EWQ - iShares MSCI France ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

88.3%

Best CAGR

103

Total Months

6.2%

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 MACDhist MRmean neg-pos 11 3.0 27.6 63.6 0.9 1.3 1.1 33.3 -24.3
pair MRmean MACDhist neg-pos 11 3.0 27.6 63.6 0.9 1.3 1.1 33.3 -24.3
pair MACD MRmean neg-neg 62 17.2 26.9 59.7 1.0 1.6 0.8 26.6 -35.0
pair MRmean MACD neg-neg 62 17.2 26.9 59.7 1.0 1.6 0.8 26.6 -35.0
pair LWTI MACD neg-pos 58 16.1 25.0 70.7 1.2 2.1 1.1 20.1 -22.6
pair MACD LWTI neg-pos 58 16.1 25.0 70.7 1.2 2.1 1.1 20.1 -22.6
pair SLmean RSIhist neg-pos 7 1.9 24.8 42.9 1.3 5.3 7.1 17.8 -3.5
pair RSIhist SLmean neg-pos 7 1.9 24.8 42.9 1.3 5.3 7.1 17.8 -3.5
pair MACD MACDhist neg-pos 29 8.0 24.2 72.4 1.0 1.8 1.1 23.6 -22.6
pair MACDhist MACD neg-pos 29 8.0 24.2 72.4 1.0 1.8 1.1 23.6 -22.6
pair SLmean MACD neg-neg 58 16.1 21.8 63.8 0.9 1.3 0.7 27.1 -31.4
pair MACD SLmean neg-neg 58 16.1 21.8 63.8 0.9 1.3 0.7 27.1 -31.4
pair RSmean MACD neg-neg 16 4.4 21.1 75.0 2.0 5.3 4.5 9.8 -4.6
pair MACD RSmean neg-neg 16 4.4 21.1 75.0 2.0 5.3 4.5 9.8 -4.6
pair RSIhist MACD neg-neg 65 18.0 21.0 64.6 0.8 1.4 0.7 26.8 -28.8
pair MACD RSIhist neg-neg 65 18.0 21.0 64.6 0.8 1.4 0.7 26.8 -28.8
pair MACD RSI neg-neg 83 23.0 20.0 59.0 0.9 1.4 0.7 24.9 -29.8
pair RSI MACD neg-neg 83 23.0 20.0 59.0 0.9 1.4 0.7 24.9 -29.8
single MACD MACD neg-neg 115 31.9 19.9 62.6 0.9 1.4 0.7 23.5 -29.8
pair RSI MACD neg-pos 32 8.9 19.8 71.9 1.0 1.9 0.9 19.8 -23.0
pair MACD RSI neg-pos 32 8.9 19.8 71.9 1.0 1.9 0.9 19.8 -23.0
pair MACD RSmean pos-neg 99 27.4 19.7 60.6 0.8 1.4 0.7 25.1 -29.8
pair RSmean MACD pos-neg 99 27.4 19.7 60.6 0.8 1.4 0.7 25.1 -29.8
pair MACD RSIhist neg-pos 50 13.9 18.5 60.0 1.0 1.8 0.9 18.6 -20.5
pair RSIhist MACD neg-pos 50 13.9 18.5 60.0 1.0 1.8 0.9 18.6 -20.5
pair MACDhist MACD neg-neg 86 23.8 18.5 59.3 0.8 1.3 0.6 23.6 -31.4
pair MACD MACDhist neg-neg 86 23.8 18.5 59.3 0.8 1.3 0.6 23.6 -31.4
pair MACD SLmean pos-neg 57 15.8 18.0 61.4 0.9 1.7 0.7 19.5 -24.4
pair SLmean MACD pos-neg 57 15.8 18.0 61.4 0.9 1.7 0.7 19.5 -24.4
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 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 SLmean RSI pos-neg 31 8.6 15.3 51.6 0.8 1.7 1.2 19.4 -13.1
pair RSI SLmean pos-neg 31 8.6 15.3 51.6 0.8 1.7 1.2 19.4 -13.1
pair MACDhist SLmean neg-pos 34 9.4 15.0 58.8 0.7 1.0 0.6 25.2 -24.3
pair SLmean MACDhist neg-pos 34 9.4 15.0 58.8 0.7 1.0 0.6 25.2 -24.3
pair MACD LWTI neg-neg 57 15.8 14.9 54.4 0.7 1.1 0.5 26.7 -29.8
pair LWTI MACD neg-neg 57 15.8 14.9 54.4 0.7 1.1 0.5 26.7 -29.8
pair MRmean MACD pos-neg 53 14.7 12.2 66.0 0.7 1.1 0.4 19.3 -30.6
pair MACD MRmean pos-neg 53 14.7 12.2 66.0 0.7 1.1 0.4 19.3 -30.6
pair MACDhist RSIhist pos-pos 145 40.2 11.4 64.8 0.8 1.3 0.6 15.0 -20.5
pair RSI LWTI neg-pos 47 13.0 11.4 57.4 0.6 0.8 0.4 23.8 -29.4
pair RSIhist MACDhist pos-pos 145 40.2 11.4 64.8 0.8 1.3 0.6 15.0 -20.5
pair LWTI RSI neg-pos 47 13.0 11.4 57.4 0.6 0.8 0.4 23.8 -29.4
pair MRmean LWTI neg-pos 61 16.9 11.1 55.7 0.6 0.8 0.3 23.9 -41.4
single MACDhist MACDhist pos-pos 195 54.0 11.1 63.1 0.7 1.1 0.3 16.7 -32.9
pair LWTI MRmean neg-pos 61 16.9 11.1 55.7 0.6 0.8 0.3 23.9 -41.4
pair LWTI RSmean pos-pos 247 68.4 11.0 62.3 0.7 1.0 0.3 18.6 -34.7
pair RSmean LWTI pos-pos 247 68.4 11.0 62.3 0.7 1.0 0.3 18.6 -34.7
pair MACDhist LWTI pos-pos 189 52.4 10.9 62.4 0.7 1.1 0.3 16.8 -32.9
pair LWTI MACDhist pos-pos 189 52.4 10.9 62.4 0.7 1.1 0.3 16.8 -32.9
pair RSIhist LWTI pos-pos 155 42.9 10.8 63.9 0.7 1.1 0.5 15.9 -21.8
pair LWTI RSIhist pos-pos 155 42.9 10.8 63.9 0.7 1.1 0.5 15.9 -21.8
pair RSI MACDhist pos-pos 182 50.4 10.7 63.2 0.8 1.2 0.3 15.1 -30.3
pair MACDhist RSI pos-pos 182 50.4 10.7 63.2 0.8 1.2 0.3 15.1 -30.3
pair RSmean RSIhist pos-pos 185 51.2 10.6 60.0 0.7 1.1 0.4 15.9 -26.6
pair RSIhist RSmean pos-pos 185 51.2 10.6 60.0 0.7 1.1 0.4 15.9 -26.6
pair SLmean MACDhist pos-pos 161 44.6 10.3 64.0 0.8 1.2 0.4 14.4 -24.4
pair MACDhist SLmean pos-pos 161 44.6 10.3 64.0 0.8 1.2 0.4 14.4 -24.4
pair MACDhist RSIhist pos-neg 50 13.9 10.3 58.0 0.6 0.8 0.3 21.1 -30.0
pair RSIhist MACDhist pos-neg 50 13.9 10.3 58.0 0.6 0.8 0.3 21.1 -30.0
pair RSmean MACDhist pos-pos 192 53.2 10.2 62.5 0.7 1.0 0.3 16.7 -32.9
pair MACDhist RSmean pos-pos 192 53.2 10.2 62.5 0.7 1.0 0.3 16.7 -32.9
pair MRmean MACDhist pos-pos 184 51.0 10.2 63.0 0.7 1.1 0.3 15.3 -30.6
pair MACDhist MRmean pos-pos 184 51.0 10.2 63.0 0.7 1.1 0.3 15.3 -30.6
pair RSmean MRmean neg-pos 98 27.1 9.8 54.1 0.5 0.7 0.2 29.5 -61.7
pair MRmean RSmean neg-pos 98 27.1 9.8 54.1 0.5 0.7 0.2 29.5 -61.7
pair RSI RSmean pos-pos 236 65.4 9.6 61.4 0.6 1.0 0.2 16.7 -42.4
pair RSmean RSI pos-pos 236 65.4 9.6 61.4 0.6 1.0 0.2 16.7 -42.4
pair RSIhist MRmean pos-pos 181 50.1 9.6 61.9 0.7 1.0 0.4 15.9 -22.2
pair MRmean RSIhist pos-pos 181 50.1 9.6 61.9 0.7 1.0 0.4 15.9 -22.2
single RSIhist RSIhist pos-pos 192 53.2 9.5 59.4 0.6 1.0 0.3 16.2 -29.0
pair SLmean RSmean pos-pos 221 61.2 9.2 60.2 0.6 1.0 0.3 16.0 -30.4
pair RSmean SLmean pos-pos 221 61.2 9.2 60.2 0.6 1.0 0.3 16.0 -30.4
single RSmean RSmean pos-pos 331 91.7 9.0 59.2 0.5 0.7 0.2 21.0 -56.9
pair LWTI SLmean pos-pos 184 51.0 9.0 64.1 0.6 0.9 0.3 15.8 -30.4
pair SLmean LWTI pos-pos 184 51.0 9.0 64.1 0.6 0.9 0.3 15.8 -30.4
pair RSIhist SLmean pos-pos 185 51.2 9.0 60.0 0.6 0.9 0.3 16.1 -26.9
pair SLmean RSIhist pos-pos 185 51.2 9.0 60.0 0.6 0.9 0.3 16.1 -26.9
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 MACD MACDhist pos-pos 166 46.0 8.9 61.4 0.6 1.0 0.2 15.2 -36.0
pair MACDhist MACD pos-pos 166 46.0 8.9 61.4 0.6 1.0 0.2 15.2 -36.0
pair MRmean RSI neg-neg 91 25.2 8.8 54.9 0.4 0.6 0.1 28.8 -62.5
pair RSI MRmean neg-neg 91 25.2 8.8 54.9 0.4 0.6 0.1 28.8 -62.5
single LWTI LWTI pos-pos 275 76.2 8.8 61.1 0.6 0.8 0.2 18.4 -35.7
pair RSmean MRmean pos-pos 233 64.5 8.6 61.4 0.6 0.9 0.2 16.2 -44.3
pair MRmean RSmean pos-pos 233 64.5 8.6 61.4 0.6 0.9 0.2 16.2 -44.3
pair SLmean LWTI neg-pos 91 25.2 8.5 54.9 0.5 0.7 0.2 22.9 -37.9
pair LWTI SLmean neg-pos 91 25.2 8.5 54.9 0.5 0.7 0.2 22.9 -37.9
pair RSmean SLmean neg-pos 110 30.5 8.4 57.3 0.4 0.6 0.1 28.7 -55.8
pair SLmean RSmean neg-pos 110 30.5 8.4 57.3 0.4 0.6 0.1 28.7 -55.8
pair LWTI RSI pos-pos 228 63.2 8.3 61.8 0.6 0.8 0.2 17.1 -35.0
pair RSI LWTI pos-pos 228 63.2 8.3 61.8 0.6 0.8 0.2 17.1 -35.0
pair RSIhist RSI pos-pos 165 45.7 8.2 60.6 0.6 0.9 0.3 15.9 -27.1
pair RSI RSIhist pos-pos 165 45.7 8.2 60.6 0.6 0.9 0.3 15.9 -27.1
single SLmean SLmean pos-pos 228 63.2 8.2 60.1 0.6 0.9 0.2 16.3 -32.7
pair SLmean MRmean pos-pos 211 58.4 8.2 62.1 0.6 0.9 0.3 15.8 -29.1
pair MRmean SLmean pos-pos 211 58.4 8.2 62.1 0.6 0.9 0.3 15.8 -29.1
pair LWTI MRmean pos-pos 214 59.3 8.2 62.6 0.6 0.8 0.2 16.6 -41.9
pair MRmean LWTI pos-pos 214 59.3 8.2 62.6 0.6 0.8 0.2 16.6 -41.9
pair MRmean RSI pos-pos 221 61.2 8.1 61.5 0.6 0.8 0.2 16.3 -39.2
pair RSI MRmean pos-pos 221 61.2 8.1 61.5 0.6 0.8 0.2 16.3 -39.2
pair RSI SLmean neg-pos 51 14.1 7.7 54.9 0.5 0.9 0.3 21.6 -21.7
pair SLmean RSI neg-pos 51 14.1 7.7 54.9 0.5 0.9 0.3 21.6 -21.7
pair MRmean RSIhist neg-pos 11 3.0 7.6 18.2 0.4 1.9 0.9 20.8 -8.4
pair RSIhist MRmean neg-pos 11 3.0 7.6 18.2 0.4 1.9 0.9 20.8 -8.4
single MRmean MRmean pos-pos 243 67.3 7.4 60.9 0.5 0.8 0.2 16.5 -40.8
pair MACDhist RSmean pos-neg 139 38.5 7.3 54.7 0.4 0.6 0.1 25.9 -66.8
pair RSmean RSI pos-neg 95 26.3 7.3 53.7 0.4 0.6 0.1 29.1 -58.1
pair RSI RSmean pos-neg 95 26.3 7.3 53.7 0.4 0.6 0.1 29.1 -58.1
single RSI RSI pos-pos 248 68.7 7.3 60.1 0.5 0.8 0.2 17.1 -38.7
pair RSmean MACDhist pos-neg 139 38.5 7.3 54.7 0.4 0.6 0.1 25.9 -66.8
pair SLmean RSI pos-pos 197 54.6 7.2 61.4 0.5 0.8 0.2 15.8 -33.2
pair RSI SLmean pos-pos 197 54.6 7.2 61.4 0.5 0.8 0.2 15.8 -33.2
pair benchmark___benchmark_ benchmark-benchmark 361 100.0 7.2 58.4 0.4 0.6 0.1 20.7 -57.7
pair benchmark___benchmark_ benchmark-benchmark 361 100.0 7.2 58.4 0.4 0.6 0.1 20.7 -57.7
single RSI RSI neg-neg 113 31.3 7.1 54.9 0.4 0.6 0.1 27.0 -58.9
single MRmean MRmean neg-neg 118 32.7 6.9 53.4 0.4 0.6 0.1 27.5 -62.4
pair RSIhist RSmean pos-neg 146 40.4 6.9 58.2 0.4 0.6 0.1 26.1 -59.8
pair RSmean RSIhist pos-neg 146 40.4 6.9 58.2 0.4 0.6 0.1 26.1 -59.8
pair MRmean RSIhist neg-neg 107 29.6 6.8 57.0 0.4 0.6 0.1 28.2 -58.9
pair RSIhist MRmean neg-neg 107 29.6 6.8 57.0 0.4 0.6 0.1 28.2 -58.9
pair MRmean SLmean neg-neg 101 28.0 6.6 56.4 0.4 0.5 0.1 28.4 -55.2
pair SLmean MRmean neg-neg 101 28.0 6.6 56.4 0.4 0.5 0.1 28.4 -55.2
pair RSIhist MACD pos-pos 142 39.3 6.5 59.2 0.5 0.7 0.3 15.2 -23.6
pair MACD RSIhist pos-pos 142 39.3 6.5 59.2 0.5 0.7 0.3 15.2 -23.6
pair LWTI RSIhist neg-pos 120 33.2 6.3 57.5 0.4 0.6 0.1 21.3 -46.0
pair RSIhist LWTI neg-pos 120 33.2 6.3 57.5 0.4 0.6 0.1 21.3 -46.0
pair MRmean MACD pos-pos 190 52.6 6.0 59.5 0.5 0.7 0.2 15.6 -28.1
pair MACD MRmean pos-pos 190 52.6 6.0 59.5 0.5 0.7 0.2 15.6 -28.1
pair MACDhist RSI neg-neg 100 27.7 5.9 54.0 0.3 0.5 0.1 26.4 -60.5
pair RSI MACDhist neg-neg 100 27.7 5.9 54.0 0.3 0.5 0.1 26.4 -60.5
pair RSI RSmean neg-neg 18 5.0 5.8 61.1 0.6 1.5 0.5 10.6 -12.5
pair RSmean RSI neg-neg 18 5.0 5.8 61.1 0.6 1.5 0.5 10.6 -12.5
pair MACD RSI pos-pos 216 59.8 5.5 58.3 0.4 0.6 0.2 16.7 -30.8
pair RSI MACD pos-pos 216 59.8 5.5 58.3 0.4 0.6 0.2 16.7 -30.8
pair RSIhist RSI pos-neg 83 23.0 5.5 59.0 0.4 0.7 0.1 19.4 -35.9
pair RSI RSIhist pos-neg 83 23.0 5.5 59.0 0.4 0.7 0.1 19.4 -35.9
single SLmean SLmean neg-neg 133 36.8 5.5 55.6 0.3 0.5 0.1 26.6 -56.7
pair SLmean MACD pos-pos 171 47.4 5.2 59.6 0.4 0.6 0.2 15.1 -29.2
pair RSIhist SLmean pos-neg 43 11.9 5.2 60.5 0.4 0.6 0.2 17.4 -21.1
pair SLmean RSIhist pos-neg 43 11.9 5.2 60.5 0.4 0.6 0.2 17.4 -21.1
pair MACD SLmean pos-pos 171 47.4 5.2 59.6 0.4 0.6 0.2 15.1 -29.2
pair MRmean MACDhist neg-neg 107 29.6 5.0 52.3 0.3 0.5 0.1 27.0 -62.4
pair LWTI SLmean pos-neg 44 12.2 5.0 43.2 0.3 0.8 0.2 18.7 -24.3
pair SLmean LWTI pos-neg 44 12.2 5.0 43.2 0.3 0.8 0.2 18.7 -24.3
pair MACDhist MRmean neg-neg 107 29.6 5.0 52.3 0.3 0.5 0.1 27.0 -62.4
pair LWTI MACD pos-pos 217 60.1 4.9 58.5 0.4 0.5 0.1 17.8 -40.1
pair MACD LWTI pos-pos 217 60.1 4.9 58.5 0.4 0.5 0.1 17.8 -40.1
single RSIhist RSIhist neg-neg 169 46.8 4.7 57.4 0.3 0.5 0.1 24.9 -58.6
pair MACD RSmean pos-pos 232 64.3 4.7 58.6 0.3 0.4 0.1 18.9 -60.3
pair RSmean MACD pos-pos 232 64.3 4.7 58.6 0.3 0.4 0.1 18.9 -60.3
pair SLmean RSIhist neg-neg 126 34.9 4.5 56.3 0.3 0.4 0.1 27.1 -55.1
pair RSIhist SLmean neg-neg 126 34.9 4.5 56.3 0.3 0.4 0.1 27.1 -55.1
pair MACDhist LWTI neg-pos 86 23.8 4.4 58.1 0.3 0.5 0.1 21.6 -45.1
pair LWTI MACDhist neg-pos 86 23.8 4.4 58.1 0.3 0.5 0.1 21.6 -45.1
pair RSIhist LWTI pos-neg 37 10.2 4.1 40.5 0.3 0.7 0.1 17.4 -27.4
pair LWTI RSIhist pos-neg 37 10.2 4.1 40.5 0.3 0.7 0.1 17.4 -27.4
pair SLmean RSI neg-neg 82 22.7 4.1 56.1 0.3 0.4 0.1 29.5 -58.2
pair RSI SLmean neg-neg 82 22.7 4.1 56.1 0.3 0.4 0.1 29.5 -58.2
pair RSI LWTI neg-neg 66 18.3 4.1 53.0 0.3 0.4 0.1 29.3 -56.6
pair LWTI RSI neg-neg 66 18.3 4.1 53.0 0.3 0.4 0.1 29.3 -56.6
pair RSIhist MACDhist neg-pos 47 13.0 3.9 42.6 0.3 0.5 0.1 19.5 -31.6
pair MACDhist RSIhist neg-pos 47 13.0 3.9 42.6 0.3 0.5 0.1 19.5 -31.6
pair RSI RSIhist neg-neg 86 23.8 3.9 55.8 0.3 0.4 0.1 29.4 -59.0
pair RSIhist RSI neg-neg 86 23.8 3.9 55.8 0.3 0.4 0.1 29.4 -59.0
pair SLmean MACDhist pos-neg 67 18.6 3.5 50.7 0.3 0.4 0.1 20.4 -33.8
pair MACDhist SLmean pos-neg 67 18.6 3.5 50.7 0.3 0.4 0.1 20.4 -33.8
pair LWTI RSmean pos-neg 84 23.3 3.0 50.0 0.2 0.4 0.1 27.1 -58.0
pair RSmean LWTI pos-neg 84 23.3 3.0 50.0 0.2 0.4 0.1 27.1 -58.0
single MACDhist MACDhist neg-neg 166 46.0 2.8 53.0 0.2 0.3 0.0 24.6 -71.1
pair LWTI MRmean neg-neg 57 15.8 2.6 50.9 0.2 0.4 0.0 31.1 -61.8
pair MRmean LWTI neg-neg 57 15.8 2.6 50.9 0.2 0.4 0.0 31.1 -61.8
pair SLmean MACDhist neg-neg 99 27.4 2.4 54.5 0.2 0.3 0.0 27.2 -59.9
pair RSIhist MACDhist neg-neg 119 33.0 2.4 57.1 0.2 0.3 0.0 26.4 -66.3
pair MACDhist RSIhist neg-neg 119 33.0 2.4 57.1 0.2 0.3 0.0 26.4 -66.3
pair MACDhist SLmean neg-neg 99 27.4 2.4 54.5 0.2 0.3 0.0 27.2 -59.9
single LWTI LWTI neg-neg 86 23.8 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
single MACD MACD pos-pos 246 68.1 1.7 56.5 0.2 0.2 0.0 19.1 -61.1
pair MRmean LWTI pos-neg 29 8.0 1.3 48.3 0.2 0.3 0.1 16.1 -23.4
pair LWTI MRmean pos-neg 29 8.0 1.3 48.3 0.2 0.3 0.1 16.1 -23.4
pair LWTI MACDhist neg-neg 80 22.2 1.2 47.5 0.2 0.3 0.0 27.7 -59.7
pair MACDhist LWTI neg-neg 80 22.2 1.2 47.5 0.2 0.3 0.0 27.7 -59.7
pair MRmean RSIhist pos-neg 62 17.2 1.0 58.1 0.1 0.2 0.0 18.1 -41.6
pair RSIhist MRmean pos-neg 62 17.2 1.0 58.1 0.1 0.2 0.0 18.1 -41.6
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 RSI MRmean neg-pos 27 7.5 0.7 48.1 0.1 0.3 0.0 23.0 -27.8
pair MRmean RSI neg-pos 27 7.5 0.7 48.1 0.1 0.3 0.0 23.0 -27.8
pair RSI MRmean pos-neg 22 6.1 0.2 54.5 0.1 0.1 0.0 18.3 -23.7
pair MRmean RSI pos-neg 22 6.1 0.2 54.5 0.1 0.1 0.0 18.3 -23.7
pair LWTI SLmean neg-neg 42 11.6 -0.7 57.1 0.1 0.2 -0.0 33.7 -55.9
pair SLmean LWTI neg-neg 42 11.6 -0.7 57.1 0.1 0.2 -0.0 33.7 -55.9
pair MACDhist MRmean pos-neg 59 16.3 -1.0 54.2 0.1 0.1 -0.0 19.8 -45.7
pair MRmean MACDhist pos-neg 59 16.3 -1.0 54.2 0.1 0.1 -0.0 19.8 -45.7
pair MACDhist RSI pos-neg 66 18.3 -1.6 51.5 0.0 0.1 -0.0 21.8 -55.1
pair RSI MACDhist pos-neg 66 18.3 -1.6 51.5 0.0 0.1 -0.0 21.8 -55.1
pair RSI LWTI pos-neg 20 5.5 -3.8 40.0 -0.1 -0.3 -0.3 17.3 -10.9
pair LWTI RSI pos-neg 20 5.5 -3.8 40.0 -0.1 -0.3 -0.3 17.3 -10.9
pair MACD RSIhist pos-neg 104 28.8 -4.4 52.9 -0.1 -0.1 -0.1 23.4 -65.4
pair RSIhist MACD pos-neg 104 28.8 -4.4 52.9 -0.1 -0.1 -0.1 23.4 -65.4
pair MACD SLmean neg-pos 75 20.8 -5.6 49.3 -0.1 -0.1 -0.1 26.0 -59.3
pair SLmean MACD neg-pos 75 20.8 -5.6 49.3 -0.1 -0.1 -0.1 26.0 -59.3
pair MRmean RSmean neg-neg 20 5.5 -6.3 50.0 -0.4 -0.7 -0.3 13.3 -23.0
pair RSmean MRmean neg-neg 20 5.5 -6.3 50.0 -0.4 -0.7 -0.3 13.3 -23.0
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 RSIhist RSmean neg-neg 23 6.4 -8.4 52.2 -0.5 -0.8 -0.3 14.8 -27.4
pair RSmean RSIhist neg-neg 23 6.4 -8.4 52.2 -0.5 -0.8 -0.3 14.8 -27.4
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 8.3 -10.2 50.0 -0.6 -0.8 -0.3 16.3 -34.7
pair MACD MRmean neg-pos 56 15.5 -11.6 46.4 -0.3 -0.4 -0.2 27.7 -66.5
pair MRmean MACD neg-pos 56 15.5 -11.6 46.4 -0.3 -0.4 -0.2 27.7 -66.5
pair MACDhist MACD pos-neg 80 22.2 -11.7 46.2 -0.4 -0.5 -0.2 25.0 -73.5
pair MACD MACDhist pos-neg 80 22.2 -11.7 46.2 -0.4 -0.5 -0.2 25.0 -73.5
pair RSmean RSIhist neg-pos 7 1.9 -16.1 42.9 -0.7 -0.9 -1.8 21.7 -8.7
pair RSIhist RSmean neg-pos 7 1.9 -16.1 42.9 -0.7 -0.9 -1.8 21.7 -8.7
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 8.0 -18.9 41.4 -0.7 -0.8 -0.4 26.5 -47.1
pair LWTI MACD pos-neg 29 8.0 -18.9 41.4 -0.7 -0.8 -0.4 26.5 -47.1
pair MACD RSI pos-neg 30 8.3 -21.9 43.3 -0.6 -0.8 -0.4 31.0 -58.5
pair RSI MACD pos-neg 30 8.3 -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 RSI RSmean neg-pos 12 3.3 -29.9 33.3 -1.6 -2.7 -1.3 21.0 -23.0
pair RSmean RSI neg-pos 12 3.3 -29.9 33.3 -1.6 -2.7 -1.3 21.0 -23.0
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 8.2% | Win 62%
Sharpe 0.58 | Sortino 0.86 | Calmar 0.3
Vol 16% | MDD -29.1%
Months 211M (58%)
CAGR 2.1% | Win 53%
Sharpe 0.20 | Sortino 0.32 | Calmar 0.1
Vol 21% | MDD -18.0%
Months 32M (9%)
CAGR 7.4% | Win 61%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 16% | MDD -40.8%
Months 243M (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 6.6% | Win 56%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.1
Vol 28% | MDD -55.2%
Months 101M (28%)
CAGR 6.9% | Win 53%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -62.4%
Months 118M (33%)
SLmean
only
CAGR 8.2% | Win 60%
Sharpe 0.57 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -32.7%
Months 228M (63%)
CAGR 5.5% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 27% | MDD -56.7%
Months 133M (37%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 8.6% | Win 61%
Sharpe 0.59 | Sortino 0.91 | Calmar 0.2
Vol 16% | MDD -44.3%
Months 233M (64%)
CAGR -17.6% | Win 50%
Sharpe -0.78 | Sortino -1.20 | Calmar -1.2
Vol 22% | MDD -14.3%
Months 10M (3%)
CAGR 7.4% | Win 61%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 16% | MDD -40.8%
Months 243M (67%)
MRmean
neg
CAGR 9.8% | Win 54%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 30% | MDD -61.7%
Months 98M (27%)
CAGR -6.3% | Win 50%
Sharpe -0.43 | Sortino -0.71 | Calmar -0.3
Vol 13% | MDD -23.0%
Months 20M (6%)
CAGR 6.9% | Win 53%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -62.4%
Months 118M (33%)
RSmean
only
CAGR 9.0% | Win 59%
Sharpe 0.52 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -56.9%
Months 331M (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 6.0% | Win 60%
Sharpe 0.46 | Sortino 0.68 | Calmar 0.2
Vol 16% | MDD -28.1%
Months 190M (53%)
CAGR 12.2% | Win 66%
Sharpe 0.69 | Sortino 1.13 | Calmar 0.4
Vol 19% | MDD -30.6%
Months 53M (15%)
CAGR 7.4% | Win 61%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 16% | MDD -40.8%
Months 243M (67%)
MRmean
neg
CAGR -11.6% | Win 46%
Sharpe -0.30 | Sortino -0.42 | Calmar -0.2
Vol 28% | MDD -66.5%
Months 56M (16%)
CAGR 26.9% | Win 60%
Sharpe 1.03 | Sortino 1.65 | Calmar 0.8
Vol 27% | MDD -35.0%
Months 62M (17%)
CAGR 6.9% | Win 53%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -62.4%
Months 118M (33%)
MACD
only
CAGR 1.7% | Win 56%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 246M (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 8.1% | Win 62%
Sharpe 0.56 | Sortino 0.85 | Calmar 0.2
Vol 16% | MDD -39.2%
Months 221M (61%)
CAGR 0.2% | Win 55%
Sharpe 0.10 | Sortino 0.14 | Calmar 0.0
Vol 18% | MDD -23.7%
Months 22M (6%)
CAGR 7.4% | Win 61%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 16% | MDD -40.8%
Months 243M (67%)
MRmean
neg
CAGR 0.7% | Win 48%
Sharpe 0.14 | Sortino 0.29 | Calmar 0.0
Vol 23% | MDD -27.8%
Months 27M (8%)
CAGR 8.8% | Win 55%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.1
Vol 29% | MDD -62.5%
Months 91M (25%)
CAGR 6.9% | Win 53%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -62.4%
Months 118M (33%)
RSI
only
CAGR 7.3% | Win 60%
Sharpe 0.50 | Sortino 0.79 | Calmar 0.2
Vol 17% | MDD -38.7%
Months 248M (69%)
CAGR 7.1% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 27% | MDD -58.9%
Months 113M (31%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 10.2% | Win 63%
Sharpe 0.71 | Sortino 1.12 | Calmar 0.3
Vol 15% | MDD -30.6%
Months 184M (51%)
CAGR -1.0% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.0
Vol 20% | MDD -45.7%
Months 59M (16%)
CAGR 7.4% | Win 61%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 16% | MDD -40.8%
Months 243M (67%)
MRmean
neg
CAGR 27.6% | Win 64%
Sharpe 0.89 | Sortino 1.32 | Calmar 1.1
Vol 33% | MDD -24.3%
Months 11M (3%)
CAGR 5.0% | Win 52%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -62.4%
Months 107M (30%)
CAGR 6.9% | Win 53%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -62.4%
Months 118M (33%)
MACDhist
only
CAGR 11.1% | Win 63%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.3
Vol 17% | MDD -32.9%
Months 195M (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 9.6% | Win 62%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.4
Vol 16% | MDD -22.2%
Months 181M (50%)
CAGR 1.0% | Win 58%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 18% | MDD -41.6%
Months 62M (17%)
CAGR 7.4% | Win 61%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 16% | MDD -40.8%
Months 243M (67%)
MRmean
neg
CAGR 7.6% | Win 18%
Sharpe 0.44 | Sortino 1.92 | Calmar 0.9
Vol 21% | MDD -8.4%
Months 11M (3%)
CAGR 6.8% | Win 57%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -58.9%
Months 107M (30%)
CAGR 6.9% | Win 53%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -62.4%
Months 118M (33%)
RSIhist
only
CAGR 9.5% | Win 59%
Sharpe 0.64 | Sortino 1.02 | Calmar 0.3
Vol 16% | MDD -29.0%
Months 192M (53%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -58.6%
Months 169M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 8.2% | Win 63%
Sharpe 0.56 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -41.9%
Months 214M (59%)
CAGR 1.3% | Win 48%
Sharpe 0.16 | Sortino 0.31 | Calmar 0.1
Vol 16% | MDD -23.4%
Months 29M (8%)
CAGR 7.4% | Win 61%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 16% | MDD -40.8%
Months 243M (67%)
MRmean
neg
CAGR 11.1% | Win 56%
Sharpe 0.56 | Sortino 0.85 | Calmar 0.3
Vol 24% | MDD -41.4%
Months 61M (17%)
CAGR 2.6% | Win 51%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.0
Vol 31% | MDD -61.8%
Months 57M (16%)
CAGR 6.9% | Win 53%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -62.4%
Months 118M (33%)
LWTI
only
CAGR 8.8% | Win 61%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -35.7%
Months 275M (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 9.2% | Win 60%
Sharpe 0.63 | Sortino 1.01 | Calmar 0.3
Vol 16% | MDD -30.4%
Months 221M (61%)
CAGR -18.3% | Win 57%
Sharpe -0.66 | Sortino -2.04 | Calmar -1.3
Vol 26% | MDD -14.4%
Months 7M (2%)
CAGR 8.2% | Win 60%
Sharpe 0.57 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -32.7%
Months 228M (63%)
SLmean
neg
CAGR 8.4% | Win 57%
Sharpe 0.43 | Sortino 0.64 | Calmar 0.2
Vol 29% | MDD -55.8%
Months 110M (30%)
CAGR -7.6% | Win 48%
Sharpe -0.56 | Sortino -0.92 | Calmar -0.3
Vol 13% | MDD -26.3%
Months 23M (6%)
CAGR 5.5% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 27% | MDD -56.7%
Months 133M (37%)
RSmean
only
CAGR 9.0% | Win 59%
Sharpe 0.52 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -56.9%
Months 331M (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 5.2% | Win 60%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 15% | MDD -29.2%
Months 171M (47%)
CAGR 18.0% | Win 61%
Sharpe 0.95 | Sortino 1.70 | Calmar 0.7
Vol 20% | MDD -24.4%
Months 57M (16%)
CAGR 8.2% | Win 60%
Sharpe 0.57 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -32.7%
Months 228M (63%)
SLmean
neg
CAGR -5.6% | Win 49%
Sharpe -0.09 | Sortino -0.13 | Calmar -0.1
Vol 26% | MDD -59.3%
Months 75M (21%)
CAGR 21.8% | Win 64%
Sharpe 0.87 | Sortino 1.34 | Calmar 0.7
Vol 27% | MDD -31.4%
Months 58M (16%)
CAGR 5.5% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 27% | MDD -56.7%
Months 133M (37%)
MACD
only
CAGR 1.7% | Win 56%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 246M (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 7.2% | Win 61%
Sharpe 0.52 | Sortino 0.77 | Calmar 0.2
Vol 16% | MDD -33.2%
Months 197M (55%)
CAGR 15.3% | Win 52%
Sharpe 0.83 | Sortino 1.72 | Calmar 1.2
Vol 19% | MDD -13.1%
Months 31M (9%)
CAGR 8.2% | Win 60%
Sharpe 0.57 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -32.7%
Months 228M (63%)
SLmean
neg
CAGR 7.7% | Win 55%
Sharpe 0.45 | Sortino 0.86 | Calmar 0.4
Vol 22% | MDD -21.7%
Months 51M (14%)
CAGR 4.1% | Win 56%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 30% | MDD -58.2%
Months 82M (23%)
CAGR 5.5% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 27% | MDD -56.7%
Months 133M (37%)
RSI
only
CAGR 7.3% | Win 60%
Sharpe 0.50 | Sortino 0.79 | Calmar 0.2
Vol 17% | MDD -38.7%
Months 248M (69%)
CAGR 7.1% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 27% | MDD -58.9%
Months 113M (31%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 10.3% | Win 64%
Sharpe 0.76 | Sortino 1.21 | Calmar 0.4
Vol 14% | MDD -24.4%
Months 161M (45%)
CAGR 3.5% | Win 51%
Sharpe 0.27 | Sortino 0.43 | Calmar 0.1
Vol 20% | MDD -33.8%
Months 67M (19%)
CAGR 8.2% | Win 60%
Sharpe 0.57 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -32.7%
Months 228M (63%)
SLmean
neg
CAGR 15.0% | Win 59%
Sharpe 0.68 | Sortino 1.02 | Calmar 0.6
Vol 25% | MDD -24.3%
Months 34M (9%)
CAGR 2.4% | Win 55%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 27% | MDD -59.9%
Months 99M (27%)
CAGR 5.5% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 27% | MDD -56.7%
Months 133M (37%)
MACDhist
only
CAGR 11.1% | Win 63%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.3
Vol 17% | MDD -32.9%
Months 195M (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 9.0% | Win 60%
Sharpe 0.61 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -26.9%
Months 185M (51%)
CAGR 5.2% | Win 60%
Sharpe 0.38 | Sortino 0.61 | Calmar 0.2
Vol 17% | MDD -21.1%
Months 43M (12%)
CAGR 8.2% | Win 60%
Sharpe 0.57 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -32.7%
Months 228M (63%)
SLmean
neg
CAGR 24.8% | Win 43%
Sharpe 1.33 | Sortino 5.34 | Calmar 7.1
Vol 18% | MDD -3.5%
Months 7M (2%)
CAGR 4.5% | Win 56%
Sharpe 0.30 | Sortino 0.44 | Calmar 0.1
Vol 27% | MDD -55.1%
Months 126M (35%)
CAGR 5.5% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 27% | MDD -56.7%
Months 133M (37%)
RSIhist
only
CAGR 9.5% | Win 59%
Sharpe 0.64 | Sortino 1.02 | Calmar 0.3
Vol 16% | MDD -29.0%
Months 192M (53%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -58.6%
Months 169M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 9.0% | Win 64%
Sharpe 0.63 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -30.4%
Months 184M (51%)
CAGR 5.0% | Win 43%
Sharpe 0.35 | Sortino 0.77 | Calmar 0.2
Vol 19% | MDD -24.3%
Months 44M (12%)
CAGR 8.2% | Win 60%
Sharpe 0.57 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -32.7%
Months 228M (63%)
SLmean
neg
CAGR 8.5% | Win 55%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -37.9%
Months 91M (25%)
CAGR -0.7% | Win 57%
Sharpe 0.15 | Sortino 0.23 | Calmar -0.0
Vol 34% | MDD -55.9%
Months 42M (12%)
CAGR 5.5% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 27% | MDD -56.7%
Months 133M (37%)
LWTI
only
CAGR 8.8% | Win 61%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -35.7%
Months 275M (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 4.7% | Win 59%
Sharpe 0.34 | Sortino 0.44 | Calmar 0.1
Vol 19% | MDD -60.3%
Months 232M (64%)
CAGR 19.7% | Win 61%
Sharpe 0.85 | Sortino 1.41 | Calmar 0.7
Vol 25% | MDD -29.8%
Months 99M (27%)
CAGR 9.0% | Win 59%
Sharpe 0.52 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -56.9%
Months 331M (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 1.7% | Win 56%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 246M (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 9.6% | Win 61%
Sharpe 0.63 | Sortino 1.01 | Calmar 0.2
Vol 17% | MDD -42.4%
Months 236M (65%)
CAGR 7.3% | Win 54%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 29% | MDD -58.1%
Months 95M (26%)
CAGR 9.0% | Win 59%
Sharpe 0.52 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -56.9%
Months 331M (92%)
RSmean
neg
CAGR -29.9% | Win 33%
Sharpe -1.57 | Sortino -2.71 | Calmar -1.3
Vol 21% | MDD -23.0%
Months 12M (3%)
CAGR 5.8% | Win 61%
Sharpe 0.59 | Sortino 1.48 | Calmar 0.5
Vol 11% | MDD -12.5%
Months 18M (5%)
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 7.3% | Win 60%
Sharpe 0.50 | Sortino 0.79 | Calmar 0.2
Vol 17% | MDD -38.7%
Months 248M (69%)
CAGR 7.1% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 27% | MDD -58.9%
Months 113M (31%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 10.2% | Win 62%
Sharpe 0.67 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -32.9%
Months 192M (53%)
CAGR 7.3% | Win 55%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.1
Vol 26% | MDD -66.8%
Months 139M (38%)
CAGR 9.0% | Win 59%
Sharpe 0.52 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -56.9%
Months 331M (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 11.1% | Win 63%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.3
Vol 17% | MDD -32.9%
Months 195M (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 10.6% | Win 60%
Sharpe 0.71 | Sortino 1.15 | Calmar 0.4
Vol 16% | MDD -26.6%
Months 185M (51%)
CAGR 6.9% | Win 58%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 26% | MDD -59.8%
Months 146M (40%)
CAGR 9.0% | Win 59%
Sharpe 0.52 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -56.9%
Months 331M (92%)
RSmean
neg
CAGR -16.1% | Win 43%
Sharpe -0.71 | Sortino -0.95 | Calmar -1.8
Vol 22% | MDD -8.7%
Months 7M (2%)
CAGR -8.4% | Win 52%
Sharpe -0.52 | Sortino -0.80 | Calmar -0.3
Vol 15% | MDD -27.4%
Months 23M (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 9.5% | Win 59%
Sharpe 0.64 | Sortino 1.02 | Calmar 0.3
Vol 16% | MDD -29.0%
Months 192M (53%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -58.6%
Months 169M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.0% | Win 62%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.3
Vol 19% | MDD -34.7%
Months 247M (68%)
CAGR 3.0% | Win 50%
Sharpe 0.25 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -58.0%
Months 84M (23%)
CAGR 9.0% | Win 59%
Sharpe 0.52 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -56.9%
Months 331M (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 8.8% | Win 61%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -35.7%
Months 275M (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 5.5% | Win 58%
Sharpe 0.41 | Sortino 0.64 | Calmar 0.2
Vol 17% | MDD -30.8%
Months 216M (60%)
CAGR -21.9% | Win 43%
Sharpe -0.63 | Sortino -0.82 | Calmar -0.4
Vol 31% | MDD -58.5%
Months 30M (8%)
CAGR 1.7% | Win 56%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 246M (68%)
MACD
neg
CAGR 19.8% | Win 72%
Sharpe 1.01 | Sortino 1.85 | Calmar 0.9
Vol 20% | MDD -23.0%
Months 32M (9%)
CAGR 20.0% | Win 59%
Sharpe 0.86 | Sortino 1.36 | Calmar 0.7
Vol 25% | MDD -29.8%
Months 83M (23%)
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 7.3% | Win 60%
Sharpe 0.50 | Sortino 0.79 | Calmar 0.2
Vol 17% | MDD -38.7%
Months 248M (69%)
CAGR 7.1% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 27% | MDD -58.9%
Months 113M (31%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 8.9% | Win 61%
Sharpe 0.64 | Sortino 0.96 | Calmar 0.2
Vol 15% | MDD -36.0%
Months 166M (46%)
CAGR -11.7% | Win 46%
Sharpe -0.37 | Sortino -0.52 | Calmar -0.2
Vol 25% | MDD -73.5%
Months 80M (22%)
CAGR 1.7% | Win 56%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 246M (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 11.1% | Win 63%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.3
Vol 17% | MDD -32.9%
Months 195M (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 6.5% | Win 59%
Sharpe 0.49 | Sortino 0.74 | Calmar 0.3
Vol 15% | MDD -23.6%
Months 142M (39%)
CAGR -4.4% | Win 53%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 23% | MDD -65.4%
Months 104M (29%)
CAGR 1.7% | Win 56%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 246M (68%)
MACD
neg
CAGR 18.5% | Win 60%
Sharpe 1.01 | Sortino 1.75 | Calmar 0.9
Vol 19% | MDD -20.5%
Months 50M (14%)
CAGR 21.0% | Win 65%
Sharpe 0.85 | Sortino 1.37 | Calmar 0.7
Vol 27% | MDD -28.8%
Months 65M (18%)
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 9.5% | Win 59%
Sharpe 0.64 | Sortino 1.02 | Calmar 0.3
Vol 16% | MDD -29.0%
Months 192M (53%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -58.6%
Months 169M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 4.9% | Win 58%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.1
Vol 18% | MDD -40.1%
Months 217M (60%)
CAGR -18.9% | Win 41%
Sharpe -0.65 | Sortino -0.85 | Calmar -0.4
Vol 26% | MDD -47.1%
Months 29M (8%)
CAGR 1.7% | Win 56%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 246M (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 8.8% | Win 61%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -35.7%
Months 275M (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 10.7% | Win 63%
Sharpe 0.75 | Sortino 1.22 | Calmar 0.4
Vol 15% | MDD -30.3%
Months 182M (50%)
CAGR -1.6% | Win 52%
Sharpe 0.03 | Sortino 0.06 | Calmar -0.0
Vol 22% | MDD -55.1%
Months 66M (18%)
CAGR 7.3% | Win 60%
Sharpe 0.50 | Sortino 0.79 | Calmar 0.2
Vol 17% | MDD -38.7%
Months 248M (69%)
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 5.9% | Win 54%
Sharpe 0.35 | Sortino 0.49 | Calmar 0.1
Vol 26% | MDD -60.5%
Months 100M (28%)
CAGR 7.1% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 27% | MDD -58.9%
Months 113M (31%)
MACDhist
only
CAGR 11.1% | Win 63%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.3
Vol 17% | MDD -32.9%
Months 195M (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 8.2% | Win 61%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.3
Vol 16% | MDD -27.1%
Months 165M (46%)
CAGR 5.5% | Win 59%
Sharpe 0.37 | Sortino 0.65 | Calmar 0.2
Vol 19% | MDD -35.9%
Months 83M (23%)
CAGR 7.3% | Win 60%
Sharpe 0.50 | Sortino 0.79 | Calmar 0.2
Vol 17% | MDD -38.7%
Months 248M (69%)
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 3.9% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 29% | MDD -59.0%
Months 86M (24%)
CAGR 7.1% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 27% | MDD -58.9%
Months 113M (31%)
RSIhist
only
CAGR 9.5% | Win 59%
Sharpe 0.64 | Sortino 1.02 | Calmar 0.3
Vol 16% | MDD -29.0%
Months 192M (53%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -58.6%
Months 169M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.3% | Win 62%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.2
Vol 17% | MDD -35.0%
Months 228M (63%)
CAGR -3.8% | Win 40%
Sharpe -0.14 | Sortino -0.31 | Calmar -0.3
Vol 17% | MDD -10.9%
Months 20M (6%)
CAGR 7.3% | Win 60%
Sharpe 0.50 | Sortino 0.79 | Calmar 0.2
Vol 17% | MDD -38.7%
Months 248M (69%)
RSI
neg
CAGR 11.4% | Win 57%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.4
Vol 24% | MDD -29.4%
Months 47M (13%)
CAGR 4.1% | Win 53%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 29% | MDD -56.6%
Months 66M (18%)
CAGR 7.1% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 27% | MDD -58.9%
Months 113M (31%)
LWTI
only
CAGR 8.8% | Win 61%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -35.7%
Months 275M (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 11.4% | Win 65%
Sharpe 0.80 | Sortino 1.27 | Calmar 0.6
Vol 15% | MDD -20.5%
Months 145M (40%)
CAGR 10.3% | Win 58%
Sharpe 0.57 | Sortino 0.83 | Calmar 0.3
Vol 21% | MDD -30.0%
Months 50M (14%)
CAGR 11.1% | Win 63%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.3
Vol 17% | MDD -32.9%
Months 195M (54%)
MACDhist
neg
CAGR 3.9% | Win 43%
Sharpe 0.29 | Sortino 0.48 | Calmar 0.1
Vol 20% | MDD -31.6%
Months 47M (13%)
CAGR 2.4% | Win 57%
Sharpe 0.22 | Sortino 0.34 | Calmar 0.0
Vol 26% | MDD -66.3%
Months 119M (33%)
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 9.5% | Win 59%
Sharpe 0.64 | Sortino 1.02 | Calmar 0.3
Vol 16% | MDD -29.0%
Months 192M (53%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -58.6%
Months 169M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 10.9% | Win 62%
Sharpe 0.70 | Sortino 1.07 | Calmar 0.3
Vol 17% | MDD -32.9%
Months 189M (52%)
CAGR 16.2% | Win 83%
Sharpe 1.14 | Sortino 0.00 | Calmar 2.9
Vol 14% | MDD -5.7%
Months 6M (2%)
CAGR 11.1% | Win 63%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.3
Vol 17% | MDD -32.9%
Months 195M (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 8.8% | Win 61%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -35.7%
Months 275M (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 10.8% | Win 64%
Sharpe 0.73 | Sortino 1.06 | Calmar 0.5
Vol 16% | MDD -21.8%
Months 155M (43%)
CAGR 4.1% | Win 40%
Sharpe 0.31 | Sortino 0.71 | Calmar 0.1
Vol 17% | MDD -27.4%
Months 37M (10%)
CAGR 9.5% | Win 59%
Sharpe 0.64 | Sortino 1.02 | Calmar 0.3
Vol 16% | MDD -29.0%
Months 192M (53%)
RSIhist
neg
CAGR 6.3% | Win 57%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.1
Vol 21% | MDD -46.0%
Months 120M (33%)
CAGR 0.8% | Win 57%
Sharpe 0.19 | Sortino 0.29 | Calmar 0.0
Vol 32% | MDD -58.1%
Months 49M (14%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -58.6%
Months 169M (47%)
LWTI
only
CAGR 8.8% | Win 61%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -35.7%
Months 275M (76%)
CAGR 2.2% | Win 50%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -58.0%
Months 86M (24%)