| SLmean pos | SLmean neg | MRmean only | |
|---|---|---|---|
| MRmean pos | CAGR 7.8% | Win 62% Sharpe 0.56 | Sortino 0.83 | Calmar 0.3 Vol 16% | MDD -29.1% Months 216M (59%) | CAGR 2.1% | Win 53% Sharpe 0.20 | Sortino 0.32 | Calmar 0.1 Vol 21% | MDD -17.9% Months 32M (9%) | CAGR 7.0% | Win 61% Sharpe 0.50 | Sortino 0.75 | Calmar 0.2 Vol 16% | MDD -40.8% Months 248M (68%) |
| MRmean neg | CAGR 8.9% | Win 35% Sharpe 0.48 | Sortino 1.19 | Calmar 0.9 Vol 22% | MDD -10.4% Months 17M (5%) | CAGR 6.4% | Win 56% Sharpe 0.36 | Sortino 0.53 | Calmar 0.1 Vol 28% | MDD -55.2% Months 102M (28%) | CAGR 6.8% | Win 53% Sharpe 0.38 | Sortino 0.56 | Calmar 0.1 Vol 27% | MDD -62.4% Months 119M (32%) |
| SLmean only | CAGR 7.8% | Win 60% Sharpe 0.55 | Sortino 0.85 | Calmar 0.2 Vol 16% | MDD -32.7% Months 233M (64%) | CAGR 5.3% | Win 55% Sharpe 0.33 | Sortino 0.49 | Calmar 0.1 Vol 26% | MDD -56.7% Months 134M (36%) |