0 28.5 -59.6
pair RSI RSIhist neg-neg 84 22.9 1.6 61.9 0.2 0.2 0.0 28.5 -59.6
pair RSI SLmean neg-pos 52 14.2 1.3 53.8 0.2 0.2 0.1 16.8 -25.7
pair SLmean RSI neg-pos 52 14.2 1.3 53.8 0.2 0.2 0.1 16.8 -25.7
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
single RSmean RSmean neg-neg 32 8.7 0.7 56.2 0.1 0.1 0.0 11.1 -17.2
pair MRmean RSmean neg-neg 23 6.3 0.6 56.5 0.1 0.1 0.0 11.1 -16.4
pair RSmean MRmean neg-neg 23 6.3 0.6 56.5 0.1 0.1 0.0 11.1 -16.4
pair MRmean LWTI neg-pos 70 19.1 0.5 54.3 0.1 0.2 0.0 19.7 -35.6
pair LWTI MRmean neg-pos 70 19.1 0.5 54.3 0.1 0.2 0.0 19.7 -35.6
pair RSmean SLmean neg-pos 114 31.1 0.4 56.1 0.2 0.2 0.0 27.1 -66.5
pair SLmean RSmean neg-pos 114 31.1 0.4 56.1 0.2 0.2 0.0 27.1 -66.5
pair RSIhist SLmean neg-neg 125 34.1 0.4 57.6 0.1 0.2 0.0 25.3 -66.5
pair SLmean RSIhist neg-neg 125 34.1 0.4 57.6 0.1 0.2 0.0 25.3 -66.5
single SLmean SLmean neg-neg 136 37.1 0.1 55.9 0.1 0.2 0.0 25.2 -66.5
pair MRmean SLmean neg-neg 115 31.3 -0.2 53.9 0.1 0.2 -0.0 26.5 -66.5
pair SLmean MRmean neg-neg 115 31.3 -0.2 53.9 0.1 0.2 -0.0 26.5 -66.5
single MRmean MRmean neg-neg 134 36.5 -0.4 56.0 0.1 0.1 -0.0 26.2 -72.5
pair MACDhist LWTI neg-neg 81 22.1 -0.6 54.3 0.1 0.2 -0.0 29.6 -67.4
pair LWTI MACDhist neg-neg 81 22.1 -0.6 54.3 0.1 0.2 -0.0 29.6 -67.4
pair SLmean RSI neg-neg 84 22.9 -0.6 57.1 0.1 0.2 -0.0 29.3 -59.6
pair RSI SLmean neg-neg 84 22.9 -0.6 57.1 0.1 0.2 -0.0 29.3 -59.6
pair MRmean RSmean neg-pos 111 30.2 -0.7 55.9 0.1 0.2 -0.0 28.4 -68.2
pair RSmean MRmean neg-pos 111 30.2 -0.7 55.9 0.1 0.2 -0.0 28.4 -68.2
pair RSI RSmean neg-pos 13 3.5 -1.1 46.2 -0.1 -0.1 -0.2 10.1 -6.4
pair RSmean RSI neg-pos 13 3.5 -1.1 46.2 -0.1 -0.1 -0.2 10.1 -6.4
pair RSIhist RSmean neg-neg 21 5.7 -1.1 61.9 -0.0 -0.0 -0.1 11.1 -18.3
pair RSmean RSIhist neg-neg 21 5.7 -1.1 61.9 -0.0 -0.0 -0.1 11.1 -18.3
pair RSmean SLmean neg-neg 22 6.0 -1.2 54.5 -0.1 -0.1 -0.1 11.1 -16.4
pair SLmean RSmean neg-neg 22 6.0 -1.2 54.5 -0.1 -0.1 -0.1 11.1 -16.4
pair MRmean LWTI neg-neg 64 17.4 -1.5 57.8 0.1 0.1 -0.0 32.1 -67.4
pair LWTI MRmean neg-neg 64 17.4 -1.5 57.8 0.1 0.1 -0.0 32.1 -67.4
pair SLmean MRmean neg-pos 19 5.2 -1.7 68.4 0.1 0.1 -0.1 25.4 -14.8
pair MRmean SLmean neg-pos 19 5.2 -1.7 68.4 0.1 0.1 -0.1 25.4 -14.8
pair MACDhist MACD pos-neg 82 22.3 -2.1 57.3 -0.0 -0.0 -0.1 18.6 -36.5
pair MACD MACDhist pos-neg 82 22.3 -2.1 57.3 -0.0 -0.0 -0.1 18.6 -36.5
pair SLmean LWTI neg-neg 52 14.2 -2.6 53.8 0.1 0.1 -0.0 32.7 -66.2
pair LWTI SLmean neg-neg 52 14.2 -2.6 53.8 0.1 0.1 -0.0 32.7 -66.2
pair MRmean RSIhist neg-neg 119 32.4 -3.1 55.5 0.0 0.0 -0.0 26.5 -68.5
pair RSIhist MRmean neg-neg 119 32.4 -3.1 55.5 0.0 0.0 -0.0 26.5 -68.5
pair LWTI RSI neg-pos 50 13.6 -3.2 56.0 -0.0 -0.0 -0.1 22.3 -40.7
pair RSI LWTI neg-pos 50 13.6 -3.2 56.0 -0.0 -0.0 -0.1 22.3 -40.7
pair RSIhist SLmean neg-pos 11 3.0 -3.3 36.4 -0.0 -0.0 -0.2 25.6 -16.9
pair SLmean RSIhist neg-pos 11 3.0 -3.3 36.4 -0.0 -0.0 -0.2 25.6 -16.9
pair LWTI RSIhist neg-neg 53 14.4 -5.1 56.6 0.0 0.0 -0.1 33.6 -67.4
pair RSIhist LWTI neg-neg 53 14.4 -5.1 56.6 0.0 0.0 -0.1 33.6 -67.4
pair RSIhist MACD pos-neg 96 26.2 -7.3 51.0 -0.3 -0.4 -0.1 18.9 -62.6
pair MACD RSIhist pos-neg 96 26.2 -7.3 51.0 -0.3 -0.4 -0.1 18.9 -62.6
pair RSmean MACDhist neg-pos 8 2.2 -8.4 37.5 -0.8 -1.6 -0.8 10.8 -11.3
pair MACDhist RSmean neg-pos 8 2.2 -8.4 37.5 -0.8 -1.6 -0.8 10.8 -11.3
pair RSmean MACD neg-pos 11 3.0 -8.5 36.4 -0.9 -1.7 -1.0 9.3 -8.5
pair MACD RSmean neg-pos 11 3.0 -8.5 36.4 -0.9 -1.7 -1.0 9.3 -8.5
pair RSI MACDhist neg-pos 23 6.3 -8.6 47.8 -0.2 -0.3 -0.3 27.8 -26.6
pair MACDhist RSI neg-pos 23 6.3 -8.6 47.8 -0.2 -0.3 -0.3 27.8 -26.6
pair MACDhist RSIhist pos-neg 39 10.6 -9.1 48.7 -0.4 -0.5 -0.2 20.6 -38.5
pair RSIhist MACDhist pos-neg 39 10.6 -9.1 48.7 -0.4 -0.5 -0.2 20.6 -38.5
pair MRmean RSI neg-pos 40 10.9 -10.2 42.5 -0.4 -0.6 -0.2 19.9 -42.8
pair RSI MRmean neg-pos 40 10.9 -10.2 42.5 -0.4 -0.6 -0.2 19.9 -42.8
pair SLmean MACD neg-pos 69 18.8 -10.5 47.8 -0.5 -0.7 -0.2 18.6 -55.1
pair MACD SLmean neg-pos 69 18.8 -10.5 47.8 -0.5 -0.7 -0.2 18.6 -55.1
pair SLmean MACDhist neg-pos 31 8.4 -10.7 48.4 -0.3 -0.5 -0.3 24.9 -36.5
pair MACDhist SLmean neg-pos 31 8.4 -10.7 48.4 -0.3 -0.5 -0.3 24.9 -36.5
pair MRmean MACDhist neg-pos 18 4.9 -15.7 44.4 -0.5 -0.6 -0.5 28.4 -33.0
pair MACDhist MRmean neg-pos 18 4.9 -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 15.5 -19.2 40.4 -0.9 -1.2 -0.3 20.5 -66.7
pair MRmean MACD neg-pos 57 15.5 -19.2 40.4 -0.9 -1.2 -0.3 20.5 -66.7
pair LWTI RSI pos-neg 19 5.2 -22.7 42.1 -1.0 -1.1 -0.6 22.1 -38.1
pair RSI LWTI pos-neg 19 5.2 -22.7 42.1 -1.0 -1.1 -0.6 22.1 -38.1
pair MACD LWTI pos-neg 18 4.9 -28.2 38.9 -1.2 -1.4 -0.7 24.9 -41.3
pair LWTI MACD pos-neg 18 4.9 -28.2 38.9 -1.2 -1.4 -0.7 24.9 -41.3
pair MACD RSI pos-neg 19 5.2 -31.8 36.8 -1.6 -2.1 -0.7 21.8 -45.0
pair RSI MACD pos-neg 19 5.2 -31.8 36.8 -1.6 -2.1 -0.7 21.8 -45.0

All Contingency Tables for EWK

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 10.9% | Win 60%
Sharpe 0.75 | Sortino 1.21 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 212M (58%)
CAGR 2.2% | Win 67%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 17% | MDD -19.0%
Months 21M (6%)
CAGR 10.1% | Win 61%
Sharpe 0.70 | Sortino 1.10 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 233M (64%)
MRmean
neg
CAGR -1.7% | 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 (31%)
CAGR -0.4% | Win 56%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -72.5%
Months 134M (36%)
SLmean
only
CAGR 9.8% | Win 61%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.2
Vol 16% | MDD -49.4%
Months 231M (63%)
CAGR 0.1% | Win 56%
Sharpe 0.14 | Sortino 0.17 | Calmar 0.0
Vol 25% | MDD -66.5%
Months 136M (37%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.5% | Win 61%
Sharpe 0.71 | Sortino 1.12 | Calmar 0.3
Vol 16% | MDD -37.5%
Months 224M (61%)
CAGR 1.1% | Win 56%
Sharpe 0.15 | Sortino 0.33 | Calmar 0.2
Vol 12% | MDD -5.5%
Months 9M (2%)
CAGR 10.1% | Win 61%
Sharpe 0.70 | Sortino 1.10 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 233M (64%)
MRmean
neg
CAGR -0.7% | Win 56%
Sharpe 0.13 | Sortino 0.16 | Calmar -0.0
Vol 28% | MDD -68.2%
Months 111M (30%)
CAGR 0.6% | Win 56%
Sharpe 0.11 | 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 -72.5%
Months 134M (36%)
RSmean
only
CAGR 6.7% | Win 59%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -70.4%
Months 335M (91%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.14 | Calmar 0.0
Vol 11% | MDD -17.2%
Months 32M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 10.5% | Win 61%
Sharpe 0.77 | Sortino 1.37 | Calmar 0.3
Vol 14% | MDD -31.7%
Months 171M (47%)
CAGR 9.0% | Win 61%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.4
Vol 19% | MDD -23.7%
Months 62M (17%)
CAGR 10.1% | Win 61%
Sharpe 0.70 | Sortino 1.10 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 233M (64%)
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 -72.5%
Months 134M (36%)
MACD
only
CAGR 2.2% | Win 56%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 16% | MDD -58.0%
Months 228M (62%)
CAGR 12.9% | Win 65%
Sharpe 0.62 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -58.4%
Months 139M (38%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 10.9% | Win 63%
Sharpe 0.77 | Sortino 1.18 | Calmar 0.4
Vol 15% | MDD -29.5%
Months 206M (56%)
CAGR 4.1% | Win 48%
Sharpe 0.30 | Sortino 0.55 | Calmar 0.2
Vol 20% | MDD -18.1%
Months 27M (7%)
CAGR 10.1% | Win 61%
Sharpe 0.70 | Sortino 1.10 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 233M (64%)
MRmean
neg
CAGR -10.2% | Win 42%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.2
Vol 20% | MDD -42.8%
Months 40M (11%)
CAGR 4.0% | Win 62%
Sharpe 0.29 | Sortino 0.34 | Calmar 0.1
Vol 28% | MDD -59.6%
Months 94M (26%)
CAGR -0.4% | Win 56%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -72.5%
Months 134M (36%)
RSI
only
CAGR 7.2% | Win 59%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -40.0%
Months 246M (67%)
CAGR 4.0% | Win 59%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -59.6%
Months 121M (33%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 8.8% | Win 58%
Sharpe 0.64 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -26.3%
Months 165M (45%)
CAGR 13.3% | Win 68%
Sharpe 0.84 | Sortino 1.28 | Calmar 0.7
Vol 17% | MDD -19.0%
Months 68M (18%)
CAGR 10.1% | Win 61%
Sharpe 0.70 | Sortino 1.10 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 233M (64%)
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 -72.5%
Months 134M (36%)
MACDhist
only
CAGR 6.1% | Win 57%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 17% | MDD -36.3%
Months 183M (50%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.1
Vol 23% | MDD -69.8%
Months 184M (50%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 8.9% | Win 59%
Sharpe 0.62 | Sortino 0.96 | Calmar 0.3
Vol 16% | MDD -32.9%
Months 181M (49%)
CAGR 14.5% | Win 69%
Sharpe 1.00 | Sortino 1.74 | Calmar 1.0
Vol 15% | MDD -14.7%
Months 52M (14%)
CAGR 10.1% | Win 61%
Sharpe 0.70 | Sortino 1.10 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 233M (64%)
MRmean
neg
CAGR 23.3% | Win 60%
Sharpe 0.99 | Sortino 1.60 | Calmar 1.7
Vol 24% | MDD -14.0%
Months 15M (4%)
CAGR -3.1% | Win 56%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 26% | MDD -68.5%
Months 119M (32%)
CAGR -0.4% | Win 56%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -72.5%
Months 134M (36%)
RSIhist
only
CAGR 9.9% | Win 59%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.2
Vol 17% | MDD -41.3%
Months 196M (53%)
CAGR 1.9% | Win 60%
Sharpe 0.21 | Sortino 0.24 | Calmar 0.0
Vol 24% | MDD -70.0%
Months 171M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 10.1% | Win 62%
Sharpe 0.70 | Sortino 1.06 | Calmar 0.3
Vol 16% | MDD -36.5%
Months 207M (56%)
CAGR 10.2% | Win 54%
Sharpe 0.69 | Sortino 1.53 | Calmar 0.6
Vol 16% | MDD -17.9%
Months 26M (7%)
CAGR 10.1% | Win 61%
Sharpe 0.70 | Sortino 1.10 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 233M (64%)
MRmean
neg
CAGR 0.5% | Win 54%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 20% | MDD -35.6%
Months 70M (19%)
CAGR -1.5% | Win 58%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.0
Vol 32% | MDD -67.4%
Months 64M (17%)
CAGR -0.4% | Win 56%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -72.5%
Months 134M (36%)
LWTI
only
CAGR 7.6% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 277M (76%)
CAGR 1.7% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 28% | MDD -67.4%
Months 90M (24%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.1% | Win 61%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.2
Vol 17% | MDD -51.2%
Months 221M (60%)
CAGR 5.1% | Win 60%
Sharpe 0.48 | Sortino 1.07 | Calmar 1.1
Vol 12% | MDD -4.6%
Months 10M (3%)
CAGR 9.8% | Win 61%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.2
Vol 16% | MDD -49.4%
Months 231M (63%)
SLmean
neg
CAGR 0.4% | Win 56%
Sharpe 0.16 | Sortino 0.20 | Calmar 0.0
Vol 27% | MDD -66.5%
Months 114M (31%)
CAGR -1.2% | Win 55%
Sharpe -0.06 | Sortino -0.05 | Calmar -0.1
Vol 11% | MDD -16.4%
Months 22M (6%)
CAGR 0.1% | Win 56%
Sharpe 0.14 | Sortino 0.17 | Calmar 0.0
Vol 25% | MDD -66.5%
Months 136M (37%)
RSmean
only
CAGR 6.7% | Win 59%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -70.4%
Months 335M (91%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.14 | Calmar 0.0
Vol 11% | MDD -17.2%
Months 32M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 8.2% | Win 59%
Sharpe 0.60 | Sortino 0.90 | Calmar 0.3
Vol 15% | MDD -32.3%
Months 159M (43%)
CAGR 13.4% | Win 65%
Sharpe 0.77 | Sortino 1.07 | Calmar 0.4
Vol 19% | MDD -30.3%
Months 72M (20%)
CAGR 9.8% | Win 61%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.2
Vol 16% | MDD -49.4%
Months 231M (63%)
SLmean
neg
CAGR -10.5% | Win 48%
Sharpe -0.50 | Sortino -0.66 | Calmar -0.2
Vol 19% | MDD -55.1%
Months 69M (19%)
CAGR 12.4% | Win 64%
Sharpe 0.55 | Sortino 0.60 | Calmar 0.2
Vol 30% | MDD -56.2%
Months 67M (18%)
CAGR 0.1% | Win 56%
Sharpe 0.14 | Sortino 0.17 | Calmar 0.0
Vol 25% | MDD -66.5%
Months 136M (37%)
MACD
only
CAGR 2.2% | Win 56%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 16% | MDD -58.0%
Months 228M (62%)
CAGR 12.9% | Win 65%
Sharpe 0.62 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -58.4%
Months 139M (38%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.8% | Win 61%
Sharpe 0.61 | Sortino 0.86 | Calmar 0.2
Vol 16% | MDD -41.8%
Months 194M (53%)
CAGR 15.4% | Win 62%
Sharpe 0.83 | Sortino 1.43 | Calmar 0.7
Vol 20% | MDD -22.7%
Months 37M (10%)
CAGR 9.8% | Win 61%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.2
Vol 16% | MDD -49.4%
Months 231M (63%)
SLmean
neg
CAGR 1.3% | Win 54%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.1
Vol 17% | MDD -25.7%
Months 52M (14%)
CAGR -0.6% | Win 57%
Sharpe 0.13 | Sortino 0.16 | Calmar -0.0
Vol 29% | MDD -59.6%
Months 84M (23%)
CAGR 0.1% | Win 56%
Sharpe 0.14 | Sortino 0.17 | Calmar 0.0
Vol 25% | MDD -66.5%
Months 136M (37%)
RSI
only
CAGR 7.2% | Win 59%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -40.0%
Months 246M (67%)
CAGR 4.0% | Win 59%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -59.6%
Months 121M (33%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 9.9% | Win 59%
Sharpe 0.72 | Sortino 1.16 | Calmar 0.4
Vol 15% | MDD -25.6%
Months 152M (41%)
CAGR 9.6% | Win 66%
Sharpe 0.57 | Sortino 0.77 | Calmar 0.3
Vol 19% | MDD -36.7%
Months 79M (22%)
CAGR 9.8% | Win 61%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.2
Vol 16% | MDD -49.4%
Months 231M (63%)
SLmean
neg
CAGR -10.7% | Win 48%
Sharpe -0.33 | Sortino -0.45 | Calmar -0.3
Vol 25% | MDD -36.5%
Months 31M (8%)
CAGR 3.6% | Win 58%
Sharpe 0.27 | Sortino 0.32 | Calmar 0.1
Vol 25% | MDD -66.5%
Months 105M (29%)
CAGR 0.1% | Win 56%
Sharpe 0.14 | Sortino 0.17 | Calmar 0.0
Vol 25% | MDD -66.5%
Months 136M (37%)
MACDhist
only
CAGR 6.1% | Win 57%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 17% | MDD -36.3%
Months 183M (50%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.1
Vol 23% | MDD -69.8%
Months 184M (50%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 10.8% | Win 60%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.3
Vol 16% | MDD -40.6%
Months 185M (50%)
CAGR 6.1% | Win 65%
Sharpe 0.42 | Sortino 0.50 | Calmar 0.2
Vol 18% | MDD -29.8%
Months 46M (12%)
CAGR 9.8% | Win 61%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.2
Vol 16% | MDD -49.4%
Months 231M (63%)
SLmean
neg
CAGR -3.3% | Win 36%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.2
Vol 26% | MDD -16.9%
Months 11M (3%)
CAGR 0.4% | Win 58%
Sharpe 0.15 | Sortino 0.18 | Calmar 0.0
Vol 25% | MDD -66.5%
Months 125M (34%)
CAGR 0.1% | Win 56%
Sharpe 0.14 | Sortino 0.17 | Calmar 0.0
Vol 25% | MDD -66.5%
Months 136M (37%)
RSIhist
only
CAGR 9.9% | Win 59%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.2
Vol 17% | MDD -41.3%
Months 196M (53%)
CAGR 1.9% | Win 60%
Sharpe 0.21 | Sortino 0.24 | Calmar 0.0
Vol 24% | MDD -70.0%
Months 171M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 10.2% | Win 61%
Sharpe 0.71 | Sortino 1.11 | Calmar 0.3
Vol 15% | MDD -38.4%
Months 193M (53%)
CAGR 7.9% | Win 60%
Sharpe 0.47 | Sortino 0.60 | Calmar 0.6
Vol 21% | MDD -13.2%
Months 38M (10%)
CAGR 9.8% | Win 61%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.2
Vol 16% | MDD -49.4%
Months 231M (63%)
SLmean
neg
CAGR 1.8% | Win 57%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.1
Vol 19% | MDD -35.8%
Months 84M (23%)
CAGR -2.6% | Win 54%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 33% | MDD -66.2%
Months 52M (14%)
CAGR 0.1% | Win 56%
Sharpe 0.14 | Sortino 0.17 | Calmar 0.0
Vol 25% | MDD -66.5%
Months 136M (37%)
LWTI
only
CAGR 7.6% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 277M (76%)
CAGR 1.7% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 28% | MDD -67.4%
Months 90M (24%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 2.8% | Win 57%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.1
Vol 17% | MDD -54.7%
Months 217M (59%)
CAGR 14.2% | Win 64%
Sharpe 0.64 | Sortino 0.76 | Calmar 0.3
Vol 27% | MDD -56.2%
Months 118M (32%)
CAGR 6.7% | Win 59%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -70.4%
Months 335M (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 0.55 | Sortino 0.49 | Calmar 0.4
Vol 12% | MDD -14.7%
Months 21M (6%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.14 | Calmar 0.0
Vol 11% | MDD -17.2%
Months 32M (9%)
MACD
only
CAGR 2.2% | Win 56%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 16% | MDD -58.0%
Months 228M (62%)
CAGR 12.9% | Win 65%
Sharpe 0.62 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -58.4%
Months 139M (38%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.7% | Win 60%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 16% | MDD -38.3%
Months 233M (64%)
CAGR 4.4% | Win 58%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.1
Vol 29% | MDD -59.6%
Months 102M (28%)
CAGR 6.7% | Win 59%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -70.4%
Months 335M (91%)
RSmean
neg
CAGR -1.1% | Win 46%
Sharpe -0.07 | Sortino -0.14 | Calmar -0.2
Vol 10% | MDD -6.4%
Months 13M (4%)
CAGR 2.0% | Win 63%
Sharpe 0.23 | Sortino 0.20 | Calmar 0.1
Vol 12% | MDD -14.7%
Months 19M (5%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.14 | Calmar 0.0
Vol 11% | MDD -17.2%
Months 32M (9%)
RSI
only
CAGR 7.2% | Win 59%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -40.0%
Months 246M (67%)
CAGR 4.0% | Win 59%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -59.6%
Months 121M (33%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 6.9% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 17% | MDD -34.4%
Months 175M (48%)
CAGR 6.5% | Win 61%
Sharpe 0.39 | Sortino 0.47 | Calmar 0.1
Vol 24% | MDD -69.8%
Months 160M (44%)
CAGR 6.7% | Win 59%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -70.4%
Months 335M (91%)
RSmean
neg
CAGR -8.4% | Win 38%
Sharpe -0.77 | Sortino -1.58 | Calmar -0.7
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 (6%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.14 | Calmar 0.0
Vol 11% | MDD -17.2%
Months 32M (9%)
MACDhist
only
CAGR 6.1% | Win 57%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 17% | MDD -36.3%
Months 183M (50%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.1
Vol 23% | MDD -69.8%
Months 184M (50%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 10.3% | Win 60%
Sharpe 0.67 | Sortino 1.05 | Calmar 0.2
Vol 17% | MDD -43.1%
Months 185M (50%)
CAGR 2.4% | Win 59%
Sharpe 0.23 | Sortino 0.27 | Calmar 0.0
Vol 25% | MDD -70.0%
Months 150M (41%)
CAGR 6.7% | Win 59%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -70.4%
Months 335M (91%)
RSmean
neg
CAGR 4.3% | Win 46%
Sharpe 0.42 | Sortino 0.77 | Calmar 1.0
Vol 12% | MDD -4.3%
Months 11M (3%)
CAGR -1.1% | Win 62%
Sharpe -0.04 | Sortino -0.04 | Calmar -0.1
Vol 11% | MDD -18.3%
Months 21M (6%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.14 | Calmar 0.0
Vol 11% | MDD -17.2%
Months 32M (9%)
RSIhist
only
CAGR 9.9% | Win 59%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.2
Vol 17% | MDD -41.3%
Months 196M (53%)
CAGR 1.9% | Win 60%
Sharpe 0.21 | Sortino 0.24 | Calmar 0.0
Vol 24% | MDD -70.0%
Months 171M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 7.8% | Win 60%
Sharpe 0.52 | Sortino 0.77 | Calmar 0.2
Vol 17% | MDD -49.0%
Months 252M (69%)
CAGR 3.4% | Win 59%
Sharpe 0.27 | Sortino 0.32 | Calmar 0.1
Vol 29% | MDD -67.4%
Months 83M (23%)
CAGR 6.7% | Win 59%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -70.4%
Months 335M (91%)
RSmean
neg
CAGR 6.0% | Win 64%
Sharpe 0.73 | 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 0.14 | Calmar 0.0
Vol 11% | MDD -17.2%
Months 32M (9%)
LWTI
only
CAGR 7.6% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 277M (76%)
CAGR 1.7% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 28% | MDD -67.4%
Months 90M (24%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 6.0% | Win 57%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.1
Vol 16% | MDD -43.0%
Months 209M (57%)
CAGR -31.8% | Win 37%
Sharpe -1.62 | Sortino -2.15 | Calmar -0.7
Vol 22% | MDD -45.0%
Months 19M (5%)
CAGR 2.2% | Win 56%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 16% | MDD -58.0%
Months 228M (62%)
MACD
neg
CAGR 14.0% | Win 70%
Sharpe 0.81 | Sortino 0.92 | Calmar 1.0
Vol 18% | MDD -14.4%
Months 37M (10%)
CAGR 12.6% | Win 63%
Sharpe 0.58 | Sortino 0.68 | Calmar 0.2
Vol 27% | MDD -57.4%
Months 102M (28%)
CAGR 12.9% | Win 65%
Sharpe 0.62 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -58.4%
Months 139M (38%)
RSI
only
CAGR 7.2% | Win 59%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -40.0%
Months 246M (67%)
CAGR 4.0% | Win 59%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -59.6%
Months 121M (33%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 4.7% | Win 55%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -44.7%
Months 146M (40%)
CAGR -2.1% | Win 57%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.1
Vol 19% | MDD -36.5%
Months 82M (22%)
CAGR 2.2% | Win 56%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 16% | MDD -58.0%
Months 228M (62%)
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 0.70 | 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 (38%)
MACDhist
only
CAGR 6.1% | Win 57%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 17% | MDD -36.3%
Months 183M (50%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.1
Vol 23% | MDD -69.8%
Months 184M (50%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 9.7% | Win 59%
Sharpe 0.72 | Sortino 1.21 | Calmar 0.3
Vol 14% | MDD -28.5%
Months 132M (36%)
CAGR -7.3% | Win 51%
Sharpe -0.30 | Sortino -0.40 | Calmar -0.1
Vol 19% | MDD -62.6%
Months 96M (26%)
CAGR 2.2% | Win 56%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 16% | MDD -58.0%
Months 228M (62%)
MACD
neg
CAGR 10.5% | Win 58%
Sharpe 0.58 | Sortino 0.91 | Calmar 0.3
Vol 21% | MDD -32.2%
Months 64M (17%)
CAGR 15.1% | Win 71%
Sharpe 0.65 | Sortino 0.65 | Calmar 0.3
Vol 28% | MDD -56.2%
Months 75M (20%)
CAGR 12.9% | Win 65%
Sharpe 0.62 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -58.4%
Months 139M (38%)
RSIhist
only
CAGR 9.9% | Win 59%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.2
Vol 17% | MDD -41.3%
Months 196M (53%)
CAGR 1.9% | Win 60%
Sharpe 0.21 | Sortino 0.24 | Calmar 0.0
Vol 24% | MDD -70.0%
Months 171M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 5.3% | Win 57%
Sharpe 0.41 | Sortino 0.65 | Calmar 0.1
Vol 15% | MDD -56.0%
Months 210M (57%)
CAGR -28.2% | Win 39%
Sharpe -1.19 | Sortino -1.39 | Calmar -0.7
Vol 25% | MDD -41.3%
Months 18M (5%)
CAGR 2.2% | Win 56%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 16% | MDD -58.0%
Months 228M (62%)
MACD
neg
CAGR 15.0% | Win 69%
Sharpe 0.80 | Sortino 0.98 | Calmar 0.4
Vol 20% | MDD -39.3%
Months 67M (18%)
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 (38%)
LWTI
only
CAGR 7.6% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 277M (76%)
CAGR 1.7% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 28% | MDD -67.4%
Months 90M (24%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 8.4% | Win 58%
Sharpe 0.62 | Sortino 0.98 | Calmar 0.3
Vol 15% | MDD -28.6%
Months 160M (44%)
CAGR 4.8% | Win 62%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -33.2%
Months 86M (23%)
CAGR 7.2% | Win 59%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -40.0%
Months 246M (67%)
RSI
neg
CAGR -8.6% | Win 48%
Sharpe -0.19 | Sortino -0.27 | Calmar -0.3
Vol 28% | MDD -26.6%
Months 23M (6%)
CAGR 7.3% | Win 61%
Sharpe 0.40 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -59.6%
Months 98M (27%)
CAGR 4.0% | Win 59%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -59.6%
Months 121M (33%)
MACDhist
only
CAGR 6.1% | Win 57%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 17% | MDD -36.3%
Months 183M (50%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.1
Vol 23% | MDD -69.8%
Months 184M (50%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 10.0% | Win 60%
Sharpe 0.71 | Sortino 1.06 | Calmar 0.4
Vol 15% | MDD -25.6%
Months 159M (43%)
CAGR 2.2% | Win 57%
Sharpe 0.22 | Sortino 0.28 | Calmar 0.1
Vol 18% | MDD -40.5%
Months 87M (24%)
CAGR 7.2% | Win 59%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -40.0%
Months 246M (67%)
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 1.6% | Win 62%
Sharpe 0.21 | Sortino 0.24 | Calmar 0.0
Vol 28% | MDD -59.6%
Months 84M (23%)
CAGR 4.0% | Win 59%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -59.6%
Months 121M (33%)
RSIhist
only
CAGR 9.9% | Win 59%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.2
Vol 17% | MDD -41.3%
Months 196M (53%)
CAGR 1.9% | Win 60%
Sharpe 0.21 | Sortino 0.24 | Calmar 0.0
Vol 24% | MDD -70.0%
Months 171M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 10.1% | Win 61%
Sharpe 0.71 | Sortino 1.16 | Calmar 0.3
Vol 15% | MDD -32.3%
Months 227M (62%)
CAGR -22.7% | Win 42%
Sharpe -1.04 | Sortino -1.05 | Calmar -0.6
Vol 22% | MDD -38.1%
Months 19M (5%)
CAGR 7.2% | Win 59%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -40.0%
Months 246M (67%)
RSI
neg
CAGR -3.2% | Win 56%
Sharpe -0.04 | Sortino -0.04 | Calmar -0.1
Vol 22% | MDD -40.7%
Months 50M (14%)
CAGR 9.5% | Win 61%
Sharpe 0.46 | Sortino 0.55 | Calmar 0.2
Vol 29% | MDD -59.6%
Months 71M (19%)
CAGR 4.0% | Win 59%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -59.6%
Months 121M (33%)
LWTI
only
CAGR 7.6% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 277M (76%)
CAGR 1.7% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 28% | MDD -67.4%
Months 90M (24%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 10.7% | Win 59%
Sharpe 0.73 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -27.6%
Months 144M (39%)
CAGR -9.1% | Win 49%
Sharpe -0.36 | Sortino -0.46 | Calmar -0.2
Vol 21% | MDD -38.5%
Months 39M (11%)
CAGR 6.1% | Win 57%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 17% | MDD -36.3%
Months 183M (50%)
MACDhist
neg
CAGR 7.9% | Win 58%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.2
Vol 19% | MDD -34.6%
Months 52M (14%)
CAGR 5.4% | Win 63%
Sharpe 0.35 | Sortino 0.39 | Calmar 0.1
Vol 24% | MDD -69.8%
Months 132M (36%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.1
Vol 23% | MDD -69.8%
Months 184M (50%)
RSIhist
only
CAGR 9.9% | Win 59%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.2
Vol 17% | MDD -41.3%
Months 196M (53%)
CAGR 1.9% | Win 60%
Sharpe 0.21 | Sortino 0.24 | Calmar 0.0
Vol 24% | MDD -70.0%
Months 171M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 5.2% | Win 56%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 17% | MDD -39.1%
Months 174M (47%)
CAGR 25.6% | Win 78%
Sharpe 2.15 | Sortino 4.29 | Calmar 7.7
Vol 11% | MDD -3.3%
Months 9M (2%)
CAGR 6.1% | Win 57%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 17% | MDD -36.3%
Months 183M (50%)
MACDhist
neg
CAGR 11.8% | Win 67%
Sharpe 0.78 | Sortino 1.20 | Calmar 0.6
Vol 16% | MDD -18.7%
Months 103M (28%)
CAGR -0.6% | Win 54%
Sharpe 0.14 | Sortino 0.17 | Calmar -0.0
Vol 30% | MDD -67.4%
Months 81M (22%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.1
Vol 23% | MDD -69.8%
Months 184M (50%)
LWTI
only
CAGR 7.6% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 277M (76%)
CAGR 1.7% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 28% | MDD -67.4%
Months 90M (24%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 9.4% | Win 59%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -37.1%
Months 159M (43%)
CAGR 12.3% | Win 57%
Sharpe 0.72 | Sortino 1.30 | Calmar 0.7
Vol 18% | MDD -17.0%
Months 37M (10%)
CAGR 9.9% | Win 59%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.2
Vol 17% | MDD -41.3%
Months 196M (53%)
RSIhist
neg
CAGR 5.3% | Win 61%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.2
Vol 17% | MDD -31.9%
Months 118M (32%)
CAGR -5.1% | Win 57%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 34% | MDD -67.4%
Months 53M (14%)
CAGR 1.9% | Win 60%
Sharpe 0.21 | Sortino 0.24 | Calmar 0.0
Vol 24% | MDD -70.0%
Months 171M (47%)
LWTI
only
CAGR 7.6% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 277M (76%)
CAGR 1.7% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 28% | MDD -67.4%
Months 90M (24%)