EWQ - iShares MSCI France ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

88.3%

Best CAGR

102

Total Months

6.4%

Avg CAGR

EWQ 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 EWQ

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist RSmean neg-pos 3 0.8 88.3 100.0 23.4 0.0 0.0 2.8 0.0
pair RSmean MACDhist neg-pos 3 0.8 88.3 100.0 23.4 0.0 0.0 2.8 0.0
pair RSIhist MACD neg-neg 60 16.7 27.1 65.0 1.0 1.6 0.9 27.7 -28.8
pair MACD RSIhist neg-neg 60 16.7 27.1 65.0 1.0 1.6 0.9 27.7 -28.8
pair MACD MRmean neg-neg 62 17.3 26.9 59.7 1.0 1.6 0.8 26.6 -35.0
pair MRmean MACD neg-neg 62 17.3 26.9 59.7 1.0 1.6 0.8 26.6 -35.0
pair LWTI MACD neg-pos 58 16.2 25.0 70.7 1.2 2.1 1.1 20.1 -22.6
pair MACD LWTI neg-pos 58 16.2 25.0 70.7 1.2 2.1 1.1 20.1 -22.6
pair MACD MACDhist neg-pos 29 8.1 24.2 72.4 1.0 1.8 1.1 23.6 -22.6
pair MACDhist MACD neg-pos 29 8.1 24.2 72.4 1.0 1.8 1.1 23.6 -22.6
pair MACDhist MRmean neg-pos 10 2.8 24.1 60.0 0.8 1.2 1.0 35.0 -24.3
pair MRmean MACDhist neg-pos 10 2.8 24.1 60.0 0.8 1.2 1.0 35.0 -24.3
pair MACD RSI neg-neg 72 20.1 22.5 58.3 0.9 1.5 0.8 26.5 -29.8
pair RSI MACD neg-neg 72 20.1 22.5 58.3 0.9 1.5 0.8 26.5 -29.8
pair SLmean MACD neg-neg 58 16.2 21.8 63.8 0.9 1.3 0.7 27.1 -31.4
pair MACD SLmean neg-neg 58 16.2 21.8 63.8 0.9 1.3 0.7 27.1 -31.4
pair RSmean MACD neg-neg 16 4.5 21.1 75.0 2.0 5.3 4.5 9.8 -4.6
pair MACD RSmean neg-neg 16 4.5 21.1 75.0 2.0 5.3 4.5 9.8 -4.6
pair SLmean RSIhist neg-pos 10 2.8 21.0 60.0 1.4 4.5 4.7 14.6 -4.5
pair RSIhist SLmean neg-pos 10 2.8 21.0 60.0 1.4 4.5 4.7 14.6 -4.5
single MACD MACD neg-neg 115 32.0 19.9 62.6 0.9 1.4 0.7 23.5 -29.8
pair MACD RSmean pos-neg 99 27.6 19.7 60.6 0.8 1.4 0.7 25.1 -29.8
pair RSmean MACD pos-neg 99 27.6 19.7 60.6 0.8 1.4 0.7 25.1 -29.8
pair MACDhist MACD neg-neg 86 24.0 18.5 59.3 0.8 1.3 0.6 23.6 -31.4
pair MACD MACDhist neg-neg 86 24.0 18.5 59.3 0.8 1.3 0.6 23.6 -31.4
pair MACD SLmean pos-neg 57 15.9 18.0 61.4 0.9 1.7 0.7 19.5 -24.4
pair SLmean MACD pos-neg 57 15.9 18.0 61.4 0.9 1.7 0.7 19.5 -24.4
pair SLmean RSI pos-neg 30 8.4 17.8 53.3 0.9 1.9 1.4 19.4 -13.1
pair RSI RSIhist neg-pos 27 7.5 17.8 51.9 1.0 2.1 1.4 17.7 -12.8
pair RSIhist RSI neg-pos 27 7.5 17.8 51.9 1.0 2.1 1.4 17.7 -12.8
pair RSI SLmean pos-neg 30 8.4 17.8 53.3 0.9 1.9 1.4 19.4 -13.1
pair MACDhist RSI neg-pos 13 3.6 16.9 61.5 0.6 0.9 1.1 32.7 -15.6
pair RSI MACDhist neg-pos 13 3.6 16.9 61.5 0.6 0.9 1.1 32.7 -15.6
pair LWTI MACDhist pos-neg 6 1.7 16.2 83.3 1.1 0.0 2.9 14.0 -5.7
pair MACDhist LWTI pos-neg 6 1.7 16.2 83.3 1.1 0.0 2.9 14.0 -5.7
pair RSI MACD neg-pos 43 12.0 15.7 69.8 0.9 1.5 0.7 17.7 -23.0
pair MACD RSI neg-pos 43 12.0 15.7 69.8 0.9 1.5 0.7 17.7 -23.0
pair MACD LWTI neg-neg 57 15.9 14.9 54.4 0.7 1.1 0.5 26.7 -29.8
pair LWTI MACD neg-neg 57 15.9 14.9 54.4 0.7 1.1 0.5 26.7 -29.8
pair MACDhist SLmean neg-pos 33 9.2 13.6 57.6 0.6 1.0 0.6 25.5 -24.3
pair SLmean MACDhist neg-pos 33 9.2 13.6 57.6 0.6 1.0 0.6 25.5 -24.3
pair RSI LWTI neg-pos 36 10.0 13.5 55.6 0.6 0.9 0.5 26.8 -29.4
pair LWTI RSI neg-pos 36 10.0 13.5 55.6 0.6 0.9 0.5 26.8 -29.4
pair MACD RSIhist neg-pos 55 15.3 12.6 60.0 0.8 1.3 0.6 18.0 -20.5
pair RSIhist MACD neg-pos 55 15.3 12.6 60.0 0.8 1.3 0.6 18.0 -20.5
pair MACDhist RSIhist pos-pos 144 40.1 12.4 65.3 0.9 1.4 0.6 14.7 -20.5
pair RSIhist MACDhist pos-pos 144 40.1 12.4 65.3 0.9 1.4 0.6 14.7 -20.5
pair MRmean MACD pos-neg 53 14.8 12.2 66.0 0.7 1.1 0.4 19.3 -30.6
pair MACD MRmean pos-neg 53 14.8 12.2 66.0 0.7 1.1 0.4 19.3 -30.6
pair SLmean RSIhist pos-neg 41 11.4 11.6 63.4 0.7 1.1 0.6 17.7 -21.1
single MACDhist MACDhist pos-pos 193 53.8 11.6 63.2 0.8 1.1 0.3 16.6 -32.9
pair RSIhist SLmean pos-neg 41 11.4 11.6 63.4 0.7 1.1 0.6 17.7 -21.1
pair LWTI RSmean pos-pos 245 68.2 11.4 62.4 0.7 1.0 0.3 18.5 -34.7
pair RSmean LWTI pos-pos 245 68.2 11.4 62.4 0.7 1.0 0.3 18.5 -34.7
pair MACDhist LWTI pos-pos 187 52.1 11.4 62.6 0.7 1.1 0.3 16.7 -32.9
pair LWTI MACDhist pos-pos 187 52.1 11.4 62.6 0.7 1.1 0.3 16.7 -32.9
pair SLmean MACDhist pos-pos 160 44.6 11.2 64.4 0.8 1.4 0.5 14.1 -24.4
pair MACDhist SLmean pos-pos 160 44.6 11.2 64.4 0.8 1.4 0.5 14.1 -24.4
pair RSI MACDhist pos-pos 180 50.1 11.2 63.3 0.8 1.3 0.4 14.9 -30.3
pair MACDhist RSI pos-pos 180 50.1 11.2 63.3 0.8 1.3 0.4 14.9 -30.3
pair MRmean MACDhist pos-pos 183 51.0 10.9 63.4 0.8 1.2 0.4 15.1 -30.6
pair MACDhist MRmean pos-pos 183 51.0 10.9 63.4 0.8 1.2 0.4 15.1 -30.6
pair RSmean MACDhist pos-pos 190 52.9 10.7 62.6 0.7 1.1 0.3 16.6 -32.9
pair MACDhist RSmean pos-pos 190 52.9 10.7 62.6 0.7 1.1 0.3 16.6 -32.9
pair MRmean LWTI neg-pos 60 16.7 10.3 55.0 0.5 0.8 0.2 24.0 -41.4
pair LWTI MRmean neg-pos 60 16.7 10.3 55.0 0.5 0.8 0.2 24.0 -41.4
pair RSIhist LWTI pos-pos 159 44.3 10.0 64.2 0.7 1.0 0.5 15.5 -21.8
pair LWTI RSIhist pos-pos 159 44.3 10.0 64.2 0.7 1.0 0.5 15.5 -21.8
pair RSmean RSIhist pos-pos 186 51.8 9.9 59.7 0.7 1.1 0.4 15.7 -26.6
pair RSIhist RSmean pos-pos 186 51.8 9.9 59.7 0.7 1.1 0.4 15.7 -26.6
pair LWTI SLmean pos-pos 183 51.0 9.8 64.5 0.7 1.0 0.3 15.6 -30.4
pair SLmean LWTI pos-pos 183 51.0 9.8 64.5 0.7 1.0 0.3 15.6 -30.4
pair SLmean RSmean pos-pos 220 61.3 9.8 60.5 0.7 1.1 0.3 15.8 -30.4
pair RSmean SLmean pos-pos 220 61.3 9.8 60.5 0.7 1.1 0.3 15.8 -30.4
pair RSI RSmean pos-pos 235 65.5 9.7 61.3 0.6 1.0 0.2 16.6 -42.4
pair RSmean RSI pos-pos 235 65.5 9.7 61.3 0.6 1.0 0.2 16.6 -42.4
pair MACD MACDhist pos-pos 164 45.7 9.5 61.6 0.7 1.0 0.3 15.0 -36.0
pair MACDhist MACD pos-pos 164 45.7 9.5 61.6 0.7 1.0 0.3 15.0 -36.0
pair MACDhist RSIhist pos-neg 49 13.6 9.3 57.1 0.5 0.8 0.3 21.3 -30.0
pair RSIhist MACDhist pos-neg 49 13.6 9.3 57.1 0.5 0.8 0.3 21.3 -30.0
pair RSmean MRmean neg-pos 97 27.0 9.3 53.6 0.5 0.7 0.1 29.7 -61.7
pair MRmean RSmean neg-pos 97 27.0 9.3 53.6 0.5 0.7 0.1 29.7 -61.7
pair RSmean MRmean pos-pos 232 64.6 9.2 61.6 0.6 1.0 0.2 16.1 -44.3
pair MRmean RSmean pos-pos 232 64.6 9.2 61.6 0.6 1.0 0.2 16.1 -44.3
single LWTI LWTI pos-pos 273 76.0 9.2 61.2 0.6 0.8 0.3 18.3 -35.7
single RSmean RSmean pos-pos 329 91.6 9.2 59.3 0.5 0.8 0.2 21.0 -56.9
pair RSIhist MRmean pos-pos 182 50.7 8.9 61.5 0.6 0.9 0.4 15.7 -22.2
pair MRmean RSIhist pos-pos 182 50.7 8.9 61.5 0.6 0.9 0.4 15.7 -22.2
pair SLmean MRmean neg-pos 17 4.7 8.9 35.3 0.5 1.2 0.8 22.4 -10.4
pair MRmean SLmean neg-pos 17 4.7 8.9 35.3 0.5 1.2 0.8 22.4 -10.4
pair LWTI MRmean pos-pos 213 59.3 8.9 62.9 0.6 0.9 0.2 16.4 -41.9
single RSIhist RSIhist pos-pos 196 54.6 8.9 59.7 0.6 1.0 0.3 15.8 -29.0
pair MRmean LWTI pos-pos 213 59.3 8.9 62.9 0.6 0.9 0.2 16.4 -41.9
pair MRmean SLmean pos-pos 210 58.5 8.8 62.4 0.6 0.9 0.3 15.7 -29.1
single SLmean SLmean pos-pos 227 63.2 8.8 60.4 0.6 0.9 0.3 16.2 -32.7
pair SLmean MRmean pos-pos 210 58.5 8.8 62.4 0.6 0.9 0.3 15.7 -29.1
pair RSI MRmean neg-neg 81 22.6 8.6 53.1 0.4 0.6 0.1 30.4 -62.5
pair MRmean RSI neg-neg 81 22.6 8.6 53.1 0.4 0.6 0.1 30.4 -62.5
pair RSIhist MRmean neg-pos 14 3.9 8.6 35.7 0.5 2.0 1.0 18.3 -8.7
pair MRmean RSIhist neg-pos 14 3.9 8.6 35.7 0.5 2.0 1.0 18.3 -8.7
pair LWTI RSI pos-pos 237 66.0 8.5 62.0 0.6 0.9 0.2 16.7 -35.0
pair RSI LWTI pos-pos 237 66.0 8.5 62.0 0.6 0.9 0.2 16.7 -35.0
pair RSmean RSIhist pos-neg 143 39.8 8.4 58.7 0.4 0.6 0.1 26.3 -59.8
pair RSIhist RSmean pos-neg 143 39.8 8.4 58.7 0.4 0.6 0.1 26.3 -59.8
pair RSI MRmean pos-pos 221 61.6 8.4 61.5 0.6 0.9 0.2 16.2 -39.2
pair MRmean RSI pos-pos 221 61.6 8.4 61.5 0.6 0.9 0.2 16.2 -39.2
pair RSIhist SLmean pos-pos 186 51.8 8.2 59.7 0.6 0.9 0.3 15.9 -26.9
pair SLmean RSIhist pos-pos 186 51.8 8.2 59.7 0.6 0.9 0.3 15.9 -26.9
pair SLmean RSmean neg-pos 109 30.4 8.0 56.9 0.4 0.6 0.1 28.8 -55.8
pair RSmean SLmean neg-pos 109 30.4 8.0 56.9 0.4 0.6 0.1 28.8 -55.8
pair RSI RSmean pos-neg 94 26.2 8.0 54.3 0.4 0.6 0.1 29.2 -58.1
pair RSmean RSI pos-neg 94 26.2 8.0 54.3 0.4 0.6 0.1 29.2 -58.1
pair LWTI RSIhist neg-pos 114 31.8 8.0 57.0 0.5 0.7 0.2 21.7 -46.0
pair RSIhist LWTI neg-pos 114 31.8 8.0 57.0 0.5 0.7 0.2 21.7 -46.0
single MRmean MRmean pos-pos 242 67.4 7.9 61.2 0.6 0.8 0.2 16.4 -40.8
pair SLmean LWTI neg-pos 90 25.1 7.9 54.4 0.5 0.7 0.2 23.0 -37.9
pair LWTI SLmean neg-pos 90 25.1 7.9 54.4 0.5 0.7 0.2 23.0 -37.9
single RSI RSI pos-pos 257 71.6 7.5 60.3 0.5 0.8 0.2 16.8 -38.7
pair RSIhist RSI pos-neg 88 24.5 7.5 59.1 0.5 0.8 0.2 19.0 -35.9
pair RSI RSIhist pos-pos 169 47.1 7.5 60.9 0.5 0.8 0.3 15.5 -27.1
pair RSI RSIhist pos-neg 88 24.5 7.5 59.1 0.5 0.8 0.2 19.0 -35.9
pair RSIhist RSI pos-pos 169 47.1 7.5 60.9 0.5 0.8 0.3 15.5 -27.1
pair RSI SLmean pos-pos 197 54.9 7.5 61.4 0.5 0.8 0.2 15.7 -33.2
pair SLmean RSI pos-pos 197 54.9 7.5 61.4 0.5 0.8 0.2 15.7 -33.2
pair RSIhist MACD pos-pos 141 39.3 7.4 59.6 0.6 0.8 0.3 15.0 -23.6
pair MACD RSIhist pos-pos 141 39.3 7.4 59.6 0.6 0.8 0.3 15.0 -23.6
pair SLmean RSI neg-pos 60 16.7 7.4 56.7 0.5 0.8 0.3 20.0 -21.7
pair RSI SLmean neg-pos 60 16.7 7.4 56.7 0.5 0.8 0.3 20.0 -21.7
pair benchmark___benchmark_ benchmark-benchmark 359 100.0 7.4 58.5 0.5 0.7 0.1 20.7 -57.7
pair benchmark___benchmark_ benchmark-benchmark 359 100.0 7.4 58.5 0.5 0.7 0.1 20.7 -57.7
pair MACDhist RSmean pos-neg 139 38.7 7.3 54.7 0.4 0.6 0.1 25.9 -66.8
pair RSmean MACDhist pos-neg 139 38.7 7.3 54.7 0.4 0.6 0.1 25.9 -66.8
single RSI RSI neg-neg 102 28.4 7.3 53.9 0.4 0.6 0.1 28.3 -58.9
pair MACD MRmean pos-pos 189 52.6 6.7 59.8 0.5 0.8 0.2 15.5 -28.1
pair MRmean MACD pos-pos 189 52.6 6.7 59.8 0.5 0.8 0.2 15.5 -28.1
single MRmean MRmean neg-neg 117 32.6 6.5 53.0 0.4 0.6 0.1 27.6 -62.4
pair MRmean RSIhist neg-neg 103 28.7 6.2 55.3 0.3 0.5 0.1 28.7 -58.9
pair RSIhist MRmean neg-neg 103 28.7 6.2 55.3 0.3 0.5 0.1 28.7 -58.9
pair MRmean SLmean neg-neg 100 27.9 6.1 56.0 0.3 0.5 0.1 28.5 -55.2
pair SLmean MRmean neg-neg 100 27.9 6.1 56.0 0.3 0.5 0.1 28.5 -55.2
pair MACDhist RSI neg-neg 89 24.8 6.0 52.8 0.3 0.5 0.1 27.8 -60.5
pair RSI MACDhist neg-neg 89 24.8 6.0 52.8 0.3 0.5 0.1 27.8 -60.5
pair MACD SLmean pos-pos 170 47.4 5.9 60.0 0.5 0.7 0.2 14.9 -29.2
pair SLmean MACD pos-pos 170 47.4 5.9 60.0 0.5 0.7 0.2 14.9 -29.2
pair MACD RSI pos-pos 214 59.6 5.9 58.4 0.4 0.7 0.2 16.6 -30.8
pair RSI MACD pos-pos 214 59.6 5.9 58.4 0.4 0.7 0.2 16.6 -30.8
single RSIhist RSIhist neg-neg 163 45.4 5.8 57.1 0.3 0.5 0.1 25.3 -58.6
pair LWTI MACD pos-pos 215 59.9 5.2 58.6 0.4 0.5 0.1 17.7 -40.1
pair MACD LWTI pos-pos 215 59.9 5.2 58.6 0.4 0.5 0.1 17.7 -40.1
pair MRmean RSIhist pos-neg 60 16.7 5.1 60.0 0.4 0.6 0.1 18.4 -41.6
pair RSIhist MRmean pos-neg 60 16.7 5.1 60.0 0.4 0.6 0.1 18.4 -41.6
single SLmean SLmean neg-neg 132 36.8 5.1 55.3 0.3 0.5 0.1 26.7 -56.7
pair MACD RSmean pos-pos 230 64.1 5.0 58.7 0.3 0.5 0.1 18.9 -60.3
pair RSmean MACD pos-pos 230 64.1 5.0 58.7 0.3 0.5 0.1 18.9 -60.3
pair MACDhist MRmean neg-neg 107 29.8 5.0 52.3 0.3 0.5 0.1 27.0 -62.4
pair MRmean MACDhist neg-neg 107 29.8 5.0 52.3 0.3 0.5 0.1 27.0 -62.4
pair LWTI SLmean pos-neg 44 12.3 5.0 43.2 0.3 0.8 0.2 18.7 -24.3
pair SLmean LWTI pos-neg 44 12.3 5.0 43.2 0.3 0.8 0.2 18.7 -24.3
pair MACDhist LWTI neg-pos 86 24.0 4.4 58.1 0.3 0.5 0.1 21.6 -45.1
pair LWTI MACDhist neg-pos 86 24.0 4.4 58.1 0.3 0.5 0.1 21.6 -45.1
pair MACDhist RSIhist neg-neg 114 31.8 4.3 57.0 0.3 0.4 0.1 27.0 -66.3
pair RSIhist MACDhist neg-neg 114 31.8 4.3 57.0 0.3 0.4 0.1 27.0 -66.3
pair RSI LWTI neg-neg 66 18.4 4.1 53.0 0.3 0.4 0.1 29.3 -56.6
pair LWTI RSI neg-neg 66 18.4 4.1 53.0 0.3 0.4 0.1 29.3 -56.6
pair RSIhist LWTI pos-neg 37 10.3 4.1 40.5 0.3 0.7 0.1 17.4 -27.4
pair LWTI RSIhist pos-neg 37 10.3 4.1 40.5 0.3 0.7 0.1 17.4 -27.4
pair SLmean RSIhist neg-neg 122 34.0 3.9 54.9 0.3 0.4 0.1 27.5 -55.1
pair RSIhist SLmean neg-neg 122 34.0 3.9 54.9 0.3 0.4 0.1 27.5 -55.1
pair RSI RSIhist neg-neg 75 20.9 3.8 54.7 0.3 0.4 0.1 31.3 -59.0
pair RSIhist RSI neg-neg 75 20.9 3.8 54.7 0.3 0.4 0.1 31.3 -59.0
pair SLmean MACDhist pos-neg 67 18.7 3.5 50.7 0.3 0.4 0.1 20.4 -33.8
pair MACDhist SLmean pos-neg 67 18.7 3.5 50.7 0.3 0.4 0.1 20.4 -33.8
pair SLmean RSI neg-neg 72 20.1 3.2 54.2 0.3 0.4 0.1 31.4 -58.2
pair RSI SLmean neg-neg 72 20.1 3.2 54.2 0.3 0.4 0.1 31.4 -58.2
pair LWTI RSmean pos-neg 84 23.4 3.0 50.0 0.2 0.4 0.1 27.1 -58.0
pair RSmean LWTI pos-neg 84 23.4 3.0 50.0 0.2 0.4 0.1 27.1 -58.0
single MACDhist MACDhist neg-neg 166 46.2 2.8 53.0 0.2 0.3 0.0 24.6 -71.1
pair RSI MRmean pos-neg 21 5.8 2.7 57.1 0.2 0.3 0.1 18.5 -23.7
pair MRmean RSI pos-neg 21 5.8 2.7 57.1 0.2 0.3 0.1 18.5 -23.7
pair LWTI MRmean neg-neg 57 15.9 2.6 50.9 0.2 0.4 0.0 31.1 -61.8
pair MRmean LWTI neg-neg 57 15.9 2.6 50.9 0.2 0.4 0.0 31.1 -61.8
pair SLmean MACDhist neg-neg 99 27.6 2.4 54.5 0.2 0.3 0.0 27.2 -59.9
pair MACDhist SLmean neg-neg 99 27.6 2.4 54.5 0.2 0.3 0.0 27.2 -59.9
single LWTI LWTI neg-neg 86 24.0 2.2 50.0 0.2 0.3 0.0 26.9 -58.0
pair SLmean MRmean pos-neg 32 8.9 2.1 53.1 0.2 0.3 0.1 20.6 -18.0
pair MRmean SLmean pos-neg 32 8.9 2.1 53.1 0.2 0.3 0.1 20.6 -18.0
pair MRmean RSI neg-pos 36 10.0 2.0 52.8 0.2 0.3 0.1 20.1 -27.8
pair RSI MRmean neg-pos 36 10.0 2.0 52.8 0.2 0.3 0.1 20.1 -27.8
single MACD MACD pos-pos 244 68.0 2.0 56.6 0.2 0.3 0.0 19.0 -61.1
pair MRmean LWTI pos-neg 29 8.1 1.3 48.3 0.2 0.3 0.1 16.1 -23.4
pair LWTI MRmean pos-neg 29 8.1 1.3 48.3 0.2 0.3 0.1 16.1 -23.4
pair LWTI MACDhist neg-neg 80 22.3 1.2 47.5 0.2 0.3 0.0 27.7 -59.7
pair MACDhist LWTI neg-neg 80 22.3 1.2 47.5 0.2 0.3 0.0 27.7 -59.7
pair RSIhist LWTI neg-neg 49 13.6 0.8 57.1 0.2 0.3 0.0 32.4 -58.1
pair LWTI RSIhist neg-neg 49 13.6 0.8 57.1 0.2 0.3 0.0 32.4 -58.1
pair RSmean RSI neg-neg 8 2.2 -0.1 50.0 0.1 0.2 -0.0 13.7 -12.5
pair RSI RSmean neg-neg 8 2.2 -0.1 50.0 0.1 0.2 -0.0 13.7 -12.5
pair RSIhist MACDhist neg-pos 52 14.5 -0.3 44.2 0.1 0.1 -0.0 18.6 -31.6
pair MACDhist RSIhist neg-pos 52 14.5 -0.3 44.2 0.1 0.1 -0.0 18.6 -31.6
pair LWTI SLmean neg-neg 42 11.7 -0.7 57.1 0.1 0.2 -0.0 33.7 -55.9
pair SLmean LWTI neg-neg 42 11.7 -0.7 57.1 0.1 0.2 -0.0 33.7 -55.9
pair MACDhist RSI pos-neg 77 21.4 -0.7 53.2 0.1 0.1 -0.0 20.4 -55.1
pair RSI MACDhist pos-neg 77 21.4 -0.7 53.2 0.1 0.1 -0.0 20.4 -55.1
pair MACDhist MRmean pos-neg 59 16.4 -1.0 54.2 0.1 0.1 -0.0 19.8 -45.7
pair MRmean MACDhist pos-neg 59 16.4 -1.0 54.2 0.1 0.1 -0.0 19.8 -45.7
pair RSI LWTI pos-neg 20 5.6 -3.8 40.0 -0.1 -0.3 -0.3 17.3 -10.9
pair LWTI RSI pos-neg 20 5.6 -3.8 40.0 -0.1 -0.3 -0.3 17.3 -10.9
pair MACD RSIhist pos-neg 103 28.7 -5.0 52.4 -0.1 -0.1 -0.1 23.4 -65.4
pair RSIhist MACD pos-neg 103 28.7 -5.0 52.4 -0.1 -0.1 -0.1 23.4 -65.4
pair MRmean RSmean neg-neg 20 5.6 -6.3 50.0 -0.4 -0.7 -0.3 13.3 -23.0
pair RSmean MRmean neg-neg 20 5.6 -6.3 50.0 -0.4 -0.7 -0.3 13.3 -23.0
pair MACD SLmean neg-pos 74 20.6 -6.4 48.6 -0.1 -0.2 -0.1 26.1 -59.3
pair SLmean MACD neg-pos 74 20.6 -6.4 48.6 -0.1 -0.2 -0.1 26.1 -59.3
pair SLmean RSmean neg-neg 23 6.4 -7.6 47.8 -0.6 -0.9 -0.3 12.7 -26.3
pair RSmean SLmean neg-neg 23 6.4 -7.6 47.8 -0.6 -0.9 -0.3 12.7 -26.3
pair RSmean RSIhist neg-pos 10 2.8 -8.3 60.0 -0.4 -0.4 -0.6 18.1 -14.0
pair RSIhist RSmean neg-pos 10 2.8 -8.3 60.0 -0.4 -0.4 -0.6 18.1 -14.0
pair LWTI RSmean neg-pos 28 7.8 -8.8 50.0 -0.5 -0.7 -0.3 16.4 -31.0
pair RSmean LWTI neg-pos 28 7.8 -8.8 50.0 -0.5 -0.7 -0.3 16.4 -31.0
single RSmean RSmean neg-neg 30 8.4 -10.2 50.0 -0.6 -0.8 -0.3 16.3 -34.7
pair RSIhist RSmean neg-neg 20 5.6 -11.2 45.0 -0.7 -1.1 -0.4 15.8 -27.4
pair RSmean RSIhist neg-neg 20 5.6 -11.2 45.0 -0.7 -1.1 -0.4 15.8 -27.4
pair MACDhist MACD pos-neg 80 22.3 -11.7 46.2 -0.4 -0.5 -0.2 25.0 -73.5
pair MACD MACDhist pos-neg 80 22.3 -11.7 46.2 -0.4 -0.5 -0.2 25.0 -73.5
pair MACD MRmean neg-pos 55 15.3 -12.6 45.5 -0.3 -0.5 -0.2 27.8 -66.5
pair MRmean MACD neg-pos 55 15.3 -12.6 45.5 -0.3 -0.5 -0.2 27.8 -66.5
pair RSI RSmean neg-pos 22 6.1 -13.7 50.0 -0.8 -1.0 -0.5 17.3 -30.2
pair RSmean RSI neg-pos 22 6.1 -13.7 50.0 -0.8 -1.0 -0.5 17.3 -30.2
pair MACDhist RSmean neg-neg 27 7.5 -17.3 44.4 -1.2 -1.6 -0.4 15.3 -44.1
pair RSmean MACDhist neg-neg 27 7.5 -17.3 44.4 -1.2 -1.6 -0.4 15.3 -44.1
pair MRmean RSmean pos-neg 10 2.8 -17.6 50.0 -0.8 -1.2 -1.2 21.8 -14.3
pair RSmean MRmean pos-neg 10 2.8 -17.6 50.0 -0.8 -1.2 -1.2 21.8 -14.3
pair SLmean RSmean pos-neg 7 1.9 -18.3 57.1 -0.7 -2.0 -1.3 26.0 -14.4
pair RSmean SLmean pos-neg 7 1.9 -18.3 57.1 -0.7 -2.0 -1.3 26.0 -14.4
pair MACD LWTI pos-neg 29 8.1 -18.9 41.4 -0.7 -0.8 -0.4 26.5 -47.1
pair LWTI MACD pos-neg 29 8.1 -18.9 41.4 -0.7 -0.8 -0.4 26.5 -47.1
pair MACD RSI pos-neg 30 8.4 -21.9 43.3 -0.6 -0.8 -0.4 31.0 -58.5
pair RSI MACD pos-neg 30 8.4 -21.9 43.3 -0.6 -0.8 -0.4 31.0 -58.5
pair RSmean LWTI neg-neg 2 0.6 -28.5 50.0 -1.7 0.0 0.0 19.1 0.0
pair LWTI RSmean neg-neg 2 0.6 -28.5 50.0 -1.7 0.0 0.0 19.1 0.0
pair RSmean MACD neg-pos 14 3.9 -36.3 21.4 -2.5 -3.8 -1.1 17.1 -33.5
pair MACD RSmean neg-pos 14 3.9 -36.3 21.4 -2.5 -3.8 -1.1 17.1 -33.5

All Contingency Tables for EWQ

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 8.8% | Win 62%
Sharpe 0.62 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -29.1%
Months 210M (58%)
CAGR 2.1% | Win 53%
Sharpe 0.20 | Sortino 0.32 | Calmar 0.1
Vol 21% | MDD -18.0%
Months 32M (9%)
CAGR 7.9% | Win 61%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 16% | MDD -40.8%
Months 242M (67%)
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 6.1% | Win 56%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 28% | MDD -55.2%
Months 100M (28%)
CAGR 6.5% | Win 53%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -62.4%
Months 117M (33%)
SLmean
only
CAGR 8.8% | Win 60%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -32.7%
Months 227M (63%)
CAGR 5.1% | Win 55%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -56.7%
Months 132M (37%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 9.2% | Win 62%
Sharpe 0.63 | Sortino 0.97 | Calmar 0.2
Vol 16% | MDD -44.3%
Months 232M (65%)
CAGR -17.6% | Win 50%
Sharpe -0.78 | Sortino -1.20 | Calmar -1.2
Vol 22% | MDD -14.3%
Months 10M (3%)
CAGR 7.9% | Win 61%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 16% | MDD -40.8%
Months 242M (67%)
MRmean
neg
CAGR 9.3% | Win 54%
Sharpe 0.45 | Sortino 0.68 | Calmar 0.2
Vol 30% | MDD -61.7%
Months 97M (27%)
CAGR -6.3% | Win 50%
Sharpe -0.43 | Sortino -0.71 | Calmar -0.3
Vol 13% | MDD -23.0%
Months 20M (6%)
CAGR 6.5% | Win 53%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -62.4%
Months 117M (33%)
RSmean
only
CAGR 9.2% | Win 59%
Sharpe 0.53 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -56.9%
Months 329M (92%)
CAGR -10.2% | Win 50%
Sharpe -0.58 | Sortino -0.85 | Calmar -0.3
Vol 16% | MDD -34.7%
Months 30M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 6.7% | Win 60%
Sharpe 0.50 | Sortino 0.75 | Calmar 0.2
Vol 16% | MDD -28.1%
Months 189M (53%)
CAGR 12.2% | Win 66%
Sharpe 0.69 | Sortino 1.13 | Calmar 0.4
Vol 19% | MDD -30.6%
Months 53M (15%)
CAGR 7.9% | Win 61%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 16% | MDD -40.8%
Months 242M (67%)
MRmean
neg
CAGR -12.6% | Win 46%
Sharpe -0.34 | Sortino -0.48 | Calmar -0.2
Vol 28% | MDD -66.5%
Months 55M (15%)
CAGR 26.9% | Win 60%
Sharpe 1.03 | Sortino 1.65 | Calmar 0.8
Vol 27% | MDD -35.0%
Months 62M (17%)
CAGR 6.5% | Win 53%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -62.4%
Months 117M (33%)
MACD
only
CAGR 2.0% | Win 57%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 244M (68%)
CAGR 19.9% | Win 63%
Sharpe 0.89 | Sortino 1.43 | Calmar 0.7
Vol 24% | MDD -29.8%
Months 115M (32%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.4% | Win 62%
Sharpe 0.58 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -39.2%
Months 221M (62%)
CAGR 2.7% | Win 57%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.1
Vol 18% | MDD -23.7%
Months 21M (6%)
CAGR 7.9% | Win 61%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 16% | MDD -40.8%
Months 242M (67%)
MRmean
neg
CAGR 2.0% | Win 53%
Sharpe 0.19 | Sortino 0.35 | Calmar 0.1
Vol 20% | MDD -27.8%
Months 36M (10%)
CAGR 8.6% | Win 53%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.1
Vol 30% | MDD -62.5%
Months 81M (23%)
CAGR 6.5% | Win 53%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -62.4%
Months 117M (33%)
RSI
only
CAGR 7.5% | Win 60%
Sharpe 0.52 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -38.7%
Months 257M (72%)
CAGR 7.3% | Win 54%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -58.9%
Months 102M (28%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 10.9% | Win 63%
Sharpe 0.77 | Sortino 1.22 | Calmar 0.4
Vol 15% | MDD -30.6%
Months 183M (51%)
CAGR -1.0% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.0
Vol 20% | MDD -45.7%
Months 59M (16%)
CAGR 7.9% | Win 61%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 16% | MDD -40.8%
Months 242M (67%)
MRmean
neg
CAGR 24.1% | Win 60%
Sharpe 0.78 | Sortino 1.21 | Calmar 1.0
Vol 35% | MDD -24.3%
Months 10M (3%)
CAGR 5.0% | Win 52%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -62.4%
Months 107M (30%)
CAGR 6.5% | Win 53%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -62.4%
Months 117M (33%)
MACDhist
only
CAGR 11.6% | Win 63%
Sharpe 0.75 | Sortino 1.14 | Calmar 0.4
Vol 17% | MDD -32.9%
Months 193M (54%)
CAGR 2.8% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 25% | MDD -71.1%
Months 166M (46%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 8.9% | Win 62%
Sharpe 0.62 | Sortino 0.94 | Calmar 0.4
Vol 16% | MDD -22.2%
Months 182M (51%)
CAGR 5.1% | Win 60%
Sharpe 0.36 | Sortino 0.56 | Calmar 0.1
Vol 18% | MDD -41.6%
Months 60M (17%)
CAGR 7.9% | Win 61%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 16% | MDD -40.8%
Months 242M (67%)
MRmean
neg
CAGR 8.6% | Win 36%
Sharpe 0.53 | Sortino 2.05 | Calmar 1.0
Vol 18% | MDD -8.7%
Months 14M (4%)
CAGR 6.2% | Win 55%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -58.9%
Months 103M (29%)
CAGR 6.5% | Win 53%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -62.4%
Months 117M (33%)
RSIhist
only
CAGR 8.9% | Win 60%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -29.0%
Months 196M (55%)
CAGR 5.8% | Win 57%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 25% | MDD -58.6%
Months 163M (45%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 8.9% | Win 63%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -41.9%
Months 213M (59%)
CAGR 1.3% | Win 48%
Sharpe 0.16 | Sortino 0.31 | Calmar 0.1
Vol 16% | MDD -23.4%
Months 29M (8%)
CAGR 7.9% | Win 61%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 16% | MDD -40.8%
Months 242M (67%)
MRmean
neg
CAGR 10.3% | Win 55%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 24% | MDD -41.4%
Months 60M (17%)
CAGR 2.6% | Win 51%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.0
Vol 31% | MDD -61.8%
Months 57M (16%)
CAGR 6.5% | Win 53%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -62.4%
Months 117M (33%)
LWTI
only
CAGR 9.2% | Win 61%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 273M (76%)
CAGR 2.2% | Win 50%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -58.0%
Months 86M (24%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 9.8% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -30.4%
Months 220M (61%)
CAGR -18.3% | Win 57%
Sharpe -0.66 | Sortino -2.04 | Calmar -1.3
Vol 26% | MDD -14.4%
Months 7M (2%)
CAGR 8.8% | Win 60%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -32.7%
Months 227M (63%)
SLmean
neg
CAGR 8.0% | Win 57%
Sharpe 0.41 | Sortino 0.62 | Calmar 0.1
Vol 29% | MDD -55.8%
Months 109M (30%)
CAGR -7.6% | Win 48%
Sharpe -0.56 | Sortino -0.92 | Calmar -0.3
Vol 13% | MDD -26.3%
Months 23M (6%)
CAGR 5.1% | Win 55%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -56.7%
Months 132M (37%)
RSmean
only
CAGR 9.2% | Win 59%
Sharpe 0.53 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -56.9%
Months 329M (92%)
CAGR -10.2% | Win 50%
Sharpe -0.58 | Sortino -0.85 | Calmar -0.3
Vol 16% | MDD -34.7%
Months 30M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 5.9% | Win 60%
Sharpe 0.46 | Sortino 0.68 | Calmar 0.2
Vol 15% | MDD -29.2%
Months 170M (47%)
CAGR 18.0% | Win 61%
Sharpe 0.95 | Sortino 1.70 | Calmar 0.7
Vol 20% | MDD -24.4%
Months 57M (16%)
CAGR 8.8% | Win 60%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -32.7%
Months 227M (63%)
SLmean
neg
CAGR -6.4% | Win 49%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 26% | MDD -59.3%
Months 74M (21%)
CAGR 21.8% | Win 64%
Sharpe 0.87 | Sortino 1.34 | Calmar 0.7
Vol 27% | MDD -31.4%
Months 58M (16%)
CAGR 5.1% | Win 55%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -56.7%
Months 132M (37%)
MACD
only
CAGR 2.0% | Win 57%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 244M (68%)
CAGR 19.9% | Win 63%
Sharpe 0.89 | Sortino 1.43 | Calmar 0.7
Vol 24% | MDD -29.8%
Months 115M (32%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 7.5% | Win 61%
Sharpe 0.54 | Sortino 0.82 | Calmar 0.2
Vol 16% | MDD -33.2%
Months 197M (55%)
CAGR 17.8% | Win 53%
Sharpe 0.94 | Sortino 1.90 | Calmar 1.4
Vol 19% | MDD -13.1%
Months 30M (8%)
CAGR 8.8% | Win 60%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -32.7%
Months 227M (63%)
SLmean
neg
CAGR 7.4% | Win 57%
Sharpe 0.46 | Sortino 0.82 | Calmar 0.3
Vol 20% | MDD -21.7%
Months 60M (17%)
CAGR 3.2% | Win 54%
Sharpe 0.26 | Sortino 0.39 | Calmar 0.1
Vol 31% | MDD -58.2%
Months 72M (20%)
CAGR 5.1% | Win 55%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -56.7%
Months 132M (37%)
RSI
only
CAGR 7.5% | Win 60%
Sharpe 0.52 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -38.7%
Months 257M (72%)
CAGR 7.3% | Win 54%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -58.9%
Months 102M (28%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 11.2% | Win 64%
Sharpe 0.82 | Sortino 1.35 | Calmar 0.5
Vol 14% | MDD -24.4%
Months 160M (45%)
CAGR 3.5% | Win 51%
Sharpe 0.27 | Sortino 0.43 | Calmar 0.1
Vol 20% | MDD -33.8%
Months 67M (19%)
CAGR 8.8% | Win 60%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -32.7%
Months 227M (63%)
SLmean
neg
CAGR 13.6% | Win 58%
Sharpe 0.63 | Sortino 0.96 | Calmar 0.6
Vol 26% | MDD -24.3%
Months 33M (9%)
CAGR 2.4% | Win 55%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 27% | MDD -59.9%
Months 99M (28%)
CAGR 5.1% | Win 55%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -56.7%
Months 132M (37%)
MACDhist
only
CAGR 11.6% | Win 63%
Sharpe 0.75 | Sortino 1.14 | Calmar 0.4
Vol 17% | MDD -32.9%
Months 193M (54%)
CAGR 2.8% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 25% | MDD -71.1%
Months 166M (46%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 8.2% | Win 60%
Sharpe 0.58 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -26.9%
Months 186M (52%)
CAGR 11.6% | Win 63%
Sharpe 0.71 | Sortino 1.15 | Calmar 0.5
Vol 18% | MDD -21.1%
Months 41M (11%)
CAGR 8.8% | Win 60%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -32.7%
Months 227M (63%)
SLmean
neg
CAGR 21.0% | Win 60%
Sharpe 1.38 | Sortino 4.55 | Calmar 4.7
Vol 15% | MDD -4.5%
Months 10M (3%)
CAGR 3.9% | Win 55%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 28% | MDD -55.1%
Months 122M (34%)
CAGR 5.1% | Win 55%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -56.7%
Months 132M (37%)
RSIhist
only
CAGR 8.9% | Win 60%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -29.0%
Months 196M (55%)
CAGR 5.8% | Win 57%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 25% | MDD -58.6%
Months 163M (45%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 9.8% | Win 64%
Sharpe 0.68 | Sortino 0.98 | Calmar 0.3
Vol 16% | MDD -30.4%
Months 183M (51%)
CAGR 5.0% | Win 43%
Sharpe 0.35 | Sortino 0.77 | Calmar 0.2
Vol 19% | MDD -24.3%
Months 44M (12%)
CAGR 8.8% | Win 60%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -32.7%
Months 227M (63%)
SLmean
neg
CAGR 7.9% | Win 54%
Sharpe 0.45 | Sortino 0.70 | Calmar 0.2
Vol 23% | MDD -37.9%
Months 90M (25%)
CAGR -0.7% | Win 57%
Sharpe 0.15 | Sortino 0.23 | Calmar -0.0
Vol 34% | MDD -55.9%
Months 42M (12%)
CAGR 5.1% | Win 55%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -56.7%
Months 132M (37%)
LWTI
only
CAGR 9.2% | Win 61%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 273M (76%)
CAGR 2.2% | Win 50%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -58.0%
Months 86M (24%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 5.0% | Win 59%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.1
Vol 19% | MDD -60.3%
Months 230M (64%)
CAGR 19.7% | Win 61%
Sharpe 0.85 | Sortino 1.41 | Calmar 0.7
Vol 25% | MDD -29.8%
Months 99M (28%)
CAGR 9.2% | Win 59%
Sharpe 0.53 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -56.9%
Months 329M (92%)
RSmean
neg
CAGR -36.3% | Win 21%
Sharpe -2.51 | Sortino -3.83 | Calmar -1.1
Vol 17% | MDD -33.5%
Months 14M (4%)
CAGR 21.1% | Win 75%
Sharpe 2.00 | Sortino 5.26 | Calmar 4.6
Vol 10% | MDD -4.6%
Months 16M (4%)
CAGR -10.2% | Win 50%
Sharpe -0.58 | Sortino -0.85 | Calmar -0.3
Vol 16% | MDD -34.7%
Months 30M (8%)
MACD
only
CAGR 2.0% | Win 57%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 244M (68%)
CAGR 19.9% | Win 63%
Sharpe 0.89 | Sortino 1.43 | Calmar 0.7
Vol 24% | MDD -29.8%
Months 115M (32%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 9.7% | Win 61%
Sharpe 0.64 | Sortino 1.04 | Calmar 0.2
Vol 17% | MDD -42.4%
Months 235M (66%)
CAGR 8.0% | Win 54%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.1
Vol 29% | MDD -58.1%
Months 94M (26%)
CAGR 9.2% | Win 59%
Sharpe 0.53 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -56.9%
Months 329M (92%)
RSmean
neg
CAGR -13.7% | Win 50%
Sharpe -0.76 | Sortino -1.04 | Calmar -0.5
Vol 17% | MDD -30.2%
Months 22M (6%)
CAGR -0.1% | Win 50%
Sharpe 0.05 | Sortino 0.24 | Calmar -0.0
Vol 14% | MDD -12.5%
Months 8M (2%)
CAGR -10.2% | Win 50%
Sharpe -0.58 | Sortino -0.85 | Calmar -0.3
Vol 16% | MDD -34.7%
Months 30M (8%)
RSI
only
CAGR 7.5% | Win 60%
Sharpe 0.52 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -38.7%
Months 257M (72%)
CAGR 7.3% | Win 54%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -58.9%
Months 102M (28%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 10.7% | Win 63%
Sharpe 0.70 | Sortino 1.06 | Calmar 0.3
Vol 17% | MDD -32.9%
Months 190M (53%)
CAGR 7.3% | Win 55%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.1
Vol 26% | MDD -66.8%
Months 139M (39%)
CAGR 9.2% | Win 59%
Sharpe 0.53 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -56.9%
Months 329M (92%)
RSmean
neg
CAGR 88.3% | Win 100%
Sharpe 23.39 | Sortino 0.00 | Calmar 0.0
Vol 3% | MDD 0.0%
Months 3M (1%)
CAGR -17.3% | Win 44%
Sharpe -1.16 | Sortino -1.59 | Calmar -0.4
Vol 15% | MDD -44.1%
Months 27M (8%)
CAGR -10.2% | Win 50%
Sharpe -0.58 | Sortino -0.85 | Calmar -0.3
Vol 16% | MDD -34.7%
Months 30M (8%)
MACDhist
only
CAGR 11.6% | Win 63%
Sharpe 0.75 | Sortino 1.14 | Calmar 0.4
Vol 17% | MDD -32.9%
Months 193M (54%)
CAGR 2.8% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 25% | MDD -71.1%
Months 166M (46%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 9.9% | Win 60%
Sharpe 0.68 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -26.6%
Months 186M (52%)
CAGR 8.4% | Win 59%
Sharpe 0.44 | Sortino 0.64 | Calmar 0.1
Vol 26% | MDD -59.8%
Months 143M (40%)
CAGR 9.2% | Win 59%
Sharpe 0.53 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -56.9%
Months 329M (92%)
RSmean
neg
CAGR -8.3% | Win 60%
Sharpe -0.39 | Sortino -0.44 | Calmar -0.6
Vol 18% | MDD -14.0%
Months 10M (3%)
CAGR -11.2% | Win 45%
Sharpe -0.67 | Sortino -1.11 | Calmar -0.4
Vol 16% | MDD -27.4%
Months 20M (6%)
CAGR -10.2% | Win 50%
Sharpe -0.58 | Sortino -0.85 | Calmar -0.3
Vol 16% | MDD -34.7%
Months 30M (8%)
RSIhist
only
CAGR 8.9% | Win 60%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -29.0%
Months 196M (55%)
CAGR 5.8% | Win 57%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 25% | MDD -58.6%
Months 163M (45%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.4% | Win 62%
Sharpe 0.68 | Sortino 0.99 | Calmar 0.3
Vol 18% | MDD -34.7%
Months 245M (68%)
CAGR 3.0% | Win 50%
Sharpe 0.25 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -58.0%
Months 84M (23%)
CAGR 9.2% | Win 59%
Sharpe 0.53 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -56.9%
Months 329M (92%)
RSmean
neg
CAGR -8.8% | Win 50%
Sharpe -0.48 | Sortino -0.69 | Calmar -0.3
Vol 16% | MDD -31.0%
Months 28M (8%)
CAGR -28.5% | Win 50%
Sharpe -1.68 | Sortino 0.00 | Calmar 0.0
Vol 19% | MDD 0.0%
Months 2M (1%)
CAGR -10.2% | Win 50%
Sharpe -0.58 | Sortino -0.85 | Calmar -0.3
Vol 16% | MDD -34.7%
Months 30M (8%)
LWTI
only
CAGR 9.2% | Win 61%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 273M (76%)
CAGR 2.2% | Win 50%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -58.0%
Months 86M (24%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 5.9% | Win 58%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 17% | MDD -30.8%
Months 214M (60%)
CAGR -21.9% | Win 43%
Sharpe -0.63 | Sortino -0.82 | Calmar -0.4
Vol 31% | MDD -58.5%
Months 30M (8%)
CAGR 2.0% | Win 57%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 244M (68%)
MACD
neg
CAGR 15.7% | Win 70%
Sharpe 0.92 | Sortino 1.50 | Calmar 0.7
Vol 18% | MDD -23.0%
Months 43M (12%)
CAGR 22.5% | Win 58%
Sharpe 0.90 | Sortino 1.46 | Calmar 0.8
Vol 26% | MDD -29.8%
Months 72M (20%)
CAGR 19.9% | Win 63%
Sharpe 0.89 | Sortino 1.43 | Calmar 0.7
Vol 24% | MDD -29.8%
Months 115M (32%)
RSI
only
CAGR 7.5% | Win 60%
Sharpe 0.52 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -38.7%
Months 257M (72%)
CAGR 7.3% | Win 54%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -58.9%
Months 102M (28%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 9.5% | Win 62%
Sharpe 0.68 | Sortino 1.04 | Calmar 0.3
Vol 15% | MDD -36.0%
Months 164M (46%)
CAGR -11.7% | Win 46%
Sharpe -0.37 | Sortino -0.52 | Calmar -0.2
Vol 25% | MDD -73.5%
Months 80M (22%)
CAGR 2.0% | Win 57%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 244M (68%)
MACD
neg
CAGR 24.2% | Win 72%
Sharpe 1.04 | Sortino 1.80 | Calmar 1.1
Vol 24% | MDD -22.6%
Months 29M (8%)
CAGR 18.5% | Win 59%
Sharpe 0.84 | Sortino 1.34 | Calmar 0.6
Vol 24% | MDD -31.4%
Months 86M (24%)
CAGR 19.9% | Win 63%
Sharpe 0.89 | Sortino 1.43 | Calmar 0.7
Vol 24% | MDD -29.8%
Months 115M (32%)
MACDhist
only
CAGR 11.6% | Win 63%
Sharpe 0.75 | Sortino 1.14 | Calmar 0.4
Vol 17% | MDD -32.9%
Months 193M (54%)
CAGR 2.8% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 25% | MDD -71.1%
Months 166M (46%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 7.4% | Win 60%
Sharpe 0.56 | Sortino 0.84 | Calmar 0.3
Vol 15% | MDD -23.6%
Months 141M (39%)
CAGR -5.0% | Win 52%
Sharpe -0.10 | Sortino -0.13 | Calmar -0.1
Vol 23% | MDD -65.4%
Months 103M (29%)
CAGR 2.0% | Win 57%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 244M (68%)
MACD
neg
CAGR 12.6% | Win 60%
Sharpe 0.75 | Sortino 1.26 | Calmar 0.6
Vol 18% | MDD -20.5%
Months 55M (15%)
CAGR 27.1% | Win 65%
Sharpe 1.01 | Sortino 1.61 | Calmar 0.9
Vol 28% | MDD -28.8%
Months 60M (17%)
CAGR 19.9% | Win 63%
Sharpe 0.89 | Sortino 1.43 | Calmar 0.7
Vol 24% | MDD -29.8%
Months 115M (32%)
RSIhist
only
CAGR 8.9% | Win 60%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -29.0%
Months 196M (55%)
CAGR 5.8% | Win 57%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 25% | MDD -58.6%
Months 163M (45%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 5.2% | Win 59%
Sharpe 0.38 | Sortino 0.53 | Calmar 0.1
Vol 18% | MDD -40.1%
Months 215M (60%)
CAGR -18.9% | Win 41%
Sharpe -0.65 | Sortino -0.85 | Calmar -0.4
Vol 26% | MDD -47.1%
Months 29M (8%)
CAGR 2.0% | Win 57%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 244M (68%)
MACD
neg
CAGR 25.0% | Win 71%
Sharpe 1.22 | Sortino 2.06 | Calmar 1.1
Vol 20% | MDD -22.6%
Months 58M (16%)
CAGR 14.9% | Win 54%
Sharpe 0.65 | Sortino 1.05 | Calmar 0.5
Vol 27% | MDD -29.8%
Months 57M (16%)
CAGR 19.9% | Win 63%
Sharpe 0.89 | Sortino 1.43 | Calmar 0.7
Vol 24% | MDD -29.8%
Months 115M (32%)
LWTI
only
CAGR 9.2% | Win 61%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 273M (76%)
CAGR 2.2% | Win 50%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -58.0%
Months 86M (24%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 11.2% | Win 63%
Sharpe 0.79 | Sortino 1.30 | Calmar 0.4
Vol 15% | MDD -30.3%
Months 180M (50%)
CAGR -0.7% | Win 53%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 20% | MDD -55.1%
Months 77M (21%)
CAGR 7.5% | Win 60%
Sharpe 0.52 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -38.7%
Months 257M (72%)
RSI
neg
CAGR 16.9% | Win 62%
Sharpe 0.63 | Sortino 0.94 | Calmar 1.1
Vol 33% | MDD -15.6%
Months 13M (4%)
CAGR 6.0% | Win 53%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 28% | MDD -60.5%
Months 89M (25%)
CAGR 7.3% | Win 54%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -58.9%
Months 102M (28%)
MACDhist
only
CAGR 11.6% | Win 63%
Sharpe 0.75 | Sortino 1.14 | Calmar 0.4
Vol 17% | MDD -32.9%
Months 193M (54%)
CAGR 2.8% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 25% | MDD -71.1%
Months 166M (46%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 7.5% | Win 61%
Sharpe 0.54 | Sortino 0.82 | Calmar 0.3
Vol 16% | MDD -27.1%
Months 169M (47%)
CAGR 7.5% | Win 59%
Sharpe 0.48 | Sortino 0.82 | Calmar 0.2
Vol 19% | MDD -35.9%
Months 88M (24%)
CAGR 7.5% | Win 60%
Sharpe 0.52 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -38.7%
Months 257M (72%)
RSI
neg
CAGR 17.8% | Win 52%
Sharpe 1.02 | Sortino 2.12 | Calmar 1.4
Vol 18% | MDD -12.8%
Months 27M (8%)
CAGR 3.8% | Win 55%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 31% | MDD -59.0%
Months 75M (21%)
CAGR 7.3% | Win 54%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -58.9%
Months 102M (28%)
RSIhist
only
CAGR 8.9% | Win 60%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -29.0%
Months 196M (55%)
CAGR 5.8% | Win 57%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 25% | MDD -58.6%
Months 163M (45%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.5% | Win 62%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 17% | MDD -35.0%
Months 237M (66%)
CAGR -3.8% | Win 40%
Sharpe -0.14 | Sortino -0.31 | Calmar -0.3
Vol 17% | MDD -10.9%
Months 20M (6%)
CAGR 7.5% | Win 60%
Sharpe 0.52 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -38.7%
Months 257M (72%)
RSI
neg
CAGR 13.5% | Win 56%
Sharpe 0.61 | Sortino 0.86 | Calmar 0.5
Vol 27% | MDD -29.4%
Months 36M (10%)
CAGR 4.1% | Win 53%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 29% | MDD -56.6%
Months 66M (18%)
CAGR 7.3% | Win 54%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -58.9%
Months 102M (28%)
LWTI
only
CAGR 9.2% | Win 61%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 273M (76%)
CAGR 2.2% | Win 50%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -58.0%
Months 86M (24%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 12.4% | Win 65%
Sharpe 0.87 | Sortino 1.42 | Calmar 0.6
Vol 15% | MDD -20.5%
Months 144M (40%)
CAGR 9.3% | Win 57%
Sharpe 0.53 | Sortino 0.77 | Calmar 0.3
Vol 21% | MDD -30.0%
Months 49M (14%)
CAGR 11.6% | Win 63%
Sharpe 0.75 | Sortino 1.14 | Calmar 0.4
Vol 17% | MDD -32.9%
Months 193M (54%)
MACDhist
neg
CAGR -0.3% | Win 44%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.0
Vol 19% | MDD -31.6%
Months 52M (14%)
CAGR 4.3% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 27% | MDD -66.3%
Months 114M (32%)
CAGR 2.8% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 25% | MDD -71.1%
Months 166M (46%)
RSIhist
only
CAGR 8.9% | Win 60%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -29.0%
Months 196M (55%)
CAGR 5.8% | Win 57%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 25% | MDD -58.6%
Months 163M (45%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 11.4% | Win 63%
Sharpe 0.74 | Sortino 1.12 | Calmar 0.3
Vol 17% | MDD -32.9%
Months 187M (52%)
CAGR 16.2% | Win 83%
Sharpe 1.14 | Sortino 0.00 | Calmar 2.9
Vol 14% | MDD -5.7%
Months 6M (2%)
CAGR 11.6% | Win 63%
Sharpe 0.75 | Sortino 1.14 | Calmar 0.4
Vol 17% | MDD -32.9%
Months 193M (54%)
MACDhist
neg
CAGR 4.4% | Win 58%
Sharpe 0.31 | Sortino 0.45 | Calmar 0.1
Vol 22% | MDD -45.1%
Months 86M (24%)
CAGR 1.2% | Win 48%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 28% | MDD -59.7%
Months 80M (22%)
CAGR 2.8% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 25% | MDD -71.1%
Months 166M (46%)
LWTI
only
CAGR 9.2% | Win 61%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 273M (76%)
CAGR 2.2% | Win 50%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -58.0%
Months 86M (24%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 10.0% | Win 64%
Sharpe 0.70 | Sortino 1.00 | Calmar 0.5
Vol 16% | MDD -21.8%
Months 159M (44%)
CAGR 4.1% | Win 40%
Sharpe 0.31 | Sortino 0.71 | Calmar 0.1
Vol 17% | MDD -27.4%
Months 37M (10%)
CAGR 8.9% | Win 60%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -29.0%
Months 196M (55%)
RSIhist
neg
CAGR 8.0% | Win 57%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -46.0%
Months 114M (32%)
CAGR 0.8% | Win 57%
Sharpe 0.19 | Sortino 0.29 | Calmar 0.0
Vol 32% | MDD -58.1%
Months 49M (14%)
CAGR 5.8% | Win 57%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 25% | MDD -58.6%
Months 163M (45%)
LWTI
only
CAGR 9.2% | Win 61%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 273M (76%)
CAGR 2.2% | Win 50%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -58.0%
Months 86M (24%)