EWU - iShares MSCI United Kingdom ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

40.4%

Best CAGR

104

Total Months

5.9%

Avg CAGR

EWU 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 EWU

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 13 3.6 40.4 69.2 2.1 7.1 11.6 17.0 -3.5
pair RSI MACDhist neg-pos 13 3.6 40.4 69.2 2.1 7.1 11.6 17.0 -3.5
pair LWTI MACD neg-pos 54 15.0 29.9 74.1 1.8 2.9 1.9 15.5 -15.9
pair MACD LWTI neg-pos 54 15.0 29.9 74.1 1.8 2.9 1.9 15.5 -15.9
pair RSI MRmean pos-neg 22 6.1 28.4 72.7 2.1 4.1 5.3 12.6 -5.3
pair MRmean RSI pos-neg 22 6.1 28.4 72.7 2.1 4.1 5.3 12.6 -5.3
pair RSI LWTI neg-pos 41 11.4 27.6 75.6 1.4 1.4 1.4 19.6 -20.4
pair LWTI RSI neg-pos 41 11.4 27.6 75.6 1.4 1.4 1.4 19.6 -20.4
pair MRmean MACD pos-neg 51 14.1 25.5 68.6 1.6 2.5 1.7 14.9 -15.3
pair MACD MRmean pos-neg 51 14.1 25.5 68.6 1.6 2.5 1.7 14.9 -15.3
pair MACD MACDhist neg-pos 30 8.3 23.8 66.7 1.3 2.0 1.5 17.5 -15.9
pair MACDhist MACD neg-pos 30 8.3 23.8 66.7 1.3 2.0 1.5 17.5 -15.9
pair RSI MACD neg-pos 29 8.0 23.4 65.5 1.4 2.0 1.1 16.7 -20.4
pair MACD RSI neg-pos 29 8.0 23.4 65.5 1.4 2.0 1.1 16.7 -20.4
pair MRmean MACDhist neg-pos 7 1.9 23.2 71.4 0.9 1.5 2.4 26.0 -9.8
pair MACDhist MRmean neg-pos 7 1.9 23.2 71.4 0.9 1.5 2.4 26.0 -9.8
pair MACD RSmean neg-neg 14 3.9 22.7 78.6 2.0 2.8 4.3 10.7 -5.3
pair RSmean MACD neg-neg 14 3.9 22.7 78.6 2.0 2.8 4.3 10.7 -5.3
pair MACD SLmean pos-neg 58 16.1 21.4 63.8 1.3 2.4 1.2 16.0 -17.3
pair SLmean MACD pos-neg 58 16.1 21.4 63.8 1.3 2.4 1.2 16.0 -17.3
pair SLmean RSI pos-neg 31 8.6 18.9 61.3 1.2 3.5 1.9 15.3 -9.7
pair RSI SLmean pos-neg 31 8.6 18.9 61.3 1.2 3.5 1.9 15.3 -9.7
pair MACD RSIhist neg-pos 50 13.9 17.8 60.0 1.1 2.1 1.2 17.1 -15.3
pair RSIhist MACD neg-pos 50 13.9 17.8 60.0 1.1 2.1 1.2 17.1 -15.3
pair RSmean RSIhist neg-pos 3 0.8 16.8 66.7 1.3 0.0 0.0 12.9 0.0
pair RSIhist RSmean neg-pos 3 0.8 16.8 66.7 1.3 0.0 0.0 12.9 0.0
pair RSI RSIhist neg-pos 30 8.3 16.6 56.7 1.0 3.1 1.4 16.8 -12.0
pair RSIhist RSI neg-pos 30 8.3 16.6 56.7 1.0 3.1 1.4 16.8 -12.0
pair SLmean MACDhist neg-pos 26 7.2 14.8 73.1 0.8 1.2 0.9 19.3 -16.7
pair MACDhist SLmean neg-pos 26 7.2 14.8 73.1 0.8 1.2 0.9 19.3 -16.7
single MACD MACD neg-neg 115 31.9 12.7 60.9 0.7 1.1 0.3 18.9 -38.1
pair MACD RSmean pos-neg 101 28.0 11.4 58.4 0.7 1.0 0.3 19.8 -38.1
pair RSmean MACD pos-neg 101 28.0 11.4 58.4 0.7 1.0 0.3 19.8 -38.1
pair LWTI RSIhist pos-pos 147 40.7 11.2 63.9 0.9 1.4 0.6 13.3 -18.2
pair RSIhist LWTI pos-pos 147 40.7 11.2 63.9 0.9 1.4 0.6 13.3 -18.2
pair LWTI MACDhist neg-pos 95 26.3 10.7 64.2 0.7 0.8 0.4 16.6 -28.4
pair SLmean LWTI pos-pos 188 52.1 10.7 62.8 0.9 1.4 0.6 12.7 -18.8
pair MACDhist LWTI neg-pos 95 26.3 10.7 64.2 0.7 0.8 0.4 16.6 -28.4
pair LWTI SLmean pos-pos 188 52.1 10.7 62.8 0.9 1.4 0.6 12.7 -18.8
pair MRmean MACDhist pos-neg 61 16.9 10.5 63.9 0.8 1.1 0.6 14.5 -17.1
pair LWTI RSmean pos-pos 243 67.3 10.5 63.0 0.8 1.2 0.4 14.5 -28.0
pair MACDhist MRmean pos-neg 61 16.9 10.5 63.9 0.8 1.1 0.6 14.5 -17.1
pair RSmean LWTI pos-pos 243 67.3 10.5 63.0 0.8 1.2 0.4 14.5 -28.0
pair MRmean LWTI pos-pos 205 56.8 10.1 64.4 0.8 1.2 0.4 13.5 -24.7
single LWTI LWTI pos-pos 267 74.0 10.1 63.7 0.7 1.0 0.3 14.8 -36.3
pair LWTI MRmean pos-pos 205 56.8 10.1 64.4 0.8 1.2 0.4 13.5 -24.7
pair LWTI MRmean neg-pos 62 17.2 10.0 61.3 0.6 0.8 0.4 18.6 -22.7
pair MRmean LWTI neg-pos 62 17.2 10.0 61.3 0.6 0.8 0.4 18.6 -22.7
pair RSIhist MACDhist pos-neg 38 10.5 9.9 65.8 0.7 1.0 0.6 16.3 -17.1
pair MACDhist RSIhist pos-neg 38 10.5 9.9 65.8 0.7 1.0 0.6 16.3 -17.1
pair LWTI MACDhist pos-pos 172 47.6 9.7 63.4 0.8 1.2 0.5 13.7 -21.4
pair MACDhist LWTI pos-pos 172 47.6 9.7 63.4 0.8 1.2 0.5 13.7 -21.4
pair SLmean RSIhist pos-pos 182 50.4 9.7 61.0 0.8 1.2 0.5 13.6 -20.5
pair RSIhist SLmean pos-pos 182 50.4 9.7 61.0 0.8 1.2 0.5 13.6 -20.5
pair MRmean RSIhist pos-pos 176 48.8 9.6 61.9 0.8 1.1 0.5 13.4 -20.2
pair RSIhist MRmean pos-pos 176 48.8 9.6 61.9 0.8 1.1 0.5 13.4 -20.2
pair SLmean MACDhist pos-neg 76 21.1 9.6 57.9 0.7 1.3 0.3 15.3 -28.2
pair MACDhist SLmean pos-neg 76 21.1 9.6 57.9 0.7 1.3 0.3 15.3 -28.2
pair RSI MACD neg-neg 86 23.8 9.4 59.3 0.6 0.8 0.2 19.6 -47.3
pair MACD RSI neg-neg 86 23.8 9.4 59.3 0.6 0.8 0.2 19.6 -47.3
pair SLmean MRmean pos-pos 213 59.0 9.3 61.5 0.8 1.2 0.4 13.0 -22.4
pair MRmean SLmean pos-pos 213 59.0 9.3 61.5 0.8 1.2 0.4 13.0 -22.4
pair MACD MACDhist neg-neg 85 23.5 9.1 58.8 0.6 0.8 0.2 19.4 -48.6
pair MACDhist MACD neg-neg 85 23.5 9.1 58.8 0.6 0.8 0.2 19.4 -48.6
pair MACDhist RSmean pos-pos 180 49.9 9.1 62.8 0.7 1.0 0.3 13.8 -30.3
pair RSmean MACDhist pos-pos 180 49.9 9.1 62.8 0.7 1.0 0.3 13.8 -30.3
pair MACD RSIhist neg-neg 65 18.0 9.0 61.5 0.5 0.7 0.2 20.3 -43.3
pair RSIhist MACD neg-neg 65 18.0 9.0 61.5 0.5 0.7 0.2 20.3 -43.3
pair MRmean RSmean pos-pos 229 63.4 9.0 62.4 0.7 1.0 0.4 13.6 -25.0
pair RSmean MRmean pos-pos 229 63.4 9.0 62.4 0.7 1.0 0.4 13.6 -25.0
pair RSmean RSI pos-neg 100 27.7 8.9 57.0 0.5 0.8 0.1 21.1 -58.1
pair RSI RSmean pos-neg 100 27.7 8.9 57.0 0.5 0.8 0.1 21.1 -58.1
single MRmean MRmean pos-pos 235 65.1 8.9 62.6 0.7 1.0 0.3 13.5 -25.0
single MACDhist MACDhist pos-pos 181 50.1 8.8 62.4 0.7 1.0 0.3 13.8 -30.3
pair MACDhist RSIhist neg-pos 44 12.2 8.8 54.5 0.6 1.4 0.4 16.9 -22.3
pair RSIhist MACDhist neg-pos 44 12.2 8.8 54.5 0.6 1.4 0.4 16.9 -22.3
pair LWTI RSIhist neg-pos 120 33.2 8.7 63.3 0.6 0.8 0.3 16.5 -31.0
pair RSIhist LWTI neg-pos 120 33.2 8.7 63.3 0.6 0.8 0.3 16.5 -31.0
single RSIhist RSIhist pos-pos 187 51.8 8.6 59.9 0.7 1.1 0.3 14.0 -25.2
single RSI RSI neg-neg 114 31.6 8.5 59.6 0.5 0.7 0.1 21.1 -58.1
pair RSmean SLmean pos-pos 225 62.3 8.5 59.6 0.7 1.1 0.3 13.6 -30.3
pair SLmean RSmean pos-pos 225 62.3 8.5 59.6 0.7 1.1 0.3 13.6 -30.3
pair LWTI SLmean neg-pos 79 21.9 8.5 65.8 0.5 0.7 0.3 18.9 -31.3
pair SLmean LWTI neg-pos 79 21.9 8.5 65.8 0.5 0.7 0.3 18.9 -31.3
pair MACDhist RSIhist pos-pos 143 39.6 8.5 61.5 0.7 1.0 0.5 13.1 -17.2
pair RSIhist MACDhist pos-pos 143 39.6 8.5 61.5 0.7 1.0 0.5 13.1 -17.2
pair RSIhist RSmean pos-pos 184 51.0 8.5 59.8 0.7 1.1 0.3 14.1 -27.0
pair RSmean RSIhist pos-pos 184 51.0 8.5 59.8 0.7 1.1 0.3 14.1 -27.0
single SLmean SLmean pos-pos 231 64.0 8.4 59.7 0.7 1.1 0.3 13.6 -29.4
pair MRmean MACDhist pos-pos 174 48.2 8.3 62.1 0.7 1.0 0.4 13.2 -22.7
pair MACDhist MRmean pos-pos 174 48.2 8.3 62.1 0.7 1.0 0.4 13.2 -22.7
pair SLmean MACDhist pos-pos 155 42.9 7.9 60.6 0.7 1.0 0.4 12.7 -18.2
pair MACDhist SLmean pos-pos 155 42.9 7.9 60.6 0.7 1.0 0.4 12.7 -18.2
pair MACDhist RSmean neg-neg 23 6.4 7.6 73.9 0.5 0.4 0.3 18.1 -21.6
pair RSmean MACDhist neg-neg 23 6.4 7.6 73.9 0.5 0.4 0.3 18.1 -21.6
pair RSI LWTI pos-pos 226 62.6 7.2 61.5 0.6 0.8 0.2 13.6 -43.6
pair LWTI RSI pos-pos 226 62.6 7.2 61.5 0.6 0.8 0.2 13.6 -43.6
pair RSIhist RSI pos-pos 157 43.5 7.1 60.5 0.6 0.9 0.3 13.5 -27.0
pair RSI RSIhist pos-pos 157 43.5 7.1 60.5 0.6 0.9 0.3 13.5 -27.0
pair MRmean RSI pos-pos 213 59.0 7.0 61.5 0.6 0.8 0.2 13.5 -32.1
pair RSI MRmean pos-pos 213 59.0 7.0 61.5 0.6 0.8 0.2 13.5 -32.1
pair SLmean RSI pos-pos 200 55.4 6.9 59.5 0.6 0.9 0.2 13.3 -33.2
pair RSI SLmean pos-pos 200 55.4 6.9 59.5 0.6 0.9 0.2 13.3 -33.2
pair MACDhist RSI pos-pos 168 46.5 6.7 61.9 0.6 0.8 0.2 13.4 -38.9
pair RSI MACDhist pos-pos 168 46.5 6.7 61.9 0.6 0.8 0.2 13.4 -38.9
pair MRmean RSIhist pos-neg 59 16.3 6.6 64.4 0.5 0.7 0.3 14.0 -19.5
pair RSIhist MRmean pos-neg 59 16.3 6.6 64.4 0.5 0.7 0.3 14.0 -19.5
pair RSmean RSI neg-pos 10 2.8 6.2 60.0 0.5 1.8 1.1 12.4 -5.8
pair RSI RSmean neg-pos 10 2.8 6.2 60.0 0.5 1.8 1.1 12.4 -5.8
pair MACD MACDhist pos-pos 151 41.8 6.1 61.6 0.5 0.7 0.2 12.9 -30.3
pair benchmark___benchmark_ benchmark-benchmark 361 100.0 6.1 59.6 0.4 0.6 0.1 16.5 -59.9
pair benchmark___benchmark_ benchmark-benchmark 361 100.0 6.1 59.6 0.4 0.6 0.1 16.5 -59.9
pair MACDhist MACD pos-pos 151 41.8 6.1 61.6 0.5 0.7 0.2 12.9 -30.3
single RSmean RSmean pos-pos 337 93.4 6.1 58.8 0.5 0.7 0.1 16.4 -59.9
pair RSmean MRmean neg-neg 18 5.0 6.0 72.2 0.4 0.3 0.3 19.8 -21.6
pair MRmean RSmean neg-neg 18 5.0 6.0 72.2 0.4 0.3 0.3 19.8 -21.6
pair SLmean RSmean neg-neg 18 5.0 6.0 72.2 0.4 0.3 0.3 19.8 -21.6
pair RSmean SLmean neg-neg 18 5.0 6.0 72.2 0.4 0.3 0.3 19.8 -21.6
single RSmean RSmean neg-neg 24 6.6 5.8 70.8 0.4 0.3 0.3 17.8 -21.6
pair MACD RSI pos-neg 28 7.8 5.8 60.7 0.3 0.5 0.2 25.3 -25.1
pair RSmean LWTI neg-pos 24 6.6 5.8 70.8 0.4 0.3 0.3 17.8 -21.6
pair LWTI RSmean neg-pos 24 6.6 5.8 70.8 0.4 0.3 0.3 17.8 -21.6
pair RSI MACD pos-neg 28 7.8 5.8 60.7 0.3 0.5 0.2 25.3 -25.1
pair RSIhist RSI neg-neg 84 23.3 5.7 60.7 0.4 0.5 0.1 22.4 -55.0
pair RSI RSIhist neg-neg 84 23.3 5.7 60.7 0.4 0.5 0.1 22.4 -55.0
pair LWTI MACD pos-pos 213 59.0 5.6 61.0 0.5 0.6 0.1 14.3 -45.5
pair MACD LWTI pos-pos 213 59.0 5.6 61.0 0.5 0.6 0.1 14.3 -45.5
pair RSI RSmean neg-neg 14 3.9 5.5 78.6 0.4 0.2 0.3 21.4 -18.5
pair RSmean RSI neg-neg 14 3.9 5.5 78.6 0.4 0.2 0.3 21.4 -18.5
pair MACD RSIhist pos-pos 137 38.0 5.4 59.9 0.5 0.7 0.2 12.7 -28.1
pair RSIhist MACD pos-pos 137 38.0 5.4 59.9 0.5 0.7 0.2 12.7 -28.1
pair SLmean RSmean pos-neg 6 1.7 5.2 66.7 0.5 1.9 0.8 11.1 -6.7
pair RSmean MRmean pos-neg 6 1.7 5.2 66.7 0.5 1.9 0.8 11.1 -6.7
pair MRmean RSmean pos-neg 6 1.7 5.2 66.7 0.5 1.9 0.8 11.1 -6.7
pair RSmean SLmean pos-neg 6 1.7 5.2 66.7 0.5 1.9 0.8 11.1 -6.7
single RSI RSI pos-pos 247 68.4 5.0 59.5 0.4 0.6 0.1 13.9 -47.6
pair RSI RSmean pos-pos 237 65.7 4.9 59.5 0.4 0.6 0.1 13.9 -46.2
pair RSmean RSI pos-pos 237 65.7 4.9 59.5 0.4 0.6 0.1 13.9 -46.2
pair MACDhist RSI neg-neg 101 28.0 4.9 58.4 0.3 0.5 0.1 21.4 -59.2
pair RSI MACDhist neg-neg 101 28.0 4.9 58.4 0.3 0.5 0.1 21.4 -59.2
pair RSI SLmean neg-neg 83 23.0 4.8 59.0 0.3 0.5 0.1 22.8 -57.4
pair SLmean RSI neg-neg 83 23.0 4.8 59.0 0.3 0.5 0.1 22.8 -57.4
pair MACD MRmean pos-pos 184 51.0 4.6 60.9 0.4 0.6 0.1 12.9 -30.7
pair MRmean MACD pos-pos 184 51.0 4.6 60.9 0.4 0.6 0.1 12.9 -30.7
pair SLmean MACD neg-neg 57 15.8 4.5 57.9 0.3 0.5 0.1 21.4 -46.4
pair MACD SLmean neg-neg 57 15.8 4.5 57.9 0.3 0.5 0.1 21.4 -46.4
pair SLmean MACD pos-pos 173 47.9 4.4 58.4 0.4 0.6 0.1 12.5 -40.0
pair MACD SLmean pos-pos 173 47.9 4.4 58.4 0.4 0.6 0.1 12.5 -40.0
pair RSmean RSIhist neg-neg 21 5.8 4.3 71.4 0.3 0.3 0.2 18.7 -21.6
pair RSIhist RSmean neg-neg 21 5.8 4.3 71.4 0.3 0.3 0.2 18.7 -21.6
pair MRmean SLmean pos-neg 22 6.1 4.3 72.7 0.3 0.4 0.4 18.5 -10.2
pair SLmean MRmean pos-neg 22 6.1 4.3 72.7 0.3 0.4 0.4 18.5 -10.2
pair RSI MRmean neg-neg 92 25.5 4.2 56.5 0.3 0.4 0.1 22.5 -61.0
pair MRmean RSI neg-neg 92 25.5 4.2 56.5 0.3 0.4 0.1 22.5 -61.0
pair MACD RSmean pos-pos 236 65.4 3.9 58.9 0.3 0.5 0.1 14.7 -39.2
pair RSmean MACD pos-pos 236 65.4 3.9 58.9 0.3 0.5 0.1 14.7 -39.2
pair RSIhist SLmean pos-neg 49 13.6 3.8 55.1 0.3 0.6 0.1 13.4 -24.7
pair SLmean RSIhist pos-neg 49 13.6 3.8 55.1 0.3 0.6 0.1 13.4 -24.7
pair MACD MRmean neg-neg 64 17.7 3.5 54.7 0.3 0.4 0.1 21.4 -50.9
pair MRmean MACD neg-neg 64 17.7 3.5 54.7 0.3 0.4 0.1 21.4 -50.9
single RSIhist RSIhist neg-neg 174 48.2 3.5 59.2 0.3 0.4 0.1 18.7 -58.5
single MACDhist MACDhist neg-neg 180 49.9 3.4 56.7 0.3 0.4 0.1 18.8 -67.5
pair RSmean RSIhist pos-neg 153 42.4 3.4 57.5 0.3 0.4 0.1 18.8 -57.4
pair RSIhist RSmean pos-neg 153 42.4 3.4 57.5 0.3 0.4 0.1 18.8 -57.4
pair SLmean RSIhist neg-neg 125 34.6 3.3 60.8 0.3 0.4 0.1 20.5 -62.1
pair RSIhist SLmean neg-neg 125 34.6 3.3 60.8 0.3 0.4 0.1 20.5 -62.1
single MACD MACD pos-pos 246 68.1 3.1 58.9 0.3 0.4 0.1 15.1 -43.9
pair RSmean MACDhist pos-neg 157 43.5 2.8 54.1 0.2 0.4 0.0 18.9 -68.0
pair RSI MACD pos-pos 218 60.4 2.8 58.7 0.3 0.4 0.1 13.4 -45.4
pair MACD RSI pos-pos 218 60.4 2.8 58.7 0.3 0.4 0.1 13.4 -45.4
pair MACDhist RSmean pos-neg 157 43.5 2.8 54.1 0.2 0.4 0.0 18.9 -68.0
single SLmean SLmean neg-neg 130 36.0 2.1 59.2 0.2 0.3 0.0 20.6 -65.0
pair MRmean RSIhist neg-neg 115 31.9 1.9 56.5 0.2 0.3 0.0 20.8 -63.6
pair RSIhist MRmean neg-neg 115 31.9 1.9 56.5 0.2 0.3 0.0 20.8 -63.6
pair RSIhist MACDhist neg-neg 136 37.7 1.7 57.4 0.2 0.2 0.0 19.4 -64.5
pair MACDhist RSIhist neg-neg 136 37.7 1.7 57.4 0.2 0.2 0.0 19.4 -64.5
pair SLmean MRmean neg-neg 108 29.9 1.6 56.5 0.2 0.3 0.0 21.1 -64.5
pair MRmean SLmean neg-neg 108 29.9 1.6 56.5 0.2 0.3 0.0 21.1 -64.5
pair RSIhist RSI pos-neg 90 24.9 1.4 57.8 0.2 0.2 0.0 14.6 -37.5
pair RSI RSIhist pos-neg 90 24.9 1.4 57.8 0.2 0.2 0.0 14.6 -37.5
pair RSI MACDhist pos-neg 79 21.9 1.4 54.4 0.2 0.3 0.0 14.8 -43.1
pair MACDhist RSI pos-neg 79 21.9 1.4 54.4 0.2 0.3 0.0 14.8 -43.1
pair RSmean SLmean neg-pos 112 31.0 1.4 57.1 0.2 0.3 0.0 20.8 -65.0
pair SLmean RSmean neg-pos 112 31.0 1.4 57.1 0.2 0.3 0.0 20.8 -65.0
single MRmean MRmean neg-neg 126 34.9 1.1 54.0 0.2 0.2 0.0 20.9 -68.5
pair MRmean LWTI pos-neg 30 8.3 0.6 50.0 0.1 0.1 0.0 13.9 -22.6
pair LWTI MRmean pos-neg 30 8.3 0.6 50.0 0.1 0.1 0.0 13.9 -22.6
pair MRmean RSmean neg-pos 108 29.9 0.3 50.9 0.1 0.2 0.0 21.1 -68.5
pair RSIhist MACD pos-neg 109 30.2 0.3 57.8 0.1 0.1 0.0 17.8 -43.0
pair MACD RSIhist pos-neg 109 30.2 0.3 57.8 0.1 0.1 0.0 17.8 -43.0
pair RSmean MRmean neg-pos 108 29.9 0.3 50.9 0.1 0.2 0.0 21.1 -68.5
pair SLmean MACD neg-pos 73 20.2 0.2 60.3 0.1 0.1 0.0 20.2 -48.8
pair MACD SLmean neg-pos 73 20.2 0.2 60.3 0.1 0.1 0.0 20.2 -48.8
pair MACDhist MRmean neg-neg 119 33.0 -0.1 52.9 0.1 0.1 -0.0 20.6 -68.5
pair MRmean MACDhist neg-neg 119 33.0 -0.1 52.9 0.1 0.1 -0.0 20.6 -68.5
pair MACD LWTI neg-neg 61 16.9 -0.5 49.2 0.1 0.1 -0.0 21.0 -48.9
pair RSIhist LWTI pos-neg 40 11.1 -0.5 45.0 0.1 0.1 -0.0 16.5 -31.8
pair LWTI RSIhist pos-neg 40 11.1 -0.5 45.0 0.1 0.1 -0.0 16.5 -31.8
pair LWTI MACD neg-neg 61 16.9 -0.5 49.2 0.1 0.1 -0.0 21.0 -48.9
pair MACDhist SLmean neg-neg 104 28.8 -0.9 55.8 0.1 0.1 -0.0 21.0 -64.5
pair SLmean MACDhist neg-neg 104 28.8 -0.9 55.8 0.1 0.1 -0.0 21.0 -64.5
pair LWTI RSI neg-neg 73 20.2 -1.0 50.7 0.1 0.1 -0.0 21.5 -61.6
pair RSI LWTI neg-neg 73 20.2 -1.0 50.7 0.1 0.1 -0.0 21.5 -61.6
pair SLmean LWTI pos-neg 43 11.9 -1.2 46.5 0.0 0.0 -0.0 16.9 -30.9
pair LWTI SLmean pos-neg 43 11.9 -1.2 46.5 0.0 0.0 -0.0 16.9 -30.9
pair MACD MRmean neg-pos 62 17.2 -1.3 53.2 0.0 0.1 -0.0 20.4 -45.5
pair MRmean MACD neg-pos 62 17.2 -1.3 53.2 0.0 0.1 -0.0 20.4 -45.5
pair MACD MACDhist pos-neg 95 26.3 -1.5 54.7 0.0 0.0 -0.0 18.2 -45.3
pair MACDhist MACD pos-neg 95 26.3 -1.5 54.7 0.0 0.0 -0.0 18.2 -45.3
pair SLmean MRmean neg-pos 18 5.0 -1.8 38.9 -0.0 -0.0 -0.1 19.8 -14.7
pair MRmean SLmean neg-pos 18 5.0 -1.8 38.9 -0.0 -0.0 -0.1 19.8 -14.7
pair RSI SLmean neg-pos 47 13.0 -2.6 59.6 -0.1 -0.1 -0.1 16.1 -32.6
pair SLmean RSI neg-pos 47 13.0 -2.6 59.6 -0.1 -0.1 -0.1 16.1 -32.6
pair LWTI MACDhist neg-neg 85 23.5 -4.2 48.2 -0.1 -0.2 -0.1 20.9 -62.6
pair MACDhist LWTI neg-neg 85 23.5 -4.2 48.2 -0.1 -0.2 -0.1 20.9 -62.6
single LWTI LWTI neg-neg 94 26.0 -4.5 47.9 -0.1 -0.2 -0.1 20.3 -62.7
pair LWTI RSmean pos-neg 94 26.0 -4.5 47.9 -0.1 -0.2 -0.1 20.3 -62.7
pair RSmean LWTI pos-neg 94 26.0 -4.5 47.9 -0.1 -0.2 -0.1 20.3 -62.7
pair MRmean RSIhist neg-pos 11 3.0 -6.7 27.3 -0.2 -1.0 -0.6 22.6 -11.9
pair RSIhist MRmean neg-pos 11 3.0 -6.7 27.3 -0.2 -1.0 -0.6 22.6 -11.9
pair RSI MRmean neg-pos 34 9.4 -6.8 47.1 -0.4 -0.6 -0.2 15.5 -37.9
pair MRmean RSI neg-pos 34 9.4 -6.8 47.1 -0.4 -0.6 -0.2 15.5 -37.9
pair LWTI MRmean neg-neg 64 17.7 -6.8 46.9 -0.2 -0.3 -0.1 22.8 -64.2
pair MRmean LWTI neg-neg 64 17.7 -6.8 46.9 -0.2 -0.3 -0.1 22.8 -64.2
pair LWTI MACDhist pos-neg 9 2.5 -7.0 44.4 -0.4 -0.4 -0.6 15.4 -11.7
pair MACDhist LWTI pos-neg 9 2.5 -7.0 44.4 -0.4 -0.4 -0.6 15.4 -11.7
pair LWTI SLmean neg-neg 51 14.1 -7.2 49.0 -0.2 -0.3 -0.1 23.0 -59.7
pair SLmean LWTI neg-neg 51 14.1 -7.2 49.0 -0.2 -0.3 -0.1 23.0 -59.7
pair LWTI RSIhist neg-neg 54 15.0 -7.3 50.0 -0.2 -0.3 -0.1 22.9 -58.7
pair RSIhist LWTI neg-neg 54 15.0 -7.3 50.0 -0.2 -0.3 -0.1 22.9 -58.7
pair MACD LWTI pos-neg 33 9.1 -11.4 45.5 -0.5 -0.8 -0.3 19.2 -44.1
pair LWTI MACD pos-neg 33 9.1 -11.4 45.5 -0.5 -0.8 -0.3 19.2 -44.1
pair MACD RSmean neg-pos 10 2.8 -14.1 60.0 -0.5 -0.5 -0.7 24.3 -21.6
pair RSmean MACD neg-pos 10 2.8 -14.1 60.0 -0.5 -0.5 -0.7 24.3 -21.6
pair LWTI RSI pos-neg 21 5.8 -15.8 38.1 -1.0 -1.4 -0.5 15.3 -29.3
pair RSI LWTI pos-neg 21 5.8 -15.8 38.1 -1.0 -1.4 -0.5 15.3 -29.3
pair SLmean RSIhist neg-pos 5 1.4 -24.9 20.0 -1.1 -2.1 -2.0 24.7 -12.3
pair RSIhist SLmean neg-pos 5 1.4 -24.9 20.0 -1.1 -2.1 -2.0 24.7 -12.3
pair MACDhist RSmean neg-pos 1 0.3 -28.8 0.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 0.3 -28.8 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for EWU

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 9.3% | Win 62%
Sharpe 0.76 | Sortino 1.18 | Calmar 0.4
Vol 13% | MDD -22.4%
Months 213M (59%)
CAGR 4.3% | Win 73%
Sharpe 0.32 | Sortino 0.39 | Calmar 0.4
Vol 18% | MDD -10.2%
Months 22M (6%)
CAGR 8.9% | Win 63%
Sharpe 0.70 | Sortino 1.02 | Calmar 0.4
Vol 14% | MDD -25.0%
Months 235M (65%)
MRmean
neg
CAGR -1.8% | Win 39%
Sharpe -0.00 | Sortino -0.01 | Calmar -0.1
Vol 20% | MDD -14.7%
Months 18M (5%)
CAGR 1.6% | Win 56%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.0
Vol 21% | MDD -64.5%
Months 108M (30%)
CAGR 1.1% | Win 54%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 21% | MDD -68.5%
Months 126M (35%)
SLmean
only
CAGR 8.4% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 231M (64%)
CAGR 2.1% | Win 59%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -65.0%
Months 130M (36%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 9.0% | Win 62%
Sharpe 0.70 | Sortino 1.02 | Calmar 0.4
Vol 14% | MDD -25.0%
Months 229M (63%)
CAGR 5.2% | Win 67%
Sharpe 0.50 | Sortino 1.92 | Calmar 0.8
Vol 11% | MDD -6.7%
Months 6M (2%)
CAGR 8.9% | Win 63%
Sharpe 0.70 | Sortino 1.02 | Calmar 0.4
Vol 14% | MDD -25.0%
Months 235M (65%)
MRmean
neg
CAGR 0.3% | Win 51%
Sharpe 0.12 | Sortino 0.20 | Calmar 0.0
Vol 21% | MDD -68.5%
Months 108M (30%)
CAGR 6.0% | Win 72%
Sharpe 0.40 | Sortino 0.32 | Calmar 0.3
Vol 20% | MDD -21.6%
Months 18M (5%)
CAGR 1.1% | Win 54%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 21% | MDD -68.5%
Months 126M (35%)
RSmean
only
CAGR 6.1% | Win 59%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.1
Vol 16% | MDD -59.9%
Months 337M (93%)
CAGR 5.8% | Win 71%
Sharpe 0.41 | Sortino 0.35 | Calmar 0.3
Vol 18% | MDD -21.6%
Months 24M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.6% | Win 61%
Sharpe 0.42 | Sortino 0.58 | Calmar 0.2
Vol 13% | MDD -30.7%
Months 184M (51%)
CAGR 25.5% | Win 69%
Sharpe 1.61 | Sortino 2.50 | Calmar 1.7
Vol 15% | MDD -15.3%
Months 51M (14%)
CAGR 8.9% | Win 63%
Sharpe 0.70 | Sortino 1.02 | Calmar 0.4
Vol 14% | MDD -25.0%
Months 235M (65%)
MRmean
neg
CAGR -1.3% | Win 53%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 20% | MDD -45.5%
Months 62M (17%)
CAGR 3.5% | Win 55%
Sharpe 0.27 | Sortino 0.42 | Calmar 0.1
Vol 21% | MDD -50.9%
Months 64M (18%)
CAGR 1.1% | Win 54%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 21% | MDD -68.5%
Months 126M (35%)
MACD
only
CAGR 3.1% | Win 59%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 15% | MDD -43.9%
Months 246M (68%)
CAGR 12.7% | Win 61%
Sharpe 0.73 | Sortino 1.11 | Calmar 0.3
Vol 19% | MDD -38.1%
Months 115M (32%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 7.0% | Win 62%
Sharpe 0.57 | Sortino 0.82 | Calmar 0.2
Vol 14% | MDD -32.1%
Months 213M (59%)
CAGR 28.4% | Win 73%
Sharpe 2.07 | Sortino 4.12 | Calmar 5.3
Vol 13% | MDD -5.3%
Months 22M (6%)
CAGR 8.9% | Win 63%
Sharpe 0.70 | Sortino 1.02 | Calmar 0.4
Vol 14% | MDD -25.0%
Months 235M (65%)
MRmean
neg
CAGR -6.8% | Win 47%
Sharpe -0.38 | Sortino -0.56 | Calmar -0.2
Vol 16% | MDD -37.9%
Months 34M (9%)
CAGR 4.2% | Win 56%
Sharpe 0.30 | Sortino 0.44 | Calmar 0.1
Vol 22% | MDD -61.0%
Months 92M (26%)
CAGR 1.1% | Win 54%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 21% | MDD -68.5%
Months 126M (35%)
RSI
only
CAGR 5.0% | Win 60%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 14% | MDD -47.6%
Months 247M (68%)
CAGR 8.5% | Win 60%
Sharpe 0.49 | Sortino 0.71 | Calmar 0.1
Vol 21% | MDD -58.1%
Months 114M (32%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 8.3% | Win 62%
Sharpe 0.67 | Sortino 0.98 | Calmar 0.4
Vol 13% | MDD -22.7%
Months 174M (48%)
CAGR 10.5% | Win 64%
Sharpe 0.76 | Sortino 1.11 | Calmar 0.6
Vol 14% | MDD -17.1%
Months 61M (17%)
CAGR 8.9% | Win 63%
Sharpe 0.70 | Sortino 1.02 | Calmar 0.4
Vol 14% | MDD -25.0%
Months 235M (65%)
MRmean
neg
CAGR 23.2% | Win 71%
Sharpe 0.92 | Sortino 1.54 | Calmar 2.4
Vol 26% | MDD -9.8%
Months 7M (2%)
CAGR -0.1% | Win 53%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 21% | MDD -68.5%
Months 119M (33%)
CAGR 1.1% | Win 54%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 21% | MDD -68.5%
Months 126M (35%)
MACDhist
only
CAGR 8.8% | Win 62%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.3
Vol 14% | MDD -30.3%
Months 181M (50%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 19% | MDD -67.5%
Months 180M (50%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 9.6% | Win 62%
Sharpe 0.76 | Sortino 1.13 | Calmar 0.5
Vol 13% | MDD -20.2%
Months 176M (49%)
CAGR 6.6% | Win 64%
Sharpe 0.53 | Sortino 0.72 | Calmar 0.3
Vol 14% | MDD -19.5%
Months 59M (16%)
CAGR 8.9% | Win 63%
Sharpe 0.70 | Sortino 1.02 | Calmar 0.4
Vol 14% | MDD -25.0%
Months 235M (65%)
MRmean
neg
CAGR -6.7% | Win 27%
Sharpe -0.21 | Sortino -1.00 | Calmar -0.6
Vol 23% | MDD -11.9%
Months 11M (3%)
CAGR 1.9% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 21% | MDD -63.6%
Months 115M (32%)
CAGR 1.1% | Win 54%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 21% | MDD -68.5%
Months 126M (35%)
RSIhist
only
CAGR 8.6% | Win 60%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.3
Vol 14% | MDD -25.2%
Months 187M (52%)
CAGR 3.5% | Win 59%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 19% | MDD -58.5%
Months 174M (48%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 10.1% | Win 64%
Sharpe 0.79 | Sortino 1.17 | Calmar 0.4
Vol 14% | MDD -24.7%
Months 205M (57%)
CAGR 0.6% | Win 50%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 14% | MDD -22.6%
Months 30M (8%)
CAGR 8.9% | Win 63%
Sharpe 0.70 | Sortino 1.02 | Calmar 0.4
Vol 14% | MDD -25.0%
Months 235M (65%)
MRmean
neg
CAGR 10.0% | Win 61%
Sharpe 0.61 | Sortino 0.78 | Calmar 0.4
Vol 19% | MDD -22.7%
Months 62M (17%)
CAGR -6.8% | Win 47%
Sharpe -0.20 | Sortino -0.33 | Calmar -0.1
Vol 23% | MDD -64.2%
Months 64M (18%)
CAGR 1.1% | Win 54%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 21% | MDD -68.5%
Months 126M (35%)
LWTI
only
CAGR 10.1% | Win 64%
Sharpe 0.73 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -36.3%
Months 267M (74%)
CAGR -4.5% | Win 48%
Sharpe -0.12 | Sortino -0.19 | Calmar -0.1
Vol 20% | MDD -62.7%
Months 94M (26%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 8.5% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 14% | MDD -30.3%
Months 225M (62%)
CAGR 5.2% | Win 67%
Sharpe 0.50 | Sortino 1.92 | Calmar 0.8
Vol 11% | MDD -6.7%
Months 6M (2%)
CAGR 8.4% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 231M (64%)
SLmean
neg
CAGR 1.4% | Win 57%
Sharpe 0.17 | Sortino 0.27 | Calmar 0.0
Vol 21% | MDD -65.0%
Months 112M (31%)
CAGR 6.0% | Win 72%
Sharpe 0.40 | Sortino 0.32 | Calmar 0.3
Vol 20% | MDD -21.6%
Months 18M (5%)
CAGR 2.1% | Win 59%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -65.0%
Months 130M (36%)
RSmean
only
CAGR 6.1% | Win 59%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.1
Vol 16% | MDD -59.9%
Months 337M (93%)
CAGR 5.8% | Win 71%
Sharpe 0.41 | Sortino 0.35 | Calmar 0.3
Vol 18% | MDD -21.6%
Months 24M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 4.4% | Win 58%
Sharpe 0.41 | Sortino 0.61 | Calmar 0.1
Vol 12% | MDD -40.0%
Months 173M (48%)
CAGR 21.4% | Win 64%
Sharpe 1.30 | Sortino 2.44 | Calmar 1.2
Vol 16% | MDD -17.3%
Months 58M (16%)
CAGR 8.4% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 231M (64%)
SLmean
neg
CAGR 0.2% | Win 60%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 20% | MDD -48.8%
Months 73M (20%)
CAGR 4.5% | Win 58%
Sharpe 0.31 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -46.4%
Months 57M (16%)
CAGR 2.1% | Win 59%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -65.0%
Months 130M (36%)
MACD
only
CAGR 3.1% | Win 59%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 15% | MDD -43.9%
Months 246M (68%)
CAGR 12.7% | Win 61%
Sharpe 0.73 | Sortino 1.11 | Calmar 0.3
Vol 19% | MDD -38.1%
Months 115M (32%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 6.9% | Win 60%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 13% | MDD -33.2%
Months 200M (55%)
CAGR 18.9% | Win 61%
Sharpe 1.21 | Sortino 3.54 | Calmar 1.9
Vol 15% | MDD -9.7%
Months 31M (9%)
CAGR 8.4% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 231M (64%)
SLmean
neg
CAGR -2.6% | Win 60%
Sharpe -0.09 | Sortino -0.11 | Calmar -0.1
Vol 16% | MDD -32.6%
Months 47M (13%)
CAGR 4.8% | Win 59%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 23% | MDD -57.4%
Months 83M (23%)
CAGR 2.1% | Win 59%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -65.0%
Months 130M (36%)
RSI
only
CAGR 5.0% | Win 60%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 14% | MDD -47.6%
Months 247M (68%)
CAGR 8.5% | Win 60%
Sharpe 0.49 | Sortino 0.71 | Calmar 0.1
Vol 21% | MDD -58.1%
Months 114M (32%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 7.9% | Win 61%
Sharpe 0.66 | Sortino 0.98 | Calmar 0.4
Vol 13% | MDD -18.2%
Months 155M (43%)
CAGR 9.6% | Win 58%
Sharpe 0.67 | Sortino 1.32 | Calmar 0.3
Vol 15% | MDD -28.2%
Months 76M (21%)
CAGR 8.4% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 231M (64%)
SLmean
neg
CAGR 14.8% | Win 73%
Sharpe 0.81 | Sortino 1.23 | Calmar 0.9
Vol 19% | MDD -16.7%
Months 26M (7%)
CAGR -0.9% | Win 56%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 21% | MDD -64.5%
Months 104M (29%)
CAGR 2.1% | Win 59%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -65.0%
Months 130M (36%)
MACDhist
only
CAGR 8.8% | Win 62%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.3
Vol 14% | MDD -30.3%
Months 181M (50%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 19% | MDD -67.5%
Months 180M (50%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 9.7% | Win 61%
Sharpe 0.75 | Sortino 1.23 | Calmar 0.5
Vol 14% | MDD -20.5%
Months 182M (50%)
CAGR 3.8% | Win 55%
Sharpe 0.35 | Sortino 0.55 | Calmar 0.2
Vol 13% | MDD -24.7%
Months 49M (14%)
CAGR 8.4% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 231M (64%)
SLmean
neg
CAGR -24.9% | Win 20%
Sharpe -1.05 | Sortino -2.12 | Calmar -2.0
Vol 25% | MDD -12.3%
Months 5M (1%)
CAGR 3.3% | Win 61%
Sharpe 0.26 | Sortino 0.36 | Calmar 0.1
Vol 20% | MDD -62.1%
Months 125M (35%)
CAGR 2.1% | Win 59%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -65.0%
Months 130M (36%)
RSIhist
only
CAGR 8.6% | Win 60%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.3
Vol 14% | MDD -25.2%
Months 187M (52%)
CAGR 3.5% | Win 59%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 19% | MDD -58.5%
Months 174M (48%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 10.7% | Win 63%
Sharpe 0.87 | Sortino 1.41 | Calmar 0.6
Vol 13% | MDD -18.8%
Months 188M (52%)
CAGR -1.2% | Win 46%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 17% | MDD -30.9%
Months 43M (12%)
CAGR 8.4% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 231M (64%)
SLmean
neg
CAGR 8.5% | Win 66%
Sharpe 0.53 | Sortino 0.68 | Calmar 0.3
Vol 19% | MDD -31.3%
Months 79M (22%)
CAGR -7.2% | Win 49%
Sharpe -0.21 | Sortino -0.33 | Calmar -0.1
Vol 23% | MDD -59.7%
Months 51M (14%)
CAGR 2.1% | Win 59%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -65.0%
Months 130M (36%)
LWTI
only
CAGR 10.1% | Win 64%
Sharpe 0.73 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -36.3%
Months 267M (74%)
CAGR -4.5% | Win 48%
Sharpe -0.12 | Sortino -0.19 | Calmar -0.1
Vol 20% | MDD -62.7%
Months 94M (26%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.9% | Win 59%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 15% | MDD -39.2%
Months 236M (65%)
CAGR 11.4% | Win 58%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 20% | MDD -38.1%
Months 101M (28%)
CAGR 6.1% | Win 59%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.1
Vol 16% | MDD -59.9%
Months 337M (93%)
RSmean
neg
CAGR -14.1% | Win 60%
Sharpe -0.50 | Sortino -0.45 | Calmar -0.7
Vol 24% | MDD -21.6%
Months 10M (3%)
CAGR 22.7% | Win 79%
Sharpe 1.98 | Sortino 2.83 | Calmar 4.3
Vol 11% | MDD -5.3%
Months 14M (4%)
CAGR 5.8% | Win 71%
Sharpe 0.41 | Sortino 0.35 | Calmar 0.3
Vol 18% | MDD -21.6%
Months 24M (7%)
MACD
only
CAGR 3.1% | Win 59%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 15% | MDD -43.9%
Months 246M (68%)
CAGR 12.7% | Win 61%
Sharpe 0.73 | Sortino 1.11 | Calmar 0.3
Vol 19% | MDD -38.1%
Months 115M (32%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 4.9% | Win 60%
Sharpe 0.42 | Sortino 0.59 | Calmar 0.1
Vol 14% | MDD -46.2%
Months 237M (66%)
CAGR 8.9% | Win 57%
Sharpe 0.51 | Sortino 0.83 | Calmar 0.2
Vol 21% | MDD -58.1%
Months 100M (28%)
CAGR 6.1% | Win 59%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.1
Vol 16% | MDD -59.9%
Months 337M (93%)
RSmean
neg
CAGR 6.2% | Win 60%
Sharpe 0.54 | Sortino 1.77 | Calmar 1.1
Vol 12% | MDD -5.8%
Months 10M (3%)
CAGR 5.5% | Win 79%
Sharpe 0.36 | Sortino 0.24 | Calmar 0.3
Vol 21% | MDD -18.5%
Months 14M (4%)
CAGR 5.8% | Win 71%
Sharpe 0.41 | Sortino 0.35 | Calmar 0.3
Vol 18% | MDD -21.6%
Months 24M (7%)
RSI
only
CAGR 5.0% | Win 60%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 14% | MDD -47.6%
Months 247M (68%)
CAGR 8.5% | Win 60%
Sharpe 0.49 | Sortino 0.71 | Calmar 0.1
Vol 21% | MDD -58.1%
Months 114M (32%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.1% | Win 63%
Sharpe 0.70 | Sortino 1.03 | Calmar 0.3
Vol 14% | MDD -30.3%
Months 180M (50%)
CAGR 2.8% | Win 54%
Sharpe 0.24 | Sortino 0.38 | Calmar 0.0
Vol 19% | MDD -68.0%
Months 157M (44%)
CAGR 6.1% | Win 59%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.1
Vol 16% | MDD -59.9%
Months 337M (93%)
RSmean
neg
CAGR -28.8% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 7.6% | Win 74%
Sharpe 0.50 | Sortino 0.40 | Calmar 0.4
Vol 18% | MDD -21.6%
Months 23M (6%)
CAGR 5.8% | Win 71%
Sharpe 0.41 | Sortino 0.35 | Calmar 0.3
Vol 18% | MDD -21.6%
Months 24M (7%)
MACDhist
only
CAGR 8.8% | Win 62%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.3
Vol 14% | MDD -30.3%
Months 181M (50%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 19% | MDD -67.5%
Months 180M (50%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 8.5% | Win 60%
Sharpe 0.65 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -27.0%
Months 184M (51%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 19% | MDD -57.4%
Months 153M (42%)
CAGR 6.1% | Win 59%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.1
Vol 16% | MDD -59.9%
Months 337M (93%)
RSmean
neg
CAGR 16.8% | Win 67%
Sharpe 1.26 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 3M (1%)
CAGR 4.3% | Win 71%
Sharpe 0.32 | Sortino 0.27 | Calmar 0.2
Vol 19% | MDD -21.6%
Months 21M (6%)
CAGR 5.8% | Win 71%
Sharpe 0.41 | Sortino 0.35 | Calmar 0.3
Vol 18% | MDD -21.6%
Months 24M (7%)
RSIhist
only
CAGR 8.6% | Win 60%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.3
Vol 14% | MDD -25.2%
Months 187M (52%)
CAGR 3.5% | Win 59%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 19% | MDD -58.5%
Months 174M (48%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 10.5% | Win 63%
Sharpe 0.77 | Sortino 1.17 | Calmar 0.4
Vol 14% | MDD -28.0%
Months 243M (67%)
CAGR -4.5% | Win 48%
Sharpe -0.12 | Sortino -0.19 | Calmar -0.1
Vol 20% | MDD -62.7%
Months 94M (26%)
CAGR 6.1% | Win 59%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.1
Vol 16% | MDD -59.9%
Months 337M (93%)
RSmean
neg
CAGR 5.8% | Win 71%
Sharpe 0.41 | Sortino 0.35 | Calmar 0.3
Vol 18% | MDD -21.6%
Months 24M (7%)
-
CAGR 5.8% | Win 71%
Sharpe 0.41 | Sortino 0.35 | Calmar 0.3
Vol 18% | MDD -21.6%
Months 24M (7%)
LWTI
only
CAGR 10.1% | Win 64%
Sharpe 0.73 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -36.3%
Months 267M (74%)
CAGR -4.5% | Win 48%
Sharpe -0.12 | Sortino -0.19 | Calmar -0.1
Vol 20% | MDD -62.7%
Months 94M (26%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 2.8% | Win 59%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 13% | MDD -45.4%
Months 218M (60%)
CAGR 5.8% | Win 61%
Sharpe 0.35 | Sortino 0.49 | Calmar 0.2
Vol 25% | MDD -25.1%
Months 28M (8%)
CAGR 3.1% | Win 59%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 15% | MDD -43.9%
Months 246M (68%)
MACD
neg
CAGR 23.4% | Win 66%
Sharpe 1.35 | Sortino 2.05 | Calmar 1.1
Vol 17% | MDD -20.4%
Months 29M (8%)
CAGR 9.4% | Win 59%
Sharpe 0.56 | Sortino 0.84 | Calmar 0.2
Vol 20% | MDD -47.3%
Months 86M (24%)
CAGR 12.7% | Win 61%
Sharpe 0.73 | Sortino 1.11 | Calmar 0.3
Vol 19% | MDD -38.1%
Months 115M (32%)
RSI
only
CAGR 5.0% | Win 60%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 14% | MDD -47.6%
Months 247M (68%)
CAGR 8.5% | Win 60%
Sharpe 0.49 | Sortino 0.71 | Calmar 0.1
Vol 21% | MDD -58.1%
Months 114M (32%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 6.1% | Win 62%
Sharpe 0.53 | Sortino 0.74 | Calmar 0.2
Vol 13% | MDD -30.3%
Months 151M (42%)
CAGR -1.5% | Win 55%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 18% | MDD -45.3%
Months 95M (26%)
CAGR 3.1% | Win 59%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 15% | MDD -43.9%
Months 246M (68%)
MACD
neg
CAGR 23.8% | Win 67%
Sharpe 1.31 | Sortino 2.02 | Calmar 1.5
Vol 18% | MDD -15.9%
Months 30M (8%)
CAGR 9.1% | Win 59%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 19% | MDD -48.6%
Months 85M (24%)
CAGR 12.7% | Win 61%
Sharpe 0.73 | Sortino 1.11 | Calmar 0.3
Vol 19% | MDD -38.1%
Months 115M (32%)
MACDhist
only
CAGR 8.8% | Win 62%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.3
Vol 14% | MDD -30.3%
Months 181M (50%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 19% | MDD -67.5%
Months 180M (50%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 5.4% | Win 60%
Sharpe 0.48 | Sortino 0.70 | Calmar 0.2
Vol 13% | MDD -28.1%
Months 137M (38%)
CAGR 0.3% | Win 58%
Sharpe 0.10 | Sortino 0.14 | Calmar 0.0
Vol 18% | MDD -43.0%
Months 109M (30%)
CAGR 3.1% | Win 59%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 15% | MDD -43.9%
Months 246M (68%)
MACD
neg
CAGR 17.8% | Win 60%
Sharpe 1.05 | Sortino 2.08 | Calmar 1.2
Vol 17% | MDD -15.3%
Months 50M (14%)
CAGR 9.0% | Win 62%
Sharpe 0.53 | Sortino 0.74 | Calmar 0.2
Vol 20% | MDD -43.3%
Months 65M (18%)
CAGR 12.7% | Win 61%
Sharpe 0.73 | Sortino 1.11 | Calmar 0.3
Vol 19% | MDD -38.1%
Months 115M (32%)
RSIhist
only
CAGR 8.6% | Win 60%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.3
Vol 14% | MDD -25.2%
Months 187M (52%)
CAGR 3.5% | Win 59%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 19% | MDD -58.5%
Months 174M (48%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 5.6% | Win 61%
Sharpe 0.45 | Sortino 0.59 | Calmar 0.1
Vol 14% | MDD -45.5%
Months 213M (59%)
CAGR -11.4% | Win 46%
Sharpe -0.53 | Sortino -0.84 | Calmar -0.3
Vol 19% | MDD -44.1%
Months 33M (9%)
CAGR 3.1% | Win 59%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 15% | MDD -43.9%
Months 246M (68%)
MACD
neg
CAGR 29.9% | Win 74%
Sharpe 1.78 | Sortino 2.92 | Calmar 1.9
Vol 16% | MDD -15.9%
Months 54M (15%)
CAGR -0.5% | Win 49%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 21% | MDD -48.9%
Months 61M (17%)
CAGR 12.7% | Win 61%
Sharpe 0.73 | Sortino 1.11 | Calmar 0.3
Vol 19% | MDD -38.1%
Months 115M (32%)
LWTI
only
CAGR 10.1% | Win 64%
Sharpe 0.73 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -36.3%
Months 267M (74%)
CAGR -4.5% | Win 48%
Sharpe -0.12 | Sortino -0.19 | Calmar -0.1
Vol 20% | MDD -62.7%
Months 94M (26%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 6.7% | Win 62%
Sharpe 0.55 | Sortino 0.78 | Calmar 0.2
Vol 13% | MDD -38.9%
Months 168M (46%)
CAGR 1.4% | Win 54%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.0
Vol 15% | MDD -43.1%
Months 79M (22%)
CAGR 5.0% | Win 60%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 14% | MDD -47.6%
Months 247M (68%)
RSI
neg
CAGR 40.4% | Win 69%
Sharpe 2.10 | Sortino 7.06 | Calmar 11.6
Vol 17% | MDD -3.5%
Months 13M (4%)
CAGR 4.9% | Win 58%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 21% | MDD -59.2%
Months 101M (28%)
CAGR 8.5% | Win 60%
Sharpe 0.49 | Sortino 0.71 | Calmar 0.1
Vol 21% | MDD -58.1%
Months 114M (32%)
MACDhist
only
CAGR 8.8% | Win 62%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.3
Vol 14% | MDD -30.3%
Months 181M (50%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 19% | MDD -67.5%
Months 180M (50%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 7.1% | Win 60%
Sharpe 0.58 | Sortino 0.86 | Calmar 0.3
Vol 14% | MDD -27.0%
Months 157M (44%)
CAGR 1.4% | Win 58%
Sharpe 0.17 | Sortino 0.23 | Calmar 0.0
Vol 15% | MDD -37.5%
Months 90M (25%)
CAGR 5.0% | Win 60%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 14% | MDD -47.6%
Months 247M (68%)
RSI
neg
CAGR 16.6% | Win 57%
Sharpe 0.99 | Sortino 3.13 | Calmar 1.4
Vol 17% | MDD -12.0%
Months 30M (8%)
CAGR 5.7% | Win 61%
Sharpe 0.36 | Sortino 0.51 | Calmar 0.1
Vol 22% | MDD -55.0%
Months 84M (23%)
CAGR 8.5% | Win 60%
Sharpe 0.49 | Sortino 0.71 | Calmar 0.1
Vol 21% | MDD -58.1%
Months 114M (32%)
RSIhist
only
CAGR 8.6% | Win 60%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.3
Vol 14% | MDD -25.2%
Months 187M (52%)
CAGR 3.5% | Win 59%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 19% | MDD -58.5%
Months 174M (48%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.2% | Win 62%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.2
Vol 14% | MDD -43.6%
Months 226M (63%)
CAGR -15.8% | Win 38%
Sharpe -1.04 | Sortino -1.35 | Calmar -0.5
Vol 15% | MDD -29.3%
Months 21M (6%)
CAGR 5.0% | Win 60%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 14% | MDD -47.6%
Months 247M (68%)
RSI
neg
CAGR 27.6% | Win 76%
Sharpe 1.35 | Sortino 1.42 | Calmar 1.4
Vol 20% | MDD -20.4%
Months 41M (11%)
CAGR -1.0% | Win 51%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.0
Vol 22% | MDD -61.6%
Months 73M (20%)
CAGR 8.5% | Win 60%
Sharpe 0.49 | Sortino 0.71 | Calmar 0.1
Vol 21% | MDD -58.1%
Months 114M (32%)
LWTI
only
CAGR 10.1% | Win 64%
Sharpe 0.73 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -36.3%
Months 267M (74%)
CAGR -4.5% | Win 48%
Sharpe -0.12 | Sortino -0.19 | Calmar -0.1
Vol 20% | MDD -62.7%
Months 94M (26%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 8.5% | Win 62%
Sharpe 0.69 | Sortino 1.00 | Calmar 0.5
Vol 13% | MDD -17.2%
Months 143M (40%)
CAGR 9.9% | Win 66%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.6
Vol 16% | MDD -17.1%
Months 38M (10%)
CAGR 8.8% | Win 62%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.3
Vol 14% | MDD -30.3%
Months 181M (50%)
MACDhist
neg
CAGR 8.8% | Win 55%
Sharpe 0.58 | Sortino 1.35 | Calmar 0.4
Vol 17% | MDD -22.3%
Months 44M (12%)
CAGR 1.7% | Win 57%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 19% | MDD -64.5%
Months 136M (38%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 19% | MDD -67.5%
Months 180M (50%)
RSIhist
only
CAGR 8.6% | Win 60%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.3
Vol 14% | MDD -25.2%
Months 187M (52%)
CAGR 3.5% | Win 59%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 19% | MDD -58.5%
Months 174M (48%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 9.7% | Win 63%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.5
Vol 14% | MDD -21.4%
Months 172M (48%)
CAGR -7.0% | Win 44%
Sharpe -0.40 | Sortino -0.36 | Calmar -0.6
Vol 15% | MDD -11.7%
Months 9M (2%)
CAGR 8.8% | Win 62%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.3
Vol 14% | MDD -30.3%
Months 181M (50%)
MACDhist
neg
CAGR 10.7% | Win 64%
Sharpe 0.70 | Sortino 0.85 | Calmar 0.4
Vol 17% | MDD -28.4%
Months 95M (26%)
CAGR -4.2% | Win 48%
Sharpe -0.10 | Sortino -0.17 | Calmar -0.1
Vol 21% | MDD -62.6%
Months 85M (24%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 19% | MDD -67.5%
Months 180M (50%)
LWTI
only
CAGR 10.1% | Win 64%
Sharpe 0.73 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -36.3%
Months 267M (74%)
CAGR -4.5% | Win 48%
Sharpe -0.12 | Sortino -0.19 | Calmar -0.1
Vol 20% | MDD -62.7%
Months 94M (26%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 11.2% | Win 64%
Sharpe 0.87 | Sortino 1.36 | Calmar 0.6
Vol 13% | MDD -18.2%
Months 147M (41%)
CAGR -0.5% | Win 45%
Sharpe 0.05 | Sortino 0.09 | Calmar -0.0
Vol 16% | MDD -31.8%
Months 40M (11%)
CAGR 8.6% | Win 60%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.3
Vol 14% | MDD -25.2%
Months 187M (52%)
RSIhist
neg
CAGR 8.7% | Win 63%
Sharpe 0.59 | Sortino 0.77 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 120M (33%)
CAGR -7.3% | Win 50%
Sharpe -0.22 | Sortino -0.34 | Calmar -0.1
Vol 23% | MDD -58.7%
Months 54M (15%)
CAGR 3.5% | Win 59%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 19% | MDD -58.5%
Months 174M (48%)
LWTI
only
CAGR 10.1% | Win 64%
Sharpe 0.73 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -36.3%
Months 267M (74%)
CAGR -4.5% | Win 48%
Sharpe -0.12 | Sortino -0.19 | Calmar -0.1
Vol 20% | MDD -62.7%
Months 94M (26%)