EWL - iShares MSCI Switzerland ETF

Signal Pair Analysis

MRmean-RSIhist

Best Pair

35.1%

Best CAGR

102

Total Months

8.5%

Avg CAGR

EWL 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 EWL

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MRmean RSIhist neg-pos 11 3.1 35.1 54.5 1.9 6.5 10.3 17.0 -3.4
pair RSIhist MRmean neg-pos 11 3.1 35.1 54.5 1.9 6.5 10.3 17.0 -3.4
pair RSI MACD neg-pos 30 8.4 29.1 70.0 1.9 2.9 3.3 14.3 -8.7
pair MACD RSI neg-pos 30 8.4 29.1 70.0 1.9 2.9 3.3 14.3 -8.7
pair LWTI RSmean neg-neg 1 0.3 28.4 100.0 0.0 0.0 0.0 - 0.0
pair RSmean LWTI neg-neg 1 0.3 28.4 100.0 0.0 0.0 0.0 - 0.0
pair MRmean MACD pos-neg 36 10.0 26.4 72.2 1.5 1.6 1.6 16.3 -16.9
pair MACD MRmean pos-neg 36 10.0 26.4 72.2 1.5 1.6 1.6 16.3 -16.9
pair MACD RSIhist neg-pos 44 12.3 25.9 65.9 1.5 1.9 1.3 16.6 -19.7
pair RSIhist MACD neg-pos 44 12.3 25.9 65.9 1.5 1.9 1.3 16.6 -19.7
pair RSI RSIhist neg-pos 16 4.5 24.9 62.5 1.2 1.3 1.5 20.4 -16.8
pair RSIhist RSI neg-pos 16 4.5 24.9 62.5 1.2 1.3 1.5 20.4 -16.8
pair MACD SLmean pos-neg 42 11.7 23.5 66.7 1.4 1.7 1.2 16.1 -19.7
pair SLmean MACD pos-neg 42 11.7 23.5 66.7 1.4 1.7 1.2 16.1 -19.7
pair RSI MACD pos-neg 30 8.4 22.1 70.0 1.0 1.9 0.8 21.7 -26.5
pair MACD RSI pos-neg 30 8.4 22.1 70.0 1.0 1.9 0.8 21.7 -26.5
pair MACDhist RSmean neg-pos 1 0.3 21.7 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 0.3 21.7 100.0 0.0 0.0 0.0 - 0.0
pair RSIhist RSmean neg-pos 6 1.7 20.2 83.3 4.4 0.0 39.6 4.2 -0.5
pair RSmean RSIhist neg-pos 6 1.7 20.2 83.3 4.4 0.0 39.6 4.2 -0.5
pair MACD LWTI neg-neg 39 10.9 19.7 64.1 0.9 1.3 0.8 21.4 -24.3
pair LWTI MACD neg-neg 39 10.9 19.7 64.1 0.9 1.3 0.8 21.4 -24.3
pair MACD RSmean pos-neg 71 19.8 18.7 66.2 1.0 1.3 0.7 20.0 -27.9
pair RSmean MACD pos-neg 71 19.8 18.7 66.2 1.0 1.3 0.7 20.0 -27.9
pair SLmean RSIhist neg-pos 6 1.7 18.1 66.7 0.8 0.8 1.7 25.4 -10.7
pair RSIhist SLmean neg-pos 6 1.7 18.1 66.7 0.8 0.8 1.7 25.4 -10.7
pair LWTI RSIhist pos-neg 26 7.2 17.6 53.8 1.1 1.7 0.9 16.6 -20.5
pair RSIhist LWTI pos-neg 26 7.2 17.6 53.8 1.1 1.7 0.9 16.6 -20.5
pair MACDhist MACD neg-neg 69 19.2 17.2 60.9 0.9 1.4 0.7 19.0 -24.3
pair MACD MACDhist neg-neg 69 19.2 17.2 60.9 0.9 1.4 0.7 19.0 -24.3
pair SLmean RSI pos-neg 15 4.2 15.8 60.0 0.9 0.9 0.9 18.9 -16.8
pair RSI SLmean pos-neg 15 4.2 15.8 60.0 0.9 0.9 0.9 18.9 -16.8
pair LWTI RSI neg-neg 41 11.4 15.8 65.9 0.7 1.1 0.4 23.7 -40.4
pair RSI LWTI neg-neg 41 11.4 15.8 65.9 0.7 1.1 0.4 23.7 -40.4
pair RSmean RSI pos-neg 73 20.3 15.6 65.8 0.8 1.1 0.3 22.2 -46.3
pair RSI RSmean pos-neg 73 20.3 15.6 65.8 0.8 1.1 0.3 22.2 -46.3
single MACD MACD neg-neg 84 23.4 15.4 61.9 0.9 1.2 0.6 18.8 -27.9
pair RSI MACDhist neg-neg 78 21.7 14.6 61.5 0.8 1.2 0.4 20.9 -40.4
pair MACDhist RSI neg-neg 78 21.7 14.6 61.5 0.8 1.2 0.4 20.9 -40.4
pair MRmean RSI neg-neg 75 20.9 13.8 61.3 0.7 1.2 0.3 21.2 -46.4
pair RSI MRmean neg-neg 75 20.9 13.8 61.3 0.7 1.2 0.3 21.2 -46.4
single RSI RSI neg-neg 84 23.4 13.1 61.9 0.7 1.0 0.3 21.1 -46.3
pair RSI SLmean neg-neg 69 19.2 12.5 62.3 0.7 1.1 0.3 21.6 -44.5
pair SLmean RSI neg-neg 69 19.2 12.5 62.3 0.7 1.1 0.3 21.6 -44.5
pair SLmean LWTI pos-neg 27 7.5 12.4 55.6 0.9 1.2 0.8 14.5 -15.0
pair LWTI SLmean pos-neg 27 7.5 12.4 55.6 0.9 1.2 0.8 14.5 -15.0
pair MACDhist LWTI pos-neg 7 1.9 11.9 57.1 1.1 2.5 7.6 10.7 -1.6
pair LWTI MACDhist pos-neg 7 1.9 11.9 57.1 1.1 2.5 7.6 10.7 -1.6
pair MACD LWTI neg-pos 45 12.5 11.8 60.0 0.8 1.1 0.5 16.3 -23.7
pair LWTI MACD neg-pos 45 12.5 11.8 60.0 0.8 1.1 0.5 16.3 -23.7
pair MRmean SLmean neg-pos 12 3.3 11.6 50.0 0.8 1.4 1.2 15.1 -9.8
pair SLmean MRmean neg-pos 12 3.3 11.6 50.0 0.8 1.4 1.2 15.1 -9.8
pair SLmean MACDhist neg-neg 101 28.1 10.6 61.4 0.6 1.0 0.2 19.6 -42.3
pair MACDhist SLmean neg-neg 101 28.1 10.6 61.4 0.6 1.0 0.2 19.6 -42.3
pair LWTI RSI neg-pos 43 12.0 10.6 58.1 0.6 1.1 0.4 18.4 -27.5
pair RSI LWTI neg-pos 43 12.0 10.6 58.1 0.6 1.1 0.4 18.4 -27.5
pair RSI RSIhist neg-neg 68 18.9 10.5 61.8 0.6 0.9 0.2 21.3 -44.5
pair RSIhist RSI neg-neg 68 18.9 10.5 61.8 0.6 0.9 0.2 21.3 -44.5
pair RSIhist MACDhist neg-pos 58 16.2 10.4 58.6 0.6 0.8 0.3 18.7 -33.2
pair MACDhist RSIhist neg-pos 58 16.2 10.4 58.6 0.6 0.8 0.3 18.7 -33.2
pair SLmean MACDhist pos-pos 155 43.2 10.3 63.9 0.8 1.3 0.5 13.1 -21.4
pair MACDhist SLmean pos-pos 155 43.2 10.3 63.9 0.8 1.3 0.5 13.1 -21.4
pair LWTI MRmean neg-neg 38 10.6 10.1 63.2 0.5 0.8 0.2 24.7 -40.4
pair MRmean LWTI neg-neg 38 10.6 10.1 63.2 0.5 0.8 0.2 24.7 -40.4
pair MRmean RSmean neg-pos 99 27.6 9.6 60.6 0.5 0.9 0.2 20.8 -50.3
pair RSmean MRmean neg-pos 99 27.6 9.6 60.6 0.5 0.9 0.2 20.8 -50.3
single RSIhist RSIhist pos-pos 201 56.0 9.3 62.7 0.7 0.9 0.2 15.1 -46.6
single LWTI LWTI neg-neg 58 16.2 9.3 60.3 0.5 0.8 0.2 21.6 -40.4
pair MRmean MACDhist neg-neg 107 29.8 9.2 58.9 0.6 0.9 0.2 19.4 -50.3
pair MACDhist MRmean neg-neg 107 29.8 9.2 58.9 0.6 0.9 0.2 19.4 -50.3
pair RSIhist SLmean pos-pos 195 54.3 9.1 62.6 0.7 0.9 0.2 14.7 -46.6
pair SLmean RSIhist pos-pos 195 54.3 9.1 62.6 0.7 0.9 0.2 14.7 -46.6
pair RSmean RSIhist pos-pos 195 54.3 9.0 62.1 0.7 0.8 0.2 15.3 -47.2
pair RSIhist RSmean pos-pos 195 54.3 9.0 62.1 0.7 0.8 0.2 15.3 -47.2
pair RSmean LWTI pos-neg 57 15.9 9.0 59.6 0.5 0.7 0.2 21.8 -40.4
pair LWTI RSmean pos-neg 57 15.9 9.0 59.6 0.5 0.7 0.2 21.8 -40.4
pair LWTI MACDhist neg-neg 51 14.2 8.9 60.8 0.5 0.7 0.2 22.8 -40.4
pair MACDhist LWTI neg-neg 51 14.2 8.9 60.8 0.5 0.7 0.2 22.8 -40.4
pair MACDhist RSIhist pos-pos 143 39.8 8.9 64.3 0.7 1.0 0.3 13.4 -25.4
pair RSIhist MACDhist pos-pos 143 39.8 8.9 64.3 0.7 1.0 0.3 13.4 -25.4
pair MRmean MACD neg-pos 65 18.1 8.9 61.5 0.5 0.9 0.3 19.4 -34.1
pair MACD MRmean neg-pos 65 18.1 8.9 61.5 0.5 0.9 0.3 19.4 -34.1
pair MRmean MACDhist pos-pos 173 48.2 8.8 61.8 0.7 1.0 0.3 13.8 -29.4
pair MACDhist MRmean pos-pos 173 48.2 8.8 61.8 0.7 1.0 0.3 13.8 -29.4
pair RSI MACDhist pos-pos 173 48.2 8.8 61.3 0.7 1.1 0.4 13.9 -23.9
pair MACDhist RSI pos-pos 173 48.2 8.8 61.3 0.7 1.1 0.4 13.9 -23.9
pair RSmean SLmean neg-pos 112 31.2 8.7 60.7 0.5 0.8 0.2 20.7 -44.5
pair SLmean RSmean neg-pos 112 31.2 8.7 60.7 0.5 0.8 0.2 20.7 -44.5
pair MACDhist RSmean pos-neg 160 44.6 8.6 60.0 0.5 0.8 0.2 19.3 -47.3
pair RSmean MACDhist pos-neg 160 44.6 8.6 60.0 0.5 0.8 0.2 19.3 -47.3
pair MACD MACDhist pos-pos 164 45.7 8.4 61.0 0.7 1.0 0.3 14.0 -23.9
pair MACDhist MACD pos-pos 164 45.7 8.4 61.0 0.7 1.0 0.3 14.0 -23.9
single RSmean RSmean pos-pos 338 94.2 8.4 60.7 0.6 0.8 0.2 16.9 -47.3
single MRmean MRmean neg-neg 113 31.5 8.4 58.4 0.5 0.8 0.2 19.8 -50.3
pair MACD RSI neg-neg 54 15.0 8.4 57.4 0.5 0.7 0.3 20.8 -30.6
pair RSI MACD neg-neg 54 15.0 8.4 57.4 0.5 0.7 0.3 20.8 -30.6
single MACDhist MACDhist pos-pos 179 49.9 8.3 61.5 0.6 0.9 0.3 14.3 -29.4
pair LWTI RSmean pos-pos 281 78.3 8.3 60.9 0.6 0.8 0.2 15.7 -41.4
pair RSmean LWTI pos-pos 281 78.3 8.3 60.9 0.6 0.8 0.2 15.7 -41.4
pair RSmean MACDhist pos-pos 178 49.6 8.2 61.2 0.6 0.9 0.3 14.4 -29.4
pair MACDhist RSmean pos-pos 178 49.6 8.2 61.2 0.6 0.9 0.3 14.4 -29.4
pair RSIhist LWTI pos-pos 175 48.7 8.2 64.0 0.6 0.8 0.2 14.8 -48.3
pair SLmean RSmean pos-pos 226 63.0 8.2 60.6 0.6 0.8 0.2 14.6 -44.6
pair RSmean SLmean pos-pos 226 63.0 8.2 60.6 0.6 0.8 0.2 14.6 -44.6
pair LWTI RSIhist pos-pos 175 48.7 8.2 64.0 0.6 0.8 0.2 14.8 -48.3
pair SLmean MRmean neg-neg 101 28.1 8.1 59.4 0.5 0.8 0.2 20.3 -44.8
pair RSI RSIhist pos-pos 185 51.5 8.1 62.7 0.6 0.8 0.2 14.5 -40.0
pair MACDhist LWTI pos-pos 172 47.9 8.1 61.6 0.6 0.9 0.3 14.5 -26.2
pair LWTI MACDhist pos-pos 172 47.9 8.1 61.6 0.6 0.9 0.3 14.5 -26.2
pair RSIhist RSI pos-pos 185 51.5 8.1 62.7 0.6 0.8 0.2 14.5 -40.0
pair MRmean SLmean neg-neg 101 28.1 8.1 59.4 0.5 0.8 0.2 20.3 -44.8
pair MRmean RSIhist pos-pos 190 52.9 8.0 63.2 0.6 0.8 0.2 14.9 -44.7
pair SLmean LWTI neg-pos 94 26.2 8.0 56.4 0.5 0.9 0.3 17.2 -23.9
pair RSIhist MRmean pos-pos 190 52.9 8.0 63.2 0.6 0.8 0.2 14.9 -44.7
pair LWTI SLmean neg-pos 94 26.2 8.0 56.4 0.5 0.9 0.3 17.2 -23.9
single SLmean SLmean pos-pos 234 65.2 8.0 60.7 0.6 0.8 0.2 14.4 -46.7
pair SLmean MRmean pos-pos 222 61.8 7.9 61.3 0.6 0.8 0.2 14.4 -44.7
pair MRmean SLmean pos-pos 222 61.8 7.9 61.3 0.6 0.8 0.2 14.4 -44.7
pair benchmark___benchmark_ benchmark-benchmark 359 100.0 7.9 59.9 0.6 0.8 0.2 16.5 -47.4
pair benchmark___benchmark_ benchmark-benchmark 359 100.0 7.9 59.9 0.6 0.8 0.2 16.5 -47.4
pair RSmean MRmean pos-pos 239 66.6 7.9 60.7 0.6 0.8 0.2 14.9 -47.0
pair MRmean RSmean pos-pos 239 66.6 7.9 60.7 0.6 0.8 0.2 14.9 -47.0
pair MRmean MACD neg-neg 48 13.4 7.8 54.2 0.5 0.7 0.3 20.4 -27.1
pair MACD MRmean neg-neg 48 13.4 7.8 54.2 0.5 0.7 0.3 20.4 -27.1
pair MRmean LWTI pos-neg 20 5.6 7.8 55.0 0.6 0.8 0.4 14.8 -18.2
pair LWTI MRmean pos-neg 20 5.6 7.8 55.0 0.6 0.8 0.4 14.8 -18.2
pair SLmean MACD neg-neg 42 11.7 7.8 57.1 0.5 0.7 0.3 21.2 -24.5
pair MACD SLmean neg-neg 42 11.7 7.8 57.1 0.5 0.7 0.3 21.2 -24.5
single MRmean MRmean pos-pos 246 68.5 7.7 60.6 0.6 0.8 0.2 14.8 -49.1
single SLmean SLmean neg-neg 125 34.8 7.7 58.4 0.5 0.8 0.2 19.8 -44.5
pair LWTI MRmean pos-pos 226 63.0 7.7 61.1 0.6 0.8 0.1 14.8 -50.7
pair MRmean LWTI pos-pos 226 63.0 7.7 61.1 0.6 0.8 0.1 14.8 -50.7
pair RSI MRmean pos-pos 237 66.0 7.7 60.3 0.6 0.8 0.2 14.6 -44.8
pair MRmean RSI pos-pos 237 66.0 7.7 60.3 0.6 0.8 0.2 14.6 -44.8
pair LWTI MRmean neg-pos 75 20.9 7.6 56.0 0.5 0.9 0.3 16.9 -23.7
pair MRmean LWTI neg-pos 75 20.9 7.6 56.0 0.5 0.9 0.3 16.9 -23.7
pair SLmean MACD neg-pos 83 23.1 7.6 59.0 0.5 0.8 0.2 19.3 -36.5
pair MACD SLmean neg-pos 83 23.1 7.6 59.0 0.5 0.8 0.2 19.3 -36.5
single LWTI LWTI pos-pos 301 83.8 7.6 59.8 0.6 0.8 0.2 15.3 -43.7
pair MACD MACDhist neg-pos 15 4.2 7.5 66.7 0.5 0.5 0.5 18.0 -14.6
pair MACDhist MACD neg-pos 15 4.2 7.5 66.7 0.5 0.5 0.5 18.0 -14.6
pair RSIhist RSmean pos-neg 143 39.8 7.5 58.7 0.5 0.8 0.2 18.9 -47.3
pair RSmean RSIhist pos-neg 143 39.8 7.5 58.7 0.5 0.8 0.2 18.9 -47.3
single MACDhist MACDhist neg-neg 180 50.1 7.5 58.3 0.5 0.7 0.2 18.4 -47.4
pair SLmean RSI pos-pos 219 61.0 7.5 60.7 0.6 0.8 0.2 14.1 -40.2
pair RSI SLmean pos-pos 219 61.0 7.5 60.7 0.6 0.8 0.2 14.1 -40.2
pair SLmean LWTI pos-pos 207 57.7 7.5 61.4 0.6 0.8 0.1 14.5 -48.4
pair LWTI SLmean pos-pos 207 57.7 7.5 61.4 0.6 0.8 0.1 14.5 -48.4
pair MRmean RSI pos-neg 9 2.5 7.3 66.7 0.4 0.3 0.5 20.9 -13.9
pair RSI MRmean pos-neg 9 2.5 7.3 66.7 0.4 0.3 0.5 20.9 -13.9
pair SLmean RSIhist neg-neg 119 33.1 7.2 58.0 0.5 0.7 0.2 19.6 -44.5
pair RSIhist SLmean neg-neg 119 33.1 7.2 58.0 0.5 0.7 0.2 19.6 -44.5
pair LWTI RSI pos-pos 258 71.9 7.2 60.1 0.5 0.8 0.2 14.8 -40.4
pair RSI LWTI pos-pos 258 71.9 7.2 60.1 0.5 0.8 0.2 14.8 -40.4
pair LWTI MACDhist neg-pos 129 35.9 7.0 57.4 0.5 0.7 0.3 16.5 -25.3
pair MACDhist LWTI neg-pos 129 35.9 7.0 57.4 0.5 0.7 0.3 16.5 -25.3
pair LWTI MACD pos-pos 256 71.3 6.9 59.8 0.5 0.8 0.2 15.2 -30.0
pair MACD LWTI pos-pos 256 71.3 6.9 59.8 0.5 0.8 0.2 15.2 -30.0
pair LWTI RSIhist neg-pos 126 35.1 6.9 54.0 0.5 0.9 0.3 16.1 -23.6
pair RSIhist LWTI neg-pos 126 35.1 6.9 54.0 0.5 0.9 0.3 16.1 -23.6
pair SLmean LWTI neg-neg 31 8.6 6.7 64.5 0.4 0.8 0.2 26.6 -40.4
pair LWTI SLmean neg-neg 31 8.6 6.7 64.5 0.4 0.8 0.2 26.6 -40.4
pair RSIhist MACD pos-neg 118 32.9 6.6 55.9 0.5 0.7 0.2 17.3 -37.9
pair MACD RSIhist pos-neg 118 32.9 6.6 55.9 0.5 0.7 0.2 17.3 -37.9
pair RSI RSmean pos-pos 265 73.8 6.5 59.2 0.5 0.7 0.2 15.0 -40.1
pair RSmean RSI pos-pos 265 73.8 6.5 59.2 0.5 0.7 0.2 15.0 -40.1
pair RSIhist MRmean pos-neg 56 15.6 6.5 51.8 0.5 0.8 0.3 14.5 -18.8
pair MRmean RSIhist pos-neg 56 15.6 6.5 51.8 0.5 0.8 0.3 14.5 -18.8
single RSI RSI pos-pos 275 76.6 6.4 59.3 0.5 0.7 0.1 14.8 -42.4
pair MACDhist RSIhist neg-neg 122 34.0 6.2 58.2 0.4 0.7 0.1 18.4 -47.5
pair RSIhist MACDhist neg-neg 122 34.0 6.2 58.2 0.4 0.7 0.1 18.4 -47.5
single RSIhist RSIhist neg-neg 158 44.0 6.1 56.3 0.4 0.7 0.1 18.2 -47.4
pair SLmean MRmean pos-neg 24 6.7 6.0 54.2 0.4 0.6 0.5 18.2 -11.2
pair MRmean SLmean pos-neg 24 6.7 6.0 54.2 0.4 0.6 0.5 18.2 -11.2
pair MRmean RSIhist neg-neg 102 28.4 5.9 58.8 0.4 0.6 0.1 20.0 -48.5
pair RSIhist MRmean neg-neg 102 28.4 5.9 58.8 0.4 0.6 0.1 20.0 -48.5
pair MACDhist RSIhist pos-neg 36 10.0 5.9 50.0 0.4 0.6 0.3 17.8 -17.7
pair RSIhist MACDhist pos-neg 36 10.0 5.9 50.0 0.4 0.6 0.3 17.8 -17.7
pair RSmean MACD pos-pos 267 74.4 5.8 59.2 0.4 0.6 0.1 15.9 -38.6
pair MACD RSmean pos-pos 267 74.4 5.8 59.2 0.4 0.6 0.1 15.9 -38.6
single MACD MACD pos-pos 275 76.6 5.7 59.3 0.4 0.6 0.1 15.7 -38.7
pair RSIhist MACD pos-pos 157 43.7 5.1 61.8 0.4 0.5 0.1 14.4 -38.5
pair MRmean MACDhist pos-neg 73 20.3 5.1 57.5 0.4 0.5 0.1 17.0 -33.3
pair MACDhist MRmean pos-neg 73 20.3 5.1 57.5 0.4 0.5 0.1 17.0 -33.3
pair MACD RSIhist pos-pos 157 43.7 5.1 61.8 0.4 0.5 0.1 14.4 -38.5
pair RSIhist MACD neg-neg 40 11.1 4.9 57.5 0.3 0.5 0.2 20.8 -24.5
pair MACD RSIhist neg-neg 40 11.1 4.9 57.5 0.3 0.5 0.2 20.8 -24.5
pair SLmean MACD pos-pos 192 53.5 4.9 59.4 0.4 0.6 0.1 13.9 -38.7
pair MACD SLmean pos-pos 192 53.5 4.9 59.4 0.4 0.6 0.1 13.9 -38.7
pair MACD MRmean pos-pos 210 58.5 4.7 58.6 0.4 0.5 0.1 14.4 -43.4
pair MRmean MACD pos-pos 210 58.5 4.7 58.6 0.4 0.5 0.1 14.4 -43.4
pair MACD RSI pos-pos 245 68.2 3.9 58.0 0.3 0.5 0.1 14.8 -41.0
pair RSI MACD pos-pos 245 68.2 3.9 58.0 0.3 0.5 0.1 14.8 -41.0
pair MACDhist SLmean pos-neg 79 22.0 3.8 54.4 0.3 0.4 0.1 16.9 -34.5
pair SLmean MACDhist pos-neg 79 22.0 3.8 54.4 0.3 0.4 0.1 16.9 -34.5
pair RSI RSmean neg-pos 10 2.8 3.5 60.0 0.5 0.5 0.7 7.5 -5.0
pair RSmean RSI neg-pos 10 2.8 3.5 60.0 0.5 0.5 0.7 7.5 -5.0
pair RSIhist LWTI neg-neg 32 8.9 3.0 65.6 0.2 0.5 0.1 25.2 -40.4
pair RSIhist SLmean pos-neg 39 10.9 3.0 51.3 0.3 0.5 0.2 12.9 -17.8
pair SLmean RSIhist pos-neg 39 10.9 3.0 51.3 0.3 0.5 0.2 12.9 -17.8
pair LWTI RSIhist neg-neg 32 8.9 3.0 65.6 0.2 0.5 0.1 25.2 -40.4
pair RSI RSIhist pos-neg 90 25.1 2.9 52.2 0.3 0.4 0.1 15.5 -30.9
pair RSIhist RSI pos-neg 90 25.1 2.9 52.2 0.3 0.4 0.1 15.5 -30.9
pair RSmean MACD neg-pos 8 2.2 2.8 62.5 0.4 0.3 2.8 8.3 -1.0
pair SLmean RSmean pos-neg 8 2.2 2.8 62.5 0.4 0.3 2.8 8.3 -1.0
pair RSmean SLmean pos-neg 8 2.2 2.8 62.5 0.4 0.3 2.8 8.3 -1.0
pair MACD RSmean neg-pos 8 2.2 2.8 62.5 0.4 0.3 2.8 8.3 -1.0
pair MACDhist RSI pos-neg 102 28.4 2.4 55.9 0.2 0.3 0.1 16.3 -40.6
pair RSI MACDhist pos-neg 102 28.4 2.4 55.9 0.2 0.3 0.1 16.3 -40.6
pair SLmean RSI neg-pos 56 15.6 2.0 53.6 0.2 0.3 0.1 17.4 -26.2
pair RSI SLmean neg-pos 56 15.6 2.0 53.6 0.2 0.3 0.1 17.4 -26.2
pair MACD MACDhist pos-neg 111 30.9 1.9 56.8 0.2 0.3 0.1 18.0 -31.5
pair MACDhist MACD pos-neg 111 30.9 1.9 56.8 0.2 0.3 0.1 18.0 -31.5
pair MRmean RSmean neg-neg 14 3.9 0.9 42.9 0.1 0.4 0.2 8.9 -3.8
pair RSmean MRmean neg-neg 14 3.9 0.9 42.9 0.1 0.4 0.2 8.9 -3.8
single RSmean RSmean neg-neg 21 5.8 0.5 47.6 0.1 0.2 0.1 8.5 -5.0
pair MRmean RSmean pos-neg 7 1.9 -0.4 57.1 -0.0 -0.0 -0.4 8.5 -1.0
pair RSmean MRmean pos-neg 7 1.9 -0.4 57.1 -0.0 -0.0 -0.4 8.5 -1.0
pair MACDhist RSmean neg-neg 20 5.6 -0.5 45.0 -0.0 -0.0 -0.1 8.7 -5.0
pair RSmean MACDhist neg-neg 20 5.6 -0.5 45.0 -0.0 -0.0 -0.1 8.7 -5.0
pair LWTI RSmean neg-pos 20 5.6 -0.8 45.0 -0.1 -0.1 -0.1 8.6 -5.0
pair RSmean LWTI neg-pos 20 5.6 -0.8 45.0 -0.1 -0.1 -0.1 8.6 -5.0
pair RSmean SLmean neg-neg 13 3.6 -1.0 38.5 -0.1 -0.2 -0.2 9.0 -3.8
pair SLmean RSmean neg-neg 13 3.6 -1.0 38.5 -0.1 -0.2 -0.2 9.0 -3.8
pair MACD RSmean neg-neg 13 3.6 -1.0 38.5 -0.1 -0.2 -0.2 9.0 -3.8
pair RSmean MACD neg-neg 13 3.6 -1.0 38.5 -0.1 -0.2 -0.2 9.0 -3.8
pair MRmean RSI neg-pos 38 10.6 -1.5 52.6 -0.0 -0.0 -0.1 16.4 -22.5
pair RSI MRmean neg-pos 38 10.6 -1.5 52.6 -0.0 -0.0 -0.1 16.4 -22.5
pair RSmean RSI neg-neg 11 3.1 -2.2 36.4 -0.2 -0.8 -0.6 9.7 -3.8
pair RSI RSmean neg-neg 11 3.1 -2.2 36.4 -0.2 -0.8 -0.6 9.7 -3.8
pair SLmean MACDhist neg-pos 24 6.7 -3.7 45.8 -0.1 -0.1 -0.2 20.8 -16.0
pair MACDhist SLmean neg-pos 24 6.7 -3.7 45.8 -0.1 -0.1 -0.2 20.8 -16.0
pair MRmean MACDhist neg-pos 6 1.7 -4.6 50.0 -0.1 -0.1 -0.3 26.7 -14.2
pair MACDhist MRmean neg-pos 6 1.7 -4.6 50.0 -0.1 -0.1 -0.3 26.7 -14.2
pair RSI MACDhist neg-pos 6 1.7 -4.7 66.7 -0.1 -0.1 -5.7 24.6 -0.8
pair MACDhist RSI neg-pos 6 1.7 -4.7 66.7 -0.1 -0.1 -5.7 24.6 -0.8
pair LWTI RSI pos-neg 17 4.7 -4.9 47.1 -0.3 -0.4 -0.2 15.2 -21.2
pair RSI LWTI pos-neg 17 4.7 -4.9 47.1 -0.3 -0.4 -0.2 15.2 -21.2
pair RSIhist RSmean neg-neg 15 4.2 -6.5 33.3 -0.7 -1.4 -0.8 9.0 -7.6
pair RSmean RSIhist neg-neg 15 4.2 -6.5 33.3 -0.7 -1.4 -0.8 9.0 -7.6
pair MACD LWTI pos-neg 19 5.3 -9.4 52.6 -0.3 -0.6 -0.3 21.7 -29.0
pair LWTI MACD pos-neg 19 5.3 -9.4 52.6 -0.3 -0.6 -0.3 21.7 -29.0

All Contingency Tables for EWL

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 7.9% | Win 61%
Sharpe 0.60 | Sortino 0.80 | Calmar 0.2
Vol 14% | MDD -44.7%
Months 222M (62%)
CAGR 6.0% | Win 54%
Sharpe 0.41 | Sortino 0.58 | Calmar 0.5
Vol 18% | MDD -11.2%
Months 24M (7%)
CAGR 7.7% | Win 61%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.2
Vol 15% | MDD -49.1%
Months 246M (68%)
MRmean
neg
CAGR 11.6% | Win 50%
Sharpe 0.80 | Sortino 1.37 | Calmar 1.2
Vol 15% | MDD -9.8%
Months 12M (3%)
CAGR 8.1% | Win 59%
Sharpe 0.48 | Sortino 0.79 | Calmar 0.2
Vol 20% | MDD -44.8%
Months 101M (28%)
CAGR 8.4% | Win 58%
Sharpe 0.51 | Sortino 0.81 | Calmar 0.2
Vol 20% | MDD -50.3%
Months 113M (32%)
SLmean
only
CAGR 8.0% | Win 61%
Sharpe 0.61 | Sortino 0.82 | Calmar 0.2
Vol 14% | MDD -46.7%
Months 234M (65%)
CAGR 7.7% | Win 58%
Sharpe 0.47 | Sortino 0.75 | Calmar 0.2
Vol 20% | MDD -44.5%
Months 125M (35%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 7.9% | Win 61%
Sharpe 0.59 | Sortino 0.79 | Calmar 0.2
Vol 15% | MDD -47.0%
Months 239M (67%)
CAGR -0.4% | Win 57%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.4
Vol 8% | MDD -1.0%
Months 7M (2%)
CAGR 7.7% | Win 61%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.2
Vol 15% | MDD -49.1%
Months 246M (68%)
MRmean
neg
CAGR 9.6% | Win 61%
Sharpe 0.54 | Sortino 0.88 | Calmar 0.2
Vol 21% | MDD -50.3%
Months 99M (28%)
CAGR 0.9% | Win 43%
Sharpe 0.14 | Sortino 0.44 | Calmar 0.2
Vol 9% | MDD -3.8%
Months 14M (4%)
CAGR 8.4% | Win 58%
Sharpe 0.51 | Sortino 0.81 | Calmar 0.2
Vol 20% | MDD -50.3%
Months 113M (32%)
RSmean
only
CAGR 8.4% | Win 61%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -47.3%
Months 338M (94%)
CAGR 0.5% | Win 48%
Sharpe 0.09 | Sortino 0.17 | Calmar 0.1
Vol 8% | MDD -5.0%
Months 21M (6%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.7% | Win 59%
Sharpe 0.40 | Sortino 0.54 | Calmar 0.1
Vol 14% | MDD -43.4%
Months 210M (58%)
CAGR 26.4% | Win 72%
Sharpe 1.53 | Sortino 1.63 | Calmar 1.6
Vol 16% | MDD -16.9%
Months 36M (10%)
CAGR 7.7% | Win 61%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.2
Vol 15% | MDD -49.1%
Months 246M (68%)
MRmean
neg
CAGR 8.9% | Win 62%
Sharpe 0.54 | Sortino 0.89 | Calmar 0.3
Vol 19% | MDD -34.1%
Months 65M (18%)
CAGR 7.8% | Win 54%
Sharpe 0.47 | Sortino 0.72 | Calmar 0.3
Vol 20% | MDD -27.1%
Months 48M (13%)
CAGR 8.4% | Win 58%
Sharpe 0.51 | Sortino 0.81 | Calmar 0.2
Vol 20% | MDD -50.3%
Months 113M (32%)
MACD
only
CAGR 5.7% | Win 59%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.1
Vol 16% | MDD -38.7%
Months 275M (77%)
CAGR 15.4% | Win 62%
Sharpe 0.86 | Sortino 1.18 | Calmar 0.6
Vol 19% | MDD -27.9%
Months 84M (23%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 7.7% | Win 60%
Sharpe 0.58 | Sortino 0.81 | Calmar 0.2
Vol 15% | MDD -44.8%
Months 237M (66%)
CAGR 7.3% | Win 67%
Sharpe 0.44 | Sortino 0.35 | Calmar 0.5
Vol 21% | MDD -13.9%
Months 9M (2%)
CAGR 7.7% | Win 61%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.2
Vol 15% | MDD -49.1%
Months 246M (68%)
MRmean
neg
CAGR -1.5% | Win 53%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 16% | MDD -22.5%
Months 38M (11%)
CAGR 13.8% | Win 61%
Sharpe 0.72 | Sortino 1.17 | Calmar 0.3
Vol 21% | MDD -46.4%
Months 75M (21%)
CAGR 8.4% | Win 58%
Sharpe 0.51 | Sortino 0.81 | Calmar 0.2
Vol 20% | MDD -50.3%
Months 113M (32%)
RSI
only
CAGR 6.4% | Win 59%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.1
Vol 15% | MDD -42.4%
Months 275M (77%)
CAGR 13.1% | Win 62%
Sharpe 0.69 | Sortino 1.04 | Calmar 0.3
Vol 21% | MDD -46.3%
Months 84M (23%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 8.8% | Win 62%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 173M (48%)
CAGR 5.1% | Win 57%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.2
Vol 17% | MDD -33.3%
Months 73M (20%)
CAGR 7.7% | Win 61%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.2
Vol 15% | MDD -49.1%
Months 246M (68%)
MRmean
neg
CAGR -4.6% | Win 50%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.3
Vol 27% | MDD -14.2%
Months 6M (2%)
CAGR 9.2% | Win 59%
Sharpe 0.55 | Sortino 0.89 | Calmar 0.2
Vol 19% | MDD -50.3%
Months 107M (30%)
CAGR 8.4% | Win 58%
Sharpe 0.51 | Sortino 0.81 | Calmar 0.2
Vol 20% | MDD -50.3%
Months 113M (32%)
MACDhist
only
CAGR 8.3% | Win 62%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 179M (50%)
CAGR 7.5% | Win 58%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 18% | MDD -47.4%
Months 180M (50%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 8.0% | Win 63%
Sharpe 0.59 | Sortino 0.76 | Calmar 0.2
Vol 15% | MDD -44.7%
Months 190M (53%)
CAGR 6.5% | Win 52%
Sharpe 0.51 | Sortino 0.84 | Calmar 0.3
Vol 14% | MDD -18.8%
Months 56M (16%)
CAGR 7.7% | Win 61%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.2
Vol 15% | MDD -49.1%
Months 246M (68%)
MRmean
neg
CAGR 35.1% | Win 55%
Sharpe 1.87 | Sortino 6.49 | Calmar 10.3
Vol 17% | MDD -3.4%
Months 11M (3%)
CAGR 5.9% | Win 59%
Sharpe 0.39 | Sortino 0.62 | Calmar 0.1
Vol 20% | MDD -48.5%
Months 102M (28%)
CAGR 8.4% | Win 58%
Sharpe 0.51 | Sortino 0.81 | Calmar 0.2
Vol 20% | MDD -50.3%
Months 113M (32%)
RSIhist
only
CAGR 9.3% | Win 63%
Sharpe 0.67 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -46.6%
Months 201M (56%)
CAGR 6.1% | Win 56%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.1
Vol 18% | MDD -47.4%
Months 158M (44%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.7% | Win 61%
Sharpe 0.57 | Sortino 0.77 | Calmar 0.2
Vol 15% | MDD -50.7%
Months 226M (63%)
CAGR 7.8% | Win 55%
Sharpe 0.58 | Sortino 0.76 | Calmar 0.4
Vol 15% | MDD -18.2%
Months 20M (6%)
CAGR 7.7% | Win 61%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.2
Vol 15% | MDD -49.1%
Months 246M (68%)
MRmean
neg
CAGR 7.6% | Win 56%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.3
Vol 17% | MDD -23.7%
Months 75M (21%)
CAGR 10.1% | Win 63%
Sharpe 0.51 | Sortino 0.83 | Calmar 0.2
Vol 25% | MDD -40.4%
Months 38M (11%)
CAGR 8.4% | Win 58%
Sharpe 0.51 | Sortino 0.81 | Calmar 0.2
Vol 20% | MDD -50.3%
Months 113M (32%)
LWTI
only
CAGR 7.6% | Win 60%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 15% | MDD -43.7%
Months 301M (84%)
CAGR 9.3% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -40.4%
Months 58M (16%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 8.2% | Win 61%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.2
Vol 15% | MDD -44.6%
Months 226M (63%)
CAGR 2.8% | Win 62%
Sharpe 0.37 | Sortino 0.34 | Calmar 2.8
Vol 8% | MDD -1.0%
Months 8M (2%)
CAGR 8.0% | Win 61%
Sharpe 0.61 | Sortino 0.82 | Calmar 0.2
Vol 14% | MDD -46.7%
Months 234M (65%)
SLmean
neg
CAGR 8.7% | Win 61%
Sharpe 0.51 | Sortino 0.82 | Calmar 0.2
Vol 21% | MDD -44.5%
Months 112M (31%)
CAGR -1.0% | Win 38%
Sharpe -0.07 | Sortino -0.20 | Calmar -0.2
Vol 9% | MDD -3.8%
Months 13M (4%)
CAGR 7.7% | Win 58%
Sharpe 0.47 | Sortino 0.75 | Calmar 0.2
Vol 20% | MDD -44.5%
Months 125M (35%)
RSmean
only
CAGR 8.4% | Win 61%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -47.3%
Months 338M (94%)
CAGR 0.5% | Win 48%
Sharpe 0.09 | Sortino 0.17 | Calmar 0.1
Vol 8% | MDD -5.0%
Months 21M (6%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 4.9% | Win 59%
Sharpe 0.42 | Sortino 0.57 | Calmar 0.1
Vol 14% | MDD -38.7%
Months 192M (54%)
CAGR 23.5% | Win 67%
Sharpe 1.41 | Sortino 1.68 | Calmar 1.2
Vol 16% | MDD -19.7%
Months 42M (12%)
CAGR 8.0% | Win 61%
Sharpe 0.61 | Sortino 0.82 | Calmar 0.2
Vol 14% | MDD -46.7%
Months 234M (65%)
SLmean
neg
CAGR 7.6% | Win 59%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.2
Vol 19% | MDD -36.5%
Months 83M (23%)
CAGR 7.8% | Win 57%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.3
Vol 21% | MDD -24.5%
Months 42M (12%)
CAGR 7.7% | Win 58%
Sharpe 0.47 | Sortino 0.75 | Calmar 0.2
Vol 20% | MDD -44.5%
Months 125M (35%)
MACD
only
CAGR 5.7% | Win 59%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.1
Vol 16% | MDD -38.7%
Months 275M (77%)
CAGR 15.4% | Win 62%
Sharpe 0.86 | Sortino 1.18 | Calmar 0.6
Vol 19% | MDD -27.9%
Months 84M (23%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 7.5% | Win 61%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 14% | MDD -40.2%
Months 219M (61%)
CAGR 15.8% | Win 60%
Sharpe 0.87 | Sortino 0.90 | Calmar 0.9
Vol 19% | MDD -16.8%
Months 15M (4%)
CAGR 8.0% | Win 61%
Sharpe 0.61 | Sortino 0.82 | Calmar 0.2
Vol 14% | MDD -46.7%
Months 234M (65%)
SLmean
neg
CAGR 2.0% | Win 54%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.1
Vol 17% | MDD -26.2%
Months 56M (16%)
CAGR 12.5% | Win 62%
Sharpe 0.66 | Sortino 1.09 | Calmar 0.3
Vol 22% | MDD -44.5%
Months 69M (19%)
CAGR 7.7% | Win 58%
Sharpe 0.47 | Sortino 0.75 | Calmar 0.2
Vol 20% | MDD -44.5%
Months 125M (35%)
RSI
only
CAGR 6.4% | Win 59%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.1
Vol 15% | MDD -42.4%
Months 275M (77%)
CAGR 13.1% | Win 62%
Sharpe 0.69 | Sortino 1.04 | Calmar 0.3
Vol 21% | MDD -46.3%
Months 84M (23%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 10.3% | Win 64%
Sharpe 0.82 | Sortino 1.26 | Calmar 0.5
Vol 13% | MDD -21.4%
Months 155M (43%)
CAGR 3.8% | Win 54%
Sharpe 0.31 | Sortino 0.38 | Calmar 0.1
Vol 17% | MDD -34.5%
Months 79M (22%)
CAGR 8.0% | Win 61%
Sharpe 0.61 | Sortino 0.82 | Calmar 0.2
Vol 14% | MDD -46.7%
Months 234M (65%)
SLmean
neg
CAGR -3.7% | Win 46%
Sharpe -0.08 | Sortino -0.11 | Calmar -0.2
Vol 21% | MDD -16.0%
Months 24M (7%)
CAGR 10.6% | Win 61%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.2
Vol 20% | MDD -42.3%
Months 101M (28%)
CAGR 7.7% | Win 58%
Sharpe 0.47 | Sortino 0.75 | Calmar 0.2
Vol 20% | MDD -44.5%
Months 125M (35%)
MACDhist
only
CAGR 8.3% | Win 62%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 179M (50%)
CAGR 7.5% | Win 58%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 18% | MDD -47.4%
Months 180M (50%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 9.1% | Win 63%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.2
Vol 15% | MDD -46.6%
Months 195M (54%)
CAGR 3.0% | Win 51%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.2
Vol 13% | MDD -17.8%
Months 39M (11%)
CAGR 8.0% | Win 61%
Sharpe 0.61 | Sortino 0.82 | Calmar 0.2
Vol 14% | MDD -46.7%
Months 234M (65%)
SLmean
neg
CAGR 18.1% | Win 67%
Sharpe 0.77 | Sortino 0.78 | Calmar 1.7
Vol 25% | MDD -10.7%
Months 6M (2%)
CAGR 7.2% | Win 58%
Sharpe 0.45 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -44.5%
Months 119M (33%)
CAGR 7.7% | Win 58%
Sharpe 0.47 | Sortino 0.75 | Calmar 0.2
Vol 20% | MDD -44.5%
Months 125M (35%)
RSIhist
only
CAGR 9.3% | Win 63%
Sharpe 0.67 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -46.6%
Months 201M (56%)
CAGR 6.1% | Win 56%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.1
Vol 18% | MDD -47.4%
Months 158M (44%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 7.5% | Win 61%
Sharpe 0.57 | Sortino 0.77 | Calmar 0.2
Vol 14% | MDD -48.4%
Months 207M (58%)
CAGR 12.4% | Win 56%
Sharpe 0.88 | Sortino 1.24 | Calmar 0.8
Vol 14% | MDD -15.0%
Months 27M (8%)
CAGR 8.0% | Win 61%
Sharpe 0.61 | Sortino 0.82 | Calmar 0.2
Vol 14% | MDD -46.7%
Months 234M (65%)
SLmean
neg
CAGR 8.0% | Win 56%
Sharpe 0.53 | Sortino 0.89 | Calmar 0.3
Vol 17% | MDD -23.9%
Months 94M (26%)
CAGR 6.7% | Win 64%
Sharpe 0.38 | Sortino 0.82 | Calmar 0.2
Vol 27% | MDD -40.4%
Months 31M (9%)
CAGR 7.7% | Win 58%
Sharpe 0.47 | Sortino 0.75 | Calmar 0.2
Vol 20% | MDD -44.5%
Months 125M (35%)
LWTI
only
CAGR 7.6% | Win 60%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 15% | MDD -43.7%
Months 301M (84%)
CAGR 9.3% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -40.4%
Months 58M (16%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 5.8% | Win 59%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 16% | MDD -38.6%
Months 267M (74%)
CAGR 18.7% | Win 66%
Sharpe 0.96 | Sortino 1.28 | Calmar 0.7
Vol 20% | MDD -27.9%
Months 71M (20%)
CAGR 8.4% | Win 61%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -47.3%
Months 338M (94%)
RSmean
neg
CAGR 2.8% | Win 62%
Sharpe 0.37 | Sortino 0.34 | Calmar 2.8
Vol 8% | MDD -1.0%
Months 8M (2%)
CAGR -1.0% | Win 38%
Sharpe -0.07 | Sortino -0.20 | Calmar -0.2
Vol 9% | MDD -3.8%
Months 13M (4%)
CAGR 0.5% | Win 48%
Sharpe 0.09 | Sortino 0.17 | Calmar 0.1
Vol 8% | MDD -5.0%
Months 21M (6%)
MACD
only
CAGR 5.7% | Win 59%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.1
Vol 16% | MDD -38.7%
Months 275M (77%)
CAGR 15.4% | Win 62%
Sharpe 0.86 | Sortino 1.18 | Calmar 0.6
Vol 19% | MDD -27.9%
Months 84M (23%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 6.5% | Win 59%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 15% | MDD -40.1%
Months 265M (74%)
CAGR 15.6% | Win 66%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.3
Vol 22% | MDD -46.3%
Months 73M (20%)
CAGR 8.4% | Win 61%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -47.3%
Months 338M (94%)
RSmean
neg
CAGR 3.5% | Win 60%
Sharpe 0.49 | Sortino 0.47 | Calmar 0.7
Vol 8% | MDD -5.0%
Months 10M (3%)
CAGR -2.2% | Win 36%
Sharpe -0.19 | Sortino -0.79 | Calmar -0.6
Vol 10% | MDD -3.8%
Months 11M (3%)
CAGR 0.5% | Win 48%
Sharpe 0.09 | Sortino 0.17 | Calmar 0.1
Vol 8% | MDD -5.0%
Months 21M (6%)
RSI
only
CAGR 6.4% | Win 59%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.1
Vol 15% | MDD -42.4%
Months 275M (77%)
CAGR 13.1% | Win 62%
Sharpe 0.69 | Sortino 1.04 | Calmar 0.3
Vol 21% | MDD -46.3%
Months 84M (23%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 8.2% | Win 61%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 178M (50%)
CAGR 8.6% | Win 60%
Sharpe 0.53 | Sortino 0.76 | Calmar 0.2
Vol 19% | MDD -47.3%
Months 160M (45%)
CAGR 8.4% | Win 61%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -47.3%
Months 338M (94%)
RSmean
neg
CAGR 21.7% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -0.5% | Win 45%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 9% | MDD -5.0%
Months 20M (6%)
CAGR 0.5% | Win 48%
Sharpe 0.09 | Sortino 0.17 | Calmar 0.1
Vol 8% | MDD -5.0%
Months 21M (6%)
MACDhist
only
CAGR 8.3% | Win 62%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 179M (50%)
CAGR 7.5% | Win 58%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 18% | MDD -47.4%
Months 180M (50%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 9.0% | Win 62%
Sharpe 0.65 | Sortino 0.85 | Calmar 0.2
Vol 15% | MDD -47.2%
Months 195M (54%)
CAGR 7.5% | Win 59%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.2
Vol 19% | MDD -47.3%
Months 143M (40%)
CAGR 8.4% | Win 61%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -47.3%
Months 338M (94%)
RSmean
neg
CAGR 20.2% | Win 83%
Sharpe 4.41 | Sortino 0.00 | Calmar 39.6
Vol 4% | MDD -0.5%
Months 6M (2%)
CAGR -6.5% | Win 33%
Sharpe -0.70 | Sortino -1.35 | Calmar -0.9
Vol 9% | MDD -7.6%
Months 15M (4%)
CAGR 0.5% | Win 48%
Sharpe 0.09 | Sortino 0.17 | Calmar 0.1
Vol 8% | MDD -5.0%
Months 21M (6%)
RSIhist
only
CAGR 9.3% | Win 63%
Sharpe 0.67 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -46.6%
Months 201M (56%)
CAGR 6.1% | Win 56%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.1
Vol 18% | MDD -47.4%
Months 158M (44%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 8.3% | Win 61%
Sharpe 0.59 | Sortino 0.85 | Calmar 0.2
Vol 16% | MDD -41.4%
Months 281M (78%)
CAGR 9.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -40.4%
Months 57M (16%)
CAGR 8.4% | Win 61%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -47.3%
Months 338M (94%)
RSmean
neg
CAGR -0.8% | Win 45%
Sharpe -0.05 | Sortino -0.09 | Calmar -0.2
Vol 9% | MDD -5.0%
Months 20M (6%)
CAGR 28.4% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 0.5% | Win 48%
Sharpe 0.09 | Sortino 0.17 | Calmar 0.1
Vol 8% | MDD -5.0%
Months 21M (6%)
LWTI
only
CAGR 7.6% | Win 60%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 15% | MDD -43.7%
Months 301M (84%)
CAGR 9.3% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -40.4%
Months 58M (16%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 3.9% | Win 58%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 15% | MDD -41.0%
Months 245M (68%)
CAGR 22.1% | Win 70%
Sharpe 1.03 | Sortino 1.87 | Calmar 0.8
Vol 22% | MDD -26.5%
Months 30M (8%)
CAGR 5.7% | Win 59%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.1
Vol 16% | MDD -38.7%
Months 275M (77%)
MACD
neg
CAGR 29.1% | Win 70%
Sharpe 1.87 | Sortino 2.87 | Calmar 3.3
Vol 14% | MDD -8.7%
Months 30M (8%)
CAGR 8.4% | Win 57%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.3
Vol 21% | MDD -30.6%
Months 54M (15%)
CAGR 15.4% | Win 62%
Sharpe 0.86 | Sortino 1.18 | Calmar 0.6
Vol 19% | MDD -27.9%
Months 84M (23%)
RSI
only
CAGR 6.4% | Win 59%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.1
Vol 15% | MDD -42.4%
Months 275M (77%)
CAGR 13.1% | Win 62%
Sharpe 0.69 | Sortino 1.04 | Calmar 0.3
Vol 21% | MDD -46.3%
Months 84M (23%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 8.4% | Win 61%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 14% | MDD -23.9%
Months 164M (46%)
CAGR 1.9% | Win 57%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.1
Vol 18% | MDD -31.5%
Months 111M (31%)
CAGR 5.7% | Win 59%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.1
Vol 16% | MDD -38.7%
Months 275M (77%)
MACD
neg
CAGR 7.5% | Win 67%
Sharpe 0.49 | Sortino 0.48 | Calmar 0.5
Vol 18% | MDD -14.6%
Months 15M (4%)
CAGR 17.2% | Win 61%
Sharpe 0.93 | Sortino 1.36 | Calmar 0.7
Vol 19% | MDD -24.3%
Months 69M (19%)
CAGR 15.4% | Win 62%
Sharpe 0.86 | Sortino 1.18 | Calmar 0.6
Vol 19% | MDD -27.9%
Months 84M (23%)
MACDhist
only
CAGR 8.3% | Win 62%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 179M (50%)
CAGR 7.5% | Win 58%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 18% | MDD -47.4%
Months 180M (50%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 5.1% | Win 62%
Sharpe 0.42 | Sortino 0.54 | Calmar 0.1
Vol 14% | MDD -38.5%
Months 157M (44%)
CAGR 6.6% | Win 56%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 17% | MDD -37.9%
Months 118M (33%)
CAGR 5.7% | Win 59%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.1
Vol 16% | MDD -38.7%
Months 275M (77%)
MACD
neg
CAGR 25.9% | Win 66%
Sharpe 1.49 | Sortino 1.87 | Calmar 1.3
Vol 17% | MDD -19.7%
Months 44M (12%)
CAGR 4.9% | Win 57%
Sharpe 0.33 | Sortino 0.50 | Calmar 0.2
Vol 21% | MDD -24.5%
Months 40M (11%)
CAGR 15.4% | Win 62%
Sharpe 0.86 | Sortino 1.18 | Calmar 0.6
Vol 19% | MDD -27.9%
Months 84M (23%)
RSIhist
only
CAGR 9.3% | Win 63%
Sharpe 0.67 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -46.6%
Months 201M (56%)
CAGR 6.1% | Win 56%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.1
Vol 18% | MDD -47.4%
Months 158M (44%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 6.9% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 15% | MDD -30.0%
Months 256M (71%)
CAGR -9.4% | Win 53%
Sharpe -0.35 | Sortino -0.58 | Calmar -0.3
Vol 22% | MDD -29.0%
Months 19M (5%)
CAGR 5.7% | Win 59%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.1
Vol 16% | MDD -38.7%
Months 275M (77%)
MACD
neg
CAGR 11.8% | Win 60%
Sharpe 0.77 | Sortino 1.06 | Calmar 0.5
Vol 16% | MDD -23.7%
Months 45M (12%)
CAGR 19.7% | Win 64%
Sharpe 0.95 | Sortino 1.27 | Calmar 0.8
Vol 21% | MDD -24.3%
Months 39M (11%)
CAGR 15.4% | Win 62%
Sharpe 0.86 | Sortino 1.18 | Calmar 0.6
Vol 19% | MDD -27.9%
Months 84M (23%)
LWTI
only
CAGR 7.6% | Win 60%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 15% | MDD -43.7%
Months 301M (84%)
CAGR 9.3% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -40.4%
Months 58M (16%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 8.8% | Win 61%
Sharpe 0.68 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -23.9%
Months 173M (48%)
CAGR 2.4% | Win 56%
Sharpe 0.23 | Sortino 0.29 | Calmar 0.1
Vol 16% | MDD -40.6%
Months 102M (28%)
CAGR 6.4% | Win 59%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.1
Vol 15% | MDD -42.4%
Months 275M (77%)
RSI
neg
CAGR -4.7% | Win 67%
Sharpe -0.09 | Sortino -0.07 | Calmar -5.7
Vol 25% | MDD -0.8%
Months 6M (2%)
CAGR 14.6% | Win 62%
Sharpe 0.76 | Sortino 1.22 | Calmar 0.4
Vol 21% | MDD -40.4%
Months 78M (22%)
CAGR 13.1% | Win 62%
Sharpe 0.69 | Sortino 1.04 | Calmar 0.3
Vol 21% | MDD -46.3%
Months 84M (23%)
MACDhist
only
CAGR 8.3% | Win 62%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 179M (50%)
CAGR 7.5% | Win 58%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 18% | MDD -47.4%
Months 180M (50%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 8.1% | Win 63%
Sharpe 0.61 | Sortino 0.81 | Calmar 0.2
Vol 14% | MDD -40.0%
Months 185M (52%)
CAGR 2.9% | Win 52%
Sharpe 0.26 | Sortino 0.41 | Calmar 0.1
Vol 16% | MDD -30.9%
Months 90M (25%)
CAGR 6.4% | Win 59%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.1
Vol 15% | MDD -42.4%
Months 275M (77%)
RSI
neg
CAGR 24.9% | Win 62%
Sharpe 1.20 | Sortino 1.32 | Calmar 1.5
Vol 20% | MDD -16.8%
Months 16M (4%)
CAGR 10.5% | Win 62%
Sharpe 0.58 | Sortino 0.95 | Calmar 0.2
Vol 21% | MDD -44.5%
Months 68M (19%)
CAGR 13.1% | Win 62%
Sharpe 0.69 | Sortino 1.04 | Calmar 0.3
Vol 21% | MDD -46.3%
Months 84M (23%)
RSIhist
only
CAGR 9.3% | Win 63%
Sharpe 0.67 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -46.6%
Months 201M (56%)
CAGR 6.1% | Win 56%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.1
Vol 18% | MDD -47.4%
Months 158M (44%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.2% | Win 60%
Sharpe 0.54 | Sortino 0.76 | Calmar 0.2
Vol 15% | MDD -40.4%
Months 258M (72%)
CAGR -4.9% | Win 47%
Sharpe -0.26 | Sortino -0.36 | Calmar -0.2
Vol 15% | MDD -21.2%
Months 17M (5%)
CAGR 6.4% | Win 59%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.1
Vol 15% | MDD -42.4%
Months 275M (77%)
RSI
neg
CAGR 10.6% | Win 58%
Sharpe 0.64 | Sortino 1.08 | Calmar 0.4
Vol 18% | MDD -27.5%
Months 43M (12%)
CAGR 15.8% | Win 66%
Sharpe 0.74 | Sortino 1.06 | Calmar 0.4
Vol 24% | MDD -40.4%
Months 41M (11%)
CAGR 13.1% | Win 62%
Sharpe 0.69 | Sortino 1.04 | Calmar 0.3
Vol 21% | MDD -46.3%
Months 84M (23%)
LWTI
only
CAGR 7.6% | Win 60%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 15% | MDD -43.7%
Months 301M (84%)
CAGR 9.3% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -40.4%
Months 58M (16%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 8.9% | Win 64%
Sharpe 0.71 | Sortino 1.02 | Calmar 0.4
Vol 13% | MDD -25.4%
Months 143M (40%)
CAGR 5.9% | Win 50%
Sharpe 0.41 | Sortino 0.62 | Calmar 0.3
Vol 18% | MDD -17.7%
Months 36M (10%)
CAGR 8.3% | Win 62%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 179M (50%)
MACDhist
neg
CAGR 10.4% | Win 59%
Sharpe 0.63 | Sortino 0.76 | Calmar 0.3
Vol 19% | MDD -33.2%
Months 58M (16%)
CAGR 6.2% | Win 58%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.1
Vol 18% | MDD -47.5%
Months 122M (34%)
CAGR 7.5% | Win 58%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 18% | MDD -47.4%
Months 180M (50%)
RSIhist
only
CAGR 9.3% | Win 63%
Sharpe 0.67 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -46.6%
Months 201M (56%)
CAGR 6.1% | Win 56%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.1
Vol 18% | MDD -47.4%
Months 158M (44%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 8.1% | Win 62%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.3
Vol 14% | MDD -26.2%
Months 172M (48%)
CAGR 11.9% | Win 57%
Sharpe 1.10 | Sortino 2.49 | Calmar 7.6
Vol 11% | MDD -1.6%
Months 7M (2%)
CAGR 8.3% | Win 62%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 179M (50%)
MACDhist
neg
CAGR 7.0% | Win 57%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.3
Vol 16% | MDD -25.3%
Months 129M (36%)
CAGR 8.9% | Win 61%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -40.4%
Months 51M (14%)
CAGR 7.5% | Win 58%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 18% | MDD -47.4%
Months 180M (50%)
LWTI
only
CAGR 7.6% | Win 60%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 15% | MDD -43.7%
Months 301M (84%)
CAGR 9.3% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -40.4%
Months 58M (16%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 8.2% | Win 64%
Sharpe 0.61 | Sortino 0.77 | Calmar 0.2
Vol 15% | MDD -48.3%
Months 175M (49%)
CAGR 17.6% | Win 54%
Sharpe 1.06 | Sortino 1.72 | Calmar 0.9
Vol 17% | MDD -20.5%
Months 26M (7%)
CAGR 9.3% | Win 63%
Sharpe 0.67 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -46.6%
Months 201M (56%)
RSIhist
neg
CAGR 6.9% | Win 54%
Sharpe 0.50 | Sortino 0.87 | Calmar 0.3
Vol 16% | MDD -23.6%
Months 126M (35%)
CAGR 3.0% | Win 66%
Sharpe 0.24 | Sortino 0.49 | Calmar 0.1
Vol 25% | MDD -40.4%
Months 32M (9%)
CAGR 6.1% | Win 56%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.1
Vol 18% | MDD -47.4%
Months 158M (44%)
LWTI
only
CAGR 7.6% | Win 60%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 15% | MDD -43.7%
Months 301M (84%)
CAGR 9.3% | Win 60%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -40.4%
Months 58M (16%)