EWW - iShares MSCI Mexico ETF

Signal Pair Analysis

MRmean-RSIhist

Best Pair

44.8%

Best CAGR

105

Total Months

6.7%

Avg CAGR

EWW 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 EWW

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MRmean RSIhist neg-pos 10 2.7 44.8 60.0 1.3 2.2 3.0 31.4 -14.8
pair RSIhist MRmean neg-pos 10 2.7 44.8 60.0 1.3 2.2 3.0 31.4 -14.8
pair LWTI MRmean neg-neg 59 16.1 35.9 66.1 1.4 2.6 1.4 23.8 -26.0
pair MRmean LWTI neg-neg 59 16.1 35.9 66.1 1.4 2.6 1.4 23.8 -26.0
pair MRmean SLmean neg-pos 14 3.8 35.3 50.0 1.2 2.1 2.3 28.4 -15.5
pair SLmean MRmean neg-pos 14 3.8 35.3 50.0 1.2 2.1 2.3 28.4 -15.5
pair LWTI MACDhist neg-neg 80 21.8 34.9 67.5 1.3 2.5 1.2 25.0 -28.4
pair MACDhist LWTI neg-neg 80 21.8 34.9 67.5 1.3 2.5 1.2 25.0 -28.4
pair SLmean LWTI pos-neg 42 11.4 34.7 64.3 1.3 2.7 1.2 25.1 -29.7
pair LWTI SLmean pos-neg 42 11.4 34.7 64.3 1.3 2.7 1.2 25.1 -29.7
pair MACD LWTI neg-neg 74 20.2 33.8 67.6 1.3 2.5 1.3 24.5 -26.0
pair LWTI MACD neg-neg 74 20.2 33.8 67.6 1.3 2.5 1.3 24.5 -26.0
pair LWTI RSI neg-neg 67 18.3 33.8 64.2 1.3 2.7 1.3 25.8 -26.0
pair RSI LWTI neg-neg 67 18.3 33.8 64.2 1.3 2.7 1.3 25.8 -26.0
pair SLmean RSI pos-neg 23 6.3 33.8 56.5 1.1 2.8 1.4 31.2 -24.2
pair RSI SLmean pos-neg 23 6.3 33.8 56.5 1.1 2.8 1.4 31.2 -24.2
pair MACDhist MACD neg-neg 100 27.2 33.5 68.0 1.3 2.0 1.3 25.7 -26.0
pair MACD MACDhist neg-neg 100 27.2 33.5 68.0 1.3 2.0 1.3 25.7 -26.0
pair RSI RSIhist neg-pos 21 5.7 33.4 57.1 1.1 2.6 1.2 31.7 -27.7
pair RSIhist RSI neg-pos 21 5.7 33.4 57.1 1.1 2.6 1.2 31.7 -27.7
pair LWTI RSIhist pos-neg 41 11.2 31.6 63.4 1.2 2.5 1.1 25.1 -30.1
pair RSIhist LWTI pos-neg 41 11.2 31.6 63.4 1.2 2.5 1.1 25.1 -30.1
pair MACD RSmean pos-neg 111 30.2 31.2 67.6 1.2 1.9 1.2 24.7 -26.0
pair RSmean MACD pos-neg 111 30.2 31.2 67.6 1.2 1.9 1.2 24.7 -26.0
pair RSIhist MACDhist neg-pos 44 12.0 30.9 65.9 1.2 2.7 1.8 25.3 -17.1
pair MACDhist RSIhist neg-pos 44 12.0 30.9 65.9 1.2 2.7 1.8 25.3 -17.1
pair RSmean LWTI pos-neg 87 23.7 30.1 64.4 1.2 2.2 1.1 24.3 -28.4
pair LWTI RSmean pos-neg 87 23.7 30.1 64.4 1.2 2.2 1.1 24.3 -28.4
single LWTI LWTI neg-neg 92 25.1 29.2 64.1 1.2 2.2 1.0 24.0 -28.4
pair LWTI RSIhist neg-neg 51 13.9 27.3 64.7 1.1 2.0 1.1 23.4 -26.0
pair RSIhist LWTI neg-neg 51 13.9 27.3 64.7 1.1 2.0 1.1 23.4 -26.0
pair RSI MRmean pos-neg 14 3.8 26.5 50.0 0.9 2.9 1.1 30.3 -23.6
pair MRmean RSI pos-neg 14 3.8 26.5 50.0 0.9 2.9 1.1 30.3 -23.6
pair LWTI SLmean neg-neg 50 13.6 24.7 64.0 1.1 1.9 0.9 23.3 -26.0
pair SLmean LWTI neg-neg 50 13.6 24.7 64.0 1.1 1.9 0.9 23.3 -26.0
pair RSI MACD neg-neg 91 24.8 21.2 63.7 0.9 1.1 0.7 26.9 -31.9
pair MACD RSI neg-neg 91 24.8 21.2 63.7 0.9 1.1 0.7 26.9 -31.9
pair RSIhist MACD neg-pos 50 13.6 21.1 64.0 0.9 1.4 0.5 26.0 -39.5
pair MACD RSIhist neg-pos 50 13.6 21.1 64.0 0.9 1.4 0.5 26.0 -39.5
pair MACDhist SLmean pos-neg 61 16.6 21.0 60.7 0.8 1.3 0.7 28.8 -31.9
pair SLmean MACDhist pos-neg 61 16.6 21.0 60.7 0.8 1.3 0.7 28.8 -31.9
pair MACD MRmean neg-neg 78 21.3 20.8 66.7 0.9 1.0 0.7 26.2 -31.9
pair MRmean MACD neg-neg 78 21.3 20.8 66.7 0.9 1.0 0.7 26.2 -31.9
pair MACD SLmean pos-neg 62 16.9 19.9 62.9 0.8 1.2 0.6 28.7 -33.4
pair SLmean MACD pos-neg 62 16.9 19.9 62.9 0.8 1.2 0.6 28.7 -33.4
single MACD MACD neg-neg 132 36.0 19.7 65.2 0.8 1.0 0.5 26.9 -43.3
pair SLmean MACD neg-neg 70 19.1 19.6 67.1 0.8 0.9 0.6 25.3 -31.9
pair MACD SLmean neg-neg 70 19.1 19.6 67.1 0.8 0.9 0.6 25.3 -31.9
pair RSI MACDhist neg-neg 113 30.8 19.1 61.9 0.8 0.9 0.4 29.6 -48.2
pair MACDhist RSI neg-neg 113 30.8 19.1 61.9 0.8 0.9 0.4 29.6 -48.2
pair MACD RSIhist neg-neg 82 22.3 18.9 65.9 0.8 0.8 0.6 27.6 -31.9
pair RSIhist MACD neg-neg 82 22.3 18.9 65.9 0.8 0.8 0.6 27.6 -31.9
pair RSmean RSI pos-neg 105 28.6 18.4 61.0 0.7 0.8 0.4 30.3 -50.1
pair RSI RSmean pos-neg 105 28.6 18.4 61.0 0.7 0.8 0.4 30.3 -50.1
pair MRmean MACD pos-neg 54 14.7 18.2 63.0 0.7 1.0 0.5 28.0 -36.8
pair MACD MRmean pos-neg 54 14.7 18.2 63.0 0.7 1.0 0.5 28.0 -36.8
pair MRmean LWTI pos-neg 33 9.0 18.1 60.6 0.8 1.6 0.5 24.5 -37.0
pair LWTI MRmean pos-neg 33 9.0 18.1 60.6 0.8 1.6 0.5 24.5 -37.0
pair RSI LWTI pos-neg 25 6.8 17.7 64.0 1.0 1.2 0.9 18.5 -19.5
pair LWTI RSI pos-neg 25 6.8 17.7 64.0 1.0 1.2 0.9 18.5 -19.5
pair SLmean RSmean pos-pos 207 56.4 16.5 58.9 0.8 1.4 0.6 23.1 -29.0
pair RSmean SLmean pos-pos 207 56.4 16.5 58.9 0.8 1.4 0.6 23.1 -29.0
pair MACD RSI neg-pos 41 11.2 16.5 68.3 0.7 0.8 0.7 27.2 -25.2
pair RSI MACD neg-pos 41 11.2 16.5 68.3 0.7 0.8 0.7 27.2 -25.2
pair RSIhist SLmean pos-pos 177 48.2 15.3 60.5 0.7 1.3 0.3 22.8 -51.4
pair SLmean RSIhist pos-pos 177 48.2 15.3 60.5 0.7 1.3 0.3 22.8 -51.4
pair RSmean RSIhist pos-pos 173 47.1 15.2 59.0 0.8 1.4 0.4 22.3 -39.0
pair RSIhist RSmean pos-pos 173 47.1 15.2 59.0 0.8 1.4 0.4 22.3 -39.0
pair MACDhist RSmean pos-neg 154 42.0 14.2 60.4 0.6 0.7 0.2 29.6 -57.7
pair RSmean MACDhist pos-neg 154 42.0 14.2 60.4 0.6 0.7 0.2 29.6 -57.7
pair MACDhist MRmean pos-neg 53 14.4 14.2 60.4 0.6 1.0 0.6 28.9 -24.8
pair MRmean MACDhist pos-neg 53 14.4 14.2 60.4 0.6 1.0 0.6 28.9 -24.8
pair LWTI RSmean neg-neg 5 1.4 13.9 60.0 0.7 6.5 1.6 19.9 -8.6
pair RSmean LWTI neg-neg 5 1.4 13.9 60.0 0.7 6.5 1.6 19.9 -8.6
single SLmean SLmean pos-pos 221 60.2 13.5 58.8 0.7 1.1 0.3 23.7 -48.9
pair MRmean RSmean neg-pos 116 31.6 13.3 60.3 0.6 0.7 0.2 29.5 -56.1
single RSIhist RSIhist pos-pos 183 49.9 13.3 59.0 0.7 1.1 0.2 22.8 -58.0
pair RSmean MRmean neg-pos 116 31.6 13.3 60.3 0.6 0.7 0.2 29.5 -56.1
single MACDhist MACDhist neg-neg 177 48.2 12.7 59.9 0.6 0.7 0.2 28.7 -61.2
pair MRmean SLmean pos-pos 207 56.4 12.1 59.4 0.6 1.0 0.2 23.4 -51.0
pair MRmean MACDhist neg-neg 124 33.8 12.1 59.7 0.6 0.6 0.2 28.7 -57.8
pair MACDhist MRmean neg-neg 124 33.8 12.1 59.7 0.6 0.6 0.2 28.7 -57.8
pair SLmean MRmean pos-pos 207 56.4 12.1 59.4 0.6 1.0 0.2 23.4 -51.0
single RSmean RSmean pos-pos 337 91.8 12.0 58.5 0.6 0.8 0.2 25.6 -57.7
pair LWTI MACD pos-neg 18 4.9 11.9 50.0 0.6 1.0 0.5 22.4 -22.7
pair MACD LWTI pos-neg 18 4.9 11.9 50.0 0.6 1.0 0.5 22.4 -22.7
pair MRmean RSIhist pos-pos 173 47.1 11.7 59.0 0.6 1.1 0.2 22.3 -55.8
pair RSIhist MRmean pos-pos 173 47.1 11.7 59.0 0.6 1.1 0.2 22.3 -55.8
pair MRmean RSmean pos-pos 221 60.2 11.4 57.5 0.6 1.0 0.2 23.3 -53.7
pair RSmean MRmean pos-pos 221 60.2 11.4 57.5 0.6 1.0 0.2 23.3 -53.7
pair SLmean RSI pos-pos 198 54.0 11.3 59.1 0.6 0.9 0.3 22.7 -41.3
single RSI RSI neg-neg 123 33.5 11.3 59.3 0.5 0.6 0.2 31.0 -50.1
pair RSI SLmean pos-pos 198 54.0 11.3 59.1 0.6 0.9 0.3 22.7 -41.3
pair MACD SLmean pos-pos 159 43.3 11.0 57.2 0.6 1.0 0.3 21.4 -38.1
pair SLmean MACD pos-pos 159 43.3 11.0 57.2 0.6 1.0 0.3 21.4 -38.1
pair RSIhist RSI pos-pos 162 44.1 10.9 59.3 0.6 1.0 0.2 21.5 -45.6
pair RSI RSIhist pos-pos 162 44.1 10.9 59.3 0.6 1.0 0.2 21.5 -45.6
pair MACDhist SLmean pos-pos 160 43.6 10.7 58.1 0.6 1.0 0.2 21.4 -54.2
pair SLmean MACDhist pos-pos 160 43.6 10.7 58.1 0.6 1.0 0.2 21.4 -54.2
pair MACD RSIhist pos-pos 133 36.2 10.5 57.1 0.6 1.0 0.3 21.6 -38.3
pair RSIhist MACD pos-pos 133 36.2 10.5 57.1 0.6 1.0 0.3 21.6 -38.3
pair RSmean MACDhist pos-pos 183 49.9 10.2 56.8 0.6 0.9 0.2 21.6 -41.5
pair MACD MACDhist pos-pos 158 43.1 10.2 56.3 0.6 0.9 0.2 22.4 -49.1
pair MACDhist RSmean pos-pos 183 49.9 10.2 56.8 0.6 0.9 0.2 21.6 -41.5
pair MACDhist MACD pos-pos 158 43.1 10.2 56.3 0.6 0.9 0.2 22.4 -49.1
pair RSI MACDhist pos-pos 180 49.0 9.7 57.8 0.5 0.8 0.2 22.2 -57.3
pair MACDhist RSI pos-pos 180 49.0 9.7 57.8 0.5 0.8 0.2 22.2 -57.3
pair MRmean RSI neg-neg 109 29.7 9.5 60.6 0.5 0.5 0.2 31.2 -50.1
pair RSI MRmean neg-neg 109 29.7 9.5 60.6 0.5 0.5 0.2 31.2 -50.1
single MRmean MRmean pos-pos 232 63.2 9.2 57.3 0.5 0.8 0.1 23.7 -64.8
pair RSmean RSI pos-pos 232 63.2 9.2 57.3 0.5 0.8 0.2 23.1 -47.4
pair RSI RSmean pos-pos 232 63.2 9.2 57.3 0.5 0.8 0.2 23.1 -47.4
pair SLmean LWTI pos-pos 179 48.8 9.0 57.5 0.5 0.8 0.2 23.2 -46.6
pair LWTI SLmean pos-pos 179 48.8 9.0 57.5 0.5 0.8 0.2 23.2 -46.6
pair benchmark___benchmark_ benchmark-benchmark 367 100.0 8.9 58.0 0.5 0.6 0.1 26.2 -61.2
pair benchmark___benchmark_ benchmark-benchmark 367 100.0 8.9 58.0 0.5 0.6 0.1 26.2 -61.2
pair RSmean RSIhist pos-neg 164 44.7 8.7 57.9 0.5 0.5 0.2 28.7 -53.7
pair RSIhist RSmean pos-neg 164 44.7 8.7 57.9 0.5 0.5 0.2 28.7 -53.7
pair MACDhist SLmean neg-neg 116 31.6 8.6 59.5 0.4 0.5 0.1 28.7 -57.5
pair SLmean MACDhist neg-neg 116 31.6 8.6 59.5 0.4 0.5 0.1 28.7 -57.5
pair LWTI RSIhist pos-pos 142 38.7 8.5 57.7 0.5 0.8 0.2 22.1 -49.7
pair RSIhist LWTI pos-pos 142 38.7 8.5 57.7 0.5 0.8 0.2 22.1 -49.7
single MRmean MRmean neg-neg 135 36.8 8.5 59.3 0.4 0.5 0.1 30.2 -59.7
pair MACDhist RSIhist pos-pos 139 37.9 8.2 56.8 0.5 0.8 0.1 21.9 -54.7
pair RSIhist MACDhist pos-pos 139 37.9 8.2 56.8 0.5 0.8 0.1 21.9 -54.7
pair MRmean RSI pos-pos 218 59.4 8.2 57.8 0.5 0.7 0.1 23.2 -56.2
pair RSI MRmean pos-pos 218 59.4 8.2 57.8 0.5 0.7 0.1 23.2 -56.2
pair MRmean LWTI pos-pos 199 54.2 7.8 56.8 0.4 0.7 0.2 23.6 -48.0
pair LWTI MRmean pos-pos 199 54.2 7.8 56.8 0.4 0.7 0.2 23.6 -48.0
single RSI RSI pos-pos 244 66.5 7.7 57.4 0.4 0.7 0.1 23.5 -56.2
pair MACDhist MRmean pos-pos 179 48.8 7.7 56.4 0.5 0.7 0.1 21.9 -58.4
pair MRmean MACDhist pos-pos 179 48.8 7.7 56.4 0.5 0.7 0.1 21.9 -58.4
pair RSI RSIhist neg-neg 102 27.8 7.3 59.8 0.4 0.4 0.1 30.9 -50.1
pair RSIhist RSI neg-neg 102 27.8 7.3 59.8 0.4 0.4 0.1 30.9 -50.1
pair RSIhist MACDhist neg-neg 133 36.2 7.3 57.9 0.4 0.5 0.1 29.7 -64.6
pair MACDhist RSIhist neg-neg 133 36.2 7.3 57.9 0.4 0.5 0.1 29.7 -64.6
pair RSI SLmean neg-neg 100 27.2 6.7 60.0 0.4 0.4 0.1 30.9 -48.2
pair SLmean RSI neg-neg 100 27.2 6.7 60.0 0.4 0.4 0.1 30.9 -48.2
pair RSI LWTI pos-pos 219 59.7 6.6 56.6 0.4 0.6 0.1 24.0 -51.6
pair LWTI RSI pos-pos 219 59.7 6.6 56.6 0.4 0.6 0.1 24.0 -51.6
pair MRmean MACD pos-pos 178 48.5 6.6 55.6 0.4 0.7 0.1 22.2 -50.9
pair MACD MRmean pos-pos 178 48.5 6.6 55.6 0.4 0.7 0.1 22.2 -50.9
pair SLmean RSIhist pos-neg 44 12.0 6.5 52.3 0.4 0.5 0.2 27.0 -40.1
pair RSIhist SLmean pos-neg 44 12.0 6.5 52.3 0.4 0.5 0.2 27.0 -40.1
pair RSmean LWTI pos-pos 250 68.1 6.3 56.4 0.4 0.5 0.1 25.8 -52.7
pair LWTI RSmean pos-pos 250 68.1 6.3 56.4 0.4 0.5 0.1 25.8 -52.7
pair MACDhist LWTI pos-pos 178 48.5 6.1 57.3 0.4 0.5 0.1 24.2 -71.3
pair LWTI MACDhist pos-pos 178 48.5 6.1 57.3 0.4 0.5 0.1 24.2 -71.3
pair MRmean RSIhist neg-neg 125 34.1 6.0 59.2 0.4 0.4 0.1 30.1 -59.7
pair RSIhist MRmean neg-neg 125 34.1 6.0 59.2 0.4 0.4 0.1 30.1 -59.7
pair MACD RSI pos-pos 203 55.3 6.0 55.2 0.4 0.6 0.1 22.7 -47.6
pair RSI MACD pos-pos 203 55.3 6.0 55.2 0.4 0.6 0.1 22.7 -47.6
pair MRmean SLmean neg-neg 121 33.0 5.7 60.3 0.3 0.4 0.1 30.4 -57.8
pair SLmean MRmean neg-neg 121 33.0 5.7 60.3 0.3 0.4 0.1 30.4 -57.8
single MACDhist MACDhist pos-pos 190 51.8 5.5 56.3 0.3 0.5 0.1 23.6 -72.6
pair RSmean SLmean neg-pos 130 35.4 5.3 57.7 0.3 0.4 0.1 29.1 -53.7
pair SLmean RSmean neg-pos 130 35.4 5.3 57.7 0.3 0.4 0.1 29.1 -53.7
single RSIhist RSIhist neg-neg 184 50.1 4.8 57.1 0.3 0.4 0.1 29.2 -57.5
pair RSIhist SLmean neg-neg 140 38.1 4.2 58.6 0.3 0.3 0.1 29.9 -57.5
pair SLmean RSIhist neg-neg 140 38.1 4.2 58.6 0.3 0.3 0.1 29.9 -57.5
pair MRmean RSI neg-pos 26 7.1 4.2 53.8 0.3 0.4 0.1 26.0 -36.0
pair RSI MRmean neg-pos 26 7.1 4.2 53.8 0.3 0.4 0.1 26.0 -36.0
pair MACD LWTI neg-pos 58 15.8 3.9 62.1 0.3 0.3 0.1 29.4 -50.6
pair LWTI MACD neg-pos 58 15.8 3.9 62.1 0.3 0.3 0.1 29.4 -50.6
pair RSmean MACD pos-pos 226 61.6 3.7 54.0 0.3 0.4 0.1 25.7 -48.6
pair MACD RSmean pos-pos 226 61.6 3.7 54.0 0.3 0.4 0.1 25.7 -48.6
single MACD MACD pos-pos 235 64.0 3.3 54.0 0.3 0.3 0.1 25.7 -52.9
pair MACDhist RSmean neg-neg 23 6.3 3.3 56.5 0.2 0.4 0.1 22.0 -22.9
pair RSmean MACDhist neg-neg 23 6.3 3.3 56.5 0.2 0.4 0.1 22.0 -22.9
single LWTI LWTI pos-pos 275 74.9 2.9 56.0 0.2 0.3 0.0 26.7 -68.0
pair LWTI MACD pos-pos 217 59.1 2.6 54.4 0.2 0.3 0.1 26.0 -52.9
pair MACD LWTI pos-pos 217 59.1 2.6 54.4 0.2 0.3 0.1 26.0 -52.9
single SLmean SLmean neg-neg 146 39.8 2.4 56.8 0.2 0.3 0.0 29.6 -57.5
pair MACDhist RSI pos-neg 64 17.4 2.3 56.2 0.2 0.3 0.1 27.0 -39.7
pair RSI MACDhist pos-neg 64 17.4 2.3 56.2 0.2 0.3 0.1 27.0 -39.7
pair MRmean RSIhist pos-neg 59 16.1 2.2 52.5 0.2 0.3 0.1 27.4 -40.3
pair RSIhist MRmean pos-neg 59 16.1 2.2 52.5 0.2 0.3 0.1 27.4 -40.3
pair RSI RSIhist pos-neg 82 22.3 1.7 53.7 0.2 0.3 0.0 27.1 -43.3
pair RSIhist RSI pos-neg 82 22.3 1.7 53.7 0.2 0.3 0.0 27.1 -43.3
pair RSIhist MACDhist pos-neg 51 13.9 -1.6 54.9 0.1 0.1 -0.0 28.0 -45.5
pair MACDhist RSIhist pos-neg 51 13.9 -1.6 54.9 0.1 0.1 -0.0 28.0 -45.5
pair MACDhist LWTI neg-pos 97 26.4 -2.8 53.6 0.1 0.1 -0.0 31.0 -77.8
pair RSIhist LWTI neg-pos 133 36.2 -2.8 54.1 0.1 0.1 -0.0 31.0 -68.6
pair LWTI RSIhist neg-pos 133 36.2 -2.8 54.1 0.1 0.1 -0.0 31.0 -68.6
pair LWTI MACDhist neg-pos 97 26.4 -2.8 53.6 0.1 0.1 -0.0 31.0 -77.8
pair MACDhist LWTI pos-neg 12 3.3 -3.1 41.7 -0.2 -0.2 -0.5 14.0 -6.5
pair LWTI MACDhist pos-neg 12 3.3 -3.1 41.7 -0.2 -0.2 -0.5 14.0 -6.5
pair MACD RSIhist pos-neg 102 27.8 -5.4 50.0 -0.0 -0.0 -0.1 30.3 -52.8
pair RSIhist MACD pos-neg 102 27.8 -5.4 50.0 -0.0 -0.0 -0.1 30.3 -52.8
pair RSmean MACD neg-pos 9 2.5 -5.8 55.6 -0.1 -0.2 -0.6 28.0 -9.9
pair MACD RSmean neg-pos 9 2.5 -5.8 55.6 -0.1 -0.2 -0.6 28.0 -9.9
pair MRmean MACD neg-pos 57 15.5 -6.3 49.1 0.0 0.0 -0.1 34.7 -57.2
pair MACD MRmean neg-pos 57 15.5 -6.3 49.1 0.0 0.0 -0.1 34.7 -57.2
pair SLmean RSI neg-pos 46 12.5 -6.4 50.0 -0.1 -0.2 -0.1 26.7 -45.1
pair RSI SLmean neg-pos 46 12.5 -6.4 50.0 -0.1 -0.2 -0.1 26.7 -45.1
pair SLmean LWTI neg-pos 96 26.2 -7.6 53.1 -0.1 -0.1 -0.1 32.2 -71.9
pair LWTI SLmean neg-pos 96 26.2 -7.6 53.1 -0.1 -0.1 -0.1 32.2 -71.9
pair MRmean LWTI neg-pos 76 20.7 -8.9 53.9 -0.1 -0.1 -0.1 33.7 -71.0
pair LWTI MRmean neg-pos 76 20.7 -8.9 53.9 -0.1 -0.1 -0.1 33.7 -71.0
pair MACD MACDhist pos-neg 77 21.0 -9.5 49.4 -0.1 -0.2 -0.1 31.4 -63.2
pair MACDhist MACD pos-neg 77 21.0 -9.5 49.4 -0.1 -0.2 -0.1 31.4 -63.2
pair RSI LWTI neg-pos 56 15.3 -10.6 53.6 -0.1 -0.1 -0.2 35.5 -58.5
pair LWTI RSI neg-pos 56 15.3 -10.6 53.6 -0.1 -0.1 -0.2 35.5 -58.5
pair MACD SLmean neg-pos 76 20.7 -11.2 47.4 -0.2 -0.2 -0.2 32.8 -61.2
pair SLmean MACD neg-pos 76 20.7 -11.2 47.4 -0.2 -0.2 -0.2 32.8 -61.2
pair MRmean SLmean pos-neg 25 6.8 -12.3 40.0 -0.4 -0.5 -0.3 25.7 -38.6
pair SLmean MRmean pos-neg 25 6.8 -12.3 40.0 -0.4 -0.5 -0.3 25.7 -38.6
pair RSI MACD pos-neg 32 8.7 -12.5 46.9 -0.1 -0.1 -0.3 40.4 -47.0
pair MACD RSI pos-neg 32 8.7 -12.5 46.9 -0.1 -0.1 -0.3 40.4 -47.0
pair MACD MACDhist neg-pos 32 8.7 -14.9 56.2 -0.4 -0.4 -0.3 28.7 -49.4
pair MACDhist MACD neg-pos 32 8.7 -14.9 56.2 -0.4 -0.4 -0.3 28.7 -49.4
pair RSmean RSIhist neg-pos 10 2.7 -15.8 60.0 -0.4 -0.5 -0.5 31.4 -34.7
pair RSIhist RSmean neg-pos 10 2.7 -15.8 60.0 -0.4 -0.5 -0.5 31.4 -34.7
pair MRmean RSmean neg-neg 19 5.2 -16.7 52.6 -0.3 -0.3 -0.4 33.8 -42.5
pair RSmean MRmean neg-neg 19 5.2 -16.7 52.6 -0.3 -0.3 -0.4 33.8 -42.5
pair RSI RSmean neg-pos 12 3.3 -17.9 58.3 -0.5 -0.7 -0.6 30.3 -32.3
pair RSmean RSI neg-pos 12 3.3 -17.9 58.3 -0.5 -0.7 -0.6 30.3 -32.3
pair SLmean RSmean neg-neg 16 4.4 -18.4 50.0 -0.4 -0.3 -0.5 34.0 -37.1
pair RSmean SLmean neg-neg 16 4.4 -18.4 50.0 -0.4 -0.3 -0.5 34.0 -37.1
pair MACDhist SLmean neg-pos 30 8.2 -18.4 46.7 -0.4 -0.5 -0.4 32.8 -48.2
pair SLmean MACDhist neg-pos 30 8.2 -18.4 46.7 -0.4 -0.5 -0.4 32.8 -48.2
single RSmean RSmean neg-neg 30 8.2 -20.6 53.3 -0.5 -0.6 -0.3 31.8 -61.2
pair RSmean RSI neg-neg 18 4.9 -22.3 50.0 -0.6 -0.5 -0.5 33.7 -44.0
pair RSI RSmean neg-neg 18 4.9 -22.3 50.0 -0.6 -0.5 -0.5 33.7 -44.0
pair RSIhist RSmean neg-neg 20 5.4 -22.8 50.0 -0.6 -0.6 -0.5 32.8 -48.0
pair RSmean RSIhist neg-neg 20 5.4 -22.8 50.0 -0.6 -0.6 -0.5 32.8 -48.0
pair SLmean RSmean pos-neg 14 3.8 -23.0 57.1 -0.7 -1.1 -0.6 30.5 -41.4
pair RSmean SLmean pos-neg 14 3.8 -23.0 57.1 -0.7 -1.1 -0.6 30.5 -41.4
pair MRmean MACDhist neg-pos 11 3.0 -25.0 54.5 -0.4 -0.4 -0.6 43.9 -40.9
pair MACDhist MRmean neg-pos 11 3.0 -25.0 54.5 -0.4 -0.4 -0.6 43.9 -40.9
pair LWTI RSmean neg-pos 25 6.8 -26.1 52.0 -0.7 -0.8 -0.4 33.7 -63.3
pair RSmean LWTI neg-pos 25 6.8 -26.1 52.0 -0.7 -0.8 -0.4 33.7 -63.3
pair MACD RSmean neg-neg 21 5.7 -26.2 52.4 -0.7 -0.7 -0.5 33.8 -53.9
pair RSmean MACD neg-neg 21 5.7 -26.2 52.4 -0.7 -0.7 -0.5 33.8 -53.9
pair MRmean RSmean pos-neg 11 3.0 -26.8 54.5 -0.9 -1.3 -0.7 29.6 -38.1
pair RSmean MRmean pos-neg 11 3.0 -26.8 54.5 -0.9 -1.3 -0.7 29.6 -38.1
pair RSIhist SLmean neg-pos 6 1.6 -32.2 16.7 -2.0 -2.0 -2.0 18.3 -15.9
pair SLmean RSIhist neg-pos 6 1.6 -32.2 16.7 -2.0 -2.0 -2.0 18.3 -15.9
pair RSI MACDhist neg-pos 10 2.7 -48.0 30.0 -1.4 -1.4 -1.3 39.7 -35.9
pair MACDhist RSI neg-pos 10 2.7 -48.0 30.0 -1.4 -1.4 -1.3 39.7 -35.9
pair RSmean MACDhist neg-pos 7 1.9 -66.5 42.9 -1.9 -2.3 -1.2 49.1 -53.3
pair MACDhist RSmean neg-pos 7 1.9 -66.5 42.9 -1.9 -2.3 -1.2 49.1 -53.3

All Contingency Tables for EWW

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 12.1% | Win 59%
Sharpe 0.61 | Sortino 1.00 | Calmar 0.2
Vol 23% | MDD -51.0%
Months 207M (56%)
CAGR -12.3% | Win 40%
Sharpe -0.38 | Sortino -0.53 | Calmar -0.3
Vol 26% | MDD -38.6%
Months 25M (7%)
CAGR 9.2% | Win 57%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.1
Vol 24% | MDD -64.8%
Months 232M (63%)
MRmean
neg
CAGR 35.3% | Win 50%
Sharpe 1.21 | Sortino 2.14 | Calmar 2.3
Vol 28% | MDD -15.5%
Months 14M (4%)
CAGR 5.7% | Win 60%
Sharpe 0.35 | Sortino 0.38 | Calmar 0.1
Vol 30% | MDD -57.8%
Months 121M (33%)
CAGR 8.5% | Win 59%
Sharpe 0.43 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -59.7%
Months 135M (37%)
SLmean
only
CAGR 13.5% | Win 59%
Sharpe 0.65 | Sortino 1.08 | Calmar 0.3
Vol 24% | MDD -48.9%
Months 221M (60%)
CAGR 2.4% | Win 57%
Sharpe 0.24 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -57.5%
Months 146M (40%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 11.4% | Win 57%
Sharpe 0.58 | Sortino 0.96 | Calmar 0.2
Vol 23% | MDD -53.7%
Months 221M (60%)
CAGR -26.8% | Win 55%
Sharpe -0.90 | Sortino -1.33 | Calmar -0.7
Vol 30% | MDD -38.1%
Months 11M (3%)
CAGR 9.2% | Win 57%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.1
Vol 24% | MDD -64.8%
Months 232M (63%)
MRmean
neg
CAGR 13.3% | Win 60%
Sharpe 0.58 | Sortino 0.67 | Calmar 0.2
Vol 30% | MDD -56.1%
Months 116M (32%)
CAGR -16.7% | Win 53%
Sharpe -0.35 | Sortino -0.33 | Calmar -0.4
Vol 34% | MDD -42.5%
Months 19M (5%)
CAGR 8.5% | Win 59%
Sharpe 0.43 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -59.7%
Months 135M (37%)
RSmean
only
CAGR 12.0% | Win 58%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.2
Vol 26% | MDD -57.7%
Months 337M (92%)
CAGR -20.6% | Win 53%
Sharpe -0.54 | Sortino -0.59 | Calmar -0.3
Vol 32% | MDD -61.2%
Months 30M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 6.6% | Win 56%
Sharpe 0.40 | Sortino 0.66 | Calmar 0.1
Vol 22% | MDD -50.9%
Months 178M (48%)
CAGR 18.2% | Win 63%
Sharpe 0.74 | Sortino 1.04 | Calmar 0.5
Vol 28% | MDD -36.8%
Months 54M (15%)
CAGR 9.2% | Win 57%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.1
Vol 24% | MDD -64.8%
Months 232M (63%)
MRmean
neg
CAGR -6.3% | Win 49%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.1
Vol 35% | MDD -57.2%
Months 57M (16%)
CAGR 20.8% | Win 67%
Sharpe 0.86 | Sortino 0.96 | Calmar 0.7
Vol 26% | MDD -31.9%
Months 78M (21%)
CAGR 8.5% | Win 59%
Sharpe 0.43 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -59.7%
Months 135M (37%)
MACD
only
CAGR 3.3% | Win 54%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -52.9%
Months 235M (64%)
CAGR 19.7% | Win 65%
Sharpe 0.81 | Sortino 1.00 | Calmar 0.5
Vol 27% | MDD -43.3%
Months 132M (36%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.2% | Win 58%
Sharpe 0.46 | Sortino 0.70 | Calmar 0.1
Vol 23% | MDD -56.2%
Months 218M (59%)
CAGR 26.5% | Win 50%
Sharpe 0.91 | Sortino 2.90 | Calmar 1.1
Vol 30% | MDD -23.6%
Months 14M (4%)
CAGR 9.2% | Win 57%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.1
Vol 24% | MDD -64.8%
Months 232M (63%)
MRmean
neg
CAGR 4.2% | Win 54%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 26% | MDD -36.0%
Months 26M (7%)
CAGR 9.5% | Win 61%
Sharpe 0.46 | Sortino 0.49 | Calmar 0.2
Vol 31% | MDD -50.1%
Months 109M (30%)
CAGR 8.5% | Win 59%
Sharpe 0.43 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -59.7%
Months 135M (37%)
RSI
only
CAGR 7.7% | Win 57%
Sharpe 0.44 | Sortino 0.66 | Calmar 0.1
Vol 24% | MDD -56.2%
Months 244M (66%)
CAGR 11.3% | Win 59%
Sharpe 0.52 | Sortino 0.58 | Calmar 0.2
Vol 31% | MDD -50.1%
Months 123M (34%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 7.7% | Win 56%
Sharpe 0.45 | Sortino 0.72 | Calmar 0.1
Vol 22% | MDD -58.4%
Months 179M (49%)
CAGR 14.2% | Win 60%
Sharpe 0.60 | Sortino 0.99 | Calmar 0.6
Vol 29% | MDD -24.8%
Months 53M (14%)
CAGR 9.2% | Win 57%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.1
Vol 24% | MDD -64.8%
Months 232M (63%)
MRmean
neg
CAGR -25.0% | Win 55%
Sharpe -0.41 | Sortino -0.41 | Calmar -0.6
Vol 44% | MDD -40.9%
Months 11M (3%)
CAGR 12.1% | Win 60%
Sharpe 0.55 | Sortino 0.64 | Calmar 0.2
Vol 29% | MDD -57.8%
Months 124M (34%)
CAGR 8.5% | Win 59%
Sharpe 0.43 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -59.7%
Months 135M (37%)
MACDhist
only
CAGR 5.5% | Win 56%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 24% | MDD -72.6%
Months 190M (52%)
CAGR 12.7% | Win 60%
Sharpe 0.57 | Sortino 0.71 | Calmar 0.2
Vol 29% | MDD -61.2%
Months 177M (48%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 11.7% | Win 59%
Sharpe 0.61 | Sortino 1.05 | Calmar 0.2
Vol 22% | MDD -55.8%
Months 173M (47%)
CAGR 2.2% | Win 52%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.1
Vol 27% | MDD -40.3%
Months 59M (16%)
CAGR 9.2% | Win 57%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.1
Vol 24% | MDD -64.8%
Months 232M (63%)
MRmean
neg
CAGR 44.8% | Win 60%
Sharpe 1.34 | Sortino 2.18 | Calmar 3.0
Vol 31% | MDD -14.8%
Months 10M (3%)
CAGR 6.0% | Win 59%
Sharpe 0.36 | Sortino 0.39 | Calmar 0.1
Vol 30% | MDD -59.7%
Months 125M (34%)
CAGR 8.5% | Win 59%
Sharpe 0.43 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -59.7%
Months 135M (37%)
RSIhist
only
CAGR 13.3% | Win 59%
Sharpe 0.66 | Sortino 1.15 | Calmar 0.2
Vol 23% | MDD -58.0%
Months 183M (50%)
CAGR 4.8% | Win 57%
Sharpe 0.32 | Sortino 0.37 | Calmar 0.1
Vol 29% | MDD -57.5%
Months 184M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.8% | Win 57%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.2
Vol 24% | MDD -48.0%
Months 199M (54%)
CAGR 18.1% | Win 61%
Sharpe 0.80 | Sortino 1.56 | Calmar 0.5
Vol 24% | MDD -37.0%
Months 33M (9%)
CAGR 9.2% | Win 57%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.1
Vol 24% | MDD -64.8%
Months 232M (63%)
MRmean
neg
CAGR -8.9% | Win 54%
Sharpe -0.09 | Sortino -0.09 | Calmar -0.1
Vol 34% | MDD -71.0%
Months 76M (21%)
CAGR 35.9% | Win 66%
Sharpe 1.42 | Sortino 2.58 | Calmar 1.4
Vol 24% | MDD -26.0%
Months 59M (16%)
CAGR 8.5% | Win 59%
Sharpe 0.43 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -59.7%
Months 135M (37%)
LWTI
only
CAGR 2.9% | Win 56%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -68.0%
Months 275M (75%)
CAGR 29.2% | Win 64%
Sharpe 1.19 | Sortino 2.25 | Calmar 1.0
Vol 24% | MDD -28.4%
Months 92M (25%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 16.5% | Win 59%
Sharpe 0.78 | Sortino 1.36 | Calmar 0.6
Vol 23% | MDD -29.0%
Months 207M (56%)
CAGR -23.0% | Win 57%
Sharpe -0.70 | Sortino -1.15 | Calmar -0.6
Vol 30% | MDD -41.4%
Months 14M (4%)
CAGR 13.5% | Win 59%
Sharpe 0.65 | Sortino 1.08 | Calmar 0.3
Vol 24% | MDD -48.9%
Months 221M (60%)
SLmean
neg
CAGR 5.3% | Win 58%
Sharpe 0.33 | Sortino 0.39 | Calmar 0.1
Vol 29% | MDD -53.7%
Months 130M (35%)
CAGR -18.4% | Win 50%
Sharpe -0.41 | Sortino -0.35 | Calmar -0.5
Vol 34% | MDD -37.1%
Months 16M (4%)
CAGR 2.4% | Win 57%
Sharpe 0.24 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -57.5%
Months 146M (40%)
RSmean
only
CAGR 12.0% | Win 58%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.2
Vol 26% | MDD -57.7%
Months 337M (92%)
CAGR -20.6% | Win 53%
Sharpe -0.54 | Sortino -0.59 | Calmar -0.3
Vol 32% | MDD -61.2%
Months 30M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 11.0% | Win 57%
Sharpe 0.60 | Sortino 1.04 | Calmar 0.3
Vol 21% | MDD -38.1%
Months 159M (43%)
CAGR 19.9% | Win 63%
Sharpe 0.78 | Sortino 1.17 | Calmar 0.6
Vol 29% | MDD -33.4%
Months 62M (17%)
CAGR 13.5% | Win 59%
Sharpe 0.65 | Sortino 1.08 | Calmar 0.3
Vol 24% | MDD -48.9%
Months 221M (60%)
SLmean
neg
CAGR -11.2% | Win 47%
Sharpe -0.18 | Sortino -0.22 | Calmar -0.2
Vol 33% | MDD -61.2%
Months 76M (21%)
CAGR 19.6% | Win 67%
Sharpe 0.84 | Sortino 0.87 | Calmar 0.6
Vol 25% | MDD -31.9%
Months 70M (19%)
CAGR 2.4% | Win 57%
Sharpe 0.24 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -57.5%
Months 146M (40%)
MACD
only
CAGR 3.3% | Win 54%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -52.9%
Months 235M (64%)
CAGR 19.7% | Win 65%
Sharpe 0.81 | Sortino 1.00 | Calmar 0.5
Vol 27% | MDD -43.3%
Months 132M (36%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 11.3% | Win 59%
Sharpe 0.59 | Sortino 0.91 | Calmar 0.3
Vol 23% | MDD -41.3%
Months 198M (54%)
CAGR 33.8% | Win 56%
Sharpe 1.09 | Sortino 2.77 | Calmar 1.4
Vol 31% | MDD -24.2%
Months 23M (6%)
CAGR 13.5% | Win 59%
Sharpe 0.65 | Sortino 1.08 | Calmar 0.3
Vol 24% | MDD -48.9%
Months 221M (60%)
SLmean
neg
CAGR -6.4% | Win 50%
Sharpe -0.11 | Sortino -0.16 | Calmar -0.1
Vol 27% | MDD -45.1%
Months 46M (12%)
CAGR 6.7% | Win 60%
Sharpe 0.38 | Sortino 0.39 | Calmar 0.1
Vol 31% | MDD -48.2%
Months 100M (27%)
CAGR 2.4% | Win 57%
Sharpe 0.24 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -57.5%
Months 146M (40%)
RSI
only
CAGR 7.7% | Win 57%
Sharpe 0.44 | Sortino 0.66 | Calmar 0.1
Vol 24% | MDD -56.2%
Months 244M (66%)
CAGR 11.3% | Win 59%
Sharpe 0.52 | Sortino 0.58 | Calmar 0.2
Vol 31% | MDD -50.1%
Months 123M (34%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 10.7% | Win 58%
Sharpe 0.58 | Sortino 0.97 | Calmar 0.2
Vol 21% | MDD -54.2%
Months 160M (44%)
CAGR 21.0% | Win 61%
Sharpe 0.81 | Sortino 1.32 | Calmar 0.7
Vol 29% | MDD -31.9%
Months 61M (17%)
CAGR 13.5% | Win 59%
Sharpe 0.65 | Sortino 1.08 | Calmar 0.3
Vol 24% | MDD -48.9%
Months 221M (60%)
SLmean
neg
CAGR -18.4% | Win 47%
Sharpe -0.44 | Sortino -0.50 | Calmar -0.4
Vol 33% | MDD -48.2%
Months 30M (8%)
CAGR 8.6% | Win 60%
Sharpe 0.44 | Sortino 0.50 | Calmar 0.1
Vol 29% | MDD -57.5%
Months 116M (32%)
CAGR 2.4% | Win 57%
Sharpe 0.24 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -57.5%
Months 146M (40%)
MACDhist
only
CAGR 5.5% | Win 56%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 24% | MDD -72.6%
Months 190M (52%)
CAGR 12.7% | Win 60%
Sharpe 0.57 | Sortino 0.71 | Calmar 0.2
Vol 29% | MDD -61.2%
Months 177M (48%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 15.3% | Win 60%
Sharpe 0.74 | Sortino 1.31 | Calmar 0.3
Vol 23% | MDD -51.4%
Months 177M (48%)
CAGR 6.5% | Win 52%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.2
Vol 27% | MDD -40.1%
Months 44M (12%)
CAGR 13.5% | Win 59%
Sharpe 0.65 | Sortino 1.08 | Calmar 0.3
Vol 24% | MDD -48.9%
Months 221M (60%)
SLmean
neg
CAGR -32.2% | Win 17%
Sharpe -2.00 | Sortino -1.99 | Calmar -2.0
Vol 18% | MDD -15.9%
Months 6M (2%)
CAGR 4.2% | Win 59%
Sharpe 0.30 | Sortino 0.34 | Calmar 0.1
Vol 30% | MDD -57.5%
Months 140M (38%)
CAGR 2.4% | Win 57%
Sharpe 0.24 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -57.5%
Months 146M (40%)
RSIhist
only
CAGR 13.3% | Win 59%
Sharpe 0.66 | Sortino 1.15 | Calmar 0.2
Vol 23% | MDD -58.0%
Months 183M (50%)
CAGR 4.8% | Win 57%
Sharpe 0.32 | Sortino 0.37 | Calmar 0.1
Vol 29% | MDD -57.5%
Months 184M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 9.0% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 23% | MDD -46.6%
Months 179M (49%)
CAGR 34.7% | Win 64%
Sharpe 1.32 | Sortino 2.67 | Calmar 1.2
Vol 25% | MDD -29.7%
Months 42M (11%)
CAGR 13.5% | Win 59%
Sharpe 0.65 | Sortino 1.08 | Calmar 0.3
Vol 24% | MDD -48.9%
Months 221M (60%)
SLmean
neg
CAGR -7.6% | Win 53%
Sharpe -0.07 | Sortino -0.07 | Calmar -0.1
Vol 32% | MDD -71.9%
Months 96M (26%)
CAGR 24.7% | Win 64%
Sharpe 1.07 | Sortino 1.87 | Calmar 1.0
Vol 23% | MDD -26.0%
Months 50M (14%)
CAGR 2.4% | Win 57%
Sharpe 0.24 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -57.5%
Months 146M (40%)
LWTI
only
CAGR 2.9% | Win 56%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -68.0%
Months 275M (75%)
CAGR 29.2% | Win 64%
Sharpe 1.19 | Sortino 2.25 | Calmar 1.0
Vol 24% | MDD -28.4%
Months 92M (25%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.7% | Win 54%
Sharpe 0.28 | Sortino 0.36 | Calmar 0.1
Vol 26% | MDD -48.6%
Months 226M (62%)
CAGR 31.2% | Win 68%
Sharpe 1.23 | Sortino 1.90 | Calmar 1.2
Vol 25% | MDD -26.0%
Months 111M (30%)
CAGR 12.0% | Win 58%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.2
Vol 26% | MDD -57.7%
Months 337M (92%)
RSmean
neg
CAGR -5.8% | Win 56%
Sharpe -0.09 | Sortino -0.16 | Calmar -0.6
Vol 28% | MDD -9.9%
Months 9M (2%)
CAGR -26.2% | Win 52%
Sharpe -0.70 | Sortino -0.69 | Calmar -0.5
Vol 34% | MDD -53.9%
Months 21M (6%)
CAGR -20.6% | Win 53%
Sharpe -0.54 | Sortino -0.59 | Calmar -0.3
Vol 32% | MDD -61.2%
Months 30M (8%)
MACD
only
CAGR 3.3% | Win 54%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -52.9%
Months 235M (64%)
CAGR 19.7% | Win 65%
Sharpe 0.81 | Sortino 1.00 | Calmar 0.5
Vol 27% | MDD -43.3%
Months 132M (36%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 9.2% | Win 57%
Sharpe 0.50 | Sortino 0.77 | Calmar 0.2
Vol 23% | MDD -47.4%
Months 232M (63%)
CAGR 18.4% | Win 61%
Sharpe 0.72 | Sortino 0.85 | Calmar 0.4
Vol 30% | MDD -50.1%
Months 105M (29%)
CAGR 12.0% | Win 58%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.2
Vol 26% | MDD -57.7%
Months 337M (92%)
RSmean
neg
CAGR -17.9% | Win 58%
Sharpe -0.50 | Sortino -0.74 | Calmar -0.6
Vol 30% | MDD -32.3%
Months 12M (3%)
CAGR -22.3% | Win 50%
Sharpe -0.56 | Sortino -0.52 | Calmar -0.5
Vol 34% | MDD -44.0%
Months 18M (5%)
CAGR -20.6% | Win 53%
Sharpe -0.54 | Sortino -0.59 | Calmar -0.3
Vol 32% | MDD -61.2%
Months 30M (8%)
RSI
only
CAGR 7.7% | Win 57%
Sharpe 0.44 | Sortino 0.66 | Calmar 0.1
Vol 24% | MDD -56.2%
Months 244M (66%)
CAGR 11.3% | Win 59%
Sharpe 0.52 | Sortino 0.58 | Calmar 0.2
Vol 31% | MDD -50.1%
Months 123M (34%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 10.2% | Win 57%
Sharpe 0.56 | Sortino 0.93 | Calmar 0.2
Vol 22% | MDD -41.5%
Months 183M (50%)
CAGR 14.2% | Win 60%
Sharpe 0.61 | Sortino 0.74 | Calmar 0.2
Vol 30% | MDD -57.7%
Months 154M (42%)
CAGR 12.0% | Win 58%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.2
Vol 26% | MDD -57.7%
Months 337M (92%)
RSmean
neg
CAGR -66.5% | Win 43%
Sharpe -1.89 | Sortino -2.29 | Calmar -1.2
Vol 49% | MDD -53.3%
Months 7M (2%)
CAGR 3.3% | Win 56%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.1
Vol 22% | MDD -22.9%
Months 23M (6%)
CAGR -20.6% | Win 53%
Sharpe -0.54 | Sortino -0.59 | Calmar -0.3
Vol 32% | MDD -61.2%
Months 30M (8%)
MACDhist
only
CAGR 5.5% | Win 56%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 24% | MDD -72.6%
Months 190M (52%)
CAGR 12.7% | Win 60%
Sharpe 0.57 | Sortino 0.71 | Calmar 0.2
Vol 29% | MDD -61.2%
Months 177M (48%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 15.2% | Win 59%
Sharpe 0.75 | Sortino 1.40 | Calmar 0.4
Vol 22% | MDD -39.0%
Months 173M (47%)
CAGR 8.7% | Win 58%
Sharpe 0.45 | Sortino 0.54 | Calmar 0.2
Vol 29% | MDD -53.7%
Months 164M (45%)
CAGR 12.0% | Win 58%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.2
Vol 26% | MDD -57.7%
Months 337M (92%)
RSmean
neg
CAGR -15.8% | Win 60%
Sharpe -0.40 | Sortino -0.54 | Calmar -0.5
Vol 31% | MDD -34.7%
Months 10M (3%)
CAGR -22.8% | Win 50%
Sharpe -0.60 | Sortino -0.59 | Calmar -0.5
Vol 33% | MDD -48.0%
Months 20M (5%)
CAGR -20.6% | Win 53%
Sharpe -0.54 | Sortino -0.59 | Calmar -0.3
Vol 32% | MDD -61.2%
Months 30M (8%)
RSIhist
only
CAGR 13.3% | Win 59%
Sharpe 0.66 | Sortino 1.15 | Calmar 0.2
Vol 23% | MDD -58.0%
Months 183M (50%)
CAGR 4.8% | Win 57%
Sharpe 0.32 | Sortino 0.37 | Calmar 0.1
Vol 29% | MDD -57.5%
Months 184M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 6.3% | Win 56%
Sharpe 0.37 | Sortino 0.49 | Calmar 0.1
Vol 26% | MDD -52.7%
Months 250M (68%)
CAGR 30.1% | Win 64%
Sharpe 1.21 | Sortino 2.25 | Calmar 1.1
Vol 24% | MDD -28.4%
Months 87M (24%)
CAGR 12.0% | Win 58%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.2
Vol 26% | MDD -57.7%
Months 337M (92%)
RSmean
neg
CAGR -26.1% | Win 52%
Sharpe -0.70 | Sortino -0.77 | Calmar -0.4
Vol 34% | MDD -63.3%
Months 25M (7%)
CAGR 13.9% | Win 60%
Sharpe 0.74 | Sortino 6.48 | Calmar 1.6
Vol 20% | MDD -8.6%
Months 5M (1%)
CAGR -20.6% | Win 53%
Sharpe -0.54 | Sortino -0.59 | Calmar -0.3
Vol 32% | MDD -61.2%
Months 30M (8%)
LWTI
only
CAGR 2.9% | Win 56%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -68.0%
Months 275M (75%)
CAGR 29.2% | Win 64%
Sharpe 1.19 | Sortino 2.25 | Calmar 1.0
Vol 24% | MDD -28.4%
Months 92M (25%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 6.0% | Win 55%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 23% | MDD -47.6%
Months 203M (55%)
CAGR -12.5% | Win 47%
Sharpe -0.10 | Sortino -0.12 | Calmar -0.3
Vol 40% | MDD -47.0%
Months 32M (9%)
CAGR 3.3% | Win 54%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -52.9%
Months 235M (64%)
MACD
neg
CAGR 16.5% | Win 68%
Sharpe 0.70 | Sortino 0.84 | Calmar 0.7
Vol 27% | MDD -25.2%
Months 41M (11%)
CAGR 21.2% | Win 64%
Sharpe 0.86 | Sortino 1.07 | Calmar 0.7
Vol 27% | MDD -31.9%
Months 91M (25%)
CAGR 19.7% | Win 65%
Sharpe 0.81 | Sortino 1.00 | Calmar 0.5
Vol 27% | MDD -43.3%
Months 132M (36%)
RSI
only
CAGR 7.7% | Win 57%
Sharpe 0.44 | Sortino 0.66 | Calmar 0.1
Vol 24% | MDD -56.2%
Months 244M (66%)
CAGR 11.3% | Win 59%
Sharpe 0.52 | Sortino 0.58 | Calmar 0.2
Vol 31% | MDD -50.1%
Months 123M (34%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 10.2% | Win 56%
Sharpe 0.55 | Sortino 0.92 | Calmar 0.2
Vol 22% | MDD -49.1%
Months 158M (43%)
CAGR -9.5% | Win 49%
Sharpe -0.15 | Sortino -0.17 | Calmar -0.2
Vol 31% | MDD -63.2%
Months 77M (21%)
CAGR 3.3% | Win 54%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -52.9%
Months 235M (64%)
MACD
neg
CAGR -14.9% | Win 56%
Sharpe -0.40 | Sortino -0.38 | Calmar -0.3
Vol 29% | MDD -49.4%
Months 32M (9%)
CAGR 33.5% | Win 68%
Sharpe 1.27 | Sortino 1.98 | Calmar 1.3
Vol 26% | MDD -26.0%
Months 100M (27%)
CAGR 19.7% | Win 65%
Sharpe 0.81 | Sortino 1.00 | Calmar 0.5
Vol 27% | MDD -43.3%
Months 132M (36%)
MACDhist
only
CAGR 5.5% | Win 56%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 24% | MDD -72.6%
Months 190M (52%)
CAGR 12.7% | Win 60%
Sharpe 0.57 | Sortino 0.71 | Calmar 0.2
Vol 29% | MDD -61.2%
Months 177M (48%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 10.5% | Win 57%
Sharpe 0.57 | Sortino 1.01 | Calmar 0.3
Vol 22% | MDD -38.3%
Months 133M (36%)
CAGR -5.4% | Win 50%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.1
Vol 30% | MDD -52.8%
Months 102M (28%)
CAGR 3.3% | Win 54%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -52.9%
Months 235M (64%)
MACD
neg
CAGR 21.1% | Win 64%
Sharpe 0.87 | Sortino 1.40 | Calmar 0.5
Vol 26% | MDD -39.5%
Months 50M (14%)
CAGR 18.9% | Win 66%
Sharpe 0.78 | Sortino 0.84 | Calmar 0.6
Vol 28% | MDD -31.9%
Months 82M (22%)
CAGR 19.7% | Win 65%
Sharpe 0.81 | Sortino 1.00 | Calmar 0.5
Vol 27% | MDD -43.3%
Months 132M (36%)
RSIhist
only
CAGR 13.3% | Win 59%
Sharpe 0.66 | Sortino 1.15 | Calmar 0.2
Vol 23% | MDD -58.0%
Months 183M (50%)
CAGR 4.8% | Win 57%
Sharpe 0.32 | Sortino 0.37 | Calmar 0.1
Vol 29% | MDD -57.5%
Months 184M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 2.6% | Win 54%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -52.9%
Months 217M (59%)
CAGR 11.9% | Win 50%
Sharpe 0.61 | Sortino 1.04 | Calmar 0.5
Vol 22% | MDD -22.7%
Months 18M (5%)
CAGR 3.3% | Win 54%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -52.9%
Months 235M (64%)
MACD
neg
CAGR 3.9% | Win 62%
Sharpe 0.29 | Sortino 0.30 | Calmar 0.1
Vol 29% | MDD -50.6%
Months 58M (16%)
CAGR 33.8% | Win 68%
Sharpe 1.32 | Sortino 2.52 | Calmar 1.3
Vol 24% | MDD -26.0%
Months 74M (20%)
CAGR 19.7% | Win 65%
Sharpe 0.81 | Sortino 1.00 | Calmar 0.5
Vol 27% | MDD -43.3%
Months 132M (36%)
LWTI
only
CAGR 2.9% | Win 56%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -68.0%
Months 275M (75%)
CAGR 29.2% | Win 64%
Sharpe 1.19 | Sortino 2.25 | Calmar 1.0
Vol 24% | MDD -28.4%
Months 92M (25%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 9.7% | Win 58%
Sharpe 0.53 | Sortino 0.85 | Calmar 0.2
Vol 22% | MDD -57.3%
Months 180M (49%)
CAGR 2.3% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.1
Vol 27% | MDD -39.7%
Months 64M (17%)
CAGR 7.7% | Win 57%
Sharpe 0.44 | Sortino 0.66 | Calmar 0.1
Vol 24% | MDD -56.2%
Months 244M (66%)
RSI
neg
CAGR -48.0% | Win 30%
Sharpe -1.39 | Sortino -1.41 | Calmar -1.3
Vol 40% | MDD -35.9%
Months 10M (3%)
CAGR 19.1% | Win 62%
Sharpe 0.75 | Sortino 0.87 | Calmar 0.4
Vol 30% | MDD -48.2%
Months 113M (31%)
CAGR 11.3% | Win 59%
Sharpe 0.52 | Sortino 0.58 | Calmar 0.2
Vol 31% | MDD -50.1%
Months 123M (34%)
MACDhist
only
CAGR 5.5% | Win 56%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 24% | MDD -72.6%
Months 190M (52%)
CAGR 12.7% | Win 60%
Sharpe 0.57 | Sortino 0.71 | Calmar 0.2
Vol 29% | MDD -61.2%
Months 177M (48%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 10.9% | Win 59%
Sharpe 0.59 | Sortino 0.96 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 162M (44%)
CAGR 1.7% | Win 54%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 27% | MDD -43.3%
Months 82M (22%)
CAGR 7.7% | Win 57%
Sharpe 0.44 | Sortino 0.66 | Calmar 0.1
Vol 24% | MDD -56.2%
Months 244M (66%)
RSI
neg
CAGR 33.4% | Win 57%
Sharpe 1.06 | Sortino 2.57 | Calmar 1.2
Vol 32% | MDD -27.7%
Months 21M (6%)
CAGR 7.3% | Win 60%
Sharpe 0.40 | Sortino 0.41 | Calmar 0.1
Vol 31% | MDD -50.1%
Months 102M (28%)
CAGR 11.3% | Win 59%
Sharpe 0.52 | Sortino 0.58 | Calmar 0.2
Vol 31% | MDD -50.1%
Months 123M (34%)
RSIhist
only
CAGR 13.3% | Win 59%
Sharpe 0.66 | Sortino 1.15 | Calmar 0.2
Vol 23% | MDD -58.0%
Months 183M (50%)
CAGR 4.8% | Win 57%
Sharpe 0.32 | Sortino 0.37 | Calmar 0.1
Vol 29% | MDD -57.5%
Months 184M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 6.6% | Win 57%
Sharpe 0.39 | Sortino 0.60 | Calmar 0.1
Vol 24% | MDD -51.6%
Months 219M (60%)
CAGR 17.7% | Win 64%
Sharpe 0.98 | Sortino 1.22 | Calmar 0.9
Vol 18% | MDD -19.5%
Months 25M (7%)
CAGR 7.7% | Win 57%
Sharpe 0.44 | Sortino 0.66 | Calmar 0.1
Vol 24% | MDD -56.2%
Months 244M (66%)
RSI
neg
CAGR -10.6% | Win 54%
Sharpe -0.11 | Sortino -0.11 | Calmar -0.2
Vol 36% | MDD -58.5%
Months 56M (15%)
CAGR 33.8% | Win 64%
Sharpe 1.26 | Sortino 2.69 | Calmar 1.3
Vol 26% | MDD -26.0%
Months 67M (18%)
CAGR 11.3% | Win 59%
Sharpe 0.52 | Sortino 0.58 | Calmar 0.2
Vol 31% | MDD -50.1%
Months 123M (34%)
LWTI
only
CAGR 2.9% | Win 56%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -68.0%
Months 275M (75%)
CAGR 29.2% | Win 64%
Sharpe 1.19 | Sortino 2.25 | Calmar 1.0
Vol 24% | MDD -28.4%
Months 92M (25%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 8.2% | Win 57%
Sharpe 0.47 | Sortino 0.76 | Calmar 0.1
Vol 22% | MDD -54.7%
Months 139M (38%)
CAGR -1.6% | Win 55%
Sharpe 0.09 | Sortino 0.10 | Calmar -0.0
Vol 28% | MDD -45.5%
Months 51M (14%)
CAGR 5.5% | Win 56%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 24% | MDD -72.6%
Months 190M (52%)
MACDhist
neg
CAGR 30.9% | Win 66%
Sharpe 1.19 | Sortino 2.67 | Calmar 1.8
Vol 25% | MDD -17.1%
Months 44M (12%)
CAGR 7.3% | Win 58%
Sharpe 0.40 | Sortino 0.47 | Calmar 0.1
Vol 30% | MDD -64.6%
Months 133M (36%)
CAGR 12.7% | Win 60%
Sharpe 0.57 | Sortino 0.71 | Calmar 0.2
Vol 29% | MDD -61.2%
Months 177M (48%)
RSIhist
only
CAGR 13.3% | Win 59%
Sharpe 0.66 | Sortino 1.15 | Calmar 0.2
Vol 23% | MDD -58.0%
Months 183M (50%)
CAGR 4.8% | Win 57%
Sharpe 0.32 | Sortino 0.37 | Calmar 0.1
Vol 29% | MDD -57.5%
Months 184M (50%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 6.1% | Win 57%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 24% | MDD -71.3%
Months 178M (48%)
CAGR -3.1% | Win 42%
Sharpe -0.16 | Sortino -0.24 | Calmar -0.5
Vol 14% | MDD -6.5%
Months 12M (3%)
CAGR 5.5% | Win 56%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 24% | MDD -72.6%
Months 190M (52%)
MACDhist
neg
CAGR -2.8% | Win 54%
Sharpe 0.08 | Sortino 0.09 | Calmar -0.0
Vol 31% | MDD -77.8%
Months 97M (26%)
CAGR 34.9% | Win 68%
Sharpe 1.33 | Sortino 2.50 | Calmar 1.2
Vol 25% | MDD -28.4%
Months 80M (22%)
CAGR 12.7% | Win 60%
Sharpe 0.57 | Sortino 0.71 | Calmar 0.2
Vol 29% | MDD -61.2%
Months 177M (48%)
LWTI
only
CAGR 2.9% | Win 56%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -68.0%
Months 275M (75%)
CAGR 29.2% | Win 64%
Sharpe 1.19 | Sortino 2.25 | Calmar 1.0
Vol 24% | MDD -28.4%
Months 92M (25%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 8.5% | Win 58%
Sharpe 0.48 | Sortino 0.79 | Calmar 0.2
Vol 22% | MDD -49.7%
Months 142M (39%)
CAGR 31.6% | Win 63%
Sharpe 1.23 | Sortino 2.54 | Calmar 1.1
Vol 25% | MDD -30.1%
Months 41M (11%)
CAGR 13.3% | Win 59%
Sharpe 0.66 | Sortino 1.15 | Calmar 0.2
Vol 23% | MDD -58.0%
Months 183M (50%)
RSIhist
neg
CAGR -2.8% | Win 54%
Sharpe 0.08 | Sortino 0.09 | Calmar -0.0
Vol 31% | MDD -68.6%
Months 133M (36%)
CAGR 27.3% | Win 65%
Sharpe 1.15 | Sortino 1.99 | Calmar 1.0
Vol 23% | MDD -26.0%
Months 51M (14%)
CAGR 4.8% | Win 57%
Sharpe 0.32 | Sortino 0.37 | Calmar 0.1
Vol 29% | MDD -57.5%
Months 184M (50%)
LWTI
only
CAGR 2.9% | Win 56%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -68.0%
Months 275M (75%)
CAGR 29.2% | Win 64%
Sharpe 1.19 | Sortino 2.25 | Calmar 1.0
Vol 24% | MDD -28.4%
Months 92M (25%)