EWT - iShares MSCI Taiwan ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

131.1%

Best CAGR

89

Total Months

10.1%

Avg CAGR

EWT 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 EWT

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 RSI neg-pos 7 2.3 131.1 85.7 4.1 0.0 92.9 21.4 -1.4
pair RSI MACDhist neg-pos 7 2.3 131.1 85.7 4.1 0.0 92.9 21.4 -1.4
pair MRmean SLmean neg-pos 12 3.9 84.7 75.0 1.9 4.1 8.8 35.4 -9.7
pair SLmean MRmean neg-pos 12 3.9 84.7 75.0 1.9 4.1 8.8 35.4 -9.7
pair MACDhist LWTI pos-neg 9 2.9 84.6 66.7 2.9 13.3 19.6 22.9 -4.3
pair LWTI MACDhist pos-neg 9 2.9 84.6 66.7 2.9 13.3 19.6 22.9 -4.3
pair SLmean RSI pos-neg 19 6.2 80.2 68.4 1.9 6.6 3.7 34.0 -21.7
pair RSI SLmean pos-neg 19 6.2 80.2 68.4 1.9 6.6 3.7 34.0 -21.7
pair RSI MRmean pos-neg 13 4.2 70.2 61.5 2.2 7.8 5.2 26.7 -13.4
pair MRmean RSI pos-neg 13 4.2 70.2 61.5 2.2 7.8 5.2 26.7 -13.4
pair RSI RSmean neg-pos 9 2.9 63.3 66.7 3.2 15.9 29.1 16.2 -2.2
pair RSmean RSI neg-pos 9 2.9 63.3 66.7 3.2 15.9 29.1 16.2 -2.2
pair RSmean MACD neg-pos 9 2.9 63.3 66.7 3.2 15.9 29.1 16.2 -2.2
pair MACD RSmean neg-pos 9 2.9 63.3 66.7 3.2 15.9 29.1 16.2 -2.2
pair MACD LWTI neg-neg 41 13.3 62.3 63.4 1.7 4.6 3.8 32.4 -16.3
pair LWTI MACD neg-neg 41 13.3 62.3 63.4 1.7 4.6 3.8 32.4 -16.3
pair RSmean SLmean pos-neg 6 1.9 61.9 66.7 3.0 18.2 28.4 16.7 -2.2
pair SLmean RSmean pos-neg 6 1.9 61.9 66.7 3.0 18.2 28.4 16.7 -2.2
pair MACD MACDhist neg-pos 14 4.5 55.8 64.3 2.1 7.0 9.7 22.8 -5.8
pair MACDhist MACD neg-pos 14 4.5 55.8 64.3 2.1 7.0 9.7 22.8 -5.8
pair LWTI RSI neg-neg 44 14.3 53.6 65.9 1.5 2.7 1.7 33.5 -31.8
pair RSI LWTI neg-neg 44 14.3 53.6 65.9 1.5 2.7 1.7 33.5 -31.8
pair MRmean RSmean pos-neg 8 2.6 49.8 62.5 2.8 13.1 22.9 15.1 -2.2
pair RSmean MRmean pos-neg 8 2.6 49.8 62.5 2.8 13.1 22.9 15.1 -2.2
pair LWTI RSIhist pos-neg 34 11.0 44.3 58.8 1.4 4.0 2.9 29.9 -15.4
pair RSIhist LWTI pos-neg 34 11.0 44.3 58.8 1.4 4.0 2.9 29.9 -15.4
pair SLmean LWTI pos-neg 34 11.0 40.6 55.9 1.3 3.6 2.2 29.5 -18.0
pair LWTI SLmean pos-neg 34 11.0 40.6 55.9 1.3 3.6 2.2 29.5 -18.0
pair MACD SLmean pos-neg 33 10.7 39.7 54.5 1.2 4.0 1.8 30.6 -21.7
pair SLmean MACD pos-neg 33 10.7 39.7 54.5 1.2 4.0 1.8 30.6 -21.7
pair MRmean LWTI neg-neg 39 12.7 36.5 61.5 1.1 2.0 1.1 34.2 -31.8
pair LWTI MRmean neg-neg 39 12.7 36.5 61.5 1.1 2.0 1.1 34.2 -31.8
pair RSmean MACDhist neg-pos 5 1.6 35.8 60.0 2.3 7.0 16.4 13.9 -2.2
pair MACDhist RSmean neg-pos 5 1.6 35.8 60.0 2.3 7.0 16.4 13.9 -2.2
pair RSmean LWTI pos-neg 65 21.1 32.6 58.5 1.1 2.1 1.0 30.2 -31.8
pair LWTI RSmean pos-neg 65 21.1 32.6 58.5 1.1 2.1 1.0 30.2 -31.8
single LWTI LWTI neg-neg 65 21.1 32.6 58.5 1.1 2.1 1.0 30.2 -31.8
pair MRmean LWTI pos-neg 26 8.4 26.9 53.8 1.1 2.8 2.0 23.7 -13.5
pair LWTI MRmean pos-neg 26 8.4 26.9 53.8 1.1 2.8 2.0 23.7 -13.5
pair MRmean MACD pos-neg 27 8.8 26.7 51.9 1.1 3.0 2.0 24.5 -13.4
pair MACD MRmean pos-neg 27 8.8 26.7 51.9 1.1 3.0 2.0 24.5 -13.4
pair MACDhist LWTI neg-neg 56 18.2 25.7 57.1 0.9 1.7 0.7 31.1 -34.9
pair LWTI MACDhist neg-neg 56 18.2 25.7 57.1 0.9 1.7 0.7 31.1 -34.9
pair SLmean LWTI neg-neg 31 10.1 24.3 61.3 0.8 1.4 0.8 31.4 -31.8
pair LWTI SLmean neg-neg 31 10.1 24.3 61.3 0.8 1.4 0.8 31.4 -31.8
pair MACD RSmean pos-neg 60 19.5 23.7 56.7 0.8 1.6 0.6 33.6 -36.8
pair RSmean MACD pos-neg 60 19.5 23.7 56.7 0.8 1.6 0.6 33.6 -36.8
pair LWTI RSIhist neg-neg 31 10.1 20.8 58.1 0.8 1.2 0.7 30.9 -31.8
pair RSIhist LWTI neg-neg 31 10.1 20.8 58.1 0.8 1.2 0.7 30.9 -31.8
pair RSmean RSI pos-neg 79 25.6 20.0 57.0 0.7 1.2 0.4 33.0 -47.8
pair RSI RSmean pos-neg 79 25.6 20.0 57.0 0.7 1.2 0.4 33.0 -47.8
pair MACDhist SLmean pos-neg 48 15.6 17.5 58.3 0.7 1.5 0.8 26.8 -21.7
pair SLmean MACDhist pos-neg 48 15.6 17.5 58.3 0.7 1.5 0.8 26.8 -21.7
pair SLmean RSIhist pos-pos 165 53.6 16.9 57.6 0.9 1.9 0.8 20.6 -21.7
pair RSIhist SLmean pos-pos 165 53.6 16.9 57.6 0.9 1.9 0.8 20.6 -21.7
pair MACDhist RSIhist pos-pos 134 43.5 16.1 59.0 0.9 1.8 1.0 17.9 -16.1
pair RSIhist MACDhist pos-pos 134 43.5 16.1 59.0 0.9 1.8 1.0 17.9 -16.1
pair RSIhist RSmean neg-pos 9 2.9 15.6 55.6 0.8 1.5 2.0 21.4 -7.6
pair RSmean RSIhist neg-pos 9 2.9 15.6 55.6 0.8 1.5 2.0 21.4 -7.6
single SLmean SLmean pos-pos 196 63.6 14.8 58.2 0.8 1.5 0.5 20.4 -27.6
pair MRmean RSIhist pos-pos 161 52.3 14.1 57.1 0.8 1.6 0.6 18.5 -23.8
pair RSIhist MRmean pos-pos 161 52.3 14.1 57.1 0.8 1.6 0.6 18.5 -23.8
pair MACDhist SLmean pos-pos 148 48.1 14.0 58.1 0.8 1.6 0.6 17.9 -22.0
pair SLmean MACDhist pos-pos 148 48.1 14.0 58.1 0.8 1.6 0.6 17.9 -22.0
pair RSmean SLmean pos-pos 190 61.7 13.6 57.9 0.7 1.4 0.5 20.5 -26.9
pair SLmean RSmean pos-pos 190 61.7 13.6 57.9 0.7 1.4 0.5 20.5 -26.9
pair RSI RSIhist neg-pos 27 8.8 12.7 55.6 0.5 1.0 0.3 39.4 -39.1
pair RSIhist RSI neg-pos 27 8.8 12.7 55.6 0.5 1.0 0.3 39.4 -39.1
pair RSIhist MACD pos-pos 136 44.2 12.5 58.8 0.8 1.4 0.5 17.0 -26.3
pair MACD RSIhist pos-pos 136 44.2 12.5 58.8 0.8 1.4 0.5 17.0 -26.3
single RSIhist RSIhist pos-pos 179 58.1 11.7 57.0 0.6 1.1 0.3 22.0 -39.1
pair RSIhist RSI pos-pos 152 49.4 11.6 57.2 0.7 1.3 0.4 17.4 -32.5
pair RSI RSIhist pos-pos 152 49.4 11.6 57.2 0.7 1.3 0.4 17.4 -32.5
pair RSmean RSIhist pos-pos 170 55.2 11.5 57.1 0.6 1.0 0.3 22.1 -36.9
pair RSIhist RSmean pos-pos 170 55.2 11.5 57.1 0.6 1.0 0.3 22.1 -36.9
pair SLmean MRmean pos-pos 184 59.7 11.3 57.1 0.7 1.2 0.4 18.7 -27.4
pair MRmean SLmean pos-pos 184 59.7 11.3 57.1 0.7 1.2 0.4 18.7 -27.4
pair RSI MACD neg-neg 56 18.2 11.1 53.6 0.5 1.0 0.2 37.5 -58.8
pair MACD RSI neg-neg 56 18.2 11.1 53.6 0.5 1.0 0.2 37.5 -58.8
pair MACD SLmean pos-pos 163 52.9 10.4 58.9 0.7 1.1 0.3 17.5 -31.2
pair SLmean MACD pos-pos 163 52.9 10.4 58.9 0.7 1.1 0.3 17.5 -31.2
pair MACDhist MRmean pos-pos 170 55.2 10.1 55.9 0.6 1.1 0.4 17.8 -23.2
pair MRmean MACDhist pos-pos 170 55.2 10.1 55.9 0.6 1.1 0.4 17.8 -23.2
pair LWTI SLmean pos-pos 162 52.6 10.0 58.6 0.6 1.0 0.4 17.7 -26.3
pair SLmean LWTI pos-pos 162 52.6 10.0 58.6 0.6 1.0 0.4 17.7 -26.3
single MACDhist MACDhist pos-pos 183 59.4 9.9 56.3 0.6 1.0 0.3 18.2 -27.9
pair RSIhist MACD neg-neg 29 9.4 9.6 51.7 0.4 0.9 0.2 36.4 -38.7
pair MACD RSIhist neg-neg 29 9.4 9.6 51.7 0.4 0.9 0.2 36.4 -38.7
pair SLmean RSI pos-pos 177 57.5 9.4 57.1 0.6 1.0 0.3 17.8 -36.9
pair RSI SLmean pos-pos 177 57.5 9.4 57.1 0.6 1.0 0.3 17.8 -36.9
single MRmean MRmean pos-pos 211 68.5 9.4 55.9 0.6 1.0 0.3 18.6 -27.4
single MACD MACD neg-neg 72 23.4 9.3 51.4 0.4 0.9 0.2 34.5 -58.8
single RSI RSI neg-neg 91 29.5 9.2 52.7 0.4 0.8 0.2 33.8 -58.8
pair RSIhist MACD neg-pos 43 14.0 9.2 51.2 0.4 0.8 0.2 33.5 -39.1
pair MACDhist RSmean pos-pos 178 57.8 9.2 56.2 0.6 1.0 0.3 18.3 -27.9
pair RSmean MACDhist pos-pos 178 57.8 9.2 56.2 0.6 1.0 0.3 18.3 -27.9
pair MACD RSIhist neg-pos 43 14.0 9.2 51.2 0.4 0.8 0.2 33.5 -39.1
pair MRmean RSmean pos-pos 203 65.9 8.1 55.7 0.5 0.9 0.3 18.7 -28.7
pair RSmean MRmean pos-pos 203 65.9 8.1 55.7 0.5 0.9 0.3 18.7 -28.7
pair RSIhist RSI neg-neg 64 20.8 7.8 51.6 0.4 0.7 0.2 31.4 -47.8
pair RSI RSIhist neg-neg 64 20.8 7.8 51.6 0.4 0.7 0.2 31.4 -47.8
single RSmean RSmean pos-pos 287 93.2 7.5 55.4 0.4 0.7 0.1 23.2 -58.3
pair MRmean LWTI pos-pos 185 60.1 7.2 56.2 0.5 0.8 0.2 17.8 -29.8
pair LWTI MRmean pos-pos 185 60.1 7.2 56.2 0.5 0.8 0.2 17.8 -29.8
pair MRmean MACDhist neg-pos 13 4.2 7.1 61.5 0.4 0.5 0.5 23.1 -14.5
pair MACDhist MRmean neg-pos 13 4.2 7.1 61.5 0.4 0.5 0.5 23.1 -14.5
pair MRmean MACD pos-pos 184 59.7 7.1 56.5 0.5 0.8 0.2 17.6 -34.9
pair MACD MRmean pos-pos 184 59.7 7.1 56.5 0.5 0.8 0.2 17.6 -34.9
pair LWTI MACDhist pos-pos 174 56.5 6.9 55.7 0.5 0.8 0.2 17.6 -28.4
pair MACDhist LWTI pos-pos 174 56.5 6.9 55.7 0.5 0.8 0.2 17.6 -28.4
pair MACDhist MRmean pos-neg 41 13.3 6.9 56.1 0.4 0.7 0.2 21.7 -27.5
pair MRmean MACDhist pos-neg 41 13.3 6.9 56.1 0.4 0.7 0.2 21.7 -27.5
pair MACD LWTI pos-pos 212 68.8 6.8 56.1 0.4 0.7 0.1 19.1 -47.2
pair LWTI MACD pos-pos 212 68.8 6.8 56.1 0.4 0.7 0.1 19.1 -47.2
pair MACD MACDhist pos-pos 169 54.9 6.7 55.6 0.5 0.7 0.2 17.6 -33.1
pair MACDhist MACD pos-pos 169 54.9 6.7 55.6 0.5 0.7 0.2 17.6 -33.1
pair RSI MACDhist pos-pos 176 57.1 6.6 55.1 0.5 0.8 0.2 17.5 -34.2
pair MACDhist RSI pos-pos 176 57.1 6.6 55.1 0.5 0.8 0.2 17.5 -34.2
pair RSI MACD pos-neg 35 11.4 6.4 51.4 0.4 0.5 0.2 27.1 -38.5
pair MACD RSI pos-neg 35 11.4 6.4 51.4 0.4 0.5 0.2 27.1 -38.5
pair MRmean RSI pos-pos 198 64.3 6.3 55.6 0.4 0.7 0.2 17.7 -40.3
pair RSI MRmean pos-pos 198 64.3 6.3 55.6 0.4 0.7 0.2 17.7 -40.3
pair benchmark___benchmark_ benchmark-benchmark 308 100.0 6.3 54.5 0.4 0.6 0.1 23.8 -58.8
pair benchmark___benchmark_ benchmark-benchmark 308 100.0 6.3 54.5 0.4 0.6 0.1 23.8 -58.8
pair RSmean MRmean neg-pos 84 27.3 6.2 54.8 0.3 0.5 0.1 31.8 -47.8
pair MRmean RSmean neg-pos 84 27.3 6.2 54.8 0.3 0.5 0.1 31.8 -47.8
pair RSI LWTI pos-pos 196 63.6 6.0 56.6 0.4 0.6 0.2 18.1 -35.7
pair LWTI RSI pos-pos 196 63.6 6.0 56.6 0.4 0.6 0.2 18.1 -35.7
single MACD MACD pos-pos 236 76.6 5.4 55.5 0.4 0.5 0.1 19.5 -57.0
pair MACD RSI pos-pos 201 65.3 5.3 56.2 0.4 0.6 0.1 18.0 -43.2
pair RSI MACD pos-pos 201 65.3 5.3 56.2 0.4 0.6 0.1 18.0 -43.2
pair RSIhist LWTI pos-pos 145 47.1 5.2 56.6 0.4 0.5 0.1 19.4 -58.1
pair LWTI RSIhist pos-pos 145 47.1 5.2 56.6 0.4 0.5 0.1 19.4 -58.1
single RSI RSI pos-pos 217 70.5 5.1 55.3 0.4 0.6 0.1 18.2 -47.9
pair MACDhist RSmean pos-neg 109 35.4 4.9 54.1 0.3 0.5 0.1 29.7 -55.5
pair RSmean MACDhist pos-neg 109 35.4 4.9 54.1 0.3 0.5 0.1 29.7 -55.5
pair SLmean RSIhist pos-neg 31 10.1 4.2 61.3 0.3 0.4 0.1 19.3 -28.3
pair RSIhist SLmean pos-neg 31 10.1 4.2 61.3 0.3 0.4 0.1 19.3 -28.3
pair RSmean MACD pos-pos 227 73.7 3.6 55.1 0.3 0.4 0.1 19.5 -57.0
pair MACD RSmean pos-pos 227 73.7 3.6 55.1 0.3 0.4 0.1 19.5 -57.0
pair MACD RSI neg-pos 16 5.2 3.4 43.8 0.3 0.6 0.2 21.3 -19.3
pair RSI MACD neg-pos 16 5.2 3.4 43.8 0.3 0.6 0.2 21.3 -19.3
pair RSmean RSI pos-pos 208 67.5 3.2 54.8 0.3 0.4 0.1 18.1 -46.7
pair RSI RSmean pos-pos 208 67.5 3.2 54.8 0.3 0.4 0.1 18.1 -46.7
pair MACDhist RSI neg-neg 84 27.3 2.6 50.0 0.2 0.4 0.0 34.1 -67.2
pair RSI MACDhist neg-neg 84 27.3 2.6 50.0 0.2 0.4 0.0 34.1 -67.2
pair MACDhist RSIhist neg-neg 80 26.0 2.4 52.5 0.2 0.4 0.0 29.9 -54.6
pair RSIhist MACDhist neg-neg 80 26.0 2.4 52.5 0.2 0.4 0.0 29.9 -54.6
pair MACDhist MACD pos-neg 67 21.8 2.3 55.2 0.2 0.3 0.1 23.9 -47.0
pair MACD MACDhist pos-neg 67 21.8 2.3 55.2 0.2 0.3 0.1 23.9 -47.0
pair RSIhist RSmean pos-neg 117 38.0 2.0 53.0 0.2 0.3 0.0 24.8 -54.6
pair RSmean RSIhist pos-neg 117 38.0 2.0 53.0 0.2 0.3 0.0 24.8 -54.6
pair MRmean RSIhist neg-neg 79 25.6 1.6 50.6 0.2 0.3 0.0 29.9 -47.8
pair RSIhist MRmean neg-neg 79 25.6 1.6 50.6 0.2 0.3 0.0 29.9 -47.8
pair RSI MRmean neg-neg 78 25.3 1.4 51.3 0.2 0.4 0.0 34.5 -60.9
pair MRmean RSI neg-neg 78 25.3 1.4 51.3 0.2 0.4 0.0 34.5 -60.9
single MACDhist MACDhist neg-neg 125 40.6 1.4 52.0 0.2 0.3 0.0 30.3 -66.2
pair RSmean LWTI pos-pos 222 72.1 1.1 54.5 0.2 0.2 0.0 20.4 -57.9
pair LWTI RSmean pos-pos 222 72.1 1.1 54.5 0.2 0.2 0.0 20.4 -57.9
pair MACDhist MACD neg-neg 58 18.8 0.4 48.3 0.2 0.4 0.0 36.5 -58.8
pair MACD MACDhist neg-neg 58 18.8 0.4 48.3 0.2 0.4 0.0 36.5 -58.8
single LWTI LWTI pos-pos 243 78.9 0.2 53.5 0.1 0.2 0.0 21.5 -75.2
pair MACD MRmean neg-neg 45 14.6 0.1 51.1 0.2 0.4 0.0 39.4 -58.8
pair MRmean MACD neg-neg 45 14.6 0.1 51.1 0.2 0.4 0.0 39.4 -58.8
single MRmean MRmean neg-neg 97 31.5 -0.1 51.5 0.2 0.3 -0.0 32.5 -64.4
pair MACD MRmean neg-pos 52 16.9 -0.3 51.9 0.1 0.1 -0.0 25.5 -41.5
pair MRmean MACD neg-pos 52 16.9 -0.3 51.9 0.1 0.1 -0.0 25.5 -41.5
pair RSIhist MACDhist neg-pos 45 14.6 -0.4 51.1 0.1 0.2 -0.0 31.3 -39.1
pair MACDhist RSIhist neg-pos 45 14.6 -0.4 51.1 0.1 0.2 -0.0 31.3 -39.1
single RSIhist RSIhist neg-neg 129 41.9 -0.7 51.2 0.1 0.2 -0.0 26.1 -54.6
pair RSI MACDhist pos-neg 41 13.3 -1.1 56.1 0.1 0.1 -0.0 20.9 -36.4
pair MACDhist RSI pos-neg 41 13.3 -1.1 56.1 0.1 0.1 -0.0 20.9 -36.4
pair MACDhist MRmean neg-neg 84 27.3 -1.2 50.0 0.1 0.2 -0.0 33.8 -65.9
pair MRmean MACDhist neg-neg 84 27.3 -1.2 50.0 0.1 0.2 -0.0 33.8 -65.9
pair SLmean RSIhist neg-neg 98 31.8 -2.2 48.0 0.1 0.1 -0.0 28.0 -52.6
pair RSIhist SLmean neg-neg 98 31.8 -2.2 48.0 0.1 0.1 -0.0 28.0 -52.6
pair SLmean MRmean pos-neg 27 8.8 -2.5 48.1 -0.1 -0.1 -0.1 17.5 -22.4
pair MRmean SLmean pos-neg 27 8.8 -2.5 48.1 -0.1 -0.1 -0.1 17.5 -22.4
pair LWTI RSI pos-neg 21 6.8 -2.6 42.9 -0.1 -0.1 -0.1 19.0 -23.6
pair RSI LWTI pos-neg 21 6.8 -2.6 42.9 -0.1 -0.1 -0.1 19.0 -23.6
pair RSmean SLmean neg-pos 97 31.5 -3.4 50.5 0.0 0.0 -0.1 27.8 -49.8
pair SLmean RSmean neg-pos 97 31.5 -3.4 50.5 0.0 0.0 -0.1 27.8 -49.8
pair RSIhist MACD pos-neg 100 32.5 -3.5 51.0 -0.0 -0.1 -0.1 22.4 -53.9
pair MACD RSIhist pos-neg 100 32.5 -3.5 51.0 -0.0 -0.1 -0.1 22.4 -53.9
pair MRmean RSIhist pos-neg 50 16.2 -4.3 52.0 -0.1 -0.2 -0.1 18.7 -29.2
pair RSIhist MRmean pos-neg 50 16.2 -4.3 52.0 -0.1 -0.2 -0.1 18.7 -29.2
pair RSI SLmean neg-neg 72 23.4 -4.3 48.6 0.0 0.1 -0.1 32.8 -68.0
pair SLmean RSI neg-neg 72 23.4 -4.3 48.6 0.0 0.1 -0.1 32.8 -68.0
pair MACD SLmean neg-pos 73 23.7 -4.8 47.9 -0.1 -0.1 -0.1 23.4 -47.3
pair SLmean MACD neg-pos 73 23.7 -4.8 47.9 -0.1 -0.1 -0.1 23.4 -47.3
pair MACDhist RSIhist pos-neg 49 15.9 -5.6 49.0 -0.2 -0.3 -0.2 18.3 -29.4
pair RSIhist MACDhist pos-neg 49 15.9 -5.6 49.0 -0.2 -0.3 -0.2 18.3 -29.4
pair MACDhist SLmean neg-pos 35 11.4 -6.0 48.6 -0.2 -0.3 -0.2 18.8 -26.1
pair SLmean MACDhist neg-pos 35 11.4 -6.0 48.6 -0.2 -0.3 -0.2 18.8 -26.1
pair MACD LWTI pos-neg 24 7.8 -6.2 50.0 -0.2 -0.2 -0.3 23.0 -22.2
pair LWTI MACD pos-neg 24 7.8 -6.2 50.0 -0.2 -0.2 -0.3 23.0 -22.2
pair RSI MRmean neg-pos 19 6.2 -6.4 52.6 -0.2 -0.2 -0.3 23.1 -21.7
pair MRmean RSI neg-pos 19 6.2 -6.4 52.6 -0.2 -0.2 -0.3 23.1 -21.7
pair RSIhist LWTI neg-pos 98 31.8 -6.7 49.0 -0.2 -0.2 -0.1 24.3 -53.4
pair LWTI RSIhist neg-pos 98 31.8 -6.7 49.0 -0.2 -0.2 -0.1 24.3 -53.4
single SLmean SLmean neg-neg 112 36.4 -7.0 48.2 -0.1 -0.2 -0.1 28.6 -74.2
pair RSIhist MRmean neg-pos 18 5.8 -7.4 55.6 0.0 0.1 -0.2 43.0 -36.9
pair MRmean RSIhist neg-pos 18 5.8 -7.4 55.6 0.0 0.1 -0.2 43.0 -36.9
pair MACDhist SLmean neg-neg 77 25.0 -7.5 48.1 -0.1 -0.1 -0.1 32.2 -70.5
pair SLmean MACDhist neg-neg 77 25.0 -7.5 48.1 -0.1 -0.1 -0.1 32.2 -70.5
pair RSI RSIhist pos-neg 65 21.1 -8.4 50.8 -0.3 -0.5 -0.2 19.4 -44.1
pair SLmean MRmean neg-neg 85 27.6 -8.4 48.2 -0.1 -0.2 -0.1 31.4 -70.9
pair MRmean SLmean neg-neg 85 27.6 -8.4 48.2 -0.1 -0.2 -0.1 31.4 -70.9
pair RSIhist RSI pos-neg 65 21.1 -8.4 50.8 -0.3 -0.5 -0.2 19.4 -44.1
single RSmean RSmean neg-neg 21 6.8 -8.8 42.9 -0.1 -0.3 -0.2 31.2 -39.7
pair RSmean LWTI neg-pos 21 6.8 -8.8 42.9 -0.1 -0.3 -0.2 31.2 -39.7
pair LWTI RSmean neg-pos 21 6.8 -8.8 42.9 -0.1 -0.3 -0.2 31.2 -39.7
pair SLmean MACD neg-neg 39 12.7 -11.2 48.7 -0.1 -0.3 -0.2 36.8 -62.0
pair MACD SLmean neg-neg 39 12.7 -11.2 48.7 -0.1 -0.3 -0.2 36.8 -62.0
pair SLmean RSI neg-pos 40 13.0 -11.8 47.5 -0.6 -0.7 -0.3 19.1 -41.3
pair RSI SLmean neg-pos 40 13.0 -11.8 47.5 -0.6 -0.7 -0.3 19.1 -41.3
pair LWTI MACDhist neg-pos 69 22.4 -14.8 47.8 -0.4 -0.6 -0.2 28.8 -73.0
pair MACDhist LWTI neg-pos 69 22.4 -14.8 47.8 -0.4 -0.6 -0.2 28.8 -73.0
pair SLmean LWTI neg-pos 81 26.3 -16.8 43.2 -0.5 -0.8 -0.2 27.0 -77.7
pair LWTI SLmean neg-pos 81 26.3 -16.8 43.2 -0.5 -0.8 -0.2 27.0 -77.7
pair MRmean LWTI neg-pos 58 18.8 -19.1 44.8 -0.6 -0.8 -0.3 30.1 -70.6
pair LWTI MRmean neg-pos 58 18.8 -19.1 44.8 -0.6 -0.8 -0.3 30.1 -70.6
pair MACDhist RSmean neg-neg 16 5.2 -19.5 37.5 -0.5 -1.0 -0.5 34.6 -39.7
pair RSmean MACDhist neg-neg 16 5.2 -19.5 37.5 -0.5 -1.0 -0.5 34.6 -39.7
pair LWTI RSI neg-pos 47 15.3 -20.6 40.4 -0.6 -0.9 -0.3 31.5 -73.0
pair RSI LWTI neg-pos 47 15.3 -20.6 40.4 -0.6 -0.9 -0.3 31.5 -73.0
pair RSmean RSIhist neg-neg 12 3.9 -23.7 33.3 -0.6 -1.1 -0.6 37.1 -38.7
pair RSIhist RSmean neg-neg 12 3.9 -23.7 33.3 -0.6 -1.1 -0.6 37.1 -38.7
pair RSmean SLmean neg-neg 15 4.9 -27.5 33.3 -0.8 -1.7 -0.7 33.7 -39.7
pair SLmean RSmean neg-neg 15 4.9 -27.5 33.3 -0.8 -1.7 -0.7 33.7 -39.7
pair MRmean RSmean neg-neg 13 4.2 -32.8 30.8 -0.9 -2.3 -0.8 35.9 -39.7
pair RSmean MRmean neg-neg 13 4.2 -32.8 30.8 -0.9 -2.3 -0.8 35.9 -39.7
pair SLmean RSIhist neg-pos 14 4.5 -34.8 50.0 -1.1 -1.7 -0.8 32.2 -42.4
pair RSIhist SLmean neg-pos 14 4.5 -34.8 50.0 -1.1 -1.7 -0.8 32.2 -42.4
pair MACD LWTI neg-pos 31 10.1 -35.2 35.5 -1.2 -2.0 -0.5 31.6 -73.0
pair LWTI MACD neg-pos 31 10.1 -35.2 35.5 -1.2 -2.0 -0.5 31.6 -73.0
pair RSI RSmean neg-neg 12 3.9 -41.1 25.0 -1.3 -3.2 -1.0 34.7 -39.7
pair RSmean RSI neg-neg 12 3.9 -41.1 25.0 -1.3 -3.2 -1.0 34.7 -39.7
pair RSmean MACD neg-neg 12 3.9 -41.1 25.0 -1.3 -3.2 -1.0 34.7 -39.7
pair MACD RSmean neg-neg 12 3.9 -41.1 25.0 -1.3 -3.2 -1.0 34.7 -39.7

All Contingency Tables for EWT

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 11.3% | Win 57%
Sharpe 0.67 | Sortino 1.19 | Calmar 0.4
Vol 19% | MDD -27.4%
Months 184M (60%)
CAGR -2.5% | Win 48%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 18% | MDD -22.4%
Months 27M (9%)
CAGR 9.4% | Win 56%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 19% | MDD -27.4%
Months 211M (68%)
MRmean
neg
CAGR 84.7% | Win 75%
Sharpe 1.93 | Sortino 4.09 | Calmar 8.8
Vol 35% | MDD -9.7%
Months 12M (4%)
CAGR -8.4% | Win 48%
Sharpe -0.12 | Sortino -0.20 | Calmar -0.1
Vol 31% | MDD -70.9%
Months 85M (28%)
CAGR -0.1% | Win 52%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 32% | MDD -64.4%
Months 97M (32%)
SLmean
only
CAGR 14.8% | Win 58%
Sharpe 0.78 | Sortino 1.48 | Calmar 0.5
Vol 20% | MDD -27.6%
Months 196M (64%)
CAGR -7.0% | Win 48%
Sharpe -0.11 | Sortino -0.17 | Calmar -0.1
Vol 29% | MDD -74.2%
Months 112M (36%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 8.1% | Win 56%
Sharpe 0.51 | Sortino 0.90 | Calmar 0.3
Vol 19% | MDD -28.7%
Months 203M (66%)
CAGR 49.8% | Win 62%
Sharpe 2.78 | Sortino 13.11 | Calmar 22.9
Vol 15% | MDD -2.2%
Months 8M (3%)
CAGR 9.4% | Win 56%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 19% | MDD -27.4%
Months 211M (68%)
MRmean
neg
CAGR 6.2% | Win 55%
Sharpe 0.35 | Sortino 0.54 | Calmar 0.1
Vol 32% | MDD -47.8%
Months 84M (27%)
CAGR -32.8% | Win 31%
Sharpe -0.93 | Sortino -2.29 | Calmar -0.8
Vol 36% | MDD -39.7%
Months 13M (4%)
CAGR -0.1% | Win 52%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 32% | MDD -64.4%
Months 97M (32%)
RSmean
only
CAGR 7.5% | Win 55%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.1
Vol 23% | MDD -58.3%
Months 287M (93%)
CAGR -8.8% | Win 43%
Sharpe -0.15 | Sortino -0.28 | Calmar -0.2
Vol 31% | MDD -39.7%
Months 21M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 7.1% | Win 56%
Sharpe 0.48 | Sortino 0.78 | Calmar 0.2
Vol 18% | MDD -34.9%
Months 184M (60%)
CAGR 26.7% | Win 52%
Sharpe 1.09 | Sortino 3.04 | Calmar 2.0
Vol 24% | MDD -13.4%
Months 27M (9%)
CAGR 9.4% | Win 56%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 19% | MDD -27.4%
Months 211M (68%)
MRmean
neg
CAGR -0.3% | Win 52%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.0
Vol 26% | MDD -41.5%
Months 52M (17%)
CAGR 0.1% | Win 51%
Sharpe 0.19 | Sortino 0.42 | Calmar 0.0
Vol 39% | MDD -58.8%
Months 45M (15%)
CAGR -0.1% | Win 52%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 32% | MDD -64.4%
Months 97M (32%)
MACD
only
CAGR 5.4% | Win 56%
Sharpe 0.37 | Sortino 0.53 | Calmar 0.1
Vol 20% | MDD -57.0%
Months 236M (77%)
CAGR 9.3% | Win 51%
Sharpe 0.43 | Sortino 0.89 | Calmar 0.2
Vol 34% | MDD -58.8%
Months 72M (23%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 6.3% | Win 56%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -40.3%
Months 198M (64%)
CAGR 70.2% | Win 62%
Sharpe 2.16 | Sortino 7.83 | Calmar 5.3
Vol 27% | MDD -13.4%
Months 13M (4%)
CAGR 9.4% | Win 56%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 19% | MDD -27.4%
Months 211M (68%)
MRmean
neg
CAGR -6.4% | Win 53%
Sharpe -0.17 | Sortino -0.21 | Calmar -0.3
Vol 23% | MDD -21.7%
Months 19M (6%)
CAGR 1.4% | Win 51%
Sharpe 0.21 | Sortino 0.37 | Calmar 0.0
Vol 34% | MDD -60.9%
Months 78M (25%)
CAGR -0.1% | Win 52%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 32% | MDD -64.4%
Months 97M (32%)
RSI
only
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -47.9%
Months 217M (70%)
CAGR 9.2% | Win 53%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.2
Vol 34% | MDD -58.8%
Months 91M (30%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 10.1% | Win 56%
Sharpe 0.63 | Sortino 1.15 | Calmar 0.4
Vol 18% | MDD -23.2%
Months 170M (55%)
CAGR 6.9% | Win 56%
Sharpe 0.41 | Sortino 0.69 | Calmar 0.3
Vol 22% | MDD -27.5%
Months 41M (13%)
CAGR 9.4% | Win 56%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 19% | MDD -27.4%
Months 211M (68%)
MRmean
neg
CAGR 7.1% | Win 62%
Sharpe 0.41 | Sortino 0.45 | Calmar 0.5
Vol 23% | MDD -14.5%
Months 13M (4%)
CAGR -1.2% | Win 50%
Sharpe 0.13 | Sortino 0.23 | Calmar -0.0
Vol 34% | MDD -65.9%
Months 84M (27%)
CAGR -0.1% | Win 52%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 32% | MDD -64.4%
Months 97M (32%)
MACDhist
only
CAGR 9.9% | Win 56%
Sharpe 0.61 | Sortino 1.04 | Calmar 0.4
Vol 18% | MDD -27.9%
Months 183M (59%)
CAGR 1.4% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -66.2%
Months 125M (41%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 14.1% | Win 57%
Sharpe 0.81 | Sortino 1.63 | Calmar 0.6
Vol 18% | MDD -23.8%
Months 161M (52%)
CAGR -4.3% | Win 52%
Sharpe -0.14 | Sortino -0.19 | Calmar -0.1
Vol 19% | MDD -29.2%
Months 50M (16%)
CAGR 9.4% | Win 56%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 19% | MDD -27.4%
Months 211M (68%)
MRmean
neg
CAGR -7.4% | Win 56%
Sharpe 0.02 | Sortino 0.05 | Calmar -0.2
Vol 43% | MDD -36.9%
Months 18M (6%)
CAGR 1.6% | Win 51%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -47.8%
Months 79M (26%)
CAGR -0.1% | Win 52%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 32% | MDD -64.4%
Months 97M (32%)
RSIhist
only
CAGR 11.7% | Win 57%
Sharpe 0.61 | Sortino 1.05 | Calmar 0.3
Vol 22% | MDD -39.1%
Months 179M (58%)
CAGR -0.7% | Win 51%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 26% | MDD -54.6%
Months 129M (42%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.2% | Win 56%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 18% | MDD -29.8%
Months 185M (60%)
CAGR 26.9% | Win 54%
Sharpe 1.13 | Sortino 2.82 | Calmar 2.0
Vol 24% | MDD -13.5%
Months 26M (8%)
CAGR 9.4% | Win 56%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 19% | MDD -27.4%
Months 211M (68%)
MRmean
neg
CAGR -19.1% | Win 45%
Sharpe -0.55 | Sortino -0.84 | Calmar -0.3
Vol 30% | MDD -70.6%
Months 58M (19%)
CAGR 36.5% | Win 62%
Sharpe 1.08 | Sortino 1.99 | Calmar 1.1
Vol 34% | MDD -31.8%
Months 39M (13%)
CAGR -0.1% | Win 52%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 32% | MDD -64.4%
Months 97M (32%)
LWTI
only
CAGR 0.2% | Win 54%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.0
Vol 22% | MDD -75.2%
Months 243M (79%)
CAGR 32.6% | Win 58%
Sharpe 1.09 | Sortino 2.11 | Calmar 1.0
Vol 30% | MDD -31.8%
Months 65M (21%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 13.6% | Win 58%
Sharpe 0.73 | Sortino 1.38 | Calmar 0.5
Vol 20% | MDD -26.9%
Months 190M (62%)
CAGR 61.9% | Win 67%
Sharpe 3.01 | Sortino 18.18 | Calmar 28.4
Vol 17% | MDD -2.2%
Months 6M (2%)
CAGR 14.8% | Win 58%
Sharpe 0.78 | Sortino 1.48 | Calmar 0.5
Vol 20% | MDD -27.6%
Months 196M (64%)
SLmean
neg
CAGR -3.4% | Win 50%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.1
Vol 28% | MDD -49.8%
Months 97M (32%)
CAGR -27.5% | Win 33%
Sharpe -0.79 | Sortino -1.66 | Calmar -0.7
Vol 34% | MDD -39.7%
Months 15M (5%)
CAGR -7.0% | Win 48%
Sharpe -0.11 | Sortino -0.17 | Calmar -0.1
Vol 29% | MDD -74.2%
Months 112M (36%)
RSmean
only
CAGR 7.5% | Win 55%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.1
Vol 23% | MDD -58.3%
Months 287M (93%)
CAGR -8.8% | Win 43%
Sharpe -0.15 | Sortino -0.28 | Calmar -0.2
Vol 31% | MDD -39.7%
Months 21M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 10.4% | Win 59%
Sharpe 0.65 | Sortino 1.05 | Calmar 0.3
Vol 18% | MDD -31.2%
Months 163M (53%)
CAGR 39.7% | Win 55%
Sharpe 1.25 | Sortino 4.02 | Calmar 1.8
Vol 31% | MDD -21.7%
Months 33M (11%)
CAGR 14.8% | Win 58%
Sharpe 0.78 | Sortino 1.48 | Calmar 0.5
Vol 20% | MDD -27.6%
Months 196M (64%)
SLmean
neg
CAGR -4.8% | Win 48%
Sharpe -0.09 | Sortino -0.12 | Calmar -0.1
Vol 23% | MDD -47.3%
Months 73M (24%)
CAGR -11.2% | Win 49%
Sharpe -0.14 | Sortino -0.28 | Calmar -0.2
Vol 37% | MDD -62.0%
Months 39M (13%)
CAGR -7.0% | Win 48%
Sharpe -0.11 | Sortino -0.17 | Calmar -0.1
Vol 29% | MDD -74.2%
Months 112M (36%)
MACD
only
CAGR 5.4% | Win 56%
Sharpe 0.37 | Sortino 0.53 | Calmar 0.1
Vol 20% | MDD -57.0%
Months 236M (77%)
CAGR 9.3% | Win 51%
Sharpe 0.43 | Sortino 0.89 | Calmar 0.2
Vol 34% | MDD -58.8%
Months 72M (23%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 9.4% | Win 57%
Sharpe 0.59 | Sortino 0.99 | Calmar 0.3
Vol 18% | MDD -36.9%
Months 177M (58%)
CAGR 80.2% | Win 68%
Sharpe 1.93 | Sortino 6.62 | Calmar 3.7
Vol 34% | MDD -21.7%
Months 19M (6%)
CAGR 14.8% | Win 58%
Sharpe 0.78 | Sortino 1.48 | Calmar 0.5
Vol 20% | MDD -27.6%
Months 196M (64%)
SLmean
neg
CAGR -11.8% | Win 48%
Sharpe -0.56 | Sortino -0.73 | Calmar -0.3
Vol 19% | MDD -41.3%
Months 40M (13%)
CAGR -4.3% | Win 49%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 33% | MDD -68.0%
Months 72M (23%)
CAGR -7.0% | Win 48%
Sharpe -0.11 | Sortino -0.17 | Calmar -0.1
Vol 29% | MDD -74.2%
Months 112M (36%)
RSI
only
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -47.9%
Months 217M (70%)
CAGR 9.2% | Win 53%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.2
Vol 34% | MDD -58.8%
Months 91M (30%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 14.0% | Win 58%
Sharpe 0.82 | Sortino 1.55 | Calmar 0.6
Vol 18% | MDD -22.0%
Months 148M (48%)
CAGR 17.5% | Win 58%
Sharpe 0.73 | Sortino 1.47 | Calmar 0.8
Vol 27% | MDD -21.7%
Months 48M (16%)
CAGR 14.8% | Win 58%
Sharpe 0.78 | Sortino 1.48 | Calmar 0.5
Vol 20% | MDD -27.6%
Months 196M (64%)
SLmean
neg
CAGR -6.0% | Win 49%
Sharpe -0.23 | Sortino -0.31 | Calmar -0.2
Vol 19% | MDD -26.1%
Months 35M (11%)
CAGR -7.5% | Win 48%
Sharpe -0.08 | Sortino -0.14 | Calmar -0.1
Vol 32% | MDD -70.5%
Months 77M (25%)
CAGR -7.0% | Win 48%
Sharpe -0.11 | Sortino -0.17 | Calmar -0.1
Vol 29% | MDD -74.2%
Months 112M (36%)
MACDhist
only
CAGR 9.9% | Win 56%
Sharpe 0.61 | Sortino 1.04 | Calmar 0.4
Vol 18% | MDD -27.9%
Months 183M (59%)
CAGR 1.4% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -66.2%
Months 125M (41%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 16.9% | Win 58%
Sharpe 0.86 | Sortino 1.88 | Calmar 0.8
Vol 21% | MDD -21.7%
Months 165M (54%)
CAGR 4.2% | Win 61%
Sharpe 0.31 | Sortino 0.36 | Calmar 0.1
Vol 19% | MDD -28.3%
Months 31M (10%)
CAGR 14.8% | Win 58%
Sharpe 0.78 | Sortino 1.48 | Calmar 0.5
Vol 20% | MDD -27.6%
Months 196M (64%)
SLmean
neg
CAGR -34.8% | Win 50%
Sharpe -1.15 | Sortino -1.67 | Calmar -0.8
Vol 32% | MDD -42.4%
Months 14M (4%)
CAGR -2.2% | Win 48%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.0
Vol 28% | MDD -52.6%
Months 98M (32%)
CAGR -7.0% | Win 48%
Sharpe -0.11 | Sortino -0.17 | Calmar -0.1
Vol 29% | MDD -74.2%
Months 112M (36%)
RSIhist
only
CAGR 11.7% | Win 57%
Sharpe 0.61 | Sortino 1.05 | Calmar 0.3
Vol 22% | MDD -39.1%
Months 179M (58%)
CAGR -0.7% | Win 51%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 26% | MDD -54.6%
Months 129M (42%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 10.0% | Win 59%
Sharpe 0.63 | Sortino 1.04 | Calmar 0.4
Vol 18% | MDD -26.3%
Months 162M (53%)
CAGR 40.6% | Win 56%
Sharpe 1.31 | Sortino 3.60 | Calmar 2.3
Vol 30% | MDD -18.0%
Months 34M (11%)
CAGR 14.8% | Win 58%
Sharpe 0.78 | Sortino 1.48 | Calmar 0.5
Vol 20% | MDD -27.6%
Months 196M (64%)
SLmean
neg
CAGR -16.8% | Win 43%
Sharpe -0.54 | Sortino -0.80 | Calmar -0.2
Vol 27% | MDD -77.7%
Months 81M (26%)
CAGR 24.3% | Win 61%
Sharpe 0.85 | Sortino 1.35 | Calmar 0.8
Vol 31% | MDD -31.8%
Months 31M (10%)
CAGR -7.0% | Win 48%
Sharpe -0.11 | Sortino -0.17 | Calmar -0.1
Vol 29% | MDD -74.2%
Months 112M (36%)
LWTI
only
CAGR 0.2% | Win 54%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.0
Vol 22% | MDD -75.2%
Months 243M (79%)
CAGR 32.6% | Win 58%
Sharpe 1.09 | Sortino 2.11 | Calmar 1.0
Vol 30% | MDD -31.8%
Months 65M (21%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.6% | Win 55%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 20% | MDD -57.0%
Months 227M (74%)
CAGR 23.7% | Win 57%
Sharpe 0.80 | Sortino 1.55 | Calmar 0.6
Vol 34% | MDD -36.8%
Months 60M (20%)
CAGR 7.5% | Win 55%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.1
Vol 23% | MDD -58.3%
Months 287M (93%)
RSmean
neg
CAGR 63.3% | Win 67%
Sharpe 3.16 | Sortino 15.94 | Calmar 29.1
Vol 16% | MDD -2.2%
Months 9M (3%)
CAGR -41.1% | Win 25%
Sharpe -1.34 | Sortino -3.19 | Calmar -1.0
Vol 35% | MDD -39.7%
Months 12M (4%)
CAGR -8.8% | Win 43%
Sharpe -0.15 | Sortino -0.28 | Calmar -0.2
Vol 31% | MDD -39.7%
Months 21M (7%)
MACD
only
CAGR 5.4% | Win 56%
Sharpe 0.37 | Sortino 0.53 | Calmar 0.1
Vol 20% | MDD -57.0%
Months 236M (77%)
CAGR 9.3% | Win 51%
Sharpe 0.43 | Sortino 0.89 | Calmar 0.2
Vol 34% | MDD -58.8%
Months 72M (23%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 3.2% | Win 55%
Sharpe 0.26 | Sortino 0.41 | Calmar 0.1
Vol 18% | MDD -46.7%
Months 208M (68%)
CAGR 20.0% | Win 57%
Sharpe 0.72 | Sortino 1.19 | Calmar 0.4
Vol 33% | MDD -47.8%
Months 79M (26%)
CAGR 7.5% | Win 55%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.1
Vol 23% | MDD -58.3%
Months 287M (93%)
RSmean
neg
CAGR 63.3% | Win 67%
Sharpe 3.16 | Sortino 15.94 | Calmar 29.1
Vol 16% | MDD -2.2%
Months 9M (3%)
CAGR -41.1% | Win 25%
Sharpe -1.34 | Sortino -3.19 | Calmar -1.0
Vol 35% | MDD -39.7%
Months 12M (4%)
CAGR -8.8% | Win 43%
Sharpe -0.15 | Sortino -0.28 | Calmar -0.2
Vol 31% | MDD -39.7%
Months 21M (7%)
RSI
only
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -47.9%
Months 217M (70%)
CAGR 9.2% | Win 53%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.2
Vol 34% | MDD -58.8%
Months 91M (30%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.2% | Win 56%
Sharpe 0.57 | Sortino 0.98 | Calmar 0.3
Vol 18% | MDD -27.9%
Months 178M (58%)
CAGR 4.9% | Win 54%
Sharpe 0.31 | Sortino 0.50 | Calmar 0.1
Vol 30% | MDD -55.5%
Months 109M (35%)
CAGR 7.5% | Win 55%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.1
Vol 23% | MDD -58.3%
Months 287M (93%)
RSmean
neg
CAGR 35.8% | Win 60%
Sharpe 2.28 | Sortino 7.04 | Calmar 16.4
Vol 14% | MDD -2.2%
Months 5M (2%)
CAGR -19.5% | Win 38%
Sharpe -0.47 | Sortino -1.02 | Calmar -0.5
Vol 35% | MDD -39.7%
Months 16M (5%)
CAGR -8.8% | Win 43%
Sharpe -0.15 | Sortino -0.28 | Calmar -0.2
Vol 31% | MDD -39.7%
Months 21M (7%)
MACDhist
only
CAGR 9.9% | Win 56%
Sharpe 0.61 | Sortino 1.04 | Calmar 0.4
Vol 18% | MDD -27.9%
Months 183M (59%)
CAGR 1.4% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -66.2%
Months 125M (41%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 11.5% | Win 57%
Sharpe 0.60 | Sortino 1.03 | Calmar 0.3
Vol 22% | MDD -36.9%
Months 170M (55%)
CAGR 2.0% | Win 53%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 25% | MDD -54.6%
Months 117M (38%)
CAGR 7.5% | Win 55%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.1
Vol 23% | MDD -58.3%
Months 287M (93%)
RSmean
neg
CAGR 15.6% | Win 56%
Sharpe 0.78 | Sortino 1.50 | Calmar 2.0
Vol 21% | MDD -7.6%
Months 9M (3%)
CAGR -23.7% | Win 33%
Sharpe -0.56 | Sortino -1.13 | Calmar -0.6
Vol 37% | MDD -38.7%
Months 12M (4%)
CAGR -8.8% | Win 43%
Sharpe -0.15 | Sortino -0.28 | Calmar -0.2
Vol 31% | MDD -39.7%
Months 21M (7%)
RSIhist
only
CAGR 11.7% | Win 57%
Sharpe 0.61 | Sortino 1.05 | Calmar 0.3
Vol 22% | MDD -39.1%
Months 179M (58%)
CAGR -0.7% | Win 51%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 26% | MDD -54.6%
Months 129M (42%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 1.1% | Win 55%
Sharpe 0.16 | Sortino 0.22 | Calmar 0.0
Vol 20% | MDD -57.9%
Months 222M (72%)
CAGR 32.6% | Win 58%
Sharpe 1.09 | Sortino 2.11 | Calmar 1.0
Vol 30% | MDD -31.8%
Months 65M (21%)
CAGR 7.5% | Win 55%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.1
Vol 23% | MDD -58.3%
Months 287M (93%)
RSmean
neg
CAGR -8.8% | Win 43%
Sharpe -0.15 | Sortino -0.28 | Calmar -0.2
Vol 31% | MDD -39.7%
Months 21M (7%)
-
CAGR -8.8% | Win 43%
Sharpe -0.15 | Sortino -0.28 | Calmar -0.2
Vol 31% | MDD -39.7%
Months 21M (7%)
LWTI
only
CAGR 0.2% | Win 54%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.0
Vol 22% | MDD -75.2%
Months 243M (79%)
CAGR 32.6% | Win 58%
Sharpe 1.09 | Sortino 2.11 | Calmar 1.0
Vol 30% | MDD -31.8%
Months 65M (21%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 5.3% | Win 56%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -43.2%
Months 201M (65%)
CAGR 6.4% | Win 51%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.2
Vol 27% | MDD -38.5%
Months 35M (11%)
CAGR 5.4% | Win 56%
Sharpe 0.37 | Sortino 0.53 | Calmar 0.1
Vol 20% | MDD -57.0%
Months 236M (77%)
MACD
neg
CAGR 3.4% | Win 44%
Sharpe 0.26 | Sortino 0.57 | Calmar 0.2
Vol 21% | MDD -19.3%
Months 16M (5%)
CAGR 11.1% | Win 54%
Sharpe 0.46 | Sortino 0.99 | Calmar 0.2
Vol 38% | MDD -58.8%
Months 56M (18%)
CAGR 9.3% | Win 51%
Sharpe 0.43 | Sortino 0.89 | Calmar 0.2
Vol 34% | MDD -58.8%
Months 72M (23%)
RSI
only
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -47.9%
Months 217M (70%)
CAGR 9.2% | Win 53%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.2
Vol 34% | MDD -58.8%
Months 91M (30%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 6.7% | Win 56%
Sharpe 0.46 | Sortino 0.74 | Calmar 0.2
Vol 18% | MDD -33.1%
Months 169M (55%)
CAGR 2.3% | Win 55%
Sharpe 0.22 | Sortino 0.28 | Calmar 0.0
Vol 24% | MDD -47.0%
Months 67M (22%)
CAGR 5.4% | Win 56%
Sharpe 0.37 | Sortino 0.53 | Calmar 0.1
Vol 20% | MDD -57.0%
Months 236M (77%)
MACD
neg
CAGR 55.8% | Win 64%
Sharpe 2.09 | Sortino 7.01 | Calmar 9.7
Vol 23% | MDD -5.8%
Months 14M (4%)
CAGR 0.4% | Win 48%
Sharpe 0.18 | Sortino 0.40 | Calmar 0.0
Vol 36% | MDD -58.8%
Months 58M (19%)
CAGR 9.3% | Win 51%
Sharpe 0.43 | Sortino 0.89 | Calmar 0.2
Vol 34% | MDD -58.8%
Months 72M (23%)
MACDhist
only
CAGR 9.9% | Win 56%
Sharpe 0.61 | Sortino 1.04 | Calmar 0.4
Vol 18% | MDD -27.9%
Months 183M (59%)
CAGR 1.4% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -66.2%
Months 125M (41%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 12.5% | Win 59%
Sharpe 0.78 | Sortino 1.45 | Calmar 0.5
Vol 17% | MDD -26.3%
Months 136M (44%)
CAGR -3.5% | Win 51%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.1
Vol 22% | MDD -53.9%
Months 100M (32%)
CAGR 5.4% | Win 56%
Sharpe 0.37 | Sortino 0.53 | Calmar 0.1
Vol 20% | MDD -57.0%
Months 236M (77%)
MACD
neg
CAGR 9.2% | Win 51%
Sharpe 0.42 | Sortino 0.84 | Calmar 0.2
Vol 34% | MDD -39.1%
Months 43M (14%)
CAGR 9.6% | Win 52%
Sharpe 0.42 | Sortino 0.94 | Calmar 0.2
Vol 36% | MDD -38.7%
Months 29M (9%)
CAGR 9.3% | Win 51%
Sharpe 0.43 | Sortino 0.89 | Calmar 0.2
Vol 34% | MDD -58.8%
Months 72M (23%)
RSIhist
only
CAGR 11.7% | Win 57%
Sharpe 0.61 | Sortino 1.05 | Calmar 0.3
Vol 22% | MDD -39.1%
Months 179M (58%)
CAGR -0.7% | Win 51%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 26% | MDD -54.6%
Months 129M (42%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 6.8% | Win 56%
Sharpe 0.44 | Sortino 0.67 | Calmar 0.1
Vol 19% | MDD -47.2%
Months 212M (69%)
CAGR -6.2% | Win 50%
Sharpe -0.16 | Sortino -0.19 | Calmar -0.3
Vol 23% | MDD -22.2%
Months 24M (8%)
CAGR 5.4% | Win 56%
Sharpe 0.37 | Sortino 0.53 | Calmar 0.1
Vol 20% | MDD -57.0%
Months 236M (77%)
MACD
neg
CAGR -35.2% | Win 36%
Sharpe -1.20 | Sortino -2.04 | Calmar -0.5
Vol 32% | MDD -73.0%
Months 31M (10%)
CAGR 62.3% | Win 63%
Sharpe 1.67 | Sortino 4.58 | Calmar 3.8
Vol 32% | MDD -16.3%
Months 41M (13%)
CAGR 9.3% | Win 51%
Sharpe 0.43 | Sortino 0.89 | Calmar 0.2
Vol 34% | MDD -58.8%
Months 72M (23%)
LWTI
only
CAGR 0.2% | Win 54%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.0
Vol 22% | MDD -75.2%
Months 243M (79%)
CAGR 32.6% | Win 58%
Sharpe 1.09 | Sortino 2.11 | Calmar 1.0
Vol 30% | MDD -31.8%
Months 65M (21%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 6.6% | Win 55%
Sharpe 0.46 | Sortino 0.75 | Calmar 0.2
Vol 18% | MDD -34.2%
Months 176M (57%)
CAGR -1.1% | Win 56%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.0
Vol 21% | MDD -36.4%
Months 41M (13%)
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -47.9%
Months 217M (70%)
RSI
neg
CAGR 131.1% | Win 86%
Sharpe 4.14 | Sortino 0.00 | Calmar 92.9
Vol 21% | MDD -1.4%
Months 7M (2%)
CAGR 2.6% | Win 50%
Sharpe 0.24 | Sortino 0.44 | Calmar 0.0
Vol 34% | MDD -67.2%
Months 84M (27%)
CAGR 9.2% | Win 53%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.2
Vol 34% | MDD -58.8%
Months 91M (30%)
MACDhist
only
CAGR 9.9% | Win 56%
Sharpe 0.61 | Sortino 1.04 | Calmar 0.4
Vol 18% | MDD -27.9%
Months 183M (59%)
CAGR 1.4% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -66.2%
Months 125M (41%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 11.6% | Win 57%
Sharpe 0.72 | Sortino 1.34 | Calmar 0.4
Vol 17% | MDD -32.5%
Months 152M (49%)
CAGR -8.4% | Win 51%
Sharpe -0.35 | Sortino -0.45 | Calmar -0.2
Vol 19% | MDD -44.1%
Months 65M (21%)
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -47.9%
Months 217M (70%)
RSI
neg
CAGR 12.7% | Win 56%
Sharpe 0.49 | Sortino 1.02 | Calmar 0.3
Vol 39% | MDD -39.1%
Months 27M (9%)
CAGR 7.8% | Win 52%
Sharpe 0.39 | Sortino 0.66 | Calmar 0.2
Vol 31% | MDD -47.8%
Months 64M (21%)
CAGR 9.2% | Win 53%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.2
Vol 34% | MDD -58.8%
Months 91M (30%)
RSIhist
only
CAGR 11.7% | Win 57%
Sharpe 0.61 | Sortino 1.05 | Calmar 0.3
Vol 22% | MDD -39.1%
Months 179M (58%)
CAGR -0.7% | Win 51%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 26% | MDD -54.6%
Months 129M (42%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 6.0% | Win 57%
Sharpe 0.41 | Sortino 0.63 | Calmar 0.2
Vol 18% | MDD -35.7%
Months 196M (64%)
CAGR -2.6% | Win 43%
Sharpe -0.05 | Sortino -0.09 | Calmar -0.1
Vol 19% | MDD -23.6%
Months 21M (7%)
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -47.9%
Months 217M (70%)
RSI
neg
CAGR -20.6% | Win 40%
Sharpe -0.57 | Sortino -0.93 | Calmar -0.3
Vol 32% | MDD -73.0%
Months 47M (15%)
CAGR 53.6% | Win 66%
Sharpe 1.46 | Sortino 2.67 | Calmar 1.7
Vol 34% | MDD -31.8%
Months 44M (14%)
CAGR 9.2% | Win 53%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.2
Vol 34% | MDD -58.8%
Months 91M (30%)
LWTI
only
CAGR 0.2% | Win 54%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.0
Vol 22% | MDD -75.2%
Months 243M (79%)
CAGR 32.6% | Win 58%
Sharpe 1.09 | Sortino 2.11 | Calmar 1.0
Vol 30% | MDD -31.8%
Months 65M (21%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 16.1% | Win 59%
Sharpe 0.93 | Sortino 1.83 | Calmar 1.0
Vol 18% | MDD -16.1%
Months 134M (44%)
CAGR -5.6% | Win 49%
Sharpe -0.22 | Sortino -0.30 | Calmar -0.2
Vol 18% | MDD -29.4%
Months 49M (16%)
CAGR 9.9% | Win 56%
Sharpe 0.61 | Sortino 1.04 | Calmar 0.4
Vol 18% | MDD -27.9%
Months 183M (59%)
MACDhist
neg
CAGR -0.4% | Win 51%
Sharpe 0.14 | Sortino 0.25 | Calmar -0.0
Vol 31% | MDD -39.1%
Months 45M (15%)
CAGR 2.4% | Win 52%
Sharpe 0.23 | Sortino 0.37 | Calmar 0.0
Vol 30% | MDD -54.6%
Months 80M (26%)
CAGR 1.4% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -66.2%
Months 125M (41%)
RSIhist
only
CAGR 11.7% | Win 57%
Sharpe 0.61 | Sortino 1.05 | Calmar 0.3
Vol 22% | MDD -39.1%
Months 179M (58%)
CAGR -0.7% | Win 51%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 26% | MDD -54.6%
Months 129M (42%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 6.9% | Win 56%
Sharpe 0.47 | Sortino 0.77 | Calmar 0.2
Vol 18% | MDD -28.4%
Months 174M (56%)
CAGR 84.6% | Win 67%
Sharpe 2.85 | Sortino 13.28 | Calmar 19.6
Vol 23% | MDD -4.3%
Months 9M (3%)
CAGR 9.9% | Win 56%
Sharpe 0.61 | Sortino 1.04 | Calmar 0.4
Vol 18% | MDD -27.9%
Months 183M (59%)
MACDhist
neg
CAGR -14.8% | Win 48%
Sharpe -0.41 | Sortino -0.63 | Calmar -0.2
Vol 29% | MDD -73.0%
Months 69M (22%)
CAGR 25.7% | Win 57%
Sharpe 0.89 | Sortino 1.73 | Calmar 0.7
Vol 31% | MDD -34.9%
Months 56M (18%)
CAGR 1.4% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -66.2%
Months 125M (41%)
LWTI
only
CAGR 0.2% | Win 54%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.0
Vol 22% | MDD -75.2%
Months 243M (79%)
CAGR 32.6% | Win 58%
Sharpe 1.09 | Sortino 2.11 | Calmar 1.0
Vol 30% | MDD -31.8%
Months 65M (21%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 5.2% | Win 57%
Sharpe 0.36 | Sortino 0.52 | Calmar 0.1
Vol 19% | MDD -58.1%
Months 145M (47%)
CAGR 44.3% | Win 59%
Sharpe 1.38 | Sortino 4.04 | Calmar 2.9
Vol 30% | MDD -15.4%
Months 34M (11%)
CAGR 11.7% | Win 57%
Sharpe 0.61 | Sortino 1.05 | Calmar 0.3
Vol 22% | MDD -39.1%
Months 179M (58%)
RSIhist
neg
CAGR -6.7% | Win 49%
Sharpe -0.16 | Sortino -0.24 | Calmar -0.1
Vol 24% | MDD -53.4%
Months 98M (32%)
CAGR 20.8% | Win 58%
Sharpe 0.77 | Sortino 1.19 | Calmar 0.7
Vol 31% | MDD -31.8%
Months 31M (10%)
CAGR -0.7% | Win 51%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 26% | MDD -54.6%
Months 129M (42%)
LWTI
only
CAGR 0.2% | Win 54%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.0
Vol 22% | MDD -75.2%
Months 243M (79%)
CAGR 32.6% | Win 58%
Sharpe 1.09 | Sortino 2.11 | Calmar 1.0
Vol 30% | MDD -31.8%
Months 65M (21%)