EWP - iShares MSCI Spain ETF

Signal Pair Analysis

MRmean-RSI

Best Pair

48.9%

Best CAGR

104

Total Months

8.2%

Avg CAGR

EWP 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 EWP

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSI MRmean pos-neg 23 6.3 48.9 78.3 1.9 4.7 3.4 22.3 -14.3
pair MRmean RSI pos-neg 23 6.3 48.9 78.3 1.9 4.7 3.4 22.3 -14.3
pair SLmean RSI pos-neg 37 10.1 33.5 67.6 1.4 3.2 3.3 22.8 -10.0
pair RSI SLmean pos-neg 37 10.1 33.5 67.6 1.4 3.2 3.3 22.8 -10.0
pair MRmean MACD pos-neg 65 17.8 31.8 70.8 1.3 2.2 1.5 22.9 -20.7
pair MACD MRmean pos-neg 65 17.8 31.8 70.8 1.3 2.2 1.5 22.9 -20.7
pair RSI RSmean neg-neg 17 4.7 25.9 70.6 1.4 2.1 2.7 16.9 -9.5
pair RSmean RSI neg-neg 17 4.7 25.9 70.6 1.4 2.1 2.7 16.9 -9.5
pair MACD SLmean pos-neg 79 21.6 24.6 65.8 1.1 1.9 1.2 22.9 -20.7
pair SLmean MACD pos-neg 79 21.6 24.6 65.8 1.1 1.9 1.2 22.9 -20.7
pair RSI RSIhist neg-pos 34 9.3 23.4 64.7 1.0 2.3 1.5 22.6 -15.3
pair RSIhist RSI neg-pos 34 9.3 23.4 64.7 1.0 2.3 1.5 22.6 -15.3
pair RSIhist MACD neg-neg 83 22.7 22.0 63.9 0.8 1.3 0.6 31.8 -34.9
pair MACD RSIhist neg-neg 83 22.7 22.0 63.9 0.8 1.3 0.6 31.8 -34.9
pair MACDhist MACD neg-neg 118 32.3 21.3 64.4 0.8 1.4 0.6 28.6 -34.9
pair MACD MACDhist neg-neg 118 32.3 21.3 64.4 0.8 1.4 0.6 28.6 -34.9
pair SLmean RSmean neg-neg 18 4.9 20.7 66.7 1.2 1.9 2.2 16.9 -9.5
pair RSmean SLmean neg-neg 18 4.9 20.7 66.7 1.2 1.9 2.2 16.9 -9.5
pair MACD RSmean pos-neg 133 36.4 20.3 63.9 0.8 1.3 0.6 29.1 -34.9
pair RSmean MACD pos-neg 133 36.4 20.3 63.9 0.8 1.3 0.6 29.1 -34.9
pair MRmean RSmean neg-neg 17 4.7 20.1 64.7 1.1 1.9 2.1 17.4 -9.5
pair RSmean MRmean neg-neg 17 4.7 20.1 64.7 1.1 1.9 2.1 17.4 -9.5
pair SLmean MRmean pos-neg 19 5.2 19.8 57.9 1.0 2.5 2.5 20.1 -8.1
pair MRmean SLmean pos-neg 19 5.2 19.8 57.9 1.0 2.5 2.5 20.1 -8.1
pair MACD RSI neg-neg 107 29.3 19.7 63.6 0.8 1.2 0.6 29.7 -34.9
pair RSI MACD neg-neg 107 29.3 19.7 63.6 0.8 1.2 0.6 29.7 -34.9
pair LWTI MACD neg-pos 67 18.4 19.6 61.2 0.8 1.2 0.7 25.6 -29.7
pair MACD LWTI neg-pos 67 18.4 19.6 61.2 0.8 1.2 0.7 25.6 -29.7
single MACD MACD neg-neg 152 41.6 19.4 63.8 0.8 1.2 0.6 27.9 -34.9
pair MACD LWTI neg-neg 85 23.3 19.3 65.9 0.8 1.3 0.6 29.7 -31.5
pair LWTI MACD neg-neg 85 23.3 19.3 65.9 0.8 1.3 0.6 29.7 -31.5
pair RSI MACD neg-pos 45 12.3 18.8 64.4 0.9 1.4 0.6 23.2 -33.2
pair MACD RSI neg-pos 45 12.3 18.8 64.4 0.9 1.4 0.6 23.2 -33.2
pair MACDhist RSmean neg-neg 19 5.2 18.5 63.2 1.1 1.7 1.9 17.0 -9.5
pair RSmean MACDhist neg-neg 19 5.2 18.5 63.2 1.1 1.7 1.9 17.0 -9.5
pair RSIhist RSmean neg-neg 18 4.9 17.5 61.1 1.0 1.8 1.8 17.3 -9.5
pair RSmean RSIhist neg-neg 18 4.9 17.5 61.1 1.0 1.8 1.8 17.3 -9.5
pair MRmean RSIhist pos-neg 56 15.3 16.7 58.9 0.9 1.6 0.6 20.0 -28.1
pair RSIhist MRmean pos-neg 56 15.3 16.7 58.9 0.9 1.6 0.6 20.0 -28.1
pair MACD RSIhist neg-pos 69 18.9 16.4 63.8 0.8 1.3 0.7 22.5 -23.3
pair RSIhist MACD neg-pos 69 18.9 16.4 63.8 0.8 1.3 0.7 22.5 -23.3
pair SLmean RSI neg-pos 38 10.4 16.0 55.3 0.9 2.3 0.8 17.3 -19.3
pair RSI SLmean neg-pos 38 10.4 16.0 55.3 0.9 2.3 0.8 17.3 -19.3
pair LWTI RSI neg-neg 85 23.3 15.7 62.4 0.6 1.1 0.4 30.7 -42.6
pair RSI LWTI neg-neg 85 23.3 15.7 62.4 0.6 1.1 0.4 30.7 -42.6
pair LWTI RSmean neg-pos 19 5.2 15.5 57.9 1.1 3.5 2.2 13.4 -6.9
pair RSmean LWTI neg-pos 19 5.2 15.5 57.9 1.1 3.5 2.2 13.4 -6.9
pair MRmean LWTI pos-neg 30 8.2 15.0 70.0 0.7 1.0 0.7 25.2 -21.2
pair LWTI MRmean pos-neg 30 8.2 15.0 70.0 0.7 1.0 0.7 25.2 -21.2
pair SLmean MACD neg-neg 73 20.0 14.1 61.6 0.6 0.9 0.4 32.6 -34.9
pair LWTI MACDhist pos-neg 10 2.7 14.1 70.0 0.6 0.5 0.7 30.4 -19.5
pair MACD SLmean neg-neg 73 20.0 14.1 61.6 0.6 0.9 0.4 32.6 -34.9
pair MACDhist LWTI pos-neg 10 2.7 14.1 70.0 0.6 0.5 0.7 30.4 -19.5
pair RSmean MRmean pos-pos 215 58.9 13.9 61.9 0.8 1.1 0.3 19.9 -42.3
pair MRmean RSmean pos-pos 215 58.9 13.9 61.9 0.8 1.1 0.3 19.9 -42.3
pair RSmean MACD neg-neg 19 5.2 13.8 63.2 0.8 1.4 1.1 17.0 -13.0
pair MRmean MACDhist pos-pos 168 46.0 13.8 61.3 0.8 1.3 0.3 17.9 -49.7
pair MACD RSmean neg-neg 19 5.2 13.8 63.2 0.8 1.4 1.1 17.0 -13.0
pair MACDhist MRmean pos-pos 168 46.0 13.8 61.3 0.8 1.3 0.3 17.9 -49.7
pair MACDhist RSIhist pos-pos 131 35.9 13.6 61.8 0.8 1.3 0.3 17.5 -42.2
pair RSIhist MACDhist pos-pos 131 35.9 13.6 61.8 0.8 1.3 0.3 17.5 -42.2
pair MACD MACDhist neg-pos 34 9.3 13.2 61.8 0.6 0.8 0.4 25.5 -31.8
pair MACDhist MACD neg-pos 34 9.3 13.2 61.8 0.6 0.8 0.4 25.5 -31.8
single MRmean MRmean pos-pos 222 60.8 13.1 61.3 0.7 1.1 0.3 19.7 -43.9
pair SLmean MACDhist pos-pos 153 41.9 12.9 61.4 0.8 1.2 0.3 17.5 -46.7
pair MACDhist SLmean pos-pos 153 41.9 12.9 61.4 0.8 1.2 0.3 17.5 -46.7
pair MRmean LWTI pos-pos 192 52.6 12.8 59.9 0.7 1.1 0.2 18.8 -55.0
pair LWTI MRmean pos-pos 192 52.6 12.8 59.9 0.7 1.1 0.2 18.8 -55.0
pair SLmean RSIhist pos-neg 50 13.7 12.7 58.0 0.7 1.2 0.3 21.1 -40.7
pair RSIhist SLmean pos-neg 50 13.7 12.7 58.0 0.7 1.2 0.3 21.1 -40.7
pair SLmean MRmean pos-pos 203 55.6 12.5 61.6 0.7 1.0 0.3 19.8 -43.1
pair MRmean SLmean pos-pos 203 55.6 12.5 61.6 0.7 1.0 0.3 19.8 -43.1
pair RSmean MACDhist pos-pos 174 47.7 12.3 60.9 0.7 1.1 0.2 18.7 -60.9
pair MACDhist RSmean pos-pos 174 47.7 12.3 60.9 0.7 1.1 0.2 18.7 -60.9
pair SLmean RSmean pos-pos 221 60.5 12.0 60.6 0.7 1.0 0.3 20.3 -40.1
pair RSmean SLmean pos-pos 221 60.5 12.0 60.6 0.7 1.0 0.3 20.3 -40.1
pair MRmean RSIhist pos-pos 166 45.5 11.9 62.0 0.7 1.0 0.3 19.7 -43.4
pair RSIhist MRmean pos-pos 166 45.5 11.9 62.0 0.7 1.0 0.3 19.7 -43.4
pair MACDhist RSI neg-pos 14 3.8 11.5 50.0 0.5 0.9 0.3 32.3 -34.9
pair RSI MACDhist neg-pos 14 3.8 11.5 50.0 0.5 0.9 0.3 32.3 -34.9
pair RSI MACDhist pos-pos 165 45.2 11.5 61.2 0.7 1.1 0.2 17.0 -50.3
single MACDhist MACDhist pos-pos 179 49.0 11.5 60.3 0.7 1.1 0.2 18.5 -60.7
pair MACDhist RSI pos-pos 165 45.2 11.5 61.2 0.7 1.1 0.2 17.0 -50.3
pair LWTI SLmean pos-pos 178 48.8 11.4 60.1 0.7 1.0 0.2 18.7 -52.3
pair LWTI RSI pos-pos 207 56.7 11.4 58.9 0.7 1.1 0.2 18.5 -49.3
pair SLmean LWTI pos-pos 178 48.8 11.4 60.1 0.7 1.0 0.2 18.7 -52.3
pair LWTI MACDhist pos-pos 169 46.3 11.4 59.8 0.7 1.2 0.2 17.7 -58.2
pair MACDhist LWTI pos-pos 169 46.3 11.4 59.8 0.7 1.2 0.2 17.7 -58.2
pair RSI LWTI pos-pos 207 56.7 11.4 58.9 0.7 1.1 0.2 18.5 -49.3
single RSmean RSmean neg-neg 24 6.6 11.2 58.3 0.7 1.3 1.0 15.9 -11.7
pair RSI RSIhist pos-neg 80 21.9 11.2 55.0 0.7 1.2 0.2 18.8 -44.6
pair RSIhist RSI pos-neg 80 21.9 11.2 55.0 0.7 1.2 0.2 18.8 -44.6
single SLmean SLmean pos-pos 227 62.2 11.2 59.9 0.6 1.0 0.3 20.1 -41.7
pair LWTI RSIhist pos-pos 138 37.8 11.1 60.1 0.7 1.0 0.3 18.3 -42.6
pair MACD MACDhist pos-pos 145 39.7 11.1 60.0 0.7 1.3 0.2 16.5 -49.3
pair MACDhist MACD pos-pos 145 39.7 11.1 60.0 0.7 1.3 0.2 16.5 -49.3
pair RSIhist LWTI pos-pos 138 37.8 11.1 60.1 0.7 1.0 0.3 18.3 -42.6
pair MRmean MACD neg-neg 87 23.8 11.0 58.6 0.5 0.8 0.3 31.1 -34.9
pair MACDhist MRmean pos-neg 54 14.8 11.0 61.1 0.6 0.8 0.3 24.9 -40.8
pair MRmean MACDhist pos-neg 54 14.8 11.0 61.1 0.6 0.8 0.3 24.9 -40.8
pair MACD MRmean neg-neg 87 23.8 11.0 58.6 0.5 0.8 0.3 31.1 -34.9
pair RSIhist RSmean pos-pos 176 48.2 10.8 60.8 0.6 0.9 0.2 20.2 -43.9
pair SLmean RSIhist pos-pos 177 48.5 10.8 60.5 0.6 0.9 0.2 19.9 -44.3
pair RSmean RSIhist pos-pos 176 48.2 10.8 60.8 0.6 0.9 0.2 20.2 -43.9
pair RSIhist SLmean pos-pos 177 48.5 10.8 60.5 0.6 0.9 0.2 19.9 -44.3
pair SLmean LWTI pos-neg 49 13.4 10.7 59.2 0.5 0.9 0.3 24.7 -34.1
pair LWTI SLmean pos-neg 49 13.4 10.7 59.2 0.5 0.9 0.3 24.7 -34.1
single RSIhist RSIhist pos-pos 182 49.9 10.2 60.4 0.6 0.9 0.2 19.9 -43.9
pair RSIhist LWTI neg-neg 62 17.0 9.7 58.1 0.5 0.8 0.2 32.9 -44.3
pair LWTI RSIhist neg-neg 62 17.0 9.7 58.1 0.5 0.8 0.2 32.9 -44.3
pair RSI RSmean pos-pos 221 60.5 9.7 58.8 0.6 0.9 0.2 19.2 -60.5
pair RSmean RSI pos-pos 221 60.5 9.7 58.8 0.6 0.9 0.2 19.2 -60.5
pair RSI MRmean pos-pos 199 54.5 9.6 59.3 0.6 0.8 0.2 19.3 -53.6
pair MRmean RSI pos-pos 199 54.5 9.6 59.3 0.6 0.8 0.2 19.3 -53.6
pair RSmean LWTI pos-neg 101 27.7 9.5 59.4 0.5 0.8 0.2 29.9 -42.3
pair LWTI RSmean pos-neg 101 27.7 9.5 59.4 0.5 0.8 0.2 29.9 -42.3
single RSI RSI neg-neg 137 37.5 9.3 58.4 0.5 0.7 0.2 29.1 -46.5
pair MACDhist RSI neg-neg 123 33.7 9.1 59.3 0.5 0.7 0.2 28.9 -52.3
pair RSI MACDhist neg-neg 123 33.7 9.1 59.3 0.5 0.7 0.2 28.9 -52.3
single LWTI LWTI pos-pos 259 71.0 9.0 57.5 0.5 0.8 0.2 20.3 -57.6
pair benchmark___benchmark_ benchmark-benchmark 365 100.0 9.0 58.1 0.5 0.7 0.1 23.3 -58.4
pair benchmark___benchmark_ benchmark-benchmark 365 100.0 9.0 58.1 0.5 0.7 0.1 23.3 -58.4
single LWTI LWTI neg-neg 106 29.0 8.9 59.4 0.4 0.7 0.2 29.6 -42.3
single RSmean RSmean pos-pos 341 93.4 8.8 58.1 0.5 0.7 0.1 23.8 -58.6
single RSI RSI pos-pos 228 62.5 8.7 57.9 0.5 0.8 0.1 19.1 -63.6
pair LWTI RSmean pos-pos 240 65.8 8.5 57.5 0.5 0.7 0.1 20.7 -57.8
pair RSmean LWTI pos-pos 240 65.8 8.5 57.5 0.5 0.7 0.1 20.7 -57.8
pair RSIhist MACDhist neg-neg 135 37.0 8.3 55.6 0.4 0.7 0.2 28.0 -53.0
pair LWTI MACDhist neg-neg 96 26.3 8.3 58.3 0.4 0.7 0.2 29.7 -48.8
pair MACDhist LWTI neg-neg 96 26.3 8.3 58.3 0.4 0.7 0.2 29.7 -48.8
pair MACDhist RSIhist neg-neg 135 37.0 8.3 55.6 0.4 0.7 0.2 28.0 -53.0
pair MACDhist SLmean pos-neg 74 20.3 7.8 56.8 0.4 0.7 0.2 24.8 -36.3
pair SLmean MACDhist pos-neg 74 20.3 7.8 56.8 0.4 0.7 0.2 24.8 -36.3
pair LWTI RSIhist pos-neg 44 12.1 7.7 61.4 0.4 0.7 0.2 24.6 -36.9
pair RSIhist LWTI pos-neg 44 12.1 7.7 61.4 0.4 0.7 0.2 24.6 -36.9
single RSIhist RSIhist neg-neg 183 50.1 7.7 55.7 0.4 0.6 0.1 26.3 -60.8
pair RSI RSIhist pos-pos 148 40.5 7.4 59.5 0.5 0.7 0.2 19.3 -42.9
pair RSIhist RSI pos-pos 148 40.5 7.4 59.5 0.5 0.7 0.2 19.3 -42.9
pair SLmean RSI pos-pos 190 52.1 7.3 58.4 0.5 0.7 0.1 19.4 -58.7
pair RSI SLmean pos-pos 190 52.1 7.3 58.4 0.5 0.7 0.1 19.4 -58.7
pair LWTI SLmean neg-neg 57 15.6 7.3 59.6 0.4 0.7 0.1 33.4 -47.8
pair SLmean LWTI neg-neg 57 15.6 7.3 59.6 0.4 0.7 0.1 33.4 -47.8
pair RSI RSmean pos-neg 120 32.9 7.2 56.7 0.4 0.6 0.2 30.5 -42.3
pair RSmean RSI pos-neg 120 32.9 7.2 56.7 0.4 0.6 0.2 30.5 -42.3
pair RSmean RSIhist pos-neg 165 45.2 6.7 55.2 0.4 0.6 0.1 27.2 -63.4
pair RSIhist RSmean pos-neg 165 45.2 6.7 55.2 0.4 0.6 0.1 27.2 -63.4
pair RSIhist LWTI neg-pos 121 33.2 6.7 54.5 0.4 0.6 0.1 22.4 -50.2
pair LWTI RSIhist neg-pos 121 33.2 6.7 54.5 0.4 0.6 0.1 22.4 -50.2
pair LWTI MRmean neg-neg 76 20.8 6.6 55.3 0.4 0.6 0.1 31.3 -47.1
pair MRmean LWTI neg-neg 76 20.8 6.6 55.3 0.4 0.6 0.1 31.3 -47.1
pair RSIhist MACD pos-pos 113 31.0 6.6 58.4 0.5 0.6 0.2 18.2 -35.2
pair MACD RSIhist pos-pos 113 31.0 6.6 58.4 0.5 0.6 0.2 18.2 -35.2
single MACDhist MACDhist neg-neg 186 51.0 6.5 55.9 0.4 0.6 0.1 27.2 -61.2
pair RSI MACD pos-pos 183 50.1 6.4 56.3 0.4 0.6 0.1 17.9 -59.6
pair MACD RSI pos-pos 183 50.1 6.4 56.3 0.4 0.6 0.1 17.9 -59.6
pair MACD MRmean pos-pos 157 43.0 6.2 57.3 0.4 0.6 0.1 18.0 -52.6
pair MRmean MACD pos-pos 157 43.0 6.2 57.3 0.4 0.6 0.1 18.0 -52.6
pair RSIhist MACDhist pos-neg 48 13.2 6.0 56.2 0.4 0.6 0.1 21.1 -41.5
pair MACDhist RSIhist pos-neg 48 13.2 6.0 56.2 0.4 0.6 0.1 21.1 -41.5
pair SLmean RSIhist neg-neg 133 36.4 5.8 54.9 0.3 0.5 0.1 28.1 -58.4
pair RSIhist SLmean neg-neg 133 36.4 5.8 54.9 0.3 0.5 0.1 28.1 -58.4
pair MACDhist SLmean neg-neg 112 30.7 5.7 55.4 0.3 0.5 0.1 28.8 -51.0
pair SLmean MACDhist neg-neg 112 30.7 5.7 55.4 0.3 0.5 0.1 28.8 -51.0
pair LWTI MACD pos-pos 192 52.6 5.5 56.2 0.4 0.6 0.1 18.0 -59.6
pair MACD LWTI pos-pos 192 52.6 5.5 56.2 0.4 0.6 0.1 18.0 -59.6
pair MACDhist RSmean pos-neg 167 45.8 5.3 55.1 0.3 0.5 0.1 28.2 -59.1
pair RSmean MACDhist pos-neg 167 45.8 5.3 55.1 0.3 0.5 0.1 28.2 -59.1
single SLmean SLmean neg-neg 138 37.8 5.3 55.1 0.3 0.5 0.1 27.9 -57.1
pair RSI RSIhist neg-neg 103 28.2 5.0 56.3 0.3 0.5 0.1 31.0 -54.3
pair RSIhist RSI neg-neg 103 28.2 5.0 56.3 0.3 0.5 0.1 31.0 -54.3
pair MRmean MACDhist neg-neg 132 36.2 4.8 53.8 0.3 0.5 0.1 28.2 -50.8
pair MACDhist MRmean neg-neg 132 36.2 4.8 53.8 0.3 0.5 0.1 28.2 -50.8
pair MACD SLmean pos-pos 148 40.5 4.7 56.8 0.3 0.5 0.1 18.3 -60.0
pair SLmean MACD pos-pos 148 40.5 4.7 56.8 0.3 0.5 0.1 18.3 -60.0
pair LWTI MACDhist neg-pos 90 24.7 4.6 53.3 0.3 0.4 0.1 24.5 -47.3
pair MACDhist LWTI neg-pos 90 24.7 4.6 53.3 0.3 0.4 0.1 24.5 -47.3
pair LWTI SLmean neg-pos 81 22.2 3.9 51.9 0.3 0.4 0.1 23.5 -48.3
pair SLmean LWTI neg-pos 81 22.2 3.9 51.9 0.3 0.4 0.1 23.5 -48.3
pair RSIhist MRmean neg-neg 127 34.8 3.9 54.3 0.3 0.4 0.1 28.7 -52.6
pair MRmean RSIhist neg-neg 127 34.8 3.9 54.3 0.3 0.4 0.1 28.7 -52.6
pair SLmean MACDhist neg-pos 26 7.1 3.7 53.8 0.3 0.5 0.1 24.0 -34.9
pair MACDhist SLmean neg-pos 26 7.1 3.7 53.8 0.3 0.5 0.1 24.0 -34.9
pair SLmean MRmean neg-neg 119 32.6 3.2 54.6 0.2 0.4 0.1 29.0 -54.9
pair MRmean SLmean neg-neg 119 32.6 3.2 54.6 0.2 0.4 0.1 29.0 -54.9
pair SLmean RSmean neg-pos 120 32.9 3.2 53.3 0.2 0.4 0.1 29.2 -54.8
pair RSmean SLmean neg-pos 120 32.9 3.2 53.3 0.2 0.4 0.1 29.2 -54.8
pair RSI MRmean neg-pos 29 7.9 3.0 48.3 0.2 0.5 0.1 17.9 -26.9
pair MRmean RSI neg-pos 29 7.9 3.0 48.3 0.2 0.5 0.1 17.9 -26.9
single MRmean MRmean neg-neg 143 39.2 2.8 53.1 0.2 0.4 0.1 28.0 -53.6
pair MRmean RSI neg-neg 114 31.2 2.7 54.4 0.2 0.4 0.1 30.1 -51.2
pair RSI MRmean neg-neg 114 31.2 2.7 54.4 0.2 0.4 0.1 30.1 -51.2
pair RSIhist MACDhist neg-pos 51 14.0 2.1 56.9 0.2 0.3 0.1 25.2 -43.9
pair MACDhist RSIhist neg-pos 51 14.0 2.1 56.9 0.2 0.3 0.1 25.2 -43.9
single MACD MACD pos-pos 213 58.4 2.0 54.0 0.2 0.3 0.0 19.2 -79.1
pair MACD RSmean pos-pos 208 57.0 2.0 54.3 0.2 0.3 0.0 19.4 -79.0
pair RSmean MACD pos-pos 208 57.0 2.0 54.3 0.2 0.3 0.0 19.4 -79.0
pair RSI MACDhist pos-neg 63 17.3 1.8 49.2 0.2 0.3 0.0 23.7 -50.2
pair MACDhist RSI pos-neg 63 17.3 1.8 49.2 0.2 0.3 0.0 23.7 -50.2
pair RSmean MACD neg-pos 5 1.4 1.8 40.0 0.2 0.5 0.6 11.7 -3.0
pair MACD RSmean neg-pos 5 1.4 1.8 40.0 0.2 0.5 0.6 11.7 -3.0
pair SLmean RSI neg-neg 100 27.4 1.5 55.0 0.2 0.3 0.0 31.0 -57.3
pair RSI SLmean neg-neg 100 27.4 1.5 55.0 0.2 0.3 0.0 31.0 -57.3
pair SLmean MRmean neg-pos 24 6.6 0.7 45.8 0.1 0.3 0.0 23.1 -25.3
pair MRmean SLmean neg-pos 24 6.6 0.7 45.8 0.1 0.3 0.0 23.1 -25.3
pair MRmean RSmean neg-pos 126 34.5 0.6 51.6 0.2 0.3 0.0 29.2 -53.2
pair RSmean MRmean neg-pos 126 34.5 0.6 51.6 0.2 0.3 0.0 29.2 -53.2
pair LWTI RSI neg-pos 52 14.2 -0.3 51.9 0.1 0.2 -0.0 26.4 -44.8
pair RSI LWTI neg-pos 52 14.2 -0.3 51.9 0.1 0.2 -0.0 26.4 -44.8
pair LWTI MRmean neg-pos 67 18.4 -1.3 50.7 0.1 0.1 -0.0 23.9 -50.6
pair MRmean LWTI neg-pos 67 18.4 -1.3 50.7 0.1 0.1 -0.0 23.9 -50.6
pair RSIhist MACD pos-neg 100 27.4 -2.9 49.0 -0.0 -0.1 -0.0 20.4 -72.9
pair MACD RSIhist pos-neg 100 27.4 -2.9 49.0 -0.0 -0.1 -0.0 20.4 -72.9
pair RSmean LWTI neg-neg 5 1.4 -3.7 60.0 -0.1 -0.1 -0.4 24.9 -9.5
pair LWTI RSmean neg-neg 5 1.4 -3.7 60.0 -0.1 -0.1 -0.4 24.9 -9.5
pair SLmean MACD neg-pos 65 17.8 -3.7 47.7 -0.1 -0.1 -0.1 21.4 -58.4
pair MACD SLmean neg-pos 65 17.8 -3.7 47.7 -0.1 -0.1 -0.1 21.4 -58.4
pair RSmean RSIhist neg-pos 6 1.6 -5.8 50.0 -0.5 -0.7 -1.1 10.5 -5.1
pair RSIhist RSmean neg-pos 6 1.6 -5.8 50.0 -0.5 -0.7 -1.1 10.5 -5.1
pair RSIhist MRmean neg-pos 16 4.4 -5.9 43.8 -0.2 -0.4 -0.3 22.2 -20.2
pair MRmean RSIhist neg-pos 16 4.4 -5.9 43.8 -0.2 -0.4 -0.3 22.2 -20.2
pair RSIhist SLmean neg-pos 5 1.4 -7.6 60.0 -0.2 -0.9 -0.6 24.1 -13.3
pair SLmean RSIhist neg-pos 5 1.4 -7.6 60.0 -0.2 -0.9 -0.6 24.1 -13.3
pair MRmean RSmean pos-neg 7 1.9 -7.7 42.9 -0.7 -1.1 -1.5 10.6 -5.1
pair RSmean MRmean pos-neg 7 1.9 -7.7 42.9 -0.7 -1.1 -1.5 10.6 -5.1
pair MACD MRmean neg-pos 56 15.3 -8.8 44.6 -0.3 -0.4 -0.1 22.2 -61.0
pair MRmean MACD neg-pos 56 15.3 -8.8 44.6 -0.3 -0.4 -0.1 22.2 -61.0
pair RSmean MACDhist neg-pos 5 1.4 -12.8 40.0 -1.6 -15.9 -3.9 8.2 -3.3
pair MACDhist RSmean neg-pos 5 1.4 -12.8 40.0 -1.6 -15.9 -3.9 8.2 -3.3
pair SLmean RSmean pos-neg 6 1.6 -13.0 33.3 -1.3 -2.0 -2.0 10.5 -6.3
pair RSmean SLmean pos-neg 6 1.6 -13.0 33.3 -1.3 -2.0 -2.0 10.5 -6.3
pair LWTI RSI pos-neg 21 5.8 -14.7 47.6 -0.6 -0.7 -0.4 23.5 -39.5
pair RSI LWTI pos-neg 21 5.8 -14.7 47.6 -0.6 -0.7 -0.4 23.5 -39.5
pair MACDhist MACD pos-neg 68 18.6 -14.9 41.2 -0.6 -0.7 -0.2 23.4 -65.2
pair MACD MACDhist pos-neg 68 18.6 -14.9 41.2 -0.6 -0.7 -0.2 23.4 -65.2
pair RSI RSmean neg-pos 7 1.9 -17.7 28.6 -2.2 -3.3 -1.7 8.6 -10.4
pair RSmean RSI neg-pos 7 1.9 -17.7 28.6 -2.2 -3.3 -1.7 8.6 -10.4
pair MRmean MACDhist neg-pos 11 3.0 -18.3 45.5 -0.7 -0.9 -0.6 25.9 -29.2
pair MACDhist MRmean neg-pos 11 3.0 -18.3 45.5 -0.7 -0.9 -0.6 25.9 -29.2
pair MACD RSI pos-neg 30 8.2 -20.9 40.0 -0.8 -1.1 -0.4 25.3 -54.4
pair RSI MACD pos-neg 30 8.2 -20.9 40.0 -0.8 -1.1 -0.4 25.3 -54.4
pair MACD LWTI pos-neg 21 5.8 -24.9 33.3 -0.9 -1.2 -0.5 27.3 -51.5
pair LWTI MACD pos-neg 21 5.8 -24.9 33.3 -0.9 -1.2 -0.5 27.3 -51.5

All Contingency Tables for EWP

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 12.5% | Win 62%
Sharpe 0.70 | Sortino 1.02 | Calmar 0.3
Vol 20% | MDD -43.1%
Months 203M (56%)
CAGR 19.8% | Win 58%
Sharpe 1.00 | Sortino 2.46 | Calmar 2.5
Vol 20% | MDD -8.1%
Months 19M (5%)
CAGR 13.1% | Win 61%
Sharpe 0.73 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -43.9%
Months 222M (61%)
MRmean
neg
CAGR 0.7% | Win 46%
Sharpe 0.14 | Sortino 0.33 | Calmar 0.0
Vol 23% | MDD -25.3%
Months 24M (7%)
CAGR 3.2% | Win 55%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 29% | MDD -54.9%
Months 119M (33%)
CAGR 2.8% | Win 53%
Sharpe 0.24 | Sortino 0.38 | Calmar 0.1
Vol 28% | MDD -53.6%
Months 143M (39%)
SLmean
only
CAGR 11.2% | Win 60%
Sharpe 0.63 | Sortino 0.98 | Calmar 0.3
Vol 20% | MDD -41.7%
Months 227M (62%)
CAGR 5.3% | Win 55%
Sharpe 0.33 | Sortino 0.50 | Calmar 0.1
Vol 28% | MDD -57.1%
Months 138M (38%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 13.9% | Win 62%
Sharpe 0.76 | Sortino 1.14 | Calmar 0.3
Vol 20% | MDD -42.3%
Months 215M (59%)
CAGR -7.7% | Win 43%
Sharpe -0.71 | Sortino -1.14 | Calmar -1.5
Vol 11% | MDD -5.1%
Months 7M (2%)
CAGR 13.1% | Win 61%
Sharpe 0.73 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -43.9%
Months 222M (61%)
MRmean
neg
CAGR 0.6% | Win 52%
Sharpe 0.17 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -53.2%
Months 126M (34%)
CAGR 20.1% | Win 65%
Sharpe 1.14 | Sortino 1.85 | Calmar 2.1
Vol 17% | MDD -9.5%
Months 17M (5%)
CAGR 2.8% | Win 53%
Sharpe 0.24 | Sortino 0.38 | Calmar 0.1
Vol 28% | MDD -53.6%
Months 143M (39%)
RSmean
only
CAGR 8.8% | Win 58%
Sharpe 0.47 | Sortino 0.72 | Calmar 0.1
Vol 24% | MDD -58.6%
Months 341M (93%)
CAGR 11.2% | Win 58%
Sharpe 0.74 | Sortino 1.31 | Calmar 1.0
Vol 16% | MDD -11.7%
Months 24M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 6.2% | Win 57%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.1
Vol 18% | MDD -52.6%
Months 157M (43%)
CAGR 31.8% | Win 71%
Sharpe 1.33 | Sortino 2.16 | Calmar 1.5
Vol 23% | MDD -20.7%
Months 65M (18%)
CAGR 13.1% | Win 61%
Sharpe 0.73 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -43.9%
Months 222M (61%)
MRmean
neg
CAGR -8.8% | Win 45%
Sharpe -0.30 | Sortino -0.43 | Calmar -0.1
Vol 22% | MDD -61.0%
Months 56M (15%)
CAGR 11.0% | Win 59%
Sharpe 0.49 | Sortino 0.80 | Calmar 0.3
Vol 31% | MDD -34.9%
Months 87M (24%)
CAGR 2.8% | Win 53%
Sharpe 0.24 | Sortino 0.38 | Calmar 0.1
Vol 28% | MDD -53.6%
Months 143M (39%)
MACD
only
CAGR 2.0% | Win 54%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -79.1%
Months 213M (58%)
CAGR 19.4% | Win 64%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.6
Vol 28% | MDD -34.9%
Months 152M (42%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 9.6% | Win 59%
Sharpe 0.57 | Sortino 0.83 | Calmar 0.2
Vol 19% | MDD -53.6%
Months 199M (54%)
CAGR 48.9% | Win 78%
Sharpe 1.92 | Sortino 4.71 | Calmar 3.4
Vol 22% | MDD -14.3%
Months 23M (6%)
CAGR 13.1% | Win 61%
Sharpe 0.73 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -43.9%
Months 222M (61%)
MRmean
neg
CAGR 3.0% | Win 48%
Sharpe 0.25 | Sortino 0.52 | Calmar 0.1
Vol 18% | MDD -26.9%
Months 29M (8%)
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.38 | Calmar 0.1
Vol 30% | MDD -51.2%
Months 114M (31%)
CAGR 2.8% | Win 53%
Sharpe 0.24 | Sortino 0.38 | Calmar 0.1
Vol 28% | MDD -53.6%
Months 143M (39%)
RSI
only
CAGR 8.7% | Win 58%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.1
Vol 19% | MDD -63.6%
Months 228M (62%)
CAGR 9.3% | Win 58%
Sharpe 0.45 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -46.5%
Months 137M (38%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 13.8% | Win 61%
Sharpe 0.82 | Sortino 1.33 | Calmar 0.3
Vol 18% | MDD -49.7%
Months 168M (46%)
CAGR 11.0% | Win 61%
Sharpe 0.55 | Sortino 0.78 | Calmar 0.3
Vol 25% | MDD -40.8%
Months 54M (15%)
CAGR 13.1% | Win 61%
Sharpe 0.73 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -43.9%
Months 222M (61%)
MRmean
neg
CAGR -18.3% | Win 46%
Sharpe -0.65 | Sortino -0.92 | Calmar -0.6
Vol 26% | MDD -29.2%
Months 11M (3%)
CAGR 4.8% | Win 54%
Sharpe 0.30 | Sortino 0.48 | Calmar 0.1
Vol 28% | MDD -50.8%
Months 132M (36%)
CAGR 2.8% | Win 53%
Sharpe 0.24 | Sortino 0.38 | Calmar 0.1
Vol 28% | MDD -53.6%
Months 143M (39%)
MACDhist
only
CAGR 11.5% | Win 60%
Sharpe 0.68 | Sortino 1.06 | Calmar 0.2
Vol 18% | MDD -60.7%
Months 179M (49%)
CAGR 6.5% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 27% | MDD -61.2%
Months 186M (51%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 11.9% | Win 62%
Sharpe 0.67 | Sortino 0.97 | Calmar 0.3
Vol 20% | MDD -43.4%
Months 166M (46%)
CAGR 16.7% | Win 59%
Sharpe 0.88 | Sortino 1.57 | Calmar 0.6
Vol 20% | MDD -28.1%
Months 56M (15%)
CAGR 13.1% | Win 61%
Sharpe 0.73 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -43.9%
Months 222M (61%)
MRmean
neg
CAGR -5.9% | Win 44%
Sharpe -0.17 | Sortino -0.36 | Calmar -0.3
Vol 22% | MDD -20.2%
Months 16M (4%)
CAGR 3.9% | Win 54%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 29% | MDD -52.6%
Months 127M (35%)
CAGR 2.8% | Win 53%
Sharpe 0.24 | Sortino 0.38 | Calmar 0.1
Vol 28% | MDD -53.6%
Months 143M (39%)
RSIhist
only
CAGR 10.2% | Win 60%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.2
Vol 20% | MDD -43.9%
Months 182M (50%)
CAGR 7.7% | Win 56%
Sharpe 0.41 | Sortino 0.64 | Calmar 0.1
Vol 26% | MDD -60.8%
Months 183M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 12.8% | Win 60%
Sharpe 0.74 | Sortino 1.15 | Calmar 0.2
Vol 19% | MDD -55.0%
Months 192M (53%)
CAGR 15.0% | Win 70%
Sharpe 0.68 | Sortino 0.98 | Calmar 0.7
Vol 25% | MDD -21.2%
Months 30M (8%)
CAGR 13.1% | Win 61%
Sharpe 0.73 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -43.9%
Months 222M (61%)
MRmean
neg
CAGR -1.3% | Win 51%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 24% | MDD -50.6%
Months 67M (18%)
CAGR 6.6% | Win 55%
Sharpe 0.36 | Sortino 0.62 | Calmar 0.1
Vol 31% | MDD -47.1%
Months 76M (21%)
CAGR 2.8% | Win 53%
Sharpe 0.24 | Sortino 0.38 | Calmar 0.1
Vol 28% | MDD -53.6%
Months 143M (39%)
LWTI
only
CAGR 9.0% | Win 57%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -57.6%
Months 259M (71%)
CAGR 8.9% | Win 59%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 30% | MDD -42.3%
Months 106M (29%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 12.0% | Win 61%
Sharpe 0.66 | Sortino 1.02 | Calmar 0.3
Vol 20% | MDD -40.1%
Months 221M (60%)
CAGR -13.0% | Win 33%
Sharpe -1.27 | Sortino -2.03 | Calmar -2.1
Vol 10% | MDD -6.3%
Months 6M (2%)
CAGR 11.2% | Win 60%
Sharpe 0.63 | Sortino 0.98 | Calmar 0.3
Vol 20% | MDD -41.7%
Months 227M (62%)
SLmean
neg
CAGR 3.2% | Win 53%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 29% | MDD -54.8%
Months 120M (33%)
CAGR 20.7% | Win 67%
Sharpe 1.20 | Sortino 1.89 | Calmar 2.2
Vol 17% | MDD -9.5%
Months 18M (5%)
CAGR 5.3% | Win 55%
Sharpe 0.33 | Sortino 0.50 | Calmar 0.1
Vol 28% | MDD -57.1%
Months 138M (38%)
RSmean
only
CAGR 8.8% | Win 58%
Sharpe 0.47 | Sortino 0.72 | Calmar 0.1
Vol 24% | MDD -58.6%
Months 341M (93%)
CAGR 11.2% | Win 58%
Sharpe 0.74 | Sortino 1.31 | Calmar 1.0
Vol 16% | MDD -11.7%
Months 24M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 4.7% | Win 57%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 18% | MDD -60.0%
Months 148M (40%)
CAGR 24.6% | Win 66%
Sharpe 1.08 | Sortino 1.90 | Calmar 1.2
Vol 23% | MDD -20.7%
Months 79M (22%)
CAGR 11.2% | Win 60%
Sharpe 0.63 | Sortino 0.98 | Calmar 0.3
Vol 20% | MDD -41.7%
Months 227M (62%)
SLmean
neg
CAGR -3.7% | Win 48%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 21% | MDD -58.4%
Months 65M (18%)
CAGR 14.1% | Win 62%
Sharpe 0.57 | Sortino 0.92 | Calmar 0.4
Vol 33% | MDD -34.9%
Months 73M (20%)
CAGR 5.3% | Win 55%
Sharpe 0.33 | Sortino 0.50 | Calmar 0.1
Vol 28% | MDD -57.1%
Months 138M (38%)
MACD
only
CAGR 2.0% | Win 54%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -79.1%
Months 213M (58%)
CAGR 19.4% | Win 64%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.6
Vol 28% | MDD -34.9%
Months 152M (42%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 7.3% | Win 58%
Sharpe 0.46 | Sortino 0.67 | Calmar 0.1
Vol 19% | MDD -58.7%
Months 190M (52%)
CAGR 33.5% | Win 68%
Sharpe 1.39 | Sortino 3.18 | Calmar 3.3
Vol 23% | MDD -10.0%
Months 37M (10%)
CAGR 11.2% | Win 60%
Sharpe 0.63 | Sortino 0.98 | Calmar 0.3
Vol 20% | MDD -41.7%
Months 227M (62%)
SLmean
neg
CAGR 16.0% | Win 55%
Sharpe 0.95 | Sortino 2.30 | Calmar 0.8
Vol 17% | MDD -19.3%
Months 38M (10%)
CAGR 1.5% | Win 55%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 31% | MDD -57.3%
Months 100M (27%)
CAGR 5.3% | Win 55%
Sharpe 0.33 | Sortino 0.50 | Calmar 0.1
Vol 28% | MDD -57.1%
Months 138M (38%)
RSI
only
CAGR 8.7% | Win 58%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.1
Vol 19% | MDD -63.6%
Months 228M (62%)
CAGR 9.3% | Win 58%
Sharpe 0.45 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -46.5%
Months 137M (38%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 12.9% | Win 61%
Sharpe 0.79 | Sortino 1.22 | Calmar 0.3
Vol 18% | MDD -46.7%
Months 153M (42%)
CAGR 7.8% | Win 57%
Sharpe 0.43 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -36.3%
Months 74M (20%)
CAGR 11.2% | Win 60%
Sharpe 0.63 | Sortino 0.98 | Calmar 0.3
Vol 20% | MDD -41.7%
Months 227M (62%)
SLmean
neg
CAGR 3.7% | Win 54%
Sharpe 0.27 | Sortino 0.45 | Calmar 0.1
Vol 24% | MDD -34.9%
Months 26M (7%)
CAGR 5.7% | Win 55%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.1
Vol 29% | MDD -51.0%
Months 112M (31%)
CAGR 5.3% | Win 55%
Sharpe 0.33 | Sortino 0.50 | Calmar 0.1
Vol 28% | MDD -57.1%
Months 138M (38%)
MACDhist
only
CAGR 11.5% | Win 60%
Sharpe 0.68 | Sortino 1.06 | Calmar 0.2
Vol 18% | MDD -60.7%
Months 179M (49%)
CAGR 6.5% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 27% | MDD -61.2%
Months 186M (51%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 10.8% | Win 60%
Sharpe 0.62 | Sortino 0.92 | Calmar 0.2
Vol 20% | MDD -44.3%
Months 177M (48%)
CAGR 12.7% | Win 58%
Sharpe 0.67 | Sortino 1.23 | Calmar 0.3
Vol 21% | MDD -40.7%
Months 50M (14%)
CAGR 11.2% | Win 60%
Sharpe 0.63 | Sortino 0.98 | Calmar 0.3
Vol 20% | MDD -41.7%
Months 227M (62%)
SLmean
neg
CAGR -7.6% | Win 60%
Sharpe -0.23 | Sortino -0.87 | Calmar -0.6
Vol 24% | MDD -13.3%
Months 5M (1%)
CAGR 5.8% | Win 55%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 28% | MDD -58.4%
Months 133M (36%)
CAGR 5.3% | Win 55%
Sharpe 0.33 | Sortino 0.50 | Calmar 0.1
Vol 28% | MDD -57.1%
Months 138M (38%)
RSIhist
only
CAGR 10.2% | Win 60%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.2
Vol 20% | MDD -43.9%
Months 182M (50%)
CAGR 7.7% | Win 56%
Sharpe 0.41 | Sortino 0.64 | Calmar 0.1
Vol 26% | MDD -60.8%
Months 183M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.4% | Win 60%
Sharpe 0.67 | Sortino 1.01 | Calmar 0.2
Vol 19% | MDD -52.3%
Months 178M (49%)
CAGR 10.7% | Win 59%
Sharpe 0.53 | Sortino 0.91 | Calmar 0.3
Vol 25% | MDD -34.1%
Months 49M (13%)
CAGR 11.2% | Win 60%
Sharpe 0.63 | Sortino 0.98 | Calmar 0.3
Vol 20% | MDD -41.7%
Months 227M (62%)
SLmean
neg
CAGR 3.9% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 24% | MDD -48.3%
Months 81M (22%)
CAGR 7.3% | Win 60%
Sharpe 0.38 | Sortino 0.65 | Calmar 0.2
Vol 33% | MDD -47.8%
Months 57M (16%)
CAGR 5.3% | Win 55%
Sharpe 0.33 | Sortino 0.50 | Calmar 0.1
Vol 28% | MDD -57.1%
Months 138M (38%)
LWTI
only
CAGR 9.0% | Win 57%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -57.6%
Months 259M (71%)
CAGR 8.9% | Win 59%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 30% | MDD -42.3%
Months 106M (29%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 2.0% | Win 54%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -79.0%
Months 208M (57%)
CAGR 20.3% | Win 64%
Sharpe 0.78 | Sortino 1.26 | Calmar 0.6
Vol 29% | MDD -34.9%
Months 133M (36%)
CAGR 8.8% | Win 58%
Sharpe 0.47 | Sortino 0.72 | Calmar 0.1
Vol 24% | MDD -58.6%
Months 341M (93%)
RSmean
neg
CAGR 1.8% | Win 40%
Sharpe 0.20 | Sortino 0.48 | Calmar 0.6
Vol 12% | MDD -3.0%
Months 5M (1%)
CAGR 13.8% | Win 63%
Sharpe 0.84 | Sortino 1.43 | Calmar 1.1
Vol 17% | MDD -13.0%
Months 19M (5%)
CAGR 11.2% | Win 58%
Sharpe 0.74 | Sortino 1.31 | Calmar 1.0
Vol 16% | MDD -11.7%
Months 24M (7%)
MACD
only
CAGR 2.0% | Win 54%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -79.1%
Months 213M (58%)
CAGR 19.4% | Win 64%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.6
Vol 28% | MDD -34.9%
Months 152M (42%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 9.7% | Win 59%
Sharpe 0.58 | Sortino 0.86 | Calmar 0.2
Vol 19% | MDD -60.5%
Months 221M (60%)
CAGR 7.2% | Win 57%
Sharpe 0.38 | Sortino 0.62 | Calmar 0.2
Vol 30% | MDD -42.3%
Months 120M (33%)
CAGR 8.8% | Win 58%
Sharpe 0.47 | Sortino 0.72 | Calmar 0.1
Vol 24% | MDD -58.6%
Months 341M (93%)
RSmean
neg
CAGR -17.7% | Win 29%
Sharpe -2.20 | Sortino -3.31 | Calmar -1.7
Vol 9% | MDD -10.4%
Months 7M (2%)
CAGR 25.9% | Win 71%
Sharpe 1.45 | Sortino 2.06 | Calmar 2.7
Vol 17% | MDD -9.5%
Months 17M (5%)
CAGR 11.2% | Win 58%
Sharpe 0.74 | Sortino 1.31 | Calmar 1.0
Vol 16% | MDD -11.7%
Months 24M (7%)
RSI
only
CAGR 8.7% | Win 58%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.1
Vol 19% | MDD -63.6%
Months 228M (62%)
CAGR 9.3% | Win 58%
Sharpe 0.45 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -46.5%
Months 137M (38%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 12.3% | Win 61%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.2
Vol 19% | MDD -60.9%
Months 174M (48%)
CAGR 5.3% | Win 55%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 28% | MDD -59.1%
Months 167M (46%)
CAGR 8.8% | Win 58%
Sharpe 0.47 | Sortino 0.72 | Calmar 0.1
Vol 24% | MDD -58.6%
Months 341M (93%)
RSmean
neg
CAGR -12.8% | Win 40%
Sharpe -1.63 | Sortino -15.87 | Calmar -3.9
Vol 8% | MDD -3.3%
Months 5M (1%)
CAGR 18.5% | Win 63%
Sharpe 1.09 | Sortino 1.69 | Calmar 1.9
Vol 17% | MDD -9.5%
Months 19M (5%)
CAGR 11.2% | Win 58%
Sharpe 0.74 | Sortino 1.31 | Calmar 1.0
Vol 16% | MDD -11.7%
Months 24M (7%)
MACDhist
only
CAGR 11.5% | Win 60%
Sharpe 0.68 | Sortino 1.06 | Calmar 0.2
Vol 18% | MDD -60.7%
Months 179M (49%)
CAGR 6.5% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 27% | MDD -61.2%
Months 186M (51%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 10.8% | Win 61%
Sharpe 0.61 | Sortino 0.92 | Calmar 0.2
Vol 20% | MDD -43.9%
Months 176M (48%)
CAGR 6.7% | Win 55%
Sharpe 0.37 | Sortino 0.58 | Calmar 0.1
Vol 27% | MDD -63.4%
Months 165M (45%)
CAGR 8.8% | Win 58%
Sharpe 0.47 | Sortino 0.72 | Calmar 0.1
Vol 24% | MDD -58.6%
Months 341M (93%)
RSmean
neg
CAGR -5.8% | Win 50%
Sharpe -0.52 | Sortino -0.68 | Calmar -1.1
Vol 10% | MDD -5.1%
Months 6M (2%)
CAGR 17.5% | Win 61%
Sharpe 1.02 | Sortino 1.79 | Calmar 1.8
Vol 17% | MDD -9.5%
Months 18M (5%)
CAGR 11.2% | Win 58%
Sharpe 0.74 | Sortino 1.31 | Calmar 1.0
Vol 16% | MDD -11.7%
Months 24M (7%)
RSIhist
only
CAGR 10.2% | Win 60%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.2
Vol 20% | MDD -43.9%
Months 182M (50%)
CAGR 7.7% | Win 56%
Sharpe 0.41 | Sortino 0.64 | Calmar 0.1
Vol 26% | MDD -60.8%
Months 183M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 8.5% | Win 57%
Sharpe 0.50 | Sortino 0.74 | Calmar 0.1
Vol 21% | MDD -57.8%
Months 240M (66%)
CAGR 9.5% | Win 59%
Sharpe 0.46 | Sortino 0.75 | Calmar 0.2
Vol 30% | MDD -42.3%
Months 101M (28%)
CAGR 8.8% | Win 58%
Sharpe 0.47 | Sortino 0.72 | Calmar 0.1
Vol 24% | MDD -58.6%
Months 341M (93%)
RSmean
neg
CAGR 15.5% | Win 58%
Sharpe 1.14 | Sortino 3.53 | Calmar 2.3
Vol 13% | MDD -6.9%
Months 19M (5%)
CAGR -3.7% | Win 60%
Sharpe -0.05 | Sortino -0.12 | Calmar -0.4
Vol 25% | MDD -9.5%
Months 5M (1%)
CAGR 11.2% | Win 58%
Sharpe 0.74 | Sortino 1.31 | Calmar 1.0
Vol 16% | MDD -11.7%
Months 24M (7%)
LWTI
only
CAGR 9.0% | Win 57%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -57.6%
Months 259M (71%)
CAGR 8.9% | Win 59%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 30% | MDD -42.3%
Months 106M (29%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 6.4% | Win 56%
Sharpe 0.44 | Sortino 0.64 | Calmar 0.1
Vol 18% | MDD -59.6%
Months 183M (50%)
CAGR -20.9% | Win 40%
Sharpe -0.79 | Sortino -1.12 | Calmar -0.4
Vol 25% | MDD -54.4%
Months 30M (8%)
CAGR 2.0% | Win 54%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -79.1%
Months 213M (58%)
MACD
neg
CAGR 18.8% | Win 64%
Sharpe 0.86 | Sortino 1.35 | Calmar 0.6
Vol 23% | MDD -33.2%
Months 45M (12%)
CAGR 19.7% | Win 64%
Sharpe 0.76 | Sortino 1.21 | Calmar 0.6
Vol 30% | MDD -34.9%
Months 107M (29%)
CAGR 19.4% | Win 64%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.6
Vol 28% | MDD -34.9%
Months 152M (42%)
RSI
only
CAGR 8.7% | Win 58%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.1
Vol 19% | MDD -63.6%
Months 228M (62%)
CAGR 9.3% | Win 58%
Sharpe 0.45 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -46.5%
Months 137M (38%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 11.1% | Win 60%
Sharpe 0.72 | Sortino 1.27 | Calmar 0.2
Vol 16% | MDD -49.3%
Months 145M (40%)
CAGR -14.9% | Win 41%
Sharpe -0.57 | Sortino -0.74 | Calmar -0.2
Vol 23% | MDD -65.2%
Months 68M (19%)
CAGR 2.0% | Win 54%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -79.1%
Months 213M (58%)
MACD
neg
CAGR 13.2% | Win 62%
Sharpe 0.61 | Sortino 0.83 | Calmar 0.4
Vol 26% | MDD -31.8%
Months 34M (9%)
CAGR 21.3% | Win 64%
Sharpe 0.82 | Sortino 1.35 | Calmar 0.6
Vol 29% | MDD -34.9%
Months 118M (32%)
CAGR 19.4% | Win 64%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.6
Vol 28% | MDD -34.9%
Months 152M (42%)
MACDhist
only
CAGR 11.5% | Win 60%
Sharpe 0.68 | Sortino 1.06 | Calmar 0.2
Vol 18% | MDD -60.7%
Months 179M (49%)
CAGR 6.5% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 27% | MDD -61.2%
Months 186M (51%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 6.6% | Win 58%
Sharpe 0.45 | Sortino 0.60 | Calmar 0.2
Vol 18% | MDD -35.2%
Months 113M (31%)
CAGR -2.9% | Win 49%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.0
Vol 20% | MDD -72.9%
Months 100M (27%)
CAGR 2.0% | Win 54%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -79.1%
Months 213M (58%)
MACD
neg
CAGR 16.4% | Win 64%
Sharpe 0.79 | Sortino 1.34 | Calmar 0.7
Vol 22% | MDD -23.3%
Months 69M (19%)
CAGR 22.0% | Win 64%
Sharpe 0.79 | Sortino 1.26 | Calmar 0.6
Vol 32% | MDD -34.9%
Months 83M (23%)
CAGR 19.4% | Win 64%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.6
Vol 28% | MDD -34.9%
Months 152M (42%)
RSIhist
only
CAGR 10.2% | Win 60%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.2
Vol 20% | MDD -43.9%
Months 182M (50%)
CAGR 7.7% | Win 56%
Sharpe 0.41 | Sortino 0.64 | Calmar 0.1
Vol 26% | MDD -60.8%
Months 183M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 5.5% | Win 56%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -59.6%
Months 192M (53%)
CAGR -24.9% | Win 33%
Sharpe -0.90 | Sortino -1.25 | Calmar -0.5
Vol 27% | MDD -51.5%
Months 21M (6%)
CAGR 2.0% | Win 54%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -79.1%
Months 213M (58%)
MACD
neg
CAGR 19.6% | Win 61%
Sharpe 0.83 | Sortino 1.21 | Calmar 0.7
Vol 26% | MDD -29.7%
Months 67M (18%)
CAGR 19.3% | Win 66%
Sharpe 0.75 | Sortino 1.30 | Calmar 0.6
Vol 30% | MDD -31.5%
Months 85M (23%)
CAGR 19.4% | Win 64%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.6
Vol 28% | MDD -34.9%
Months 152M (42%)
LWTI
only
CAGR 9.0% | Win 57%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -57.6%
Months 259M (71%)
CAGR 8.9% | Win 59%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 30% | MDD -42.3%
Months 106M (29%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 11.5% | Win 61%
Sharpe 0.73 | Sortino 1.14 | Calmar 0.2
Vol 17% | MDD -50.3%
Months 165M (45%)
CAGR 1.8% | Win 49%
Sharpe 0.19 | Sortino 0.29 | Calmar 0.0
Vol 24% | MDD -50.2%
Months 63M (17%)
CAGR 8.7% | Win 58%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.1
Vol 19% | MDD -63.6%
Months 228M (62%)
RSI
neg
CAGR 11.5% | Win 50%
Sharpe 0.49 | Sortino 0.92 | Calmar 0.3
Vol 32% | MDD -34.9%
Months 14M (4%)
CAGR 9.1% | Win 59%
Sharpe 0.45 | Sortino 0.70 | Calmar 0.2
Vol 29% | MDD -52.3%
Months 123M (34%)
CAGR 9.3% | Win 58%
Sharpe 0.45 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -46.5%
Months 137M (38%)
MACDhist
only
CAGR 11.5% | Win 60%
Sharpe 0.68 | Sortino 1.06 | Calmar 0.2
Vol 18% | MDD -60.7%
Months 179M (49%)
CAGR 6.5% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 27% | MDD -61.2%
Months 186M (51%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 7.4% | Win 60%
Sharpe 0.47 | Sortino 0.65 | Calmar 0.2
Vol 19% | MDD -42.9%
Months 148M (40%)
CAGR 11.2% | Win 55%
Sharpe 0.66 | Sortino 1.20 | Calmar 0.3
Vol 19% | MDD -44.6%
Months 80M (22%)
CAGR 8.7% | Win 58%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.1
Vol 19% | MDD -63.6%
Months 228M (62%)
RSI
neg
CAGR 23.4% | Win 65%
Sharpe 1.04 | Sortino 2.26 | Calmar 1.5
Vol 23% | MDD -15.3%
Months 34M (9%)
CAGR 5.0% | Win 56%
Sharpe 0.31 | Sortino 0.50 | Calmar 0.1
Vol 31% | MDD -54.3%
Months 103M (28%)
CAGR 9.3% | Win 58%
Sharpe 0.45 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -46.5%
Months 137M (38%)
RSIhist
only
CAGR 10.2% | Win 60%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.2
Vol 20% | MDD -43.9%
Months 182M (50%)
CAGR 7.7% | Win 56%
Sharpe 0.41 | Sortino 0.64 | Calmar 0.1
Vol 26% | MDD -60.8%
Months 183M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 11.4% | Win 59%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.2
Vol 18% | MDD -49.3%
Months 207M (57%)
CAGR -14.7% | Win 48%
Sharpe -0.55 | Sortino -0.74 | Calmar -0.4
Vol 24% | MDD -39.5%
Months 21M (6%)
CAGR 8.7% | Win 58%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.1
Vol 19% | MDD -63.6%
Months 228M (62%)
RSI
neg
CAGR -0.3% | Win 52%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 26% | MDD -44.8%
Months 52M (14%)
CAGR 15.7% | Win 62%
Sharpe 0.63 | Sortino 1.07 | Calmar 0.4
Vol 31% | MDD -42.6%
Months 85M (23%)
CAGR 9.3% | Win 58%
Sharpe 0.45 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -46.5%
Months 137M (38%)
LWTI
only
CAGR 9.0% | Win 57%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -57.6%
Months 259M (71%)
CAGR 8.9% | Win 59%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 30% | MDD -42.3%
Months 106M (29%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 13.6% | Win 62%
Sharpe 0.82 | Sortino 1.27 | Calmar 0.3
Vol 18% | MDD -42.2%
Months 131M (36%)
CAGR 6.0% | Win 56%
Sharpe 0.38 | Sortino 0.61 | Calmar 0.1
Vol 21% | MDD -41.5%
Months 48M (13%)
CAGR 11.5% | Win 60%
Sharpe 0.68 | Sortino 1.06 | Calmar 0.2
Vol 18% | MDD -60.7%
Months 179M (49%)
MACDhist
neg
CAGR 2.1% | Win 57%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 25% | MDD -43.9%
Months 51M (14%)
CAGR 8.3% | Win 56%
Sharpe 0.42 | Sortino 0.65 | Calmar 0.2
Vol 28% | MDD -53.0%
Months 135M (37%)
CAGR 6.5% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 27% | MDD -61.2%
Months 186M (51%)
RSIhist
only
CAGR 10.2% | Win 60%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.2
Vol 20% | MDD -43.9%
Months 182M (50%)
CAGR 7.7% | Win 56%
Sharpe 0.41 | Sortino 0.64 | Calmar 0.1
Vol 26% | MDD -60.8%
Months 183M (50%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 11.4% | Win 60%
Sharpe 0.70 | Sortino 1.22 | Calmar 0.2
Vol 18% | MDD -58.2%
Months 169M (46%)
CAGR 14.1% | Win 70%
Sharpe 0.58 | Sortino 0.52 | Calmar 0.7
Vol 30% | MDD -19.5%
Months 10M (3%)
CAGR 11.5% | Win 60%
Sharpe 0.68 | Sortino 1.06 | Calmar 0.2
Vol 18% | MDD -60.7%
Months 179M (49%)
MACDhist
neg
CAGR 4.6% | Win 53%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 24% | MDD -47.3%
Months 90M (25%)
CAGR 8.3% | Win 58%
Sharpe 0.42 | Sortino 0.74 | Calmar 0.2
Vol 30% | MDD -48.8%
Months 96M (26%)
CAGR 6.5% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 27% | MDD -61.2%
Months 186M (51%)
LWTI
only
CAGR 9.0% | Win 57%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -57.6%
Months 259M (71%)
CAGR 8.9% | Win 59%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 30% | MDD -42.3%
Months 106M (29%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 11.1% | Win 60%
Sharpe 0.67 | Sortino 0.98 | Calmar 0.3
Vol 18% | MDD -42.6%
Months 138M (38%)
CAGR 7.7% | Win 61%
Sharpe 0.42 | Sortino 0.69 | Calmar 0.2
Vol 25% | MDD -36.9%
Months 44M (12%)
CAGR 10.2% | Win 60%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.2
Vol 20% | MDD -43.9%
Months 182M (50%)
RSIhist
neg
CAGR 6.7% | Win 55%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.1
Vol 22% | MDD -50.2%
Months 121M (33%)
CAGR 9.7% | Win 58%
Sharpe 0.45 | Sortino 0.76 | Calmar 0.2
Vol 33% | MDD -44.3%
Months 62M (17%)
CAGR 7.7% | Win 56%
Sharpe 0.41 | Sortino 0.64 | Calmar 0.1
Vol 26% | MDD -60.8%
Months 183M (50%)
LWTI
only
CAGR 9.0% | Win 57%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -57.6%
Months 259M (71%)
CAGR 8.9% | Win 59%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 30% | MDD -42.3%
Months 106M (29%)