| SLmean pos | SLmean neg | MRmean only | |
|---|---|---|---|
| MRmean pos | CAGR 7.0% | Win 61% Sharpe 0.54 | Sortino 0.71 | Calmar 0.2 Vol 14% | MDD -44.7% Months 228M (62%) | CAGR 7.9% | Win 56% Sharpe 0.51 | Sortino 0.72 | Calmar 0.7 Vol 18% | MDD -11.2% Months 25M (7%) | CAGR 7.1% | Win 60% Sharpe 0.54 | Sortino 0.72 | Calmar 0.1 Vol 15% | MDD -49.1% Months 253M (69%) |
| MRmean neg | CAGR 11.5% | Win 50% Sharpe 0.80 | Sortino 1.37 | Calmar 1.2 Vol 15% | MDD -9.8% Months 12M (3%) | CAGR 9.1% | Win 60% Sharpe 0.53 | Sortino 0.86 | Calmar 0.2 Vol 20% | MDD -44.8% Months 102M (28%) | CAGR 9.3% | Win 59% Sharpe 0.55 | Sortino 0.88 | Calmar 0.2 Vol 20% | MDD -50.3% Months 114M (31%) |
| SLmean only | CAGR 7.2% | Win 60% Sharpe 0.55 | Sortino 0.74 | Calmar 0.2 Vol 14% | MDD -46.7% Months 240M (65%) | CAGR 8.8% | Win 59% Sharpe 0.53 | Sortino 0.84 | Calmar 0.2 Vol 20% | MDD -44.5% Months 127M (35%) |