EWY - iShares MSCI South Korea ETF

Signal Pair Analysis

MACDhist-LWTI

Best Pair

132.8%

Best CAGR

90

Total Months

10.2%

Avg CAGR

EWY 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 EWY

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 LWTI pos-neg 3 0.9 132.8 100.0 4.1 0.0 0.0 21.7 0.0
pair LWTI MACDhist pos-neg 3 0.9 132.8 100.0 4.1 0.0 0.0 21.7 0.0
pair SLmean RSI pos-neg 27 8.5 53.9 63.0 1.6 5.2 3.9 29.1 -14.0
pair RSI SLmean pos-neg 27 8.5 53.9 63.0 1.6 5.2 3.9 29.1 -14.0
pair MRmean LWTI pos-neg 23 7.3 50.6 47.8 1.5 4.9 3.3 31.1 -15.3
pair LWTI MRmean pos-neg 23 7.3 50.6 47.8 1.5 4.9 3.3 31.1 -15.3
pair LWTI RSIhist pos-neg 33 10.4 47.3 51.5 1.4 4.0 1.8 31.2 -26.8
pair RSIhist LWTI pos-neg 33 10.4 47.3 51.5 1.4 4.0 1.8 31.2 -26.8
pair SLmean LWTI pos-neg 32 10.1 43.5 50.0 1.3 3.6 1.5 31.8 -29.7
pair LWTI SLmean pos-neg 32 10.1 43.5 50.0 1.3 3.6 1.5 31.8 -29.7
pair RSI RSIhist neg-pos 30 9.5 42.8 56.7 1.4 4.7 3.3 29.7 -13.1
pair RSIhist RSI neg-pos 30 9.5 42.8 56.7 1.4 4.7 3.3 29.7 -13.1
pair MRmean SLmean neg-pos 17 5.4 42.0 76.5 1.5 4.0 3.5 25.5 -11.9
pair SLmean MRmean neg-pos 17 5.4 42.0 76.5 1.5 4.0 3.5 25.5 -11.9
pair MACDhist RSI neg-pos 11 3.5 41.6 72.7 1.6 8.2 3.5 23.0 -12.0
pair RSI MACDhist neg-pos 11 3.5 41.6 72.7 1.6 8.2 3.5 23.0 -12.0
pair RSI MRmean pos-neg 20 6.3 35.6 55.0 1.2 3.8 3.0 29.9 -12.0
pair MRmean RSI pos-neg 20 6.3 35.6 55.0 1.2 3.8 3.0 29.9 -12.0
pair MACD LWTI neg-neg 52 16.4 33.9 53.8 1.0 1.9 1.4 37.6 -24.6
pair LWTI MACD neg-neg 52 16.4 33.9 53.8 1.0 1.9 1.4 37.6 -24.6
pair MACD SLmean pos-neg 52 16.4 33.4 59.6 1.2 3.2 1.8 27.5 -19.1
pair SLmean MACD pos-neg 52 16.4 33.4 59.6 1.2 3.2 1.8 27.5 -19.1
pair RSIhist RSmean neg-pos 9 2.8 33.2 77.8 1.3 1.2 2.1 24.3 -15.7
pair RSmean RSIhist neg-pos 9 2.8 33.2 77.8 1.3 1.2 2.1 24.3 -15.7
pair MACDhist SLmean pos-neg 63 19.9 32.6 60.3 1.2 2.2 1.1 27.6 -28.7
pair SLmean MACDhist pos-neg 63 19.9 32.6 60.3 1.2 2.2 1.1 27.6 -28.7
pair MACDhist RSmean neg-pos 7 2.2 32.4 71.4 1.6 3.4 5.3 18.3 -6.1
pair RSmean MACDhist neg-pos 7 2.2 32.4 71.4 1.6 3.4 5.3 18.3 -6.1
pair RSIhist MACDhist neg-pos 54 17.0 31.9 53.7 1.1 2.7 1.3 28.5 -23.9
pair MACDhist RSIhist neg-pos 54 17.0 31.9 53.7 1.1 2.7 1.3 28.5 -23.9
pair MACDhist MRmean pos-neg 50 15.8 31.1 58.0 1.1 2.0 1.2 27.4 -25.9
pair MRmean MACDhist pos-neg 50 15.8 31.1 58.0 1.1 2.0 1.2 27.4 -25.9
pair MACD RSIhist neg-pos 59 18.6 27.9 55.9 1.0 3.0 1.5 27.1 -18.1
pair RSIhist MACD neg-pos 59 18.6 27.9 55.9 1.0 3.0 1.5 27.1 -18.1
pair MRmean RSIhist neg-pos 14 4.4 27.5 57.1 0.9 3.0 1.5 31.0 -18.7
pair RSIhist MRmean neg-pos 14 4.4 27.5 57.1 0.9 3.0 1.5 31.0 -18.7
pair RSI LWTI pos-neg 15 4.7 25.6 53.3 1.0 1.8 1.1 27.5 -23.1
pair LWTI RSI pos-neg 15 4.7 25.6 53.3 1.0 1.8 1.1 27.5 -23.1
pair MRmean MACD pos-neg 50 15.8 24.5 56.0 1.0 2.5 1.0 26.4 -23.6
pair MACD MRmean pos-neg 50 15.8 24.5 56.0 1.0 2.5 1.0 26.4 -23.6
pair RSIhist SLmean pos-pos 158 49.8 24.0 60.1 0.9 1.6 0.5 29.0 -44.2
pair SLmean RSIhist pos-pos 158 49.8 24.0 60.1 0.9 1.6 0.5 29.0 -44.2
pair SLmean RSmean pos-pos 180 56.8 23.9 62.8 0.9 1.6 0.7 29.3 -35.5
pair RSmean SLmean pos-pos 180 56.8 23.9 62.8 0.9 1.6 0.7 29.3 -35.5
single SLmean SLmean pos-pos 187 59.0 23.7 63.1 0.9 1.5 0.7 29.2 -35.5
single RSIhist RSIhist pos-pos 170 53.6 22.7 59.4 0.9 1.6 0.5 28.5 -44.4
pair RSIhist MRmean pos-pos 156 49.2 22.3 59.6 0.8 1.5 0.7 28.4 -31.7
pair MRmean RSIhist pos-pos 156 49.2 22.3 59.6 0.8 1.5 0.7 28.4 -31.7
pair RSIhist SLmean pos-neg 29 9.1 22.2 79.3 0.8 1.1 1.4 30.4 -16.4
pair SLmean RSIhist pos-neg 29 9.1 22.2 79.3 0.8 1.1 1.4 30.4 -16.4
pair RSmean RSIhist pos-pos 161 50.8 22.1 58.4 0.8 1.6 0.5 28.8 -44.4
pair RSIhist RSmean pos-pos 161 50.8 22.1 58.4 0.8 1.6 0.5 28.8 -44.4
pair MRmean SLmean pos-pos 170 53.6 22.0 61.8 0.8 1.4 0.6 29.5 -35.5
pair SLmean MRmean pos-pos 170 53.6 22.0 61.8 0.8 1.4 0.6 29.5 -35.5
pair MACD SLmean pos-pos 135 42.6 20.1 64.4 0.8 1.2 0.6 29.8 -35.5
pair SLmean MACD pos-pos 135 42.6 20.1 64.4 0.8 1.2 0.6 29.8 -35.5
pair RSIhist MACD pos-pos 111 35.0 20.0 61.3 0.8 1.3 0.5 29.4 -36.9
pair MACD RSIhist pos-pos 111 35.0 20.0 61.3 0.8 1.3 0.5 29.4 -36.9
pair RSmean MRmean pos-pos 189 59.6 20.0 60.3 0.8 1.4 0.4 28.6 -45.8
pair MRmean RSmean pos-pos 189 59.6 20.0 60.3 0.8 1.4 0.4 28.6 -45.8
pair SLmean LWTI pos-pos 155 48.9 20.0 65.8 0.8 1.3 0.6 28.6 -35.5
pair LWTI SLmean pos-pos 155 48.9 20.0 65.8 0.8 1.3 0.6 28.6 -35.5
pair MACDhist SLmean pos-pos 124 39.1 19.4 64.5 0.7 1.2 0.6 30.0 -35.5
pair SLmean MACDhist pos-pos 124 39.1 19.4 64.5 0.7 1.2 0.6 30.0 -35.5
pair SLmean RSI pos-pos 160 50.5 19.2 63.1 0.8 1.2 0.5 29.1 -35.5
pair RSI SLmean pos-pos 160 50.5 19.2 63.1 0.8 1.2 0.5 29.1 -35.5
single MRmean MRmean pos-pos 196 61.8 19.0 60.2 0.8 1.3 0.5 28.5 -39.1
pair RSIhist RSI pos-pos 140 44.2 18.8 60.0 0.8 1.3 0.5 28.3 -39.6
pair RSI RSIhist pos-pos 140 44.2 18.8 60.0 0.8 1.3 0.5 28.3 -39.6
pair MACDhist RSIhist pos-pos 116 36.6 18.6 62.1 0.7 1.3 0.6 28.6 -32.1
pair RSIhist MACDhist pos-pos 116 36.6 18.6 62.1 0.7 1.3 0.6 28.6 -32.1
pair RSI MACD neg-neg 79 24.9 18.2 55.7 0.6 1.3 0.5 35.8 -40.8
pair MACD RSI neg-neg 79 24.9 18.2 55.7 0.6 1.3 0.5 35.8 -40.8
pair SLmean RSmean pos-neg 7 2.2 18.0 71.4 0.7 0.8 1.1 26.8 -15.7
pair RSmean SLmean pos-neg 7 2.2 18.0 71.4 0.7 0.8 1.1 26.8 -15.7
pair MACD RSmean pos-neg 90 28.4 17.7 54.4 0.7 1.3 0.6 32.7 -28.8
pair RSmean MACD pos-neg 90 28.4 17.7 54.4 0.7 1.3 0.6 32.7 -28.8
pair RSIhist LWTI pos-pos 137 43.2 17.4 61.3 0.7 1.2 0.6 27.8 -30.5
pair LWTI RSIhist pos-pos 137 43.2 17.4 61.3 0.7 1.2 0.6 27.8 -30.5
pair RSI MRmean pos-pos 176 55.5 17.2 60.8 0.7 1.2 0.5 28.4 -36.2
pair MRmean RSI pos-pos 176 55.5 17.2 60.8 0.7 1.2 0.5 28.4 -36.2
pair MACD MRmean pos-pos 146 46.1 17.1 61.6 0.7 1.1 0.6 29.2 -27.3
pair MRmean MACD pos-pos 146 46.1 17.1 61.6 0.7 1.1 0.6 29.2 -27.3
pair MACDhist MACD neg-pos 30 9.5 16.3 63.3 0.8 1.8 0.9 22.4 -18.7
pair MACD MACDhist neg-pos 30 9.5 16.3 63.3 0.8 1.8 0.9 22.4 -18.7
pair MACDhist MACD neg-neg 80 25.2 16.2 52.5 0.6 1.2 0.3 36.4 -47.2
pair MACD MACDhist neg-neg 80 25.2 16.2 52.5 0.6 1.2 0.3 36.4 -47.2
single MACD MACD neg-neg 110 34.7 16.2 55.5 0.6 1.2 0.3 33.1 -47.2
pair MRmean LWTI pos-pos 173 54.6 15.3 61.8 0.7 1.1 0.4 28.1 -36.0
pair LWTI MRmean pos-pos 173 54.6 15.3 61.8 0.7 1.1 0.4 28.1 -36.0
pair MACDhist MRmean pos-pos 146 46.1 15.1 61.0 0.6 1.1 0.4 28.9 -35.5
pair MRmean MACDhist pos-pos 146 46.1 15.1 61.0 0.6 1.1 0.4 28.9 -35.5
single MACDhist MACDhist pos-pos 155 48.9 14.2 60.0 0.6 1.0 0.3 29.0 -41.7
pair MACDhist MACD pos-pos 125 39.4 13.7 59.2 0.6 1.0 0.3 30.4 -41.7
pair MACD MACDhist pos-pos 125 39.4 13.7 59.2 0.6 1.0 0.3 30.4 -41.7
pair MACDhist RSmean pos-pos 148 46.7 13.4 59.5 0.6 1.0 0.3 29.4 -41.7
pair RSmean MACDhist pos-pos 148 46.7 13.4 59.5 0.6 1.0 0.3 29.4 -41.7
pair LWTI MACDhist pos-pos 152 47.9 12.6 59.2 0.6 0.9 0.3 29.0 -44.2
pair MACDhist LWTI pos-pos 152 47.9 12.6 59.2 0.6 0.9 0.3 29.0 -44.2
pair RSI MACDhist pos-pos 144 45.4 12.3 59.0 0.5 0.9 0.3 29.4 -44.2
pair MACDhist RSI pos-pos 144 45.4 12.3 59.0 0.5 0.9 0.3 29.4 -44.2
pair RSmean RSI pos-pos 197 62.1 12.2 59.4 0.6 0.9 0.2 28.1 -49.1
pair RSI RSmean pos-pos 197 62.1 12.2 59.4 0.6 0.9 0.2 28.1 -49.1
pair RSmean RSI neg-neg 17 5.4 11.7 58.8 0.5 1.1 0.3 36.6 -34.7
pair RSI RSmean neg-neg 17 5.4 11.7 58.8 0.5 1.1 0.3 36.6 -34.7
pair LWTI RSmean pos-neg 78 24.6 11.5 51.3 0.5 0.8 0.2 36.4 -56.1
pair RSmean LWTI pos-neg 78 24.6 11.5 51.3 0.5 0.8 0.2 36.4 -56.1
single LWTI LWTI neg-neg 80 25.2 11.3 51.2 0.5 0.8 0.2 36.0 -56.1
pair RSI MACD neg-pos 31 9.8 11.2 54.8 0.5 1.1 0.6 25.3 -19.2
pair MACD RSI neg-pos 31 9.8 11.2 54.8 0.5 1.1 0.6 25.3 -19.2
pair LWTI MACD pos-pos 179 56.5 11.2 59.8 0.5 0.8 0.3 28.7 -35.3
pair MACD LWTI pos-pos 179 56.5 11.2 59.8 0.5 0.8 0.3 28.7 -35.3
single RSmean RSmean pos-pos 293 92.4 10.7 57.3 0.5 0.8 0.1 30.2 -70.1
pair RSmean LWTI pos-pos 215 67.8 10.4 59.5 0.5 0.8 0.2 27.8 -47.5
pair LWTI RSmean pos-pos 215 67.8 10.4 59.5 0.5 0.8 0.2 27.8 -47.5
single RSI RSI pos-pos 204 64.4 10.2 58.8 0.5 0.8 0.2 28.1 -49.7
pair MACD RSI pos-pos 173 54.6 10.1 59.5 0.5 0.8 0.2 28.7 -43.3
pair RSI MACD pos-pos 173 54.6 10.1 59.5 0.5 0.8 0.2 28.7 -43.3
pair RSmean MACD neg-neg 20 6.3 9.9 60.0 0.4 1.0 0.2 35.9 -41.7
pair MACD RSmean neg-neg 20 6.3 9.9 60.0 0.4 1.0 0.2 35.9 -41.7
pair MACD MRmean neg-neg 60 18.9 9.8 55.0 0.4 0.9 0.2 38.0 -49.9
pair MRmean MACD neg-neg 60 18.9 9.8 55.0 0.4 0.9 0.2 38.0 -49.9
pair benchmark___benchmark_ benchmark-benchmark 317 100.0 9.5 57.1 0.5 0.8 0.1 30.5 -70.1
pair benchmark___benchmark_ benchmark-benchmark 317 100.0 9.5 57.1 0.5 0.8 0.1 30.5 -70.1
pair RSI LWTI pos-pos 189 59.6 9.1 59.3 0.5 0.7 0.2 28.2 -42.0
pair LWTI RSI pos-pos 189 59.6 9.1 59.3 0.5 0.7 0.2 28.2 -42.0
single LWTI LWTI pos-pos 237 74.8 8.9 59.1 0.4 0.8 0.2 28.5 -46.6
single RSI RSI neg-neg 113 35.6 8.3 54.0 0.4 0.7 0.1 34.6 -57.0
pair RSI LWTI neg-pos 48 15.1 8.3 58.3 0.4 0.8 0.2 30.0 -37.5
pair LWTI RSI neg-pos 48 15.1 8.3 58.3 0.4 0.8 0.2 30.0 -37.5
pair RSI LWTI neg-neg 65 20.5 8.2 50.8 0.4 0.7 0.1 37.9 -56.1
pair LWTI RSI neg-neg 65 20.5 8.2 50.8 0.4 0.7 0.1 37.9 -56.1
pair LWTI MACDhist neg-neg 77 24.3 8.1 49.4 0.4 0.7 0.1 36.3 -56.1
pair MACDhist LWTI neg-neg 77 24.3 8.1 49.4 0.4 0.7 0.1 36.3 -56.1
pair RSmean MACDhist pos-neg 145 45.7 7.9 55.2 0.4 0.6 0.1 31.1 -63.1
pair MACDhist RSmean pos-neg 145 45.7 7.9 55.2 0.4 0.6 0.1 31.1 -63.1
pair MACD RSmean pos-pos 203 64.0 7.7 58.6 0.4 0.6 0.1 29.1 -62.7
pair RSmean MACD pos-pos 203 64.0 7.7 58.6 0.4 0.6 0.1 29.1 -62.7
pair RSI RSmean pos-neg 96 30.3 7.7 53.1 0.4 0.7 0.1 34.4 -57.0
pair RSmean RSI pos-neg 96 30.3 7.7 53.1 0.4 0.7 0.1 34.4 -57.0
pair SLmean RSIhist neg-pos 12 3.8 6.9 50.0 0.4 1.1 0.6 21.5 -12.2
pair RSIhist SLmean neg-pos 12 3.8 6.9 50.0 0.4 1.1 0.6 21.5 -12.2
pair RSIhist MRmean pos-neg 40 12.6 6.9 62.5 0.4 0.6 0.2 29.0 -28.9
pair MRmean RSIhist pos-neg 40 12.6 6.9 62.5 0.4 0.6 0.2 29.0 -28.9
single MACD MACD pos-pos 207 65.3 6.1 58.0 0.3 0.5 0.1 29.1 -63.2
pair MACDhist RSI pos-neg 60 18.9 5.4 58.3 0.3 0.5 0.1 25.0 -39.7
pair RSI MACDhist pos-neg 60 18.9 5.4 58.3 0.3 0.5 0.1 25.0 -39.7
single MACDhist MACDhist neg-neg 162 51.1 5.3 54.3 0.3 0.5 0.1 32.0 -63.1
pair MACDhist RSI neg-neg 102 32.2 5.2 52.0 0.3 0.6 0.1 35.6 -57.0
pair RSI MACDhist neg-neg 102 32.2 5.2 52.0 0.3 0.6 0.1 35.6 -57.0
pair MACD RSIhist neg-neg 51 16.1 4.0 54.9 0.3 0.6 0.1 39.0 -49.2
pair RSIhist MACD neg-neg 51 16.1 4.0 54.9 0.3 0.6 0.1 39.0 -49.2
pair LWTI RSmean neg-neg 2 0.6 3.5 50.0 0.2 0.0 0.0 20.9 0.0
pair RSmean LWTI neg-neg 2 0.6 3.5 50.0 0.2 0.0 0.0 20.9 0.0
pair MRmean RSI neg-neg 93 29.3 3.1 53.8 0.3 0.5 0.1 35.6 -62.7
pair RSI MRmean neg-neg 93 29.3 3.1 53.8 0.3 0.5 0.1 35.6 -62.7
pair LWTI MACDhist neg-pos 85 26.8 2.7 58.8 0.2 0.4 0.1 27.8 -41.7
pair MACDhist LWTI neg-pos 85 26.8 2.7 58.8 0.2 0.4 0.1 27.8 -41.7
pair SLmean MACD neg-neg 58 18.3 2.7 51.7 0.2 0.5 0.1 37.4 -49.9
pair MACD SLmean neg-neg 58 18.3 2.7 51.7 0.2 0.5 0.1 37.4 -49.9
pair MACD LWTI neg-pos 58 18.3 2.3 56.9 0.2 0.4 0.1 28.2 -41.7
pair LWTI MACD neg-pos 58 18.3 2.3 56.9 0.2 0.4 0.1 28.2 -41.7
pair MACDhist RSIhist pos-neg 39 12.3 1.9 53.8 0.2 0.3 0.1 30.3 -28.7
pair RSIhist MACDhist pos-neg 39 12.3 1.9 53.8 0.2 0.3 0.1 30.3 -28.7
pair MRmean SLmean pos-neg 26 8.2 0.9 50.0 0.1 0.3 0.0 20.0 -28.3
pair SLmean MRmean pos-neg 26 8.2 0.9 50.0 0.1 0.3 0.0 20.0 -28.3
pair MACDhist MRmean neg-pos 9 2.8 0.7 44.4 0.2 0.2 0.1 31.9 -4.5
pair MRmean MACDhist neg-pos 9 2.8 0.7 44.4 0.2 0.2 0.1 31.9 -4.5
pair LWTI MRmean neg-neg 57 18.0 -1.5 52.6 0.1 0.2 -0.0 37.5 -56.1
pair MRmean LWTI neg-neg 57 18.0 -1.5 52.6 0.1 0.2 -0.0 37.5 -56.1
pair LWTI RSIhist neg-pos 100 31.5 -1.7 56.0 0.1 0.1 -0.0 29.4 -50.5
pair RSIhist LWTI neg-pos 100 31.5 -1.7 56.0 0.1 0.1 -0.0 29.4 -50.5
pair RSmean RSIhist pos-neg 132 41.6 -1.9 56.1 0.1 0.1 -0.0 31.7 -66.3
pair RSIhist RSmean pos-neg 132 41.6 -1.9 56.1 0.1 0.1 -0.0 31.7 -66.3
pair RSI RSIhist neg-neg 83 26.2 -2.0 53.0 0.1 0.2 -0.0 36.0 -62.2
pair RSIhist RSI neg-neg 83 26.2 -2.0 53.0 0.1 0.2 -0.0 36.0 -62.2
pair RSmean MRmean neg-neg 17 5.4 -2.7 52.9 0.1 0.2 -0.1 38.0 -41.7
pair MRmean RSmean neg-neg 17 5.4 -2.7 52.9 0.1 0.2 -0.1 38.0 -41.7
pair RSI SLmean neg-neg 86 27.1 -3.1 51.2 0.1 0.2 -0.1 35.8 -65.2
pair SLmean RSI neg-neg 86 27.1 -3.1 51.2 0.1 0.2 -0.1 35.8 -65.2
single RSmean RSmean neg-neg 24 7.6 -3.4 54.2 0.1 0.1 -0.1 34.6 -41.7
single RSIhist RSIhist neg-neg 147 46.4 -3.9 54.4 0.0 0.1 -0.1 32.5 -69.2
pair LWTI RSmean neg-pos 22 6.9 -4.0 54.5 0.1 0.1 -0.1 35.9 -41.7
pair RSmean LWTI neg-pos 22 6.9 -4.0 54.5 0.1 0.1 -0.1 35.9 -41.7
single MRmean MRmean neg-neg 121 38.2 -4.2 52.1 0.0 0.1 -0.1 33.4 -69.3
pair MACD MACDhist pos-neg 82 25.9 -4.4 56.1 -0.0 -0.0 -0.1 26.9 -60.1
pair MACDhist MACD pos-neg 82 25.9 -4.4 56.1 -0.0 -0.0 -0.1 26.9 -60.1
pair SLmean MACDhist neg-pos 31 9.8 -4.5 41.9 -0.1 -0.1 -0.1 24.2 -31.1
pair MRmean RSmean neg-pos 104 32.8 -4.5 51.9 0.0 0.0 -0.1 32.8 -68.7
pair RSmean MRmean neg-pos 104 32.8 -4.5 51.9 0.0 0.0 -0.1 32.8 -68.7
pair MACDhist SLmean neg-pos 31 9.8 -4.5 41.9 -0.1 -0.1 -0.1 24.2 -31.1
pair MRmean MACDhist neg-neg 112 35.3 -4.6 52.7 0.0 0.1 -0.1 33.7 -65.8
pair MACDhist MRmean neg-neg 112 35.3 -4.6 52.7 0.0 0.1 -0.1 33.7 -65.8
pair RSmean MRmean pos-neg 7 2.2 -5.2 57.1 -0.1 -0.1 -0.2 27.2 -20.8
pair MRmean RSmean pos-neg 7 2.2 -5.2 57.1 -0.1 -0.1 -0.2 27.2 -20.8
pair MACDhist RSIhist neg-neg 108 34.1 -6.0 54.6 -0.0 -0.0 -0.1 33.3 -63.9
pair RSIhist MACDhist neg-neg 108 34.1 -6.0 54.6 -0.0 -0.0 -0.1 33.3 -63.9
pair SLmean LWTI neg-neg 48 15.1 -6.1 52.1 0.0 0.0 -0.1 38.2 -56.5
pair LWTI SLmean neg-neg 48 15.1 -6.1 52.1 0.0 0.0 -0.1 38.2 -56.5
pair RSI RSIhist pos-neg 64 20.2 -6.4 56.2 -0.1 -0.1 -0.1 27.4 -45.9
pair RSIhist RSI pos-neg 64 20.2 -6.4 56.2 -0.1 -0.1 -0.1 27.4 -45.9
pair MRmean LWTI neg-pos 64 20.2 -6.6 51.6 -0.1 -0.1 -0.1 29.5 -53.5
pair LWTI MRmean neg-pos 64 20.2 -6.6 51.6 -0.1 -0.1 -0.1 29.5 -53.5
pair SLmean RSmean neg-pos 113 35.6 -7.6 48.7 -0.1 -0.1 -0.1 31.1 -70.8
pair RSmean SLmean neg-pos 113 35.6 -7.6 48.7 -0.1 -0.1 -0.1 31.1 -70.8
pair RSIhist MRmean neg-neg 107 33.8 -7.7 51.4 -0.1 -0.1 -0.1 33.7 -72.3
pair MRmean RSIhist neg-neg 107 33.8 -7.7 51.4 -0.1 -0.1 -0.1 33.7 -72.3
pair MACD RSIhist pos-neg 96 30.3 -7.9 54.2 -0.1 -0.2 -0.1 28.5 -70.8
pair RSIhist MACD pos-neg 96 30.3 -7.9 54.2 -0.1 -0.2 -0.1 28.5 -70.8
single SLmean SLmean neg-neg 130 41.0 -8.1 48.5 -0.1 -0.2 -0.1 31.9 -80.0
pair LWTI RSIhist neg-neg 47 14.8 -8.6 51.1 -0.0 -0.1 -0.1 38.4 -56.1
pair RSIhist LWTI neg-neg 47 14.8 -8.6 51.1 -0.0 -0.1 -0.1 38.4 -56.1
pair MACDhist SLmean neg-neg 99 31.2 -9.2 50.5 -0.1 -0.2 -0.1 34.1 -73.4
pair SLmean MACDhist neg-neg 99 31.2 -9.2 50.5 -0.1 -0.2 -0.1 34.1 -73.4
pair LWTI SLmean neg-pos 82 25.9 -9.2 46.3 -0.2 -0.4 -0.1 27.9 -63.8
pair SLmean LWTI neg-pos 82 25.9 -9.2 46.3 -0.2 -0.4 -0.1 27.9 -63.8
pair SLmean RSIhist neg-neg 118 37.2 -9.5 48.3 -0.1 -0.2 -0.1 32.8 -78.8
pair RSIhist SLmean neg-neg 118 37.2 -9.5 48.3 -0.1 -0.2 -0.1 32.8 -78.8
pair MRmean SLmean neg-neg 104 32.8 -10.2 48.1 -0.1 -0.2 -0.1 34.3 -81.0
pair SLmean MRmean neg-neg 104 32.8 -10.2 48.1 -0.1 -0.2 -0.1 34.3 -81.0
pair RSmean SLmean neg-neg 17 5.4 -11.1 47.1 -0.1 -0.3 -0.3 37.9 -41.7
pair SLmean RSmean neg-neg 17 5.4 -11.1 47.1 -0.1 -0.3 -0.3 37.9 -41.7
pair MACD RSI pos-neg 34 10.7 -11.8 50.0 -0.2 -0.3 -0.3 31.2 -44.4
pair RSI MACD pos-neg 34 10.7 -11.8 50.0 -0.2 -0.3 -0.3 31.2 -44.4
pair MACDhist RSmean neg-neg 17 5.4 -15.2 47.1 -0.2 -0.6 -0.4 39.4 -41.7
pair RSmean MACDhist neg-neg 17 5.4 -15.2 47.1 -0.2 -0.6 -0.4 39.4 -41.7
pair SLmean MACD neg-pos 72 22.7 -15.9 45.8 -0.5 -0.7 -0.2 26.6 -72.5
pair MACD SLmean neg-pos 72 22.7 -15.9 45.8 -0.5 -0.7 -0.2 26.6 -72.5
pair MACD MRmean neg-pos 61 19.2 -16.2 49.2 -0.5 -0.6 -0.2 27.9 -71.2
pair MRmean MACD neg-pos 61 19.2 -16.2 49.2 -0.5 -0.6 -0.2 27.9 -71.2
pair RSI SLmean neg-pos 44 13.9 -17.1 43.2 -0.7 -1.0 -0.3 22.5 -52.1
pair SLmean RSI neg-pos 44 13.9 -17.1 43.2 -0.7 -1.0 -0.3 22.5 -52.1
pair RSIhist RSmean neg-neg 15 4.7 -20.4 40.0 -0.4 -1.0 -0.5 39.4 -41.7
pair RSmean RSIhist neg-neg 15 4.7 -20.4 40.0 -0.4 -1.0 -0.5 39.4 -41.7
pair MACD LWTI pos-neg 28 8.8 -21.1 46.4 -0.6 -0.7 -0.3 30.8 -63.0
pair LWTI MACD pos-neg 28 8.8 -21.1 46.4 -0.6 -0.7 -0.3 30.8 -63.0
pair MRmean RSI neg-pos 28 8.8 -25.1 46.4 -1.1 -1.3 -0.5 24.0 -50.9
pair RSI MRmean neg-pos 28 8.8 -25.1 46.4 -1.1 -1.3 -0.5 24.0 -50.9
pair RSI RSmean neg-pos 7 2.2 -32.1 42.9 -1.2 -1.9 -1.5 28.9 -20.8
pair RSmean RSI neg-pos 7 2.2 -32.1 42.9 -1.2 -1.9 -1.5 28.9 -20.8
pair RSmean MACD neg-pos 4 1.3 -49.4 25.0 -3.1 -3.4 -5.8 21.0 -8.6
pair MACD RSmean neg-pos 4 1.3 -49.4 25.0 -3.1 -3.4 -5.8 21.0 -8.6

All Contingency Tables for EWY

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos
SLmean
neg
MRmean
only
MRmean
pos
CAGR 22.0% | Win 62%
Sharpe 0.82 | Sortino 1.42 | Calmar 0.6
Vol 30% | MDD -35.5%
Months 170M (54%)
CAGR 0.9% | Win 50%
Sharpe 0.14 | Sortino 0.29 | Calmar 0.0
Vol 20% | MDD -28.3%
Months 26M (8%)
CAGR 19.0% | Win 60%
Sharpe 0.75 | Sortino 1.33 | Calmar 0.5
Vol 28% | MDD -39.1%
Months 196M (62%)
MRmean
neg
CAGR 42.0% | Win 76%
Sharpe 1.51 | Sortino 3.96 | Calmar 3.5
Vol 26% | MDD -11.9%
Months 17M (5%)
CAGR -10.2% | Win 48%
Sharpe -0.14 | Sortino -0.23 | Calmar -0.1
Vol 34% | MDD -81.0%
Months 104M (33%)
CAGR -4.2% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -69.3%
Months 121M (38%)
SLmean
only
CAGR 23.7% | Win 63%
Sharpe 0.88 | Sortino 1.52 | Calmar 0.7
Vol 29% | MDD -35.5%
Months 187M (59%)
CAGR -8.1% | Win 48%
Sharpe -0.10 | Sortino -0.17 | Calmar -0.1
Vol 32% | MDD -80.0%
Months 130M (41%)
MRmean × RSmean
RSmean
pos
RSmean
neg
MRmean
only
MRmean
pos
CAGR 20.0% | Win 60%
Sharpe 0.78 | Sortino 1.39 | Calmar 0.4
Vol 29% | MDD -45.8%
Months 189M (60%)
CAGR -5.2% | Win 57%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.2
Vol 27% | MDD -20.8%
Months 7M (2%)
CAGR 19.0% | Win 60%
Sharpe 0.75 | Sortino 1.33 | Calmar 0.5
Vol 28% | MDD -39.1%
Months 196M (62%)
MRmean
neg
CAGR -4.5% | Win 52%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 33% | MDD -68.7%
Months 104M (33%)
CAGR -2.7% | Win 53%
Sharpe 0.10 | Sortino 0.25 | Calmar -0.1
Vol 38% | MDD -41.7%
Months 17M (5%)
CAGR -4.2% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -69.3%
Months 121M (38%)
RSmean
only
CAGR 10.7% | Win 57%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 30% | MDD -70.1%
Months 293M (92%)
CAGR -3.4% | Win 54%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.1
Vol 35% | MDD -41.7%
Months 24M (8%)
MRmean × MACD
MACD
pos
MACD
neg
MRmean
only
MRmean
pos
CAGR 17.1% | Win 62%
Sharpe 0.69 | Sortino 1.13 | Calmar 0.6
Vol 29% | MDD -27.3%
Months 146M (46%)
CAGR 24.5% | Win 56%
Sharpe 0.96 | Sortino 2.50 | Calmar 1.0
Vol 26% | MDD -23.6%
Months 50M (16%)
CAGR 19.0% | Win 60%
Sharpe 0.75 | Sortino 1.33 | Calmar 0.5
Vol 28% | MDD -39.1%
Months 196M (62%)
MRmean
neg
CAGR -16.2% | Win 49%
Sharpe -0.48 | Sortino -0.62 | Calmar -0.2
Vol 28% | MDD -71.2%
Months 61M (19%)
CAGR 9.8% | Win 55%
Sharpe 0.43 | Sortino 0.91 | Calmar 0.2
Vol 38% | MDD -49.9%
Months 60M (19%)
CAGR -4.2% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -69.3%
Months 121M (38%)
MACD
only
CAGR 6.1% | Win 58%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -63.2%
Months 207M (65%)
CAGR 16.2% | Win 56%
Sharpe 0.62 | Sortino 1.23 | Calmar 0.3
Vol 33% | MDD -47.2%
Months 110M (35%)
MRmean × RSI
RSI
pos
RSI
neg
MRmean
only
MRmean
pos
CAGR 17.2% | Win 61%
Sharpe 0.70 | Sortino 1.19 | Calmar 0.5
Vol 28% | MDD -36.2%
Months 176M (56%)
CAGR 35.6% | Win 55%
Sharpe 1.16 | Sortino 3.77 | Calmar 3.0
Vol 30% | MDD -12.0%
Months 20M (6%)
CAGR 19.0% | Win 60%
Sharpe 0.75 | Sortino 1.33 | Calmar 0.5
Vol 28% | MDD -39.1%
Months 196M (62%)
MRmean
neg
CAGR -25.1% | Win 46%
Sharpe -1.07 | Sortino -1.32 | Calmar -0.5
Vol 24% | MDD -50.9%
Months 28M (9%)
CAGR 3.1% | Win 54%
Sharpe 0.26 | Sortino 0.46 | Calmar 0.1
Vol 36% | MDD -62.7%
Months 93M (29%)
CAGR -4.2% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -69.3%
Months 121M (38%)
RSI
only
CAGR 10.2% | Win 59%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 28% | MDD -49.7%
Months 204M (64%)
CAGR 8.3% | Win 54%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.1
Vol 35% | MDD -57.0%
Months 113M (36%)
MRmean × MACDhist
MACDhist
pos
MACDhist
neg
MRmean
only
MRmean
pos
CAGR 15.1% | Win 61%
Sharpe 0.63 | Sortino 1.11 | Calmar 0.4
Vol 29% | MDD -35.5%
Months 146M (46%)
CAGR 31.1% | Win 58%
Sharpe 1.13 | Sortino 2.05 | Calmar 1.2
Vol 27% | MDD -25.9%
Months 50M (16%)
CAGR 19.0% | Win 60%
Sharpe 0.75 | Sortino 1.33 | Calmar 0.5
Vol 28% | MDD -39.1%
Months 196M (62%)
MRmean
neg
CAGR 0.7% | Win 44%
Sharpe 0.17 | Sortino 0.22 | Calmar 0.1
Vol 32% | MDD -4.5%
Months 9M (3%)
CAGR -4.6% | Win 53%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 34% | MDD -65.8%
Months 112M (35%)
CAGR -4.2% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -69.3%
Months 121M (38%)
MACDhist
only
CAGR 14.2% | Win 60%
Sharpe 0.60 | Sortino 1.03 | Calmar 0.3
Vol 29% | MDD -41.7%
Months 155M (49%)
CAGR 5.3% | Win 54%
Sharpe 0.32 | Sortino 0.53 | Calmar 0.1
Vol 32% | MDD -63.1%
Months 162M (51%)
MRmean × RSIhist
RSIhist
pos
RSIhist
neg
MRmean
only
MRmean
pos
CAGR 22.3% | Win 60%
Sharpe 0.85 | Sortino 1.54 | Calmar 0.7
Vol 28% | MDD -31.7%
Months 156M (49%)
CAGR 6.9% | Win 62%
Sharpe 0.37 | Sortino 0.59 | Calmar 0.2
Vol 29% | MDD -28.9%
Months 40M (13%)
CAGR 19.0% | Win 60%
Sharpe 0.75 | Sortino 1.33 | Calmar 0.5
Vol 28% | MDD -39.1%
Months 196M (62%)
MRmean
neg
CAGR 27.5% | Win 57%
Sharpe 0.93 | Sortino 2.95 | Calmar 1.5
Vol 31% | MDD -18.7%
Months 14M (4%)
CAGR -7.7% | Win 51%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 34% | MDD -72.3%
Months 107M (34%)
CAGR -4.2% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -69.3%
Months 121M (38%)
RSIhist
only
CAGR 22.7% | Win 59%
Sharpe 0.86 | Sortino 1.61 | Calmar 0.5
Vol 28% | MDD -44.4%
Months 170M (54%)
CAGR -3.9% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 32% | MDD -69.2%
Months 147M (46%)
MRmean × LWTI
LWTI
pos
LWTI
neg
MRmean
only
MRmean
pos
CAGR 15.3% | Win 62%
Sharpe 0.65 | Sortino 1.10 | Calmar 0.4
Vol 28% | MDD -36.0%
Months 173M (55%)
CAGR 50.6% | Win 48%
Sharpe 1.47 | Sortino 4.88 | Calmar 3.3
Vol 31% | MDD -15.3%
Months 23M (7%)
CAGR 19.0% | Win 60%
Sharpe 0.75 | Sortino 1.33 | Calmar 0.5
Vol 28% | MDD -39.1%
Months 196M (62%)
MRmean
neg
CAGR -6.6% | Win 52%
Sharpe -0.08 | Sortino -0.14 | Calmar -0.1
Vol 30% | MDD -53.5%
Months 64M (20%)
CAGR -1.5% | Win 53%
Sharpe 0.15 | Sortino 0.24 | Calmar -0.0
Vol 38% | MDD -56.1%
Months 57M (18%)
CAGR -4.2% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -69.3%
Months 121M (38%)
LWTI
only
CAGR 8.9% | Win 59%
Sharpe 0.44 | Sortino 0.75 | Calmar 0.2
Vol 28% | MDD -46.6%
Months 237M (75%)
CAGR 11.3% | Win 51%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 36% | MDD -56.1%
Months 80M (25%)
SLmean × RSmean
RSmean
pos
RSmean
neg
SLmean
only
SLmean
pos
CAGR 23.9% | Win 63%
Sharpe 0.88 | Sortino 1.55 | Calmar 0.7
Vol 29% | MDD -35.5%
Months 180M (57%)
CAGR 18.0% | Win 71%
Sharpe 0.74 | Sortino 0.75 | Calmar 1.2
Vol 27% | MDD -15.7%
Months 7M (2%)
CAGR 23.7% | Win 63%
Sharpe 0.88 | Sortino 1.52 | Calmar 0.7
Vol 29% | MDD -35.5%
Months 187M (59%)
SLmean
neg
CAGR -7.6% | Win 49%
Sharpe -0.10 | Sortino -0.15 | Calmar -0.1
Vol 31% | MDD -70.8%
Months 113M (36%)
CAGR -11.1% | Win 47%
Sharpe -0.13 | Sortino -0.33 | Calmar -0.3
Vol 38% | MDD -41.7%
Months 17M (5%)
CAGR -8.1% | Win 48%
Sharpe -0.10 | Sortino -0.17 | Calmar -0.1
Vol 32% | MDD -80.0%
Months 130M (41%)
RSmean
only
CAGR 10.7% | Win 57%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 30% | MDD -70.1%
Months 293M (92%)
CAGR -3.4% | Win 54%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.1
Vol 35% | MDD -41.7%
Months 24M (8%)
SLmean × MACD
MACD
pos
MACD
neg
SLmean
only
SLmean
pos
CAGR 20.1% | Win 64%
Sharpe 0.77 | Sortino 1.22 | Calmar 0.6
Vol 30% | MDD -35.5%
Months 135M (43%)
CAGR 33.4% | Win 60%
Sharpe 1.19 | Sortino 3.20 | Calmar 1.8
Vol 28% | MDD -19.1%
Months 52M (16%)
CAGR 23.7% | Win 63%
Sharpe 0.88 | Sortino 1.52 | Calmar 0.7
Vol 29% | MDD -35.5%
Months 187M (59%)
SLmean
neg
CAGR -15.9% | Win 46%
Sharpe -0.51 | Sortino -0.68 | Calmar -0.2
Vol 27% | MDD -72.5%
Months 72M (23%)
CAGR 2.7% | Win 52%
Sharpe 0.25 | Sortino 0.51 | Calmar 0.1
Vol 37% | MDD -49.9%
Months 58M (18%)
CAGR -8.1% | Win 48%
Sharpe -0.10 | Sortino -0.17 | Calmar -0.1
Vol 32% | MDD -80.0%
Months 130M (41%)
MACD
only
CAGR 6.1% | Win 58%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -63.2%
Months 207M (65%)
CAGR 16.2% | Win 56%
Sharpe 0.62 | Sortino 1.23 | Calmar 0.3
Vol 33% | MDD -47.2%
Months 110M (35%)
SLmean × RSI
RSI
pos
RSI
neg
SLmean
only
SLmean
pos
CAGR 19.2% | Win 63%
Sharpe 0.75 | Sortino 1.24 | Calmar 0.5
Vol 29% | MDD -35.5%
Months 160M (50%)
CAGR 53.9% | Win 63%
Sharpe 1.64 | Sortino 5.21 | Calmar 3.9
Vol 29% | MDD -14.0%
Months 27M (8%)
CAGR 23.7% | Win 63%
Sharpe 0.88 | Sortino 1.52 | Calmar 0.7
Vol 29% | MDD -35.5%
Months 187M (59%)
SLmean
neg
CAGR -17.1% | Win 43%
Sharpe -0.71 | Sortino -0.98 | Calmar -0.3
Vol 22% | MDD -52.1%
Months 44M (14%)
CAGR -3.1% | Win 51%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 36% | MDD -65.2%
Months 86M (27%)
CAGR -8.1% | Win 48%
Sharpe -0.10 | Sortino -0.17 | Calmar -0.1
Vol 32% | MDD -80.0%
Months 130M (41%)
RSI
only
CAGR 10.2% | Win 59%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 28% | MDD -49.7%
Months 204M (64%)
CAGR 8.3% | Win 54%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.1
Vol 35% | MDD -57.0%
Months 113M (36%)
SLmean × MACDhist
MACDhist
pos
MACDhist
neg
SLmean
only
SLmean
pos
CAGR 19.4% | Win 64%
Sharpe 0.74 | Sortino 1.25 | Calmar 0.5
Vol 30% | MDD -35.5%
Months 124M (39%)
CAGR 32.6% | Win 60%
Sharpe 1.17 | Sortino 2.19 | Calmar 1.1
Vol 28% | MDD -28.7%
Months 63M (20%)
CAGR 23.7% | Win 63%
Sharpe 0.88 | Sortino 1.52 | Calmar 0.7
Vol 29% | MDD -35.5%
Months 187M (59%)
SLmean
neg
CAGR -4.5% | Win 42%
Sharpe -0.07 | Sortino -0.12 | Calmar -0.1
Vol 24% | MDD -31.1%
Months 31M (10%)
CAGR -9.2% | Win 50%
Sharpe -0.11 | Sortino -0.18 | Calmar -0.1
Vol 34% | MDD -73.4%
Months 99M (31%)
CAGR -8.1% | Win 48%
Sharpe -0.10 | Sortino -0.17 | Calmar -0.1
Vol 32% | MDD -80.0%
Months 130M (41%)
MACDhist
only
CAGR 14.2% | Win 60%
Sharpe 0.60 | Sortino 1.03 | Calmar 0.3
Vol 29% | MDD -41.7%
Months 155M (49%)
CAGR 5.3% | Win 54%
Sharpe 0.32 | Sortino 0.53 | Calmar 0.1
Vol 32% | MDD -63.1%
Months 162M (51%)
SLmean × RSIhist
RSIhist
pos
RSIhist
neg
SLmean
only
SLmean
pos
CAGR 24.0% | Win 60%
Sharpe 0.89 | Sortino 1.63 | Calmar 0.5
Vol 29% | MDD -44.2%
Months 158M (50%)
CAGR 22.2% | Win 79%
Sharpe 0.81 | Sortino 1.11 | Calmar 1.4
Vol 30% | MDD -16.4%
Months 29M (9%)
CAGR 23.7% | Win 63%
Sharpe 0.88 | Sortino 1.52 | Calmar 0.7
Vol 29% | MDD -35.5%
Months 187M (59%)
SLmean
neg
CAGR 6.9% | Win 50%
Sharpe 0.41 | Sortino 1.10 | Calmar 0.6
Vol 22% | MDD -12.2%
Months 12M (4%)
CAGR -9.5% | Win 48%
Sharpe -0.14 | Sortino -0.23 | Calmar -0.1
Vol 33% | MDD -78.8%
Months 118M (37%)
CAGR -8.1% | Win 48%
Sharpe -0.10 | Sortino -0.17 | Calmar -0.1
Vol 32% | MDD -80.0%
Months 130M (41%)
RSIhist
only
CAGR 22.7% | Win 59%
Sharpe 0.86 | Sortino 1.61 | Calmar 0.5
Vol 28% | MDD -44.4%
Months 170M (54%)
CAGR -3.9% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 32% | MDD -69.2%
Months 147M (46%)
SLmean × LWTI
LWTI
pos
LWTI
neg
SLmean
only
SLmean
pos
CAGR 20.0% | Win 66%
Sharpe 0.78 | Sortino 1.26 | Calmar 0.6
Vol 29% | MDD -35.5%
Months 155M (49%)
CAGR 43.5% | Win 50%
Sharpe 1.30 | Sortino 3.58 | Calmar 1.5
Vol 32% | MDD -29.7%
Months 32M (10%)
CAGR 23.7% | Win 63%
Sharpe 0.88 | Sortino 1.52 | Calmar 0.7
Vol 29% | MDD -35.5%
Months 187M (59%)
SLmean
neg
CAGR -9.2% | Win 46%
Sharpe -0.21 | Sortino -0.36 | Calmar -0.1
Vol 28% | MDD -63.8%
Months 82M (26%)
CAGR -6.1% | Win 52%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 38% | MDD -56.5%
Months 48M (15%)
CAGR -8.1% | Win 48%
Sharpe -0.10 | Sortino -0.17 | Calmar -0.1
Vol 32% | MDD -80.0%
Months 130M (41%)
LWTI
only
CAGR 8.9% | Win 59%
Sharpe 0.44 | Sortino 0.75 | Calmar 0.2
Vol 28% | MDD -46.6%
Months 237M (75%)
CAGR 11.3% | Win 51%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 36% | MDD -56.1%
Months 80M (25%)
RSmean × MACD
MACD
pos
MACD
neg
RSmean
only
RSmean
pos
CAGR 7.7% | Win 59%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.1
Vol 29% | MDD -62.7%
Months 203M (64%)
CAGR 17.7% | Win 54%
Sharpe 0.66 | Sortino 1.32 | Calmar 0.6
Vol 33% | MDD -28.8%
Months 90M (28%)
CAGR 10.7% | Win 57%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 30% | MDD -70.1%
Months 293M (92%)
RSmean
neg
CAGR -49.4% | Win 25%
Sharpe -3.06 | Sortino -3.35 | Calmar -5.8
Vol 21% | MDD -8.6%
Months 4M (1%)
CAGR 9.9% | Win 60%
Sharpe 0.43 | Sortino 0.98 | Calmar 0.2
Vol 36% | MDD -41.7%
Months 20M (6%)
CAGR -3.4% | Win 54%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.1
Vol 35% | MDD -41.7%
Months 24M (8%)
MACD
only
CAGR 6.1% | Win 58%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -63.2%
Months 207M (65%)
CAGR 16.2% | Win 56%
Sharpe 0.62 | Sortino 1.23 | Calmar 0.3
Vol 33% | MDD -47.2%
Months 110M (35%)
RSmean × RSI
RSI
pos
RSI
neg
RSmean
only
RSmean
pos
CAGR 12.2% | Win 59%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.2
Vol 28% | MDD -49.1%
Months 197M (62%)
CAGR 7.7% | Win 53%
Sharpe 0.38 | Sortino 0.66 | Calmar 0.1
Vol 34% | MDD -57.0%
Months 96M (30%)
CAGR 10.7% | Win 57%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 30% | MDD -70.1%
Months 293M (92%)
RSmean
neg
CAGR -32.1% | Win 43%
Sharpe -1.19 | Sortino -1.94 | Calmar -1.5
Vol 29% | MDD -20.8%
Months 7M (2%)
CAGR 11.7% | Win 59%
Sharpe 0.47 | Sortino 1.05 | Calmar 0.3
Vol 37% | MDD -34.7%
Months 17M (5%)
CAGR -3.4% | Win 54%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.1
Vol 35% | MDD -41.7%
Months 24M (8%)
RSI
only
CAGR 10.2% | Win 59%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 28% | MDD -49.7%
Months 204M (64%)
CAGR 8.3% | Win 54%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.1
Vol 35% | MDD -57.0%
Months 113M (36%)
RSmean × MACDhist
MACDhist
pos
MACDhist
neg
RSmean
only
RSmean
pos
CAGR 13.4% | Win 60%
Sharpe 0.57 | Sortino 0.99 | Calmar 0.3
Vol 29% | MDD -41.7%
Months 148M (47%)
CAGR 7.9% | Win 55%
Sharpe 0.40 | Sortino 0.64 | Calmar 0.1
Vol 31% | MDD -63.1%
Months 145M (46%)
CAGR 10.7% | Win 57%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 30% | MDD -70.1%
Months 293M (92%)
RSmean
neg
CAGR 32.4% | Win 71%
Sharpe 1.63 | Sortino 3.41 | Calmar 5.3
Vol 18% | MDD -6.1%
Months 7M (2%)
CAGR -15.2% | Win 47%
Sharpe -0.23 | Sortino -0.59 | Calmar -0.4
Vol 39% | MDD -41.7%
Months 17M (5%)
CAGR -3.4% | Win 54%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.1
Vol 35% | MDD -41.7%
Months 24M (8%)
MACDhist
only
CAGR 14.2% | Win 60%
Sharpe 0.60 | Sortino 1.03 | Calmar 0.3
Vol 29% | MDD -41.7%
Months 155M (49%)
CAGR 5.3% | Win 54%
Sharpe 0.32 | Sortino 0.53 | Calmar 0.1
Vol 32% | MDD -63.1%
Months 162M (51%)
RSmean × RSIhist
RSIhist
pos
RSIhist
neg
RSmean
only
RSmean
pos
CAGR 22.1% | Win 58%
Sharpe 0.84 | Sortino 1.61 | Calmar 0.5
Vol 29% | MDD -44.4%
Months 161M (51%)
CAGR -1.9% | Win 56%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 32% | MDD -66.3%
Months 132M (42%)
CAGR 10.7% | Win 57%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 30% | MDD -70.1%
Months 293M (92%)
RSmean
neg
CAGR 33.2% | Win 78%
Sharpe 1.31 | Sortino 1.19 | Calmar 2.1
Vol 24% | MDD -15.7%
Months 9M (3%)
CAGR -20.4% | Win 40%
Sharpe -0.39 | Sortino -1.01 | Calmar -0.5
Vol 39% | MDD -41.7%
Months 15M (5%)
CAGR -3.4% | Win 54%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.1
Vol 35% | MDD -41.7%
Months 24M (8%)
RSIhist
only
CAGR 22.7% | Win 59%
Sharpe 0.86 | Sortino 1.61 | Calmar 0.5
Vol 28% | MDD -44.4%
Months 170M (54%)
CAGR -3.9% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 32% | MDD -69.2%
Months 147M (46%)
RSmean × LWTI
LWTI
pos
LWTI
neg
RSmean
only
RSmean
pos
CAGR 10.4% | Win 60%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.2
Vol 28% | MDD -47.5%
Months 215M (68%)
CAGR 11.5% | Win 51%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 36% | MDD -56.1%
Months 78M (25%)
CAGR 10.7% | Win 57%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 30% | MDD -70.1%
Months 293M (92%)
RSmean
neg
CAGR -4.0% | Win 55%
Sharpe 0.06 | Sortino 0.13 | Calmar -0.1
Vol 36% | MDD -41.7%
Months 22M (7%)
CAGR 3.5% | Win 50%
Sharpe 0.22 | Sortino 0.00 | Calmar 0.0
Vol 21% | MDD 0.0%
Months 2M (1%)
CAGR -3.4% | Win 54%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.1
Vol 35% | MDD -41.7%
Months 24M (8%)
LWTI
only
CAGR 8.9% | Win 59%
Sharpe 0.44 | Sortino 0.75 | Calmar 0.2
Vol 28% | MDD -46.6%
Months 237M (75%)
CAGR 11.3% | Win 51%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 36% | MDD -56.1%
Months 80M (25%)
MACD × RSI
RSI
pos
RSI
neg
MACD
only
MACD
pos
CAGR 10.1% | Win 60%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.2
Vol 29% | MDD -43.3%
Months 173M (55%)
CAGR -11.8% | Win 50%
Sharpe -0.24 | Sortino -0.31 | Calmar -0.3
Vol 31% | MDD -44.4%
Months 34M (11%)
CAGR 6.1% | Win 58%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -63.2%
Months 207M (65%)
MACD
neg
CAGR 11.2% | Win 55%
Sharpe 0.54 | Sortino 1.10 | Calmar 0.6
Vol 25% | MDD -19.2%
Months 31M (10%)
CAGR 18.2% | Win 56%
Sharpe 0.64 | Sortino 1.30 | Calmar 0.4
Vol 36% | MDD -40.8%
Months 79M (25%)
CAGR 16.2% | Win 56%
Sharpe 0.62 | Sortino 1.23 | Calmar 0.3
Vol 33% | MDD -47.2%
Months 110M (35%)
RSI
only
CAGR 10.2% | Win 59%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 28% | MDD -49.7%
Months 204M (64%)
CAGR 8.3% | Win 54%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.1
Vol 35% | MDD -57.0%
Months 113M (36%)
MACD × MACDhist
MACDhist
pos
MACDhist
neg
MACD
only
MACD
pos
CAGR 13.7% | Win 59%
Sharpe 0.57 | Sortino 0.96 | Calmar 0.3
Vol 30% | MDD -41.7%
Months 125M (39%)
CAGR -4.4% | Win 56%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 27% | MDD -60.1%
Months 82M (26%)
CAGR 6.1% | Win 58%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -63.2%
Months 207M (65%)
MACD
neg
CAGR 16.3% | Win 63%
Sharpe 0.79 | Sortino 1.78 | Calmar 0.9
Vol 22% | MDD -18.7%
Months 30M (10%)
CAGR 16.2% | Win 52%
Sharpe 0.59 | Sortino 1.20 | Calmar 0.3
Vol 36% | MDD -47.2%
Months 80M (25%)
CAGR 16.2% | Win 56%
Sharpe 0.62 | Sortino 1.23 | Calmar 0.3
Vol 33% | MDD -47.2%
Months 110M (35%)
MACDhist
only
CAGR 14.2% | Win 60%
Sharpe 0.60 | Sortino 1.03 | Calmar 0.3
Vol 29% | MDD -41.7%
Months 155M (49%)
CAGR 5.3% | Win 54%
Sharpe 0.32 | Sortino 0.53 | Calmar 0.1
Vol 32% | MDD -63.1%
Months 162M (51%)
MACD × RSIhist
RSIhist
pos
RSIhist
neg
MACD
only
MACD
pos
CAGR 20.0% | Win 61%
Sharpe 0.77 | Sortino 1.28 | Calmar 0.5
Vol 29% | MDD -36.9%
Months 111M (35%)
CAGR -7.9% | Win 54%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 28% | MDD -70.8%
Months 96M (30%)
CAGR 6.1% | Win 58%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -63.2%
Months 207M (65%)
MACD
neg
CAGR 27.9% | Win 56%
Sharpe 1.04 | Sortino 2.95 | Calmar 1.5
Vol 27% | MDD -18.1%
Months 59M (19%)
CAGR 4.0% | Win 55%
Sharpe 0.29 | Sortino 0.61 | Calmar 0.1
Vol 39% | MDD -49.2%
Months 51M (16%)
CAGR 16.2% | Win 56%
Sharpe 0.62 | Sortino 1.23 | Calmar 0.3
Vol 33% | MDD -47.2%
Months 110M (35%)
RSIhist
only
CAGR 22.7% | Win 59%
Sharpe 0.86 | Sortino 1.61 | Calmar 0.5
Vol 28% | MDD -44.4%
Months 170M (54%)
CAGR -3.9% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 32% | MDD -69.2%
Months 147M (46%)
MACD × LWTI
LWTI
pos
LWTI
neg
MACD
only
MACD
pos
CAGR 11.2% | Win 60%
Sharpe 0.51 | Sortino 0.83 | Calmar 0.3
Vol 29% | MDD -35.3%
Months 179M (56%)
CAGR -21.1% | Win 46%
Sharpe -0.60 | Sortino -0.72 | Calmar -0.3
Vol 31% | MDD -63.0%
Months 28M (9%)
CAGR 6.1% | Win 58%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -63.2%
Months 207M (65%)
MACD
neg
CAGR 2.3% | Win 57%
Sharpe 0.22 | Sortino 0.44 | Calmar 0.1
Vol 28% | MDD -41.7%
Months 58M (18%)
CAGR 33.9% | Win 54%
Sharpe 0.96 | Sortino 1.91 | Calmar 1.4
Vol 38% | MDD -24.6%
Months 52M (16%)
CAGR 16.2% | Win 56%
Sharpe 0.62 | Sortino 1.23 | Calmar 0.3
Vol 33% | MDD -47.2%
Months 110M (35%)
LWTI
only
CAGR 8.9% | Win 59%
Sharpe 0.44 | Sortino 0.75 | Calmar 0.2
Vol 28% | MDD -46.6%
Months 237M (75%)
CAGR 11.3% | Win 51%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 36% | MDD -56.1%
Months 80M (25%)
RSI × MACDhist
MACDhist
pos
MACDhist
neg
RSI
only
RSI
pos
CAGR 12.3% | Win 59%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.3
Vol 29% | MDD -44.2%
Months 144M (45%)
CAGR 5.4% | Win 58%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 25% | MDD -39.7%
Months 60M (19%)
CAGR 10.2% | Win 59%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 28% | MDD -49.7%
Months 204M (64%)
RSI
neg
CAGR 41.6% | Win 73%
Sharpe 1.64 | Sortino 8.25 | Calmar 3.5
Vol 23% | MDD -12.0%
Months 11M (4%)
CAGR 5.2% | Win 52%
Sharpe 0.32 | Sortino 0.56 | Calmar 0.1
Vol 36% | MDD -57.0%
Months 102M (32%)
CAGR 8.3% | Win 54%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.1
Vol 35% | MDD -57.0%
Months 113M (36%)
MACDhist
only
CAGR 14.2% | Win 60%
Sharpe 0.60 | Sortino 1.03 | Calmar 0.3
Vol 29% | MDD -41.7%
Months 155M (49%)
CAGR 5.3% | Win 54%
Sharpe 0.32 | Sortino 0.53 | Calmar 0.1
Vol 32% | MDD -63.1%
Months 162M (51%)
RSI × RSIhist
RSIhist
pos
RSIhist
neg
RSI
only
RSI
pos
CAGR 18.8% | Win 60%
Sharpe 0.75 | Sortino 1.30 | Calmar 0.5
Vol 28% | MDD -39.6%
Months 140M (44%)
CAGR -6.4% | Win 56%
Sharpe -0.10 | Sortino -0.15 | Calmar -0.1
Vol 27% | MDD -45.9%
Months 64M (20%)
CAGR 10.2% | Win 59%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 28% | MDD -49.7%
Months 204M (64%)
RSI
neg
CAGR 42.8% | Win 57%
Sharpe 1.35 | Sortino 4.73 | Calmar 3.3
Vol 30% | MDD -13.1%
Months 30M (10%)
CAGR -2.0% | Win 53%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 36% | MDD -62.2%
Months 83M (26%)
CAGR 8.3% | Win 54%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.1
Vol 35% | MDD -57.0%
Months 113M (36%)
RSIhist
only
CAGR 22.7% | Win 59%
Sharpe 0.86 | Sortino 1.61 | Calmar 0.5
Vol 28% | MDD -44.4%
Months 170M (54%)
CAGR -3.9% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 32% | MDD -69.2%
Months 147M (46%)
RSI × LWTI
LWTI
pos
LWTI
neg
RSI
only
RSI
pos
CAGR 9.1% | Win 59%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -42.0%
Months 189M (60%)
CAGR 25.6% | Win 53%
Sharpe 0.96 | Sortino 1.82 | Calmar 1.1
Vol 28% | MDD -23.1%
Months 15M (5%)
CAGR 10.2% | Win 59%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 28% | MDD -49.7%
Months 204M (64%)
RSI
neg
CAGR 8.3% | Win 58%
Sharpe 0.41 | Sortino 0.83 | Calmar 0.2
Vol 30% | MDD -37.5%
Months 48M (15%)
CAGR 8.2% | Win 51%
Sharpe 0.40 | Sortino 0.67 | Calmar 0.1
Vol 38% | MDD -56.1%
Months 65M (20%)
CAGR 8.3% | Win 54%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.1
Vol 35% | MDD -57.0%
Months 113M (36%)
LWTI
only
CAGR 8.9% | Win 59%
Sharpe 0.44 | Sortino 0.75 | Calmar 0.2
Vol 28% | MDD -46.6%
Months 237M (75%)
CAGR 11.3% | Win 51%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 36% | MDD -56.1%
Months 80M (25%)
MACDhist × RSIhist
RSIhist
pos
RSIhist
neg
MACDhist
only
MACDhist
pos
CAGR 18.6% | Win 62%
Sharpe 0.74 | Sortino 1.26 | Calmar 0.6
Vol 29% | MDD -32.1%
Months 116M (37%)
CAGR 1.9% | Win 54%
Sharpe 0.20 | Sortino 0.35 | Calmar 0.1
Vol 30% | MDD -28.7%
Months 39M (12%)
CAGR 14.2% | Win 60%
Sharpe 0.60 | Sortino 1.03 | Calmar 0.3
Vol 29% | MDD -41.7%
Months 155M (49%)
MACDhist
neg
CAGR 31.9% | Win 54%
Sharpe 1.11 | Sortino 2.69 | Calmar 1.3
Vol 28% | MDD -23.9%
Months 54M (17%)
CAGR -6.0% | Win 55%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 33% | MDD -63.9%
Months 108M (34%)
CAGR 5.3% | Win 54%
Sharpe 0.32 | Sortino 0.53 | Calmar 0.1
Vol 32% | MDD -63.1%
Months 162M (51%)
RSIhist
only
CAGR 22.7% | Win 59%
Sharpe 0.86 | Sortino 1.61 | Calmar 0.5
Vol 28% | MDD -44.4%
Months 170M (54%)
CAGR -3.9% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 32% | MDD -69.2%
Months 147M (46%)
MACDhist × LWTI
LWTI
pos
LWTI
neg
MACDhist
only
MACDhist
pos
CAGR 12.6% | Win 59%
Sharpe 0.55 | Sortino 0.95 | Calmar 0.3
Vol 29% | MDD -44.2%
Months 152M (48%)
CAGR 132.8% | Win 100%
Sharpe 4.11 | Sortino 0.00 | Calmar 0.0
Vol 22% | MDD 0.0%
Months 3M (1%)
CAGR 14.2% | Win 60%
Sharpe 0.60 | Sortino 1.03 | Calmar 0.3
Vol 29% | MDD -41.7%
Months 155M (49%)
MACDhist
neg
CAGR 2.7% | Win 59%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -41.7%
Months 85M (27%)
CAGR 8.1% | Win 49%
Sharpe 0.39 | Sortino 0.66 | Calmar 0.1
Vol 36% | MDD -56.1%
Months 77M (24%)
CAGR 5.3% | Win 54%
Sharpe 0.32 | Sortino 0.53 | Calmar 0.1
Vol 32% | MDD -63.1%
Months 162M (51%)
LWTI
only
CAGR 8.9% | Win 59%
Sharpe 0.44 | Sortino 0.75 | Calmar 0.2
Vol 28% | MDD -46.6%
Months 237M (75%)
CAGR 11.3% | Win 51%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 36% | MDD -56.1%
Months 80M (25%)
RSIhist × LWTI
LWTI
pos
LWTI
neg
RSIhist
only
RSIhist
pos
CAGR 17.4% | Win 61%
Sharpe 0.72 | Sortino 1.25 | Calmar 0.6
Vol 28% | MDD -30.5%
Months 137M (43%)
CAGR 47.3% | Win 52%
Sharpe 1.40 | Sortino 3.96 | Calmar 1.8
Vol 31% | MDD -26.8%
Months 33M (10%)
CAGR 22.7% | Win 59%
Sharpe 0.86 | Sortino 1.61 | Calmar 0.5
Vol 28% | MDD -44.4%
Months 170M (54%)
RSIhist
neg
CAGR -1.7% | Win 56%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 29% | MDD -50.5%
Months 100M (32%)
CAGR -8.6% | Win 51%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.2
Vol 38% | MDD -56.1%
Months 47M (15%)
CAGR -3.9% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 32% | MDD -69.2%
Months 147M (46%)
LWTI
only
CAGR 8.9% | Win 59%
Sharpe 0.44 | Sortino 0.75 | Calmar 0.2
Vol 28% | MDD -46.6%
Months 237M (75%)
CAGR 11.3% | Win 51%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 36% | MDD -56.1%
Months 80M (25%)