EWO - iShares MSCI Austria ETF

Signal Pair Analysis

SLmean-RSIhist

Best Pair

62.3%

Best CAGR

104

Total Months

6.2%

Avg CAGR

EWO 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 EWO

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair SLmean RSIhist neg-pos 12 3.3 62.3 83.3 2.3 3.4 9.5 22.4 -6.6
pair RSIhist SLmean neg-pos 12 3.3 62.3 83.3 2.3 3.4 9.5 22.4 -6.6
pair MACDhist RSmean neg-pos 4 1.1 60.3 100.0 13.6 0.0 0.0 3.5 0.0
pair RSmean MACDhist neg-pos 4 1.1 60.3 100.0 13.6 0.0 0.0 3.5 0.0
pair MACDhist LWTI pos-neg 6 1.6 56.6 83.3 2.5 0.0 8.9 18.5 -6.4
pair LWTI MACDhist pos-neg 6 1.6 56.6 83.3 2.5 0.0 8.9 18.5 -6.4
pair RSmean MRmean pos-neg 6 1.6 43.3 83.3 4.9 0.0 44.6 7.4 -1.0
pair MRmean RSmean pos-neg 6 1.6 43.3 83.3 4.9 0.0 44.6 7.4 -1.0
pair RSIhist RSmean neg-pos 7 1.9 38.0 85.7 4.4 0.0 39.1 7.4 -1.0
pair RSmean RSIhist neg-pos 7 1.9 38.0 85.7 4.4 0.0 39.1 7.4 -1.0
pair SLmean MRmean pos-neg 20 5.5 34.6 70.0 1.5 2.8 3.0 21.5 -11.7
pair MRmean SLmean pos-neg 20 5.5 34.6 70.0 1.5 2.8 3.0 21.5 -11.7
pair RSmean SLmean pos-neg 6 1.6 25.1 66.7 2.2 5.6 25.9 10.6 -1.0
pair SLmean RSmean pos-neg 6 1.6 25.1 66.7 2.2 5.6 25.9 10.6 -1.0
pair MRmean LWTI pos-neg 22 6.0 23.1 50.0 1.0 2.7 1.4 23.2 -16.4
pair LWTI MRmean pos-neg 22 6.0 23.1 50.0 1.0 2.7 1.4 23.2 -16.4
pair MACDhist SLmean neg-pos 33 9.0 22.3 60.6 0.9 1.3 0.8 27.8 -28.9
pair SLmean MACDhist neg-pos 33 9.0 22.3 60.6 0.9 1.3 0.8 27.8 -28.9
pair SLmean LWTI pos-neg 35 9.6 22.2 45.7 1.0 3.0 0.8 23.8 -27.3
pair LWTI SLmean pos-neg 35 9.6 22.2 45.7 1.0 3.0 0.8 23.8 -27.3
pair LWTI RSIhist pos-neg 30 8.2 20.9 46.7 0.9 2.7 0.8 24.8 -25.3
pair RSIhist LWTI pos-neg 30 8.2 20.9 46.7 0.9 2.7 0.8 24.8 -25.3
pair RSI MRmean pos-neg 31 8.5 19.6 54.8 0.8 1.5 0.8 24.6 -24.0
pair MRmean RSI pos-neg 31 8.5 19.6 54.8 0.8 1.5 0.8 24.6 -24.0
pair RSI RSIhist neg-pos 43 11.8 19.6 51.2 0.8 1.7 0.7 25.5 -26.7
pair RSIhist RSI neg-pos 43 11.8 19.6 51.2 0.8 1.7 0.7 25.5 -26.7
pair MRmean RSIhist neg-pos 16 4.4 19.4 43.8 0.8 2.7 0.9 26.2 -21.5
pair RSIhist MRmean neg-pos 16 4.4 19.4 43.8 0.8 2.7 0.9 26.2 -21.5
pair MACDhist MACD pos-pos 152 41.6 19.1 65.1 1.1 1.5 0.4 18.1 -43.7
pair MACD MACDhist pos-pos 152 41.6 19.1 65.1 1.1 1.5 0.4 18.1 -43.7
pair SLmean MRmean neg-pos 17 4.7 18.9 41.2 0.8 4.1 1.1 23.9 -16.7
pair MRmean SLmean neg-pos 17 4.7 18.9 41.2 0.8 4.1 1.1 23.9 -16.7
pair MRmean MACDhist pos-pos 181 49.6 18.7 65.7 1.1 1.7 0.6 18.0 -30.1
pair MACDhist MRmean pos-pos 181 49.6 18.7 65.7 1.1 1.7 0.6 18.0 -30.1
pair MACD LWTI neg-neg 71 19.5 18.1 50.7 0.7 0.9 0.3 31.5 -55.5
pair LWTI MACD neg-neg 71 19.5 18.1 50.7 0.7 0.9 0.3 31.5 -55.5
pair RSIhist MACDhist pos-neg 42 11.5 17.8 61.9 0.8 1.2 0.6 23.9 -31.0
pair MACDhist RSIhist pos-neg 42 11.5 17.8 61.9 0.8 1.2 0.6 23.9 -31.0
pair RSI MACDhist pos-pos 168 46.0 17.2 64.9 1.0 1.6 0.5 17.3 -31.6
pair MACDhist RSI pos-pos 168 46.0 17.2 64.9 1.0 1.6 0.5 17.3 -31.6
single MACDhist MACDhist pos-pos 200 54.8 17.1 64.5 0.9 1.4 0.5 19.8 -36.2
pair MACDhist RSI neg-pos 32 8.8 17.0 62.5 0.7 1.1 0.7 29.8 -25.2
pair RSI MACDhist neg-pos 32 8.8 17.0 62.5 0.7 1.1 0.7 29.8 -25.2
pair RSIhist MACDhist pos-pos 158 43.3 17.0 65.2 0.9 1.5 0.6 18.6 -28.8
pair MACDhist RSIhist pos-pos 158 43.3 17.0 65.2 0.9 1.5 0.6 18.6 -28.8
pair MACDhist RSmean pos-pos 196 53.7 16.4 63.8 0.9 1.3 0.5 19.9 -36.2
pair RSmean MACDhist pos-pos 196 53.7 16.4 63.8 0.9 1.3 0.5 19.9 -36.2
pair SLmean MACDhist pos-pos 167 45.8 16.1 65.3 0.9 1.4 0.4 17.8 -37.8
pair LWTI MACDhist pos-pos 194 53.2 16.1 63.9 0.9 1.3 0.4 19.8 -38.2
pair MACDhist SLmean pos-pos 167 45.8 16.1 65.3 0.9 1.4 0.4 17.8 -37.8
pair MACDhist LWTI pos-pos 194 53.2 16.1 63.9 0.9 1.3 0.4 19.8 -38.2
pair MACD MRmean pos-pos 160 43.8 15.6 64.4 0.9 1.3 0.4 18.4 -37.2
pair MRmean MACD pos-pos 160 43.8 15.6 64.4 0.9 1.3 0.4 18.4 -37.2
pair MACD RSmean pos-neg 137 37.5 15.1 54.7 0.7 1.0 0.3 27.9 -54.5
pair RSmean MACD pos-neg 137 37.5 15.1 54.7 0.7 1.0 0.3 27.9 -54.5
pair SLmean RSIhist pos-neg 34 9.3 14.8 58.8 0.9 2.0 0.8 17.9 -19.6
pair RSIhist SLmean pos-neg 34 9.3 14.8 58.8 0.9 2.0 0.8 17.9 -19.6
pair SLmean MACD pos-pos 147 40.3 14.5 63.9 0.8 1.2 0.4 18.4 -36.8
pair MACD SLmean pos-pos 147 40.3 14.5 63.9 0.8 1.2 0.4 18.4 -36.8
pair RSIhist MACD neg-pos 76 20.8 14.4 56.6 0.7 1.3 0.5 22.7 -31.4
pair MACD RSIhist neg-pos 76 20.8 14.4 56.6 0.7 1.3 0.5 22.7 -31.4
pair SLmean MACD neg-neg 85 23.3 14.3 55.3 0.6 0.7 0.3 31.6 -54.0
pair MACD SLmean neg-neg 85 23.3 14.3 55.3 0.6 0.7 0.3 31.6 -54.0
pair RSI MACD neg-neg 123 33.7 14.2 52.0 0.6 0.8 0.3 29.4 -51.9
pair MACD RSI neg-neg 123 33.7 14.2 52.0 0.6 0.8 0.3 29.4 -51.9
single RSIhist RSIhist pos-pos 200 54.8 13.9 61.0 0.8 1.2 0.4 20.2 -35.2
pair RSIhist MACD pos-pos 124 34.0 13.5 63.7 0.8 1.1 0.4 18.6 -33.2
pair MACD RSIhist pos-pos 124 34.0 13.5 63.7 0.8 1.1 0.4 18.6 -33.2
pair RSIhist MRmean pos-pos 184 50.4 13.4 62.5 0.7 1.1 0.4 19.6 -36.5
pair MRmean RSIhist pos-pos 184 50.4 13.4 62.5 0.7 1.1 0.4 19.6 -36.5
single MRmean MRmean pos-pos 225 61.6 13.2 61.8 0.7 1.1 0.3 19.4 -40.6
pair RSIhist RSmean pos-pos 193 52.9 13.1 60.1 0.7 1.1 0.3 20.5 -38.9
pair MACD MRmean neg-neg 95 26.0 13.1 51.6 0.6 0.7 0.2 30.6 -52.3
pair MRmean MACD neg-neg 95 26.0 13.1 51.6 0.6 0.7 0.2 30.6 -52.3
pair RSmean RSIhist pos-pos 193 52.9 13.1 60.1 0.7 1.1 0.3 20.5 -38.9
pair RSIhist LWTI pos-pos 170 46.6 12.7 63.5 0.7 1.0 0.3 19.3 -37.1
pair LWTI RSIhist pos-pos 170 46.6 12.7 63.5 0.7 1.0 0.3 19.3 -37.1
pair RSmean MRmean pos-pos 219 60.0 12.4 61.2 0.7 1.1 0.3 19.6 -44.4
pair MRmean RSmean pos-pos 219 60.0 12.4 61.2 0.7 1.1 0.3 19.6 -44.4
pair RSIhist RSI pos-pos 157 43.0 12.3 63.7 0.7 1.0 0.3 18.5 -42.2
pair RSI RSIhist pos-pos 157 43.0 12.3 63.7 0.7 1.0 0.3 18.5 -42.2
pair RSIhist MRmean pos-neg 41 11.2 12.2 58.5 0.7 1.4 0.5 18.8 -23.6
pair MRmean RSI pos-pos 194 53.2 12.2 62.9 0.7 1.1 0.3 18.5 -44.7
pair RSI MRmean pos-pos 194 53.2 12.2 62.9 0.7 1.1 0.3 18.5 -44.7
pair MRmean RSIhist pos-neg 41 11.2 12.2 58.5 0.7 1.4 0.5 18.8 -23.6
pair MRmean LWTI pos-pos 203 55.6 12.1 63.1 0.7 1.0 0.3 19.0 -40.6
pair RSI SLmean pos-pos 181 49.6 12.1 63.0 0.7 1.1 0.3 18.5 -45.3
pair SLmean RSI pos-pos 181 49.6 12.1 63.0 0.7 1.1 0.3 18.5 -45.3
pair LWTI MRmean pos-pos 203 55.6 12.1 63.1 0.7 1.0 0.3 19.0 -40.6
single SLmean SLmean pos-pos 222 60.8 11.8 59.5 0.7 1.1 0.3 19.6 -45.1
pair RSmean SLmean pos-pos 216 59.2 11.5 59.3 0.7 1.1 0.3 19.8 -45.0
pair SLmean RSmean pos-pos 216 59.2 11.5 59.3 0.7 1.1 0.3 19.8 -45.0
pair SLmean MRmean pos-pos 205 56.2 11.3 61.0 0.7 1.0 0.2 19.2 -45.0
pair MRmean SLmean pos-pos 205 56.2 11.3 61.0 0.7 1.0 0.2 19.2 -45.0
pair RSIhist SLmean pos-pos 188 51.5 11.3 59.6 0.6 1.0 0.2 19.9 -48.0
pair SLmean RSIhist pos-pos 188 51.5 11.3 59.6 0.6 1.0 0.2 19.9 -48.0
pair MACD MACDhist neg-pos 48 13.2 11.2 62.5 0.6 1.1 0.4 24.4 -27.6
pair MACDhist MACD neg-pos 48 13.2 11.2 62.5 0.6 1.1 0.4 24.4 -27.6
pair RSmean RSI pos-neg 136 37.3 11.0 52.9 0.5 0.7 0.2 30.1 -66.7
pair RSI RSmean pos-neg 136 37.3 11.0 52.9 0.5 0.7 0.2 30.1 -66.7
pair SLmean RSI pos-neg 41 11.2 10.8 43.9 0.5 1.1 0.3 23.8 -35.0
pair RSI SLmean pos-neg 41 11.2 10.8 43.9 0.5 1.1 0.3 23.8 -35.0
single MACD MACD neg-neg 160 43.8 10.7 53.1 0.5 0.7 0.2 27.3 -53.5
pair RSmean LWTI pos-pos 255 69.9 10.7 60.4 0.6 0.9 0.2 20.7 -42.6
pair LWTI RSmean pos-pos 255 69.9 10.7 60.4 0.6 0.9 0.2 20.7 -42.6
pair MACD MACDhist neg-neg 112 30.7 10.5 49.1 0.5 0.7 0.2 28.6 -54.7
pair MACDhist MACD neg-neg 112 30.7 10.5 49.1 0.5 0.7 0.2 28.6 -54.7
pair LWTI MACD pos-pos 187 51.2 10.5 62.0 0.6 0.8 0.2 19.9 -54.1
pair MACD LWTI pos-pos 187 51.2 10.5 62.0 0.6 0.8 0.2 19.9 -54.1
pair RSI MACD pos-pos 172 47.1 10.0 61.6 0.6 0.9 0.2 19.4 -52.4
pair LWTI SLmean pos-pos 187 51.2 10.0 62.0 0.6 0.9 0.2 18.7 -51.9
pair MACD RSI pos-pos 172 47.1 10.0 61.6 0.6 0.9 0.2 19.4 -52.4
pair SLmean LWTI pos-pos 187 51.2 10.0 62.0 0.6 0.9 0.2 18.7 -51.9
single RSmean RSmean pos-pos 339 92.9 9.5 57.5 0.5 0.7 0.1 24.2 -72.6
pair RSI LWTI pos-pos 197 54.0 9.3 61.9 0.6 0.8 0.2 19.0 -44.3
pair LWTI RSI pos-pos 197 54.0 9.3 61.9 0.6 0.8 0.2 19.0 -44.3
single LWTI LWTI pos-pos 276 75.6 8.8 59.8 0.5 0.7 0.2 21.1 -49.9
pair RSI RSmean pos-pos 203 55.6 8.5 60.6 0.5 0.8 0.2 19.3 -47.2
pair RSmean RSI pos-pos 203 55.6 8.5 60.6 0.5 0.8 0.2 19.3 -47.2
single RSI RSI pos-pos 209 57.3 8.1 60.8 0.5 0.8 0.2 19.3 -45.9
pair benchmark___benchmark_ benchmark-benchmark 365 100.0 7.6 56.7 0.4 0.6 0.1 24.1 -73.7
pair benchmark___benchmark_ benchmark-benchmark 365 100.0 7.6 56.7 0.4 0.6 0.1 24.1 -73.7
pair LWTI RSI neg-pos 79 21.6 7.5 54.4 0.4 0.5 0.2 25.7 -39.8
pair RSI LWTI neg-pos 79 21.6 7.5 54.4 0.4 0.5 0.2 25.7 -39.8
pair MACD RSIhist neg-neg 84 23.0 7.4 50.0 0.4 0.5 0.1 31.1 -58.6
pair RSIhist MACD neg-neg 84 23.0 7.4 50.0 0.4 0.5 0.1 31.1 -58.6
pair MACD MRmean pos-neg 65 17.8 7.3 55.4 0.4 0.7 0.3 21.9 -28.4
pair MRmean MACD pos-neg 65 17.8 7.3 55.4 0.4 0.7 0.3 21.9 -28.4
single RSI RSI neg-neg 156 42.7 6.9 51.3 0.4 0.5 0.1 29.4 -66.7
pair MACD SLmean pos-neg 75 20.5 6.7 50.7 0.4 0.8 0.2 21.7 -36.7
pair SLmean MACD pos-neg 75 20.5 6.7 50.7 0.4 0.8 0.2 21.7 -36.7
pair LWTI RSI neg-neg 77 21.1 6.3 48.1 0.4 0.5 0.1 33.0 -68.2
pair RSI LWTI neg-neg 77 21.1 6.3 48.1 0.4 0.5 0.1 33.0 -68.2
pair SLmean LWTI neg-pos 89 24.4 6.2 55.1 0.4 0.5 0.1 25.6 -50.3
pair LWTI SLmean neg-pos 89 24.4 6.2 55.1 0.4 0.5 0.1 25.6 -50.3
pair SLmean RSmean neg-pos 123 33.7 6.1 54.5 0.3 0.5 0.1 30.5 -69.8
pair RSmean SLmean neg-pos 123 33.7 6.1 54.5 0.3 0.5 0.1 30.5 -69.8
pair LWTI RSmean pos-neg 84 23.0 5.8 48.8 0.3 0.5 0.1 32.7 -69.8
pair RSmean MACD pos-pos 202 55.3 5.8 59.4 0.4 0.5 0.1 21.3 -75.9
pair MACD RSmean pos-pos 202 55.3 5.8 59.4 0.4 0.5 0.1 21.3 -75.9
pair RSmean LWTI pos-neg 84 23.0 5.8 48.8 0.3 0.5 0.1 32.7 -69.8
pair SLmean RSI neg-neg 115 31.5 5.6 53.9 0.3 0.4 0.1 31.3 -66.7
pair RSI SLmean neg-neg 115 31.5 5.6 53.9 0.3 0.4 0.1 31.3 -66.7
single MACD MACD pos-pos 205 56.2 5.3 59.5 0.3 0.5 0.1 21.3 -76.7
pair MACD LWTI neg-pos 89 24.4 5.1 55.1 0.3 0.5 0.2 23.5 -27.6
pair LWTI MACD neg-pos 89 24.4 5.1 55.1 0.3 0.5 0.2 23.5 -27.6
pair RSmean RSIhist pos-neg 146 40.0 4.9 54.1 0.3 0.4 0.1 28.4 -69.8
pair RSIhist RSmean pos-neg 146 40.0 4.9 54.1 0.3 0.4 0.1 28.4 -69.8
pair MACDhist RSI neg-neg 124 34.0 4.5 48.4 0.3 0.4 0.1 29.4 -66.7
pair RSI MACDhist neg-neg 124 34.0 4.5 48.4 0.3 0.4 0.1 29.4 -66.7
pair RSmean MRmean neg-pos 120 32.9 4.3 50.8 0.3 0.4 0.1 30.9 -69.8
pair MRmean RSmean neg-pos 120 32.9 4.3 50.8 0.3 0.4 0.1 30.9 -69.8
single LWTI LWTI neg-neg 89 24.4 4.2 47.2 0.3 0.4 0.1 31.9 -69.8
pair RSI MRmean neg-neg 125 34.2 4.0 50.4 0.3 0.4 0.1 30.6 -66.7
pair MRmean RSI neg-neg 125 34.2 4.0 50.4 0.3 0.4 0.1 30.6 -66.7
pair MACDhist MRmean neg-pos 19 5.2 3.2 52.6 0.2 0.4 0.1 32.4 -31.5
pair MRmean MACDhist neg-pos 19 5.2 3.2 52.6 0.2 0.4 0.1 32.4 -31.5
pair MACDhist RSIhist neg-pos 42 11.5 2.9 45.2 0.2 0.4 0.1 25.3 -31.5
pair RSIhist MACDhist neg-pos 42 11.5 2.9 45.2 0.2 0.4 0.1 25.3 -31.5
pair RSIhist LWTI neg-pos 106 29.0 2.8 53.8 0.2 0.3 0.1 23.8 -55.4
pair LWTI RSIhist neg-pos 106 29.0 2.8 53.8 0.2 0.3 0.1 23.8 -55.4
pair RSIhist RSI neg-neg 113 31.0 2.5 51.3 0.2 0.3 0.0 30.8 -68.1
pair RSI RSIhist neg-neg 113 31.0 2.5 51.3 0.2 0.3 0.0 30.8 -68.1
single SLmean SLmean neg-neg 143 39.2 1.4 52.4 0.2 0.3 0.0 29.9 -69.8
pair LWTI MACDhist neg-neg 83 22.7 1.2 44.6 0.2 0.3 0.0 32.6 -71.5
pair MACDhist LWTI neg-neg 83 22.7 1.2 44.6 0.2 0.3 0.0 32.6 -71.5
pair RSmean MACDhist pos-neg 143 39.2 0.7 49.0 0.2 0.2 0.0 29.0 -72.6
pair MACDhist RSmean pos-neg 143 39.2 0.7 49.0 0.2 0.2 0.0 29.0 -72.6
single RSIhist RSIhist neg-neg 165 45.2 0.5 51.5 0.2 0.2 0.0 28.2 -72.2
pair LWTI MRmean neg-pos 73 20.0 -0.1 50.7 0.1 0.2 -0.0 26.1 -51.3
pair MACD RSI neg-pos 37 10.1 -0.1 56.8 0.1 0.1 -0.0 18.9 -23.0
pair RSI MACD neg-pos 37 10.1 -0.1 56.8 0.1 0.1 -0.0 18.9 -23.0
pair MRmean LWTI neg-pos 73 20.0 -0.1 50.7 0.1 0.2 -0.0 26.1 -51.3
pair MACDhist SLmean pos-neg 55 15.1 -0.3 41.8 0.1 0.2 -0.0 24.0 -38.3
pair SLmean MACDhist pos-neg 55 15.1 -0.3 41.8 0.1 0.2 -0.0 24.0 -38.3
single MRmean MRmean neg-neg 140 38.4 -0.7 48.6 0.1 0.2 -0.0 30.2 -69.8
pair MACDhist MRmean neg-neg 121 33.2 -1.3 47.9 0.1 0.1 -0.0 30.0 -70.2
pair MRmean MACDhist neg-neg 121 33.2 -1.3 47.9 0.1 0.1 -0.0 30.0 -70.2
pair MRmean LWTI neg-neg 67 18.4 -1.4 46.3 0.1 0.2 -0.0 34.3 -70.6
pair LWTI MRmean neg-neg 67 18.4 -1.4 46.3 0.1 0.2 -0.0 34.3 -70.6
pair RSmean RSI neg-pos 6 1.6 -1.9 66.7 -0.0 -0.0 -0.2 20.7 -11.3
pair RSI RSmean neg-pos 6 1.6 -1.9 66.7 -0.0 -0.0 -0.2 20.7 -11.3
single MACDhist MACDhist neg-neg 165 45.2 -2.9 47.3 0.0 0.1 -0.0 28.4 -74.9
pair RSIhist SLmean neg-neg 131 35.9 -2.9 49.6 0.1 0.1 -0.0 30.3 -72.5
pair SLmean RSIhist neg-neg 131 35.9 -2.9 49.6 0.1 0.1 -0.0 30.3 -72.5
pair RSIhist MRmean neg-neg 124 34.0 -3.1 49.2 0.1 0.1 -0.0 30.7 -72.8
pair MRmean RSIhist neg-neg 124 34.0 -3.1 49.2 0.1 0.1 -0.0 30.7 -72.8
pair SLmean MRmean neg-neg 123 33.7 -3.2 49.6 0.1 0.1 -0.0 31.0 -71.7
pair MRmean SLmean neg-neg 123 33.7 -3.2 49.6 0.1 0.1 -0.0 31.0 -71.7
pair RSIhist LWTI neg-neg 59 16.2 -3.4 47.5 0.1 0.1 -0.1 35.0 -71.3
pair LWTI RSIhist neg-neg 59 16.2 -3.4 47.5 0.1 0.1 -0.1 35.0 -71.3
pair RSI RSIhist pos-neg 52 14.2 -3.6 51.9 -0.1 -0.1 -0.1 21.5 -52.5
pair RSIhist RSI pos-neg 52 14.2 -3.6 51.9 -0.1 -0.1 -0.1 21.5 -52.5
pair SLmean MACDhist neg-neg 110 30.1 -4.2 50.0 0.0 0.0 -0.1 30.5 -69.8
pair MACDhist SLmean neg-neg 110 30.1 -4.2 50.0 0.0 0.0 -0.1 30.5 -69.8
pair MACDhist RSIhist neg-neg 123 33.7 -4.8 48.0 -0.0 -0.0 -0.1 29.5 -70.7
pair RSIhist MACDhist neg-neg 123 33.7 -4.8 48.0 -0.0 -0.0 -0.1 29.5 -70.7
pair LWTI SLmean neg-neg 54 14.8 -6.1 48.1 0.0 0.0 -0.1 36.2 -70.3
pair SLmean LWTI neg-neg 54 14.8 -6.1 48.1 0.0 0.0 -0.1 36.2 -70.3
pair MACD RSIhist pos-neg 81 22.2 -6.2 53.1 -0.1 -0.2 -0.1 24.8 -78.0
pair RSIhist MACD pos-neg 81 22.2 -6.2 53.1 -0.1 -0.2 -0.1 24.8 -78.0
pair MACDhist LWTI neg-pos 82 22.5 -6.8 50.0 -0.2 -0.2 -0.1 23.5 -52.8
pair LWTI MACDhist neg-pos 82 22.5 -6.8 50.0 -0.2 -0.2 -0.1 23.5 -52.8
pair MACDhist MRmean pos-neg 44 12.1 -7.0 45.5 -0.2 -0.3 -0.2 23.8 -35.9
pair MRmean MACDhist pos-neg 44 12.1 -7.0 45.5 -0.2 -0.3 -0.2 23.8 -35.9
pair RSI LWTI pos-neg 12 3.3 -8.7 41.7 -0.3 -0.6 -0.4 24.1 -22.8
pair LWTI RSI pos-neg 12 3.3 -8.7 41.7 -0.3 -0.6 -0.4 24.1 -22.8
pair MACD RSmean neg-neg 23 6.3 -12.5 43.5 -0.5 -0.4 -0.4 22.9 -28.3
pair RSmean MACD neg-neg 23 6.3 -12.5 43.5 -0.5 -0.4 -0.4 22.9 -28.3
pair LWTI RSmean neg-pos 21 5.8 -12.6 52.4 -0.4 -0.3 -0.4 25.5 -30.4
pair RSmean LWTI neg-pos 21 5.8 -12.6 52.4 -0.4 -0.3 -0.4 25.5 -30.4
single RSmean RSmean neg-neg 26 7.1 -14.0 46.2 -0.5 -0.5 -0.4 23.0 -34.1
pair RSI SLmean neg-pos 28 7.7 -14.1 46.4 -0.5 -0.8 -0.3 23.2 -41.9
pair SLmean RSI neg-pos 28 7.7 -14.1 46.4 -0.5 -0.8 -0.3 23.2 -41.9
pair SLmean MACD neg-pos 58 15.9 -14.9 48.3 -0.5 -0.6 -0.2 26.7 -74.2
pair MACD SLmean neg-pos 58 15.9 -14.9 48.3 -0.5 -0.6 -0.2 26.7 -74.2
pair MACD RSI pos-neg 33 9.0 -16.2 48.5 -0.5 -0.6 -0.3 29.0 -58.3
pair RSI MACD pos-neg 33 9.0 -16.2 48.5 -0.5 -0.6 -0.3 29.0 -58.3
pair RSmean RSI neg-neg 20 5.5 -17.3 40.0 -0.7 -0.6 -0.6 24.1 -30.3
pair RSI RSmean neg-neg 20 5.5 -17.3 40.0 -0.7 -0.6 -0.6 24.1 -30.3
pair RSmean LWTI neg-neg 5 1.4 -19.6 20.0 -3.6 -5.6 -3.2 6.0 -6.2
pair LWTI RSmean neg-neg 5 1.4 -19.6 20.0 -3.6 -5.6 -3.2 6.0 -6.2
pair RSI MACDhist pos-neg 41 11.2 -22.1 43.9 -0.9 -1.4 -0.4 24.1 -58.7
pair MACDhist RSI pos-neg 41 11.2 -22.1 43.9 -0.9 -1.4 -0.4 24.1 -58.7
pair RSmean SLmean neg-neg 20 5.5 -23.1 40.0 -0.9 -0.8 -0.6 25.0 -38.3
pair SLmean RSmean neg-neg 20 5.5 -23.1 40.0 -0.9 -0.8 -0.6 25.0 -38.3
pair MACDhist RSmean neg-neg 22 6.0 -23.2 36.4 -1.0 -0.9 -0.6 23.7 -41.0
pair RSmean MACDhist neg-neg 22 6.0 -23.2 36.4 -1.0 -0.9 -0.6 23.7 -41.0
pair RSmean MACD neg-pos 3 0.8 -24.2 66.7 -0.8 0.0 0.0 28.8 0.0
pair MACD RSmean neg-pos 3 0.8 -24.2 66.7 -0.8 0.0 0.0 28.8 0.0
pair MACD MRmean neg-pos 45 12.3 -24.6 42.2 -0.8 -1.2 -0.3 27.9 -73.6
pair MRmean MACD neg-pos 45 12.3 -24.6 42.2 -0.8 -1.2 -0.3 27.9 -73.6
pair MACDhist MACD pos-neg 53 14.5 -26.0 43.4 -1.0 -1.4 -0.3 26.5 -75.1
pair MACD MACDhist pos-neg 53 14.5 -26.0 43.4 -1.0 -1.4 -0.3 26.5 -75.1
pair RSmean MRmean neg-neg 20 5.5 -26.2 35.0 -1.1 -1.0 -0.6 24.5 -42.3
pair MRmean RSmean neg-neg 20 5.5 -26.2 35.0 -1.1 -1.0 -0.6 24.5 -42.3
pair RSIhist RSmean neg-neg 19 5.2 -27.7 31.6 -1.1 -1.1 -0.7 25.1 -42.8
pair RSmean RSIhist neg-neg 19 5.2 -27.7 31.6 -1.1 -1.1 -0.7 25.1 -42.8
pair MRmean RSI neg-pos 15 4.1 -32.7 33.3 -1.5 -2.3 -0.8 24.5 -42.2
pair RSI MRmean neg-pos 15 4.1 -32.7 33.3 -1.5 -2.3 -0.8 24.5 -42.2
pair MACD LWTI pos-neg 18 4.9 -36.4 33.3 -1.3 -1.8 -0.7 30.2 -56.1
pair LWTI MACD pos-neg 18 4.9 -36.4 33.3 -1.3 -1.8 -0.7 30.2 -56.1

All Contingency Tables for EWO

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 11.3% | Win 61%
Sharpe 0.66 | Sortino 0.99 | Calmar 0.3
Vol 19% | MDD -45.0%
Months 205M (56%)
CAGR 34.6% | Win 70%
Sharpe 1.50 | Sortino 2.75 | Calmar 3.0
Vol 22% | MDD -11.7%
Months 20M (6%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.15 | Calmar 0.3
Vol 19% | MDD -40.6%
Months 225M (62%)
MRmean
neg
CAGR 18.9% | Win 41%
Sharpe 0.83 | Sortino 4.09 | Calmar 1.1
Vol 24% | MDD -16.7%
Months 17M (5%)
CAGR -3.2% | Win 50%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 31% | MDD -71.7%
Months 123M (34%)
CAGR -0.7% | Win 49%
Sharpe 0.13 | Sortino 0.18 | Calmar -0.0
Vol 30% | MDD -69.8%
Months 140M (38%)
SLmean
only
CAGR 11.8% | Win 60%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 20% | MDD -45.1%
Months 222M (61%)
CAGR 1.4% | Win 52%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 30% | MDD -69.8%
Months 143M (39%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 12.4% | Win 61%
Sharpe 0.70 | Sortino 1.09 | Calmar 0.3
Vol 20% | MDD -44.4%
Months 219M (60%)
CAGR 43.3% | Win 83%
Sharpe 4.94 | Sortino 0.00 | Calmar 44.6
Vol 7% | MDD -1.0%
Months 6M (2%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.15 | Calmar 0.3
Vol 19% | MDD -40.6%
Months 225M (62%)
MRmean
neg
CAGR 4.3% | Win 51%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 31% | MDD -69.8%
Months 120M (33%)
CAGR -26.2% | Win 35%
Sharpe -1.09 | Sortino -1.01 | Calmar -0.6
Vol 24% | MDD -42.3%
Months 20M (6%)
CAGR -0.7% | Win 49%
Sharpe 0.13 | Sortino 0.18 | Calmar -0.0
Vol 30% | MDD -69.8%
Months 140M (38%)
RSmean
only
CAGR 9.5% | Win 57%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.1
Vol 24% | MDD -72.6%
Months 339M (93%)
CAGR -14.0% | Win 46%
Sharpe -0.52 | Sortino -0.47 | Calmar -0.4
Vol 23% | MDD -34.1%
Months 26M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 15.6% | Win 64%
Sharpe 0.89 | Sortino 1.30 | Calmar 0.4
Vol 18% | MDD -37.2%
Months 160M (44%)
CAGR 7.3% | Win 55%
Sharpe 0.43 | Sortino 0.74 | Calmar 0.3
Vol 22% | MDD -28.4%
Months 65M (18%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.15 | Calmar 0.3
Vol 19% | MDD -40.6%
Months 225M (62%)
MRmean
neg
CAGR -24.6% | Win 42%
Sharpe -0.85 | Sortino -1.16 | Calmar -0.3
Vol 28% | MDD -73.6%
Months 45M (12%)
CAGR 13.1% | Win 52%
Sharpe 0.56 | Sortino 0.72 | Calmar 0.2
Vol 31% | MDD -52.3%
Months 95M (26%)
CAGR -0.7% | Win 49%
Sharpe 0.13 | Sortino 0.18 | Calmar -0.0
Vol 30% | MDD -69.8%
Months 140M (38%)
MACD
only
CAGR 5.3% | Win 60%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -76.7%
Months 205M (56%)
CAGR 10.7% | Win 53%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.2
Vol 27% | MDD -53.5%
Months 160M (44%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 12.2% | Win 63%
Sharpe 0.72 | Sortino 1.07 | Calmar 0.3
Vol 18% | MDD -44.7%
Months 194M (53%)
CAGR 19.6% | Win 55%
Sharpe 0.85 | Sortino 1.51 | Calmar 0.8
Vol 25% | MDD -24.0%
Months 31M (8%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.15 | Calmar 0.3
Vol 19% | MDD -40.6%
Months 225M (62%)
MRmean
neg
CAGR -32.7% | Win 33%
Sharpe -1.47 | Sortino -2.26 | Calmar -0.8
Vol 24% | MDD -42.2%
Months 15M (4%)
CAGR 4.0% | Win 50%
Sharpe 0.29 | Sortino 0.37 | Calmar 0.1
Vol 31% | MDD -66.7%
Months 125M (34%)
CAGR -0.7% | Win 49%
Sharpe 0.13 | Sortino 0.18 | Calmar -0.0
Vol 30% | MDD -69.8%
Months 140M (38%)
RSI
only
CAGR 8.1% | Win 61%
Sharpe 0.50 | Sortino 0.75 | Calmar 0.2
Vol 19% | MDD -45.9%
Months 209M (57%)
CAGR 6.9% | Win 51%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 29% | MDD -66.7%
Months 156M (43%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 18.7% | Win 66%
Sharpe 1.05 | Sortino 1.66 | Calmar 0.6
Vol 18% | MDD -30.1%
Months 181M (50%)
CAGR -7.0% | Win 46%
Sharpe -0.19 | Sortino -0.30 | Calmar -0.2
Vol 24% | MDD -35.9%
Months 44M (12%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.15 | Calmar 0.3
Vol 19% | MDD -40.6%
Months 225M (62%)
MRmean
neg
CAGR 3.2% | Win 53%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.1
Vol 32% | MDD -31.5%
Months 19M (5%)
CAGR -1.3% | Win 48%
Sharpe 0.11 | Sortino 0.14 | Calmar -0.0
Vol 30% | MDD -70.2%
Months 121M (33%)
CAGR -0.7% | Win 49%
Sharpe 0.13 | Sortino 0.18 | Calmar -0.0
Vol 30% | MDD -69.8%
Months 140M (38%)
MACDhist
only
CAGR 17.1% | Win 64%
Sharpe 0.90 | Sortino 1.38 | Calmar 0.5
Vol 20% | MDD -36.2%
Months 200M (55%)
CAGR -2.9% | Win 47%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 28% | MDD -74.9%
Months 165M (45%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 13.4% | Win 62%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.4
Vol 20% | MDD -36.5%
Months 184M (50%)
CAGR 12.2% | Win 58%
Sharpe 0.71 | Sortino 1.42 | Calmar 0.5
Vol 19% | MDD -23.6%
Months 41M (11%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.15 | Calmar 0.3
Vol 19% | MDD -40.6%
Months 225M (62%)
MRmean
neg
CAGR 19.4% | Win 44%
Sharpe 0.79 | Sortino 2.72 | Calmar 0.9
Vol 26% | MDD -21.5%
Months 16M (4%)
CAGR -3.1% | Win 49%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 31% | MDD -72.8%
Months 124M (34%)
CAGR -0.7% | Win 49%
Sharpe 0.13 | Sortino 0.18 | Calmar -0.0
Vol 30% | MDD -69.8%
Months 140M (38%)
RSIhist
only
CAGR 13.9% | Win 61%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.4
Vol 20% | MDD -35.2%
Months 200M (55%)
CAGR 0.5% | Win 52%
Sharpe 0.17 | Sortino 0.22 | Calmar 0.0
Vol 28% | MDD -72.2%
Months 165M (45%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 12.1% | Win 63%
Sharpe 0.70 | Sortino 1.03 | Calmar 0.3
Vol 19% | MDD -40.6%
Months 203M (56%)
CAGR 23.1% | Win 50%
Sharpe 1.01 | Sortino 2.67 | Calmar 1.4
Vol 23% | MDD -16.4%
Months 22M (6%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.15 | Calmar 0.3
Vol 19% | MDD -40.6%
Months 225M (62%)
MRmean
neg
CAGR -0.1% | Win 51%
Sharpe 0.13 | Sortino 0.17 | Calmar -0.0
Vol 26% | MDD -51.3%
Months 73M (20%)
CAGR -1.4% | Win 46%
Sharpe 0.14 | Sortino 0.18 | Calmar -0.0
Vol 34% | MDD -70.6%
Months 67M (18%)
CAGR -0.7% | Win 49%
Sharpe 0.13 | Sortino 0.18 | Calmar -0.0
Vol 30% | MDD -69.8%
Months 140M (38%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.51 | Sortino 0.69 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 276M (76%)
CAGR 4.2% | Win 47%
Sharpe 0.29 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -69.8%
Months 89M (24%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 11.5% | Win 59%
Sharpe 0.65 | Sortino 1.06 | Calmar 0.3
Vol 20% | MDD -45.0%
Months 216M (59%)
CAGR 25.1% | Win 67%
Sharpe 2.18 | Sortino 5.62 | Calmar 25.9
Vol 11% | MDD -1.0%
Months 6M (2%)
CAGR 11.8% | Win 60%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 20% | MDD -45.1%
Months 222M (61%)
SLmean
neg
CAGR 6.1% | Win 55%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 30% | MDD -69.8%
Months 123M (34%)
CAGR -23.1% | Win 40%
Sharpe -0.90 | Sortino -0.82 | Calmar -0.6
Vol 25% | MDD -38.3%
Months 20M (6%)
CAGR 1.4% | Win 52%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 30% | MDD -69.8%
Months 143M (39%)
RSmean
only
CAGR 9.5% | Win 57%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.1
Vol 24% | MDD -72.6%
Months 339M (93%)
CAGR -14.0% | Win 46%
Sharpe -0.52 | Sortino -0.47 | Calmar -0.4
Vol 23% | MDD -34.1%
Months 26M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 14.5% | Win 64%
Sharpe 0.83 | Sortino 1.22 | Calmar 0.4
Vol 18% | MDD -36.8%
Months 147M (40%)
CAGR 6.7% | Win 51%
Sharpe 0.41 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -36.7%
Months 75M (20%)
CAGR 11.8% | Win 60%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 20% | MDD -45.1%
Months 222M (61%)
SLmean
neg
CAGR -14.9% | Win 48%
Sharpe -0.46 | Sortino -0.61 | Calmar -0.2
Vol 27% | MDD -74.2%
Months 58M (16%)
CAGR 14.3% | Win 55%
Sharpe 0.59 | Sortino 0.72 | Calmar 0.3
Vol 32% | MDD -54.0%
Months 85M (23%)
CAGR 1.4% | Win 52%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 30% | MDD -69.8%
Months 143M (39%)
MACD
only
CAGR 5.3% | Win 60%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -76.7%
Months 205M (56%)
CAGR 10.7% | Win 53%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.2
Vol 27% | MDD -53.5%
Months 160M (44%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 12.1% | Win 63%
Sharpe 0.71 | Sortino 1.06 | Calmar 0.3
Vol 18% | MDD -45.3%
Months 181M (50%)
CAGR 10.8% | Win 44%
Sharpe 0.54 | Sortino 1.13 | Calmar 0.3
Vol 24% | MDD -35.0%
Months 41M (11%)
CAGR 11.8% | Win 60%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 20% | MDD -45.1%
Months 222M (61%)
SLmean
neg
CAGR -14.1% | Win 46%
Sharpe -0.54 | Sortino -0.82 | Calmar -0.3
Vol 23% | MDD -41.9%
Months 28M (8%)
CAGR 5.6% | Win 54%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 31% | MDD -66.7%
Months 115M (32%)
CAGR 1.4% | Win 52%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 30% | MDD -69.8%
Months 143M (39%)
RSI
only
CAGR 8.1% | Win 61%
Sharpe 0.50 | Sortino 0.75 | Calmar 0.2
Vol 19% | MDD -45.9%
Months 209M (57%)
CAGR 6.9% | Win 51%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 29% | MDD -66.7%
Months 156M (43%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 16.1% | Win 65%
Sharpe 0.93 | Sortino 1.43 | Calmar 0.4
Vol 18% | MDD -37.8%
Months 167M (46%)
CAGR -0.3% | Win 42%
Sharpe 0.10 | Sortino 0.19 | Calmar -0.0
Vol 24% | MDD -38.3%
Months 55M (15%)
CAGR 11.8% | Win 60%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 20% | MDD -45.1%
Months 222M (61%)
SLmean
neg
CAGR 22.3% | Win 61%
Sharpe 0.87 | Sortino 1.34 | Calmar 0.8
Vol 28% | MDD -28.9%
Months 33M (9%)
CAGR -4.2% | Win 50%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 30% | MDD -69.8%
Months 110M (30%)
CAGR 1.4% | Win 52%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 30% | MDD -69.8%
Months 143M (39%)
MACDhist
only
CAGR 17.1% | Win 64%
Sharpe 0.90 | Sortino 1.38 | Calmar 0.5
Vol 20% | MDD -36.2%
Months 200M (55%)
CAGR -2.9% | Win 47%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 28% | MDD -74.9%
Months 165M (45%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 11.3% | Win 60%
Sharpe 0.64 | Sortino 0.99 | Calmar 0.2
Vol 20% | MDD -48.0%
Months 188M (52%)
CAGR 14.8% | Win 59%
Sharpe 0.86 | Sortino 2.04 | Calmar 0.8
Vol 18% | MDD -19.6%
Months 34M (9%)
CAGR 11.8% | Win 60%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 20% | MDD -45.1%
Months 222M (61%)
SLmean
neg
CAGR 62.3% | Win 83%
Sharpe 2.30 | Sortino 3.35 | Calmar 9.5
Vol 22% | MDD -6.6%
Months 12M (3%)
CAGR -2.9% | Win 50%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 30% | MDD -72.5%
Months 131M (36%)
CAGR 1.4% | Win 52%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 30% | MDD -69.8%
Months 143M (39%)
RSIhist
only
CAGR 13.9% | Win 61%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.4
Vol 20% | MDD -35.2%
Months 200M (55%)
CAGR 0.5% | Win 52%
Sharpe 0.17 | Sortino 0.22 | Calmar 0.0
Vol 28% | MDD -72.2%
Months 165M (45%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 10.0% | Win 62%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.2
Vol 19% | MDD -51.9%
Months 187M (51%)
CAGR 22.2% | Win 46%
Sharpe 0.96 | Sortino 3.03 | Calmar 0.8
Vol 24% | MDD -27.3%
Months 35M (10%)
CAGR 11.8% | Win 60%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 20% | MDD -45.1%
Months 222M (61%)
SLmean
neg
CAGR 6.2% | Win 55%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -50.3%
Months 89M (24%)
CAGR -6.1% | Win 48%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.1
Vol 36% | MDD -70.3%
Months 54M (15%)
CAGR 1.4% | Win 52%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 30% | MDD -69.8%
Months 143M (39%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.51 | Sortino 0.69 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 276M (76%)
CAGR 4.2% | Win 47%
Sharpe 0.29 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -69.8%
Months 89M (24%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 5.8% | Win 59%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 21% | MDD -75.9%
Months 202M (55%)
CAGR 15.1% | Win 55%
Sharpe 0.65 | Sortino 0.96 | Calmar 0.3
Vol 28% | MDD -54.5%
Months 137M (38%)
CAGR 9.5% | Win 57%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.1
Vol 24% | MDD -72.6%
Months 339M (93%)
RSmean
neg
CAGR -24.2% | Win 67%
Sharpe -0.85 | Sortino 0.00 | Calmar 0.0
Vol 29% | MDD 0.0%
Months 3M (1%)
CAGR -12.5% | Win 44%
Sharpe -0.45 | Sortino -0.40 | Calmar -0.4
Vol 23% | MDD -28.3%
Months 23M (6%)
CAGR -14.0% | Win 46%
Sharpe -0.52 | Sortino -0.47 | Calmar -0.4
Vol 23% | MDD -34.1%
Months 26M (7%)
MACD
only
CAGR 5.3% | Win 60%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -76.7%
Months 205M (56%)
CAGR 10.7% | Win 53%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.2
Vol 27% | MDD -53.5%
Months 160M (44%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 8.5% | Win 61%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 19% | MDD -47.2%
Months 203M (56%)
CAGR 11.0% | Win 53%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.2
Vol 30% | MDD -66.7%
Months 136M (37%)
CAGR 9.5% | Win 57%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.1
Vol 24% | MDD -72.6%
Months 339M (93%)
RSmean
neg
CAGR -1.9% | Win 67%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.2
Vol 21% | MDD -11.3%
Months 6M (2%)
CAGR -17.3% | Win 40%
Sharpe -0.65 | Sortino -0.58 | Calmar -0.6
Vol 24% | MDD -30.3%
Months 20M (6%)
CAGR -14.0% | Win 46%
Sharpe -0.52 | Sortino -0.47 | Calmar -0.4
Vol 23% | MDD -34.1%
Months 26M (7%)
RSI
only
CAGR 8.1% | Win 61%
Sharpe 0.50 | Sortino 0.75 | Calmar 0.2
Vol 19% | MDD -45.9%
Months 209M (57%)
CAGR 6.9% | Win 51%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 29% | MDD -66.7%
Months 156M (43%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 16.4% | Win 64%
Sharpe 0.87 | Sortino 1.33 | Calmar 0.5
Vol 20% | MDD -36.2%
Months 196M (54%)
CAGR 0.7% | Win 49%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 29% | MDD -72.6%
Months 143M (39%)
CAGR 9.5% | Win 57%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.1
Vol 24% | MDD -72.6%
Months 339M (93%)
RSmean
neg
CAGR 60.3% | Win 100%
Sharpe 13.60 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 4M (1%)
CAGR -23.2% | Win 36%
Sharpe -0.97 | Sortino -0.90 | Calmar -0.6
Vol 24% | MDD -41.0%
Months 22M (6%)
CAGR -14.0% | Win 46%
Sharpe -0.52 | Sortino -0.47 | Calmar -0.4
Vol 23% | MDD -34.1%
Months 26M (7%)
MACDhist
only
CAGR 17.1% | Win 64%
Sharpe 0.90 | Sortino 1.38 | Calmar 0.5
Vol 20% | MDD -36.2%
Months 200M (55%)
CAGR -2.9% | Win 47%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 28% | MDD -74.9%
Months 165M (45%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 13.1% | Win 60%
Sharpe 0.70 | Sortino 1.13 | Calmar 0.3
Vol 20% | MDD -38.9%
Months 193M (53%)
CAGR 4.9% | Win 54%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 28% | MDD -69.8%
Months 146M (40%)
CAGR 9.5% | Win 57%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.1
Vol 24% | MDD -72.6%
Months 339M (93%)
RSmean
neg
CAGR 38.0% | Win 86%
Sharpe 4.42 | Sortino 0.00 | Calmar 39.1
Vol 7% | MDD -1.0%
Months 7M (2%)
CAGR -27.7% | Win 32%
Sharpe -1.14 | Sortino -1.08 | Calmar -0.6
Vol 25% | MDD -42.8%
Months 19M (5%)
CAGR -14.0% | Win 46%
Sharpe -0.52 | Sortino -0.47 | Calmar -0.4
Vol 23% | MDD -34.1%
Months 26M (7%)
RSIhist
only
CAGR 13.9% | Win 61%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.4
Vol 20% | MDD -35.2%
Months 200M (55%)
CAGR 0.5% | Win 52%
Sharpe 0.17 | Sortino 0.22 | Calmar 0.0
Vol 28% | MDD -72.2%
Months 165M (45%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 10.7% | Win 60%
Sharpe 0.60 | Sortino 0.91 | Calmar 0.3
Vol 21% | MDD -42.6%
Months 255M (70%)
CAGR 5.8% | Win 49%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 33% | MDD -69.8%
Months 84M (23%)
CAGR 9.5% | Win 57%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.1
Vol 24% | MDD -72.6%
Months 339M (93%)
RSmean
neg
CAGR -12.6% | Win 52%
Sharpe -0.38 | Sortino -0.32 | Calmar -0.4
Vol 26% | MDD -30.4%
Months 21M (6%)
CAGR -19.6% | Win 20%
Sharpe -3.58 | Sortino -5.56 | Calmar -3.2
Vol 6% | MDD -6.2%
Months 5M (1%)
CAGR -14.0% | Win 46%
Sharpe -0.52 | Sortino -0.47 | Calmar -0.4
Vol 23% | MDD -34.1%
Months 26M (7%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.51 | Sortino 0.69 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 276M (76%)
CAGR 4.2% | Win 47%
Sharpe 0.29 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -69.8%
Months 89M (24%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 10.0% | Win 62%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 19% | MDD -52.4%
Months 172M (47%)
CAGR -16.2% | Win 48%
Sharpe -0.45 | Sortino -0.57 | Calmar -0.3
Vol 29% | MDD -58.3%
Months 33M (9%)
CAGR 5.3% | Win 60%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -76.7%
Months 205M (56%)
MACD
neg
CAGR -0.1% | Win 57%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 19% | MDD -23.0%
Months 37M (10%)
CAGR 14.2% | Win 52%
Sharpe 0.60 | Sortino 0.81 | Calmar 0.3
Vol 29% | MDD -51.9%
Months 123M (34%)
CAGR 10.7% | Win 53%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.2
Vol 27% | MDD -53.5%
Months 160M (44%)
RSI
only
CAGR 8.1% | Win 61%
Sharpe 0.50 | Sortino 0.75 | Calmar 0.2
Vol 19% | MDD -45.9%
Months 209M (57%)
CAGR 6.9% | Win 51%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 29% | MDD -66.7%
Months 156M (43%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 19.1% | Win 65%
Sharpe 1.06 | Sortino 1.51 | Calmar 0.4
Vol 18% | MDD -43.7%
Months 152M (42%)
CAGR -26.0% | Win 43%
Sharpe -0.99 | Sortino -1.40 | Calmar -0.3
Vol 26% | MDD -75.1%
Months 53M (14%)
CAGR 5.3% | Win 60%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -76.7%
Months 205M (56%)
MACD
neg
CAGR 11.2% | Win 62%
Sharpe 0.56 | Sortino 1.07 | Calmar 0.4
Vol 24% | MDD -27.6%
Months 48M (13%)
CAGR 10.5% | Win 49%
Sharpe 0.50 | Sortino 0.65 | Calmar 0.2
Vol 29% | MDD -54.7%
Months 112M (31%)
CAGR 10.7% | Win 53%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.2
Vol 27% | MDD -53.5%
Months 160M (44%)
MACDhist
only
CAGR 17.1% | Win 64%
Sharpe 0.90 | Sortino 1.38 | Calmar 0.5
Vol 20% | MDD -36.2%
Months 200M (55%)
CAGR -2.9% | Win 47%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 28% | MDD -74.9%
Months 165M (45%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 13.5% | Win 64%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.4
Vol 19% | MDD -33.2%
Months 124M (34%)
CAGR -6.2% | Win 53%
Sharpe -0.13 | Sortino -0.17 | Calmar -0.1
Vol 25% | MDD -78.0%
Months 81M (22%)
CAGR 5.3% | Win 60%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -76.7%
Months 205M (56%)
MACD
neg
CAGR 14.4% | Win 57%
Sharpe 0.71 | Sortino 1.32 | Calmar 0.5
Vol 23% | MDD -31.4%
Months 76M (21%)
CAGR 7.4% | Win 50%
Sharpe 0.39 | Sortino 0.50 | Calmar 0.1
Vol 31% | MDD -58.6%
Months 84M (23%)
CAGR 10.7% | Win 53%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.2
Vol 27% | MDD -53.5%
Months 160M (44%)
RSIhist
only
CAGR 13.9% | Win 61%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.4
Vol 20% | MDD -35.2%
Months 200M (55%)
CAGR 0.5% | Win 52%
Sharpe 0.17 | Sortino 0.22 | Calmar 0.0
Vol 28% | MDD -72.2%
Months 165M (45%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 10.5% | Win 62%
Sharpe 0.61 | Sortino 0.84 | Calmar 0.2
Vol 20% | MDD -54.1%
Months 187M (51%)
CAGR -36.4% | Win 33%
Sharpe -1.31 | Sortino -1.78 | Calmar -0.6
Vol 30% | MDD -56.1%
Months 18M (5%)
CAGR 5.3% | Win 60%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -76.7%
Months 205M (56%)
MACD
neg
CAGR 5.1% | Win 55%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.2
Vol 24% | MDD -27.6%
Months 89M (24%)
CAGR 18.1% | Win 51%
Sharpe 0.69 | Sortino 0.95 | Calmar 0.3
Vol 32% | MDD -55.5%
Months 71M (20%)
CAGR 10.7% | Win 53%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.2
Vol 27% | MDD -53.5%
Months 160M (44%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.51 | Sortino 0.69 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 276M (76%)
CAGR 4.2% | Win 47%
Sharpe 0.29 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -69.8%
Months 89M (24%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 17.2% | Win 65%
Sharpe 1.01 | Sortino 1.60 | Calmar 0.5
Vol 17% | MDD -31.6%
Months 168M (46%)
CAGR -22.1% | Win 44%
Sharpe -0.91 | Sortino -1.43 | Calmar -0.4
Vol 24% | MDD -58.7%
Months 41M (11%)
CAGR 8.1% | Win 61%
Sharpe 0.50 | Sortino 0.75 | Calmar 0.2
Vol 19% | MDD -45.9%
Months 209M (57%)
RSI
neg
CAGR 17.0% | Win 62%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.7
Vol 30% | MDD -25.2%
Months 32M (9%)
CAGR 4.5% | Win 48%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.1
Vol 29% | MDD -66.7%
Months 124M (34%)
CAGR 6.9% | Win 51%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 29% | MDD -66.7%
Months 156M (43%)
MACDhist
only
CAGR 17.1% | Win 64%
Sharpe 0.90 | Sortino 1.38 | Calmar 0.5
Vol 20% | MDD -36.2%
Months 200M (55%)
CAGR -2.9% | Win 47%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 28% | MDD -74.9%
Months 165M (45%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 12.3% | Win 64%
Sharpe 0.73 | Sortino 1.03 | Calmar 0.3
Vol 18% | MDD -42.2%
Months 157M (43%)
CAGR -3.6% | Win 52%
Sharpe -0.06 | Sortino -0.11 | Calmar -0.1
Vol 22% | MDD -52.5%
Months 52M (14%)
CAGR 8.1% | Win 61%
Sharpe 0.50 | Sortino 0.75 | Calmar 0.2
Vol 19% | MDD -45.9%
Months 209M (57%)
RSI
neg
CAGR 19.6% | Win 51%
Sharpe 0.83 | Sortino 1.71 | Calmar 0.7
Vol 26% | MDD -26.7%
Months 43M (12%)
CAGR 2.5% | Win 51%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.0
Vol 31% | MDD -68.1%
Months 113M (31%)
CAGR 6.9% | Win 51%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 29% | MDD -66.7%
Months 156M (43%)
RSIhist
only
CAGR 13.9% | Win 61%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.4
Vol 20% | MDD -35.2%
Months 200M (55%)
CAGR 0.5% | Win 52%
Sharpe 0.17 | Sortino 0.22 | Calmar 0.0
Vol 28% | MDD -72.2%
Months 165M (45%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 9.3% | Win 62%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 19% | MDD -44.3%
Months 197M (54%)
CAGR -8.7% | Win 42%
Sharpe -0.27 | Sortino -0.62 | Calmar -0.4
Vol 24% | MDD -22.8%
Months 12M (3%)
CAGR 8.1% | Win 61%
Sharpe 0.50 | Sortino 0.75 | Calmar 0.2
Vol 19% | MDD -45.9%
Months 209M (57%)
RSI
neg
CAGR 7.5% | Win 54%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.2
Vol 26% | MDD -39.8%
Months 79M (22%)
CAGR 6.3% | Win 48%
Sharpe 0.36 | Sortino 0.48 | Calmar 0.1
Vol 33% | MDD -68.2%
Months 77M (21%)
CAGR 6.9% | Win 51%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 29% | MDD -66.7%
Months 156M (43%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.51 | Sortino 0.69 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 276M (76%)
CAGR 4.2% | Win 47%
Sharpe 0.29 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -69.8%
Months 89M (24%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 17.0% | Win 65%
Sharpe 0.94 | Sortino 1.48 | Calmar 0.6
Vol 19% | MDD -28.8%
Months 158M (43%)
CAGR 17.8% | Win 62%
Sharpe 0.81 | Sortino 1.16 | Calmar 0.6
Vol 24% | MDD -31.0%
Months 42M (12%)
CAGR 17.1% | Win 64%
Sharpe 0.90 | Sortino 1.38 | Calmar 0.5
Vol 20% | MDD -36.2%
Months 200M (55%)
MACDhist
neg
CAGR 2.9% | Win 45%
Sharpe 0.24 | Sortino 0.39 | Calmar 0.1
Vol 25% | MDD -31.5%
Months 42M (12%)
CAGR -4.8% | Win 48%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 30% | MDD -70.7%
Months 123M (34%)
CAGR -2.9% | Win 47%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 28% | MDD -74.9%
Months 165M (45%)
RSIhist
only
CAGR 13.9% | Win 61%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.4
Vol 20% | MDD -35.2%
Months 200M (55%)
CAGR 0.5% | Win 52%
Sharpe 0.17 | Sortino 0.22 | Calmar 0.0
Vol 28% | MDD -72.2%
Months 165M (45%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 16.1% | Win 64%
Sharpe 0.86 | Sortino 1.30 | Calmar 0.4
Vol 20% | MDD -38.2%
Months 194M (53%)
CAGR 56.6% | Win 83%
Sharpe 2.54 | Sortino 0.00 | Calmar 8.9
Vol 18% | MDD -6.4%
Months 6M (2%)
CAGR 17.1% | Win 64%
Sharpe 0.90 | Sortino 1.38 | Calmar 0.5
Vol 20% | MDD -36.2%
Months 200M (55%)
MACDhist
neg
CAGR -6.8% | Win 50%
Sharpe -0.17 | Sortino -0.22 | Calmar -0.1
Vol 24% | MDD -52.8%
Months 82M (22%)
CAGR 1.2% | Win 45%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 33% | MDD -71.5%
Months 83M (23%)
CAGR -2.9% | Win 47%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 28% | MDD -74.9%
Months 165M (45%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.51 | Sortino 0.69 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 276M (76%)
CAGR 4.2% | Win 47%
Sharpe 0.29 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -69.8%
Months 89M (24%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 12.7% | Win 64%
Sharpe 0.72 | Sortino 1.01 | Calmar 0.3
Vol 19% | MDD -37.1%
Months 170M (47%)
CAGR 20.9% | Win 47%
Sharpe 0.89 | Sortino 2.72 | Calmar 0.8
Vol 25% | MDD -25.3%
Months 30M (8%)
CAGR 13.9% | Win 61%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.4
Vol 20% | MDD -35.2%
Months 200M (55%)
RSIhist
neg
CAGR 2.8% | Win 54%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.1
Vol 24% | MDD -55.4%
Months 106M (29%)
CAGR -3.4% | Win 48%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 35% | MDD -71.3%
Months 59M (16%)
CAGR 0.5% | Win 52%
Sharpe 0.17 | Sortino 0.22 | Calmar 0.0
Vol 28% | MDD -72.2%
Months 165M (45%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.51 | Sortino 0.69 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 276M (76%)
CAGR 4.2% | Win 47%
Sharpe 0.29 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -69.8%
Months 89M (24%)