EWZ - iShares MSCI Brazil ETF

Signal Pair Analysis

MRmean-RSI

Best Pair

52.9%

Best CAGR

89

Total Months

0.8%

Avg CAGR

EWZ 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 EWZ

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSI MRmean pos-neg 21 6.7 52.9 61.9 1.4 3.2 3.8 34.3 -13.8
pair MRmean RSI pos-neg 21 6.7 52.9 61.9 1.4 3.2 3.8 34.3 -13.8
pair MRmean MACD pos-neg 46 14.7 46.6 69.6 1.4 2.4 2.1 31.3 -21.7
pair MACD MRmean pos-neg 46 14.7 46.6 69.6 1.4 2.4 2.1 31.3 -21.7
pair SLmean RSIhist neg-pos 15 4.8 41.1 60.0 1.1 1.7 2.1 35.4 -19.8
pair RSIhist SLmean neg-pos 15 4.8 41.1 60.0 1.1 1.7 2.1 35.4 -19.8
pair MRmean SLmean pos-neg 30 9.6 39.1 60.0 1.3 2.5 2.5 28.0 -15.8
pair SLmean MRmean pos-neg 30 9.6 39.1 60.0 1.3 2.5 2.5 28.0 -15.8
pair MACD LWTI neg-neg 80 25.6 33.1 57.5 1.0 2.4 0.7 33.6 -46.4
pair LWTI MACD neg-neg 80 25.6 33.1 57.5 1.0 2.4 0.7 33.6 -46.4
pair MACD RSIhist neg-pos 63 20.1 32.5 63.5 1.1 1.8 1.1 32.0 -30.3
pair RSIhist MACD neg-pos 63 20.1 32.5 63.5 1.1 1.8 1.1 32.0 -30.3
pair MACDhist MRmean pos-neg 31 9.9 31.7 51.6 1.0 3.5 2.0 30.8 -15.9
pair MRmean MACDhist pos-neg 31 9.9 31.7 51.6 1.0 3.5 2.0 30.8 -15.9
pair LWTI SLmean neg-neg 47 15.0 31.6 57.4 0.9 2.3 0.7 37.1 -43.7
pair SLmean LWTI neg-neg 47 15.0 31.6 57.4 0.9 2.3 0.7 37.1 -43.7
pair RSIhist MACDhist neg-pos 42 13.4 30.2 52.4 1.0 2.0 1.0 33.1 -30.1
pair MACDhist RSIhist neg-pos 42 13.4 30.2 52.4 1.0 2.0 1.0 33.1 -30.1
pair RSI MACD neg-pos 28 8.9 28.9 71.4 1.0 1.5 1.3 30.5 -21.8
pair MACD RSI neg-pos 28 8.9 28.9 71.4 1.0 1.5 1.3 30.5 -21.8
pair MACD SLmean pos-neg 54 17.3 28.0 61.1 1.0 1.7 0.9 30.3 -30.3
pair SLmean MACD pos-neg 54 17.3 28.0 61.1 1.0 1.7 0.9 30.3 -30.3
pair MACD MACDhist neg-pos 32 10.2 27.0 65.6 0.9 1.3 0.7 30.3 -40.6
pair MACDhist MACD neg-pos 32 10.2 27.0 65.6 0.9 1.3 0.7 30.3 -40.6
pair LWTI RSI neg-neg 74 23.6 25.5 54.1 0.8 2.0 0.5 35.0 -48.0
pair RSI LWTI neg-neg 74 23.6 25.5 54.1 0.8 2.0 0.5 35.0 -48.0
pair MACDhist SLmean neg-pos 41 13.1 25.0 56.1 0.9 1.6 1.0 28.8 -25.6
pair SLmean MACDhist neg-pos 41 13.1 25.0 56.1 0.9 1.6 1.0 28.8 -25.6
pair LWTI RSIhist pos-neg 51 16.3 24.9 51.0 0.9 2.2 1.0 31.2 -23.9
pair RSIhist LWTI pos-neg 51 16.3 24.9 51.0 0.9 2.2 1.0 31.2 -23.9
pair LWTI MACDhist neg-neg 80 25.6 24.5 52.5 0.8 2.0 0.5 34.1 -53.3
pair MACDhist LWTI neg-neg 80 25.6 24.5 52.5 0.8 2.0 0.5 34.1 -53.3
pair RSI RSIhist neg-pos 37 11.8 24.4 54.1 0.8 1.5 0.8 34.3 -30.1
pair RSIhist RSI neg-pos 37 11.8 24.4 54.1 0.8 1.5 0.8 34.3 -30.1
pair MACD RSmean pos-neg 119 38.0 22.9 59.7 0.8 1.2 0.4 36.8 -61.4
pair RSmean MACD pos-neg 119 38.0 22.9 59.7 0.8 1.2 0.4 36.8 -61.4
pair MRmean LWTI pos-neg 38 12.1 22.0 50.0 0.8 2.1 1.2 32.0 -18.9
pair LWTI MRmean pos-neg 38 12.1 22.0 50.0 0.8 2.1 1.2 32.0 -18.9
pair RSmean LWTI pos-neg 92 29.4 21.8 52.2 0.8 1.8 0.4 33.6 -54.7
pair LWTI RSmean pos-neg 92 29.4 21.8 52.2 0.8 1.8 0.4 33.6 -54.7
pair MACDhist SLmean pos-neg 40 12.8 20.6 47.5 0.8 2.1 0.9 30.8 -21.8
pair SLmean MACDhist pos-neg 40 12.8 20.6 47.5 0.8 2.1 0.9 30.8 -21.8
pair MRmean RSIhist pos-neg 42 13.4 20.4 57.1 0.9 1.6 1.1 24.8 -17.8
pair RSIhist MRmean pos-neg 42 13.4 20.4 57.1 0.9 1.6 1.1 24.8 -17.8
single LWTI LWTI neg-neg 93 29.7 20.2 51.6 0.7 1.8 0.4 33.6 -54.7
pair LWTI MRmean neg-neg 55 17.6 19.0 52.7 0.7 1.6 0.4 34.9 -48.8
pair MRmean LWTI neg-neg 55 17.6 19.0 52.7 0.7 1.6 0.4 34.9 -48.8
pair RSmean MRmean pos-pos 189 60.4 18.3 56.1 0.7 1.4 0.4 28.9 -49.1
pair MRmean RSmean pos-pos 189 60.4 18.3 56.1 0.7 1.4 0.4 28.9 -49.1
single MRmean MRmean pos-pos 192 61.3 17.5 55.7 0.7 1.3 0.3 28.9 -50.4
pair RSmean RSIhist pos-pos 168 53.7 17.1 55.4 0.7 1.2 0.4 30.3 -42.3
pair RSIhist RSmean pos-pos 168 53.7 17.1 55.4 0.7 1.2 0.4 30.3 -42.3
pair MRmean RSIhist pos-pos 150 47.9 16.8 55.3 0.7 1.3 0.3 30.1 -50.0
pair RSIhist MRmean pos-pos 150 47.9 16.8 55.3 0.7 1.3 0.3 30.1 -50.0
pair LWTI MRmean pos-pos 154 49.2 16.5 57.1 0.7 1.2 0.3 28.2 -49.3
pair MRmean LWTI pos-pos 154 49.2 16.5 57.1 0.7 1.2 0.3 28.2 -49.3
single MACD MACD neg-neg 132 42.2 16.0 56.8 0.6 1.0 0.2 36.6 -69.1
single RSIhist RSIhist pos-pos 170 54.3 15.7 54.7 0.6 1.2 0.3 30.3 -49.5
pair MACDhist MRmean pos-pos 161 51.4 15.0 56.5 0.6 1.1 0.2 28.6 -59.2
pair MRmean MACDhist pos-pos 161 51.4 15.0 56.5 0.6 1.1 0.2 28.6 -59.2
pair RSIhist LWTI neg-neg 42 13.4 14.9 52.4 0.6 1.4 0.3 36.6 -42.4
pair LWTI RSIhist neg-neg 42 13.4 14.9 52.4 0.6 1.4 0.3 36.6 -42.4
pair RSIhist MACDhist pos-neg 50 16.0 14.0 54.0 0.6 1.1 0.5 26.4 -26.7
pair MACDhist RSIhist pos-neg 50 16.0 14.0 54.0 0.6 1.1 0.5 26.4 -26.7
pair SLmean MRmean pos-pos 162 51.8 13.9 54.9 0.6 1.1 0.3 29.1 -52.4
pair MRmean SLmean pos-pos 162 51.8 13.9 54.9 0.6 1.1 0.3 29.1 -52.4
pair MRmean RSI pos-pos 171 54.6 13.8 55.0 0.6 1.1 0.2 28.2 -60.6
pair RSI MRmean pos-pos 171 54.6 13.8 55.0 0.6 1.1 0.2 28.2 -60.6
pair RSI RSmean pos-pos 178 56.9 13.5 55.1 0.6 1.0 0.2 29.1 -55.1
pair RSmean RSI pos-pos 178 56.9 13.5 55.1 0.6 1.0 0.2 29.1 -55.1
pair RSIhist SLmean pos-pos 155 49.5 13.5 54.2 0.6 1.1 0.2 29.9 -59.6
pair SLmean RSIhist pos-pos 155 49.5 13.5 54.2 0.6 1.1 0.2 29.9 -59.6
pair RSIhist RSI pos-pos 133 42.5 13.4 54.9 0.6 1.1 0.2 29.2 -58.9
pair RSI RSIhist pos-pos 133 42.5 13.4 54.9 0.6 1.1 0.2 29.2 -58.9
pair LWTI MACDhist pos-pos 165 52.7 13.3 55.8 0.6 1.0 0.2 28.4 -55.2
pair MACDhist LWTI pos-pos 165 52.7 13.3 55.8 0.6 1.0 0.2 28.4 -55.2
pair RSmean MACDhist pos-pos 173 55.3 12.9 55.5 0.6 1.0 0.2 28.7 -60.5
pair MACDhist RSmean pos-pos 173 55.3 12.9 55.5 0.6 1.0 0.2 28.7 -60.5
pair RSI MACD neg-neg 104 33.2 12.8 52.9 0.5 0.9 0.2 38.1 -63.0
pair MACD RSI neg-neg 104 33.2 12.8 52.9 0.5 0.9 0.2 38.1 -63.0
pair RSI MACDhist pos-pos 158 50.5 12.8 55.1 0.6 1.0 0.2 28.6 -65.4
pair MACDhist RSI pos-pos 158 50.5 12.8 55.1 0.6 1.0 0.2 28.6 -65.4
pair MACD MACDhist neg-neg 100 31.9 12.7 54.0 0.5 0.9 0.2 38.5 -69.1
pair MACDhist MACD neg-neg 100 31.9 12.7 54.0 0.5 0.9 0.2 38.5 -69.1
pair SLmean RSmean pos-pos 175 55.9 12.3 53.7 0.5 1.1 0.2 28.9 -61.1
pair RSmean SLmean pos-pos 175 55.9 12.3 53.7 0.5 1.1 0.2 28.9 -61.1
pair RSI SLmean pos-pos 146 46.6 12.2 54.8 0.5 1.0 0.2 28.6 -58.5
pair SLmean RSI pos-pos 146 46.6 12.2 54.8 0.5 1.0 0.2 28.6 -58.5
pair RSIhist LWTI pos-pos 119 38.0 12.0 56.3 0.5 0.9 0.2 30.0 -51.5
single MACDhist MACDhist pos-pos 178 56.9 12.0 55.1 0.5 1.0 0.2 28.5 -61.4
pair LWTI RSIhist pos-pos 119 38.0 12.0 56.3 0.5 0.9 0.2 30.0 -51.5
pair LWTI RSI pos-pos 163 52.1 11.6 55.2 0.5 0.9 0.2 29.6 -63.4
pair LWTI SLmean pos-pos 131 41.9 11.6 55.7 0.5 0.9 0.2 28.8 -60.9
pair SLmean LWTI pos-pos 131 41.9 11.6 55.7 0.5 0.9 0.2 28.8 -60.9
pair RSI LWTI pos-pos 163 52.1 11.6 55.2 0.5 0.9 0.2 29.6 -63.4
pair RSIhist MACDhist pos-pos 128 40.9 11.3 55.5 0.5 0.9 0.2 29.4 -62.2
pair MACDhist RSIhist pos-pos 128 40.9 11.3 55.5 0.5 0.9 0.2 29.4 -62.2
single RSmean RSmean pos-pos 294 93.9 11.3 54.8 0.5 0.8 0.2 33.5 -72.5
single SLmean SLmean pos-pos 177 56.5 11.1 53.1 0.5 1.0 0.2 28.9 -66.3
single RSI RSI pos-pos 182 58.1 10.5 53.8 0.5 0.9 0.2 29.3 -61.2
pair SLmean RSmean neg-pos 119 38.0 9.8 56.3 0.4 0.7 0.1 39.4 -66.5
pair RSmean SLmean neg-pos 119 38.0 9.8 56.3 0.4 0.7 0.1 39.4 -66.5
pair LWTI SLmean pos-neg 46 14.7 9.6 45.7 0.5 1.1 0.4 29.7 -26.0
pair SLmean LWTI pos-neg 46 14.7 9.6 45.7 0.5 1.1 0.4 29.7 -26.0
pair MACD MRmean pos-pos 146 46.6 9.6 51.4 0.5 0.9 0.1 27.9 -70.3
pair MRmean MACD pos-pos 146 46.6 9.6 51.4 0.5 0.9 0.1 27.9 -70.3
pair RSmean MACDhist pos-neg 121 38.7 9.0 53.7 0.4 0.7 0.1 39.5 -65.0
pair MACDhist RSmean pos-neg 121 38.7 9.0 53.7 0.4 0.7 0.1 39.5 -65.0
pair MACDhist MACD pos-pos 146 46.6 9.0 52.7 0.5 0.8 0.1 28.2 -71.8
pair MACD MACDhist pos-pos 146 46.6 9.0 52.7 0.5 0.8 0.1 28.2 -71.8
pair SLmean MACDhist pos-pos 137 43.8 8.4 54.7 0.4 0.8 0.1 28.5 -69.8
pair MACDhist SLmean pos-pos 137 43.8 8.4 54.7 0.4 0.8 0.1 28.5 -69.8
pair MACD SLmean neg-neg 78 24.9 8.4 53.8 0.4 0.7 0.1 40.5 -65.9
pair SLmean MACD neg-neg 78 24.9 8.4 53.8 0.4 0.7 0.1 40.5 -65.9
pair MRmean RSIhist neg-pos 20 6.4 8.1 50.0 0.4 0.7 0.3 32.9 -30.3
pair RSIhist MRmean neg-pos 20 6.4 8.1 50.0 0.4 0.7 0.3 32.9 -30.3
pair RSmean RSI pos-neg 116 37.1 8.0 54.3 0.4 0.6 0.1 39.4 -65.9
pair RSI RSmean pos-neg 116 37.1 8.0 54.3 0.4 0.6 0.1 39.4 -65.9
pair RSI MACD pos-pos 154 49.2 7.5 50.6 0.4 0.7 0.1 29.1 -75.5
pair MACD RSI pos-pos 154 49.2 7.5 50.6 0.4 0.7 0.1 29.1 -75.5
pair LWTI RSmean pos-pos 202 64.5 6.8 55.9 0.4 0.5 0.1 33.5 -73.6
pair RSmean LWTI pos-pos 202 64.5 6.8 55.9 0.4 0.5 0.1 33.5 -73.6
pair MACD RSIhist pos-pos 107 34.2 6.8 49.5 0.4 0.7 0.1 29.2 -68.2
pair RSIhist MACD pos-pos 107 34.2 6.8 49.5 0.4 0.7 0.1 29.2 -68.2
pair benchmark___benchmark_ benchmark-benchmark 313 100.0 6.3 53.4 0.3 0.6 0.1 34.2 -73.6
pair benchmark___benchmark_ benchmark-benchmark 313 100.0 6.3 53.4 0.3 0.6 0.1 34.2 -73.6
pair RSI SLmean pos-neg 31 9.9 6.1 45.2 0.3 0.8 0.2 31.2 -28.5
pair SLmean RSI pos-neg 31 9.9 6.1 45.2 0.3 0.8 0.2 31.2 -28.5
pair MACDhist RSI neg-pos 20 6.4 6.0 55.0 0.3 0.6 0.2 28.3 -28.7
pair RSI MACDhist neg-pos 20 6.4 6.0 55.0 0.3 0.6 0.2 28.3 -28.7
pair MACD SLmean pos-pos 123 39.3 4.4 49.6 0.3 0.6 0.1 28.3 -74.4
pair SLmean MACD pos-pos 123 39.3 4.4 49.6 0.3 0.6 0.1 28.3 -74.4
pair SLmean RSI neg-pos 36 11.5 4.1 50.0 0.3 0.5 0.1 32.4 -30.7
pair RSI SLmean neg-pos 36 11.5 4.1 50.0 0.3 0.5 0.1 32.4 -30.7
pair RSIhist RSmean pos-neg 126 40.3 4.0 54.0 0.3 0.5 0.1 37.4 -70.5
pair RSmean RSIhist pos-neg 126 40.3 4.0 54.0 0.3 0.5 0.1 37.4 -70.5
pair RSmean MACD pos-pos 175 55.9 4.0 51.4 0.3 0.5 0.1 31.0 -82.7
pair MACD RSmean pos-pos 175 55.9 4.0 51.4 0.3 0.5 0.1 31.0 -82.7
pair MACD LWTI pos-pos 168 53.7 3.1 53.6 0.3 0.4 0.0 32.6 -87.5
pair LWTI MACD pos-pos 168 53.7 3.1 53.6 0.3 0.4 0.0 32.6 -87.5
pair RSIhist RSI pos-neg 49 15.7 3.1 51.0 0.2 0.4 0.1 29.6 -36.9
pair RSI RSIhist pos-neg 49 15.7 3.1 51.0 0.2 0.4 0.1 29.6 -36.9
pair MACD RSIhist neg-neg 69 22.0 2.8 50.7 0.3 0.5 0.0 40.3 -64.0
pair RSIhist MACD neg-neg 69 22.0 2.8 50.7 0.3 0.5 0.0 40.3 -64.0
pair MACD MRmean neg-neg 86 27.5 2.4 50.0 0.2 0.4 0.0 38.8 -61.6
pair MRmean MACD neg-neg 86 27.5 2.4 50.0 0.2 0.4 0.0 38.8 -61.6
pair LWTI RSI pos-neg 19 6.1 1.8 42.1 0.2 0.6 0.1 27.4 -23.2
pair RSI LWTI pos-neg 19 6.1 1.8 42.1 0.2 0.6 0.1 27.4 -23.2
single LWTI LWTI pos-pos 220 70.3 0.8 54.1 0.2 0.3 0.0 34.5 -82.0
single RSI RSI neg-neg 131 41.9 0.6 52.7 0.2 0.3 0.0 40.2 -70.4
single SLmean SLmean neg-neg 136 43.5 0.3 53.7 0.2 0.3 0.0 40.2 -74.4
single MACD MACD pos-pos 181 57.8 -0.3 50.8 0.2 0.2 -0.0 32.4 -90.8
pair MACDhist RSI neg-neg 111 35.5 -0.3 52.3 0.2 0.3 -0.0 42.1 -66.0
pair RSI MACDhist neg-neg 111 35.5 -0.3 52.3 0.2 0.3 -0.0 42.1 -66.0
pair RSmean MRmean neg-pos 105 33.5 -0.3 52.4 0.2 0.3 -0.0 40.5 -80.7
pair MRmean RSmean neg-pos 105 33.5 -0.3 52.4 0.2 0.3 -0.0 40.5 -80.7
single MACDhist MACDhist neg-neg 135 43.1 -0.9 51.1 0.2 0.3 -0.0 40.6 -74.5
pair RSI SLmean neg-neg 100 31.9 -1.0 55.0 0.2 0.3 -0.0 42.8 -73.5
pair SLmean RSI neg-neg 100 31.9 -1.0 55.0 0.2 0.3 -0.0 42.8 -73.5
pair MACDhist LWTI pos-neg 13 4.2 -2.9 46.2 0.0 0.1 -0.1 30.5 -18.6
pair LWTI MACDhist pos-neg 13 4.2 -2.9 46.2 0.0 0.1 -0.1 30.5 -18.6
pair MACDhist RSI pos-neg 24 7.7 -3.6 45.8 0.1 0.1 -0.1 33.7 -25.7
pair RSI MACDhist pos-neg 24 7.7 -3.6 45.8 0.1 0.1 -0.1 33.7 -25.7
pair RSIhist SLmean neg-neg 121 38.7 -3.8 52.9 0.1 0.2 -0.1 40.7 -76.2
pair SLmean RSIhist neg-neg 121 38.7 -3.8 52.9 0.1 0.2 -0.1 40.7 -76.2
single RSIhist RSIhist neg-neg 143 45.7 -4.0 51.7 0.1 0.1 -0.1 38.3 -74.3
pair RSIhist SLmean pos-neg 22 7.0 -4.7 45.5 -0.1 -0.2 -0.2 21.3 -29.0
pair SLmean RSIhist pos-neg 22 7.0 -4.7 45.5 -0.1 -0.2 -0.2 21.3 -29.0
pair MACD LWTI neg-pos 52 16.6 -6.0 55.8 0.1 0.1 -0.1 40.4 -75.7
pair LWTI MACD neg-pos 52 16.6 -6.0 55.8 0.1 0.1 -0.1 40.4 -75.7
pair MRmean RSI neg-neg 110 35.1 -7.1 50.9 0.0 0.1 -0.1 41.1 -78.3
pair RSI MRmean neg-neg 110 35.1 -7.1 50.9 0.0 0.1 -0.1 41.1 -78.3
pair RSI RSIhist neg-neg 94 30.0 -7.4 52.1 0.0 0.1 -0.1 42.3 -78.5
pair RSIhist RSI neg-neg 94 30.0 -7.4 52.1 0.0 0.1 -0.1 42.3 -78.5
pair SLmean MRmean neg-neg 106 33.9 -8.6 51.9 0.0 0.0 -0.1 42.8 -84.0
pair MRmean SLmean neg-neg 106 33.9 -8.6 51.9 0.0 0.0 -0.1 42.8 -84.0
pair MACDhist SLmean neg-neg 95 30.4 -8.8 52.6 0.0 0.0 -0.1 44.2 -81.9
pair SLmean MACDhist neg-neg 95 30.4 -8.8 52.6 0.0 0.0 -0.1 44.2 -81.9
pair MRmean MACDhist neg-neg 104 33.2 -9.0 51.0 0.0 0.0 -0.1 43.1 -82.4
pair MACDhist MRmean neg-neg 104 33.2 -9.0 51.0 0.0 0.0 -0.1 43.1 -82.4
single MRmean MRmean neg-neg 121 38.7 -9.5 49.6 -0.0 -0.0 -0.1 41.1 -87.4
pair MACD SLmean neg-pos 58 18.5 -9.6 53.4 -0.0 -0.0 -0.1 40.0 -70.1
pair SLmean MACD neg-pos 58 18.5 -9.6 53.4 -0.0 -0.0 -0.1 40.0 -70.1
pair MACD RSIhist pos-neg 74 23.6 -9.9 52.7 -0.1 -0.1 -0.1 36.6 -75.3
pair RSIhist MACD pos-neg 74 23.6 -9.9 52.7 -0.1 -0.1 -0.1 36.6 -75.3
pair LWTI RSIhist neg-pos 101 32.3 -10.9 51.5 -0.1 -0.1 -0.1 39.1 -80.4
pair RSIhist LWTI neg-pos 101 32.3 -10.9 51.5 -0.1 -0.1 -0.1 39.1 -80.4
pair MACDhist MRmean neg-pos 17 5.4 -12.4 41.2 -0.4 -0.6 -0.3 27.2 -40.0
pair MRmean MACDhist neg-pos 17 5.4 -12.4 41.2 -0.4 -0.6 -0.3 27.2 -40.0
pair MACDhist RSIhist neg-neg 93 29.7 -12.4 50.5 -0.1 -0.1 -0.1 43.4 -83.3
pair RSIhist MACDhist neg-neg 93 29.7 -12.4 50.5 -0.1 -0.1 -0.1 43.4 -83.3
pair RSIhist MRmean neg-neg 101 32.3 -12.6 49.5 -0.1 -0.1 -0.1 42.7 -87.5
pair MRmean RSIhist neg-neg 101 32.3 -12.6 49.5 -0.1 -0.1 -0.1 42.7 -87.5
pair SLmean LWTI neg-pos 89 28.4 -13.1 51.7 -0.1 -0.1 -0.1 41.4 -85.2
pair LWTI SLmean neg-pos 89 28.4 -13.1 51.7 -0.1 -0.1 -0.1 41.4 -85.2
pair RSmean MACDhist neg-pos 5 1.6 -14.3 40.0 -0.6 -0.8 -1.4 23.4 -10.1
pair MACDhist RSmean neg-pos 5 1.6 -14.3 40.0 -0.6 -0.8 -1.4 23.4 -10.1
pair MRmean SLmean neg-pos 15 4.8 -15.6 33.3 -0.5 -1.1 -0.4 26.7 -37.4
pair SLmean MRmean neg-pos 15 4.8 -15.6 33.3 -0.5 -1.1 -0.4 26.7 -37.4
pair RSmean MRmean pos-neg 3 1.0 -22.4 33.3 -0.7 -1.4 -2.2 32.7 -10.1
pair MRmean RSmean pos-neg 3 1.0 -22.4 33.3 -0.7 -1.4 -2.2 32.7 -10.1
pair RSI LWTI neg-pos 57 18.2 -24.5 50.9 -0.4 -0.5 -0.3 45.4 -87.7
pair LWTI RSI neg-pos 57 18.2 -24.5 50.9 -0.4 -0.5 -0.3 45.4 -87.7
pair MRmean LWTI neg-pos 66 21.1 -27.9 47.0 -0.5 -0.7 -0.3 45.1 -92.8
pair LWTI MRmean neg-pos 66 21.1 -27.9 47.0 -0.5 -0.7 -0.3 45.1 -92.8
pair MACDhist LWTI neg-pos 55 17.6 -28.9 49.1 -0.5 -0.6 -0.3 47.7 -89.6
pair LWTI MACDhist neg-pos 55 17.6 -28.9 49.1 -0.5 -0.6 -0.3 47.7 -89.6
pair RSI MRmean neg-pos 11 3.5 -29.9 36.4 -0.6 -1.1 -0.7 43.1 -40.3
pair MRmean RSI neg-pos 11 3.5 -29.9 36.4 -0.6 -1.1 -0.7 43.1 -40.3
pair MACD RSmean neg-neg 13 4.2 -31.4 30.8 -1.0 -2.1 -0.9 31.5 -36.0
pair RSmean MACD neg-neg 13 4.2 -31.4 30.8 -1.0 -2.1 -0.9 31.5 -36.0
pair MACD MACDhist pos-neg 35 11.2 -31.5 42.9 -0.6 -0.7 -0.4 45.5 -72.5
pair MACDhist MACD pos-neg 35 11.2 -31.5 42.9 -0.6 -0.7 -0.4 45.5 -72.5
pair MRmean MACD neg-pos 35 11.2 -33.1 48.6 -0.6 -0.8 -0.5 45.9 -69.6
pair MACD MRmean neg-pos 35 11.2 -33.1 48.6 -0.6 -0.8 -0.5 45.9 -69.6
pair RSI MACD pos-neg 27 8.6 -35.2 51.9 -0.7 -0.8 -0.7 46.5 -50.2
pair MACD RSI pos-neg 27 8.6 -35.2 51.9 -0.7 -0.8 -0.7 46.5 -50.2
pair LWTI MACD pos-neg 13 4.2 -35.6 15.4 -1.4 -3.2 -0.9 27.9 -39.9
pair MACD LWTI pos-neg 13 4.2 -35.6 15.4 -1.4 -3.2 -0.9 27.9 -39.9
pair RSmean RSI neg-neg 15 4.8 -42.0 40.0 -0.9 -1.1 -0.8 44.6 -52.9
pair RSI RSmean neg-neg 15 4.8 -42.0 40.0 -0.9 -1.1 -0.8 44.6 -52.9
pair RSIhist RSmean neg-neg 17 5.4 -46.8 35.3 -1.2 -1.5 -0.8 42.5 -60.7
pair RSmean RSIhist neg-neg 17 5.4 -46.8 35.3 -1.2 -1.5 -0.8 42.5 -60.7
pair SLmean RSmean neg-neg 17 5.4 -46.8 35.3 -1.2 -1.5 -0.8 42.5 -60.7
pair RSmean SLmean neg-neg 17 5.4 -46.8 35.3 -1.2 -1.5 -0.8 42.5 -60.7
pair LWTI RSmean neg-pos 18 5.8 -47.1 33.3 -1.3 -1.6 -0.8 41.4 -63.1
pair RSmean LWTI neg-pos 18 5.8 -47.1 33.3 -1.3 -1.6 -0.8 41.4 -63.1
single RSmean RSmean neg-neg 19 6.1 -48.1 31.6 -1.4 -1.7 -0.7 40.3 -66.0
pair RSmean MRmean neg-neg 16 5.1 -51.9 31.2 -1.4 -1.8 -0.8 42.2 -63.7
pair MRmean RSmean neg-neg 16 5.1 -51.9 31.2 -1.4 -1.8 -0.8 42.2 -63.7
pair MACDhist RSmean neg-neg 14 4.5 -56.7 28.6 -1.6 -2.0 -0.9 44.8 -63.7
pair RSmean MACDhist neg-neg 14 4.5 -56.7 28.6 -1.6 -2.0 -0.9 44.8 -63.7
pair SLmean RSmean pos-neg 2 0.6 -58.0 0.0 -5.3 -5.3 -5.7 15.6 -10.1
pair RSmean SLmean pos-neg 2 0.6 -58.0 0.0 -5.3 -5.3 -5.7 15.6 -10.1
pair RSmean RSIhist neg-pos 2 0.6 -58.0 0.0 -5.3 -5.3 -5.7 15.6 -10.1
pair RSIhist RSmean neg-pos 2 0.6 -58.0 0.0 -5.3 -5.3 -5.7 15.6 -10.1
pair RSmean LWTI neg-neg 1 0.3 -63.9 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.3 -63.9 0.0 0.0 0.0 0.0 - 0.0
pair RSI RSmean neg-pos 4 1.3 -65.9 0.0 -8.3 -8.3 -2.8 12.3 -23.9
pair RSmean RSI neg-pos 4 1.3 -65.9 0.0 -8.3 -8.3 -2.8 12.3 -23.9
pair RSmean MACD neg-pos 6 1.9 -71.7 33.3 -1.9 -1.9 -1.6 55.8 -44.8
pair MACD RSmean neg-pos 6 1.9 -71.7 33.3 -1.9 -1.9 -1.6 55.8 -44.8

All Contingency Tables for EWZ

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 13.9% | Win 55%
Sharpe 0.59 | Sortino 1.13 | Calmar 0.3
Vol 29% | MDD -52.4%
Months 162M (52%)
CAGR 39.1% | Win 60%
Sharpe 1.33 | Sortino 2.48 | Calmar 2.5
Vol 28% | MDD -15.8%
Months 30M (10%)
CAGR 17.5% | Win 56%
Sharpe 0.70 | Sortino 1.34 | Calmar 0.3
Vol 29% | MDD -50.4%
Months 192M (61%)
MRmean
neg
CAGR -15.6% | Win 33%
Sharpe -0.51 | Sortino -1.08 | Calmar -0.4
Vol 27% | MDD -37.4%
Months 15M (5%)
CAGR -8.6% | Win 52%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.1
Vol 43% | MDD -84.0%
Months 106M (34%)
CAGR -9.5% | Win 50%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 41% | MDD -87.4%
Months 121M (39%)
SLmean
only
CAGR 11.1% | Win 53%
Sharpe 0.51 | Sortino 0.98 | Calmar 0.2
Vol 29% | MDD -66.3%
Months 177M (56%)
CAGR 0.3% | Win 54%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 40% | MDD -74.4%
Months 136M (44%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 18.3% | Win 56%
Sharpe 0.73 | Sortino 1.37 | Calmar 0.4
Vol 29% | MDD -49.1%
Months 189M (60%)
CAGR -22.4% | Win 33%
Sharpe -0.66 | Sortino -1.38 | Calmar -2.2
Vol 33% | MDD -10.1%
Months 3M (1%)
CAGR 17.5% | Win 56%
Sharpe 0.70 | Sortino 1.34 | Calmar 0.3
Vol 29% | MDD -50.4%
Months 192M (61%)
MRmean
neg
CAGR -0.3% | Win 52%
Sharpe 0.20 | Sortino 0.31 | Calmar -0.0
Vol 40% | MDD -80.7%
Months 105M (34%)
CAGR -51.9% | Win 31%
Sharpe -1.45 | Sortino -1.75 | Calmar -0.8
Vol 42% | MDD -63.7%
Months 16M (5%)
CAGR -9.5% | Win 50%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 41% | MDD -87.4%
Months 121M (39%)
RSmean
only
CAGR 11.3% | Win 55%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 34% | MDD -72.5%
Months 294M (94%)
CAGR -48.1% | Win 32%
Sharpe -1.36 | Sortino -1.68 | Calmar -0.7
Vol 40% | MDD -66.0%
Months 19M (6%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 9.6% | Win 51%
Sharpe 0.47 | Sortino 0.90 | Calmar 0.1
Vol 28% | MDD -70.3%
Months 146M (47%)
CAGR 46.6% | Win 70%
Sharpe 1.39 | Sortino 2.35 | Calmar 2.1
Vol 31% | MDD -21.7%
Months 46M (15%)
CAGR 17.5% | Win 56%
Sharpe 0.70 | Sortino 1.34 | Calmar 0.3
Vol 29% | MDD -50.4%
Months 192M (61%)
MRmean
neg
CAGR -33.1% | Win 49%
Sharpe -0.61 | Sortino -0.78 | Calmar -0.5
Vol 46% | MDD -69.6%
Months 35M (11%)
CAGR 2.4% | Win 50%
Sharpe 0.25 | Sortino 0.43 | Calmar 0.0
Vol 39% | MDD -61.6%
Months 86M (28%)
CAGR -9.5% | Win 50%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 41% | MDD -87.4%
Months 121M (39%)
MACD
only
CAGR -0.3% | Win 51%
Sharpe 0.16 | Sortino 0.23 | Calmar -0.0
Vol 32% | MDD -90.8%
Months 181M (58%)
CAGR 16.0% | Win 57%
Sharpe 0.59 | Sortino 1.00 | Calmar 0.2
Vol 37% | MDD -69.1%
Months 132M (42%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 13.8% | Win 55%
Sharpe 0.60 | Sortino 1.10 | Calmar 0.2
Vol 28% | MDD -60.6%
Months 171M (55%)
CAGR 52.9% | Win 62%
Sharpe 1.42 | Sortino 3.21 | Calmar 3.8
Vol 34% | MDD -13.8%
Months 21M (7%)
CAGR 17.5% | Win 56%
Sharpe 0.70 | Sortino 1.34 | Calmar 0.3
Vol 29% | MDD -50.4%
Months 192M (61%)
MRmean
neg
CAGR -29.9% | Win 36%
Sharpe -0.61 | Sortino -1.07 | Calmar -0.7
Vol 43% | MDD -40.3%
Months 11M (4%)
CAGR -7.1% | Win 51%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 41% | MDD -78.3%
Months 110M (35%)
CAGR -9.5% | Win 50%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 41% | MDD -87.4%
Months 121M (39%)
RSI
only
CAGR 10.5% | Win 54%
Sharpe 0.49 | Sortino 0.86 | Calmar 0.2
Vol 29% | MDD -61.2%
Months 182M (58%)
CAGR 0.6% | Win 53%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.0
Vol 40% | MDD -70.4%
Months 131M (42%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 15.0% | Win 56%
Sharpe 0.63 | Sortino 1.12 | Calmar 0.3
Vol 29% | MDD -59.2%
Months 161M (51%)
CAGR 31.7% | Win 52%
Sharpe 1.04 | Sortino 3.51 | Calmar 2.0
Vol 31% | MDD -15.9%
Months 31M (10%)
CAGR 17.5% | Win 56%
Sharpe 0.70 | Sortino 1.34 | Calmar 0.3
Vol 29% | MDD -50.4%
Months 192M (61%)
MRmean
neg
CAGR -12.4% | Win 41%
Sharpe -0.36 | Sortino -0.64 | Calmar -0.3
Vol 27% | MDD -40.0%
Months 17M (5%)
CAGR -9.0% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 43% | MDD -82.4%
Months 104M (33%)
CAGR -9.5% | Win 50%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 41% | MDD -87.4%
Months 121M (39%)
MACDhist
only
CAGR 12.0% | Win 55%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.2
Vol 28% | MDD -61.4%
Months 178M (57%)
CAGR -0.9% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar -0.0
Vol 41% | MDD -74.5%
Months 135M (43%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 16.8% | Win 55%
Sharpe 0.67 | Sortino 1.27 | Calmar 0.3
Vol 30% | MDD -50.0%
Months 150M (48%)
CAGR 20.4% | Win 57%
Sharpe 0.87 | Sortino 1.65 | Calmar 1.1
Vol 25% | MDD -17.8%
Months 42M (13%)
CAGR 17.5% | Win 56%
Sharpe 0.70 | Sortino 1.34 | Calmar 0.3
Vol 29% | MDD -50.4%
Months 192M (61%)
MRmean
neg
CAGR 8.1% | Win 50%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.3
Vol 33% | MDD -30.3%
Months 20M (6%)
CAGR -12.6% | Win 50%
Sharpe -0.09 | Sortino -0.14 | Calmar -0.1
Vol 43% | MDD -87.5%
Months 101M (32%)
CAGR -9.5% | Win 50%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 41% | MDD -87.4%
Months 121M (39%)
RSIhist
only
CAGR 15.7% | Win 55%
Sharpe 0.63 | Sortino 1.18 | Calmar 0.3
Vol 30% | MDD -49.5%
Months 170M (54%)
CAGR -4.0% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.1
Vol 38% | MDD -74.3%
Months 143M (46%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 16.5% | Win 57%
Sharpe 0.68 | Sortino 1.20 | Calmar 0.3
Vol 28% | MDD -49.3%
Months 154M (49%)
CAGR 22.0% | Win 50%
Sharpe 0.77 | Sortino 2.08 | Calmar 1.2
Vol 32% | MDD -18.9%
Months 38M (12%)
CAGR 17.5% | Win 56%
Sharpe 0.70 | Sortino 1.34 | Calmar 0.3
Vol 29% | MDD -50.4%
Months 192M (61%)
MRmean
neg
CAGR -27.9% | Win 47%
Sharpe -0.47 | Sortino -0.65 | Calmar -0.3
Vol 45% | MDD -92.8%
Months 66M (21%)
CAGR 19.0% | Win 53%
Sharpe 0.67 | Sortino 1.58 | Calmar 0.4
Vol 35% | MDD -48.8%
Months 55M (18%)
CAGR -9.5% | Win 50%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 41% | MDD -87.4%
Months 121M (39%)
LWTI
only
CAGR 0.8% | Win 54%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -82.0%
Months 220M (70%)
CAGR 20.2% | Win 52%
Sharpe 0.71 | Sortino 1.75 | Calmar 0.4
Vol 34% | MDD -54.7%
Months 93M (30%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 12.3% | Win 54%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 29% | MDD -61.1%
Months 175M (56%)
CAGR -58.0% | Win 0%
Sharpe -5.32 | Sortino -5.32 | Calmar -5.7
Vol 16% | MDD -10.1%
Months 2M (1%)
CAGR 11.1% | Win 53%
Sharpe 0.51 | Sortino 0.98 | Calmar 0.2
Vol 29% | MDD -66.3%
Months 177M (56%)
SLmean
neg
CAGR 9.8% | Win 56%
Sharpe 0.44 | Sortino 0.66 | Calmar 0.1
Vol 39% | MDD -66.5%
Months 119M (38%)
CAGR -46.8% | Win 35%
Sharpe -1.22 | Sortino -1.47 | Calmar -0.8
Vol 42% | MDD -60.7%
Months 17M (5%)
CAGR 0.3% | Win 54%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 40% | MDD -74.4%
Months 136M (44%)
RSmean
only
CAGR 11.3% | Win 55%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 34% | MDD -72.5%
Months 294M (94%)
CAGR -48.1% | Win 32%
Sharpe -1.36 | Sortino -1.68 | Calmar -0.7
Vol 40% | MDD -66.0%
Months 19M (6%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 4.4% | Win 50%
Sharpe 0.29 | Sortino 0.57 | Calmar 0.1
Vol 28% | MDD -74.4%
Months 123M (39%)
CAGR 28.0% | Win 61%
Sharpe 0.97 | Sortino 1.74 | Calmar 0.9
Vol 30% | MDD -30.3%
Months 54M (17%)
CAGR 11.1% | Win 53%
Sharpe 0.51 | Sortino 0.98 | Calmar 0.2
Vol 29% | MDD -66.3%
Months 177M (56%)
SLmean
neg
CAGR -9.6% | Win 53%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 40% | MDD -70.1%
Months 58M (18%)
CAGR 8.4% | Win 54%
Sharpe 0.40 | Sortino 0.68 | Calmar 0.1
Vol 40% | MDD -65.9%
Months 78M (25%)
CAGR 0.3% | Win 54%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 40% | MDD -74.4%
Months 136M (44%)
MACD
only
CAGR -0.3% | Win 51%
Sharpe 0.16 | Sortino 0.23 | Calmar -0.0
Vol 32% | MDD -90.8%
Months 181M (58%)
CAGR 16.0% | Win 57%
Sharpe 0.59 | Sortino 1.00 | Calmar 0.2
Vol 37% | MDD -69.1%
Months 132M (42%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 12.2% | Win 55%
Sharpe 0.54 | Sortino 1.01 | Calmar 0.2
Vol 29% | MDD -58.5%
Months 146M (47%)
CAGR 6.1% | Win 45%
Sharpe 0.33 | Sortino 0.77 | Calmar 0.2
Vol 31% | MDD -28.5%
Months 31M (10%)
CAGR 11.1% | Win 53%
Sharpe 0.51 | Sortino 0.98 | Calmar 0.2
Vol 29% | MDD -66.3%
Months 177M (56%)
SLmean
neg
CAGR 4.1% | Win 50%
Sharpe 0.29 | Sortino 0.45 | Calmar 0.1
Vol 32% | MDD -30.7%
Months 36M (12%)
CAGR -1.0% | Win 55%
Sharpe 0.20 | Sortino 0.28 | Calmar -0.0
Vol 43% | MDD -73.5%
Months 100M (32%)
CAGR 0.3% | Win 54%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 40% | MDD -74.4%
Months 136M (44%)
RSI
only
CAGR 10.5% | Win 54%
Sharpe 0.49 | Sortino 0.86 | Calmar 0.2
Vol 29% | MDD -61.2%
Months 182M (58%)
CAGR 0.6% | Win 53%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.0
Vol 40% | MDD -70.4%
Months 131M (42%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 8.4% | Win 55%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.1
Vol 28% | MDD -69.8%
Months 137M (44%)
CAGR 20.6% | Win 48%
Sharpe 0.76 | Sortino 2.09 | Calmar 0.9
Vol 31% | MDD -21.8%
Months 40M (13%)
CAGR 11.1% | Win 53%
Sharpe 0.51 | Sortino 0.98 | Calmar 0.2
Vol 29% | MDD -66.3%
Months 177M (56%)
SLmean
neg
CAGR 25.0% | Win 56%
Sharpe 0.92 | Sortino 1.64 | Calmar 1.0
Vol 29% | MDD -25.6%
Months 41M (13%)
CAGR -8.8% | Win 53%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 44% | MDD -81.9%
Months 95M (30%)
CAGR 0.3% | Win 54%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 40% | MDD -74.4%
Months 136M (44%)
MACDhist
only
CAGR 12.0% | Win 55%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.2
Vol 28% | MDD -61.4%
Months 178M (57%)
CAGR -0.9% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar -0.0
Vol 41% | MDD -74.5%
Months 135M (43%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 13.5% | Win 54%
Sharpe 0.57 | Sortino 1.09 | Calmar 0.2
Vol 30% | MDD -59.6%
Months 155M (50%)
CAGR -4.7% | Win 46%
Sharpe -0.12 | Sortino -0.25 | Calmar -0.2
Vol 21% | MDD -29.0%
Months 22M (7%)
CAGR 11.1% | Win 53%
Sharpe 0.51 | Sortino 0.98 | Calmar 0.2
Vol 29% | MDD -66.3%
Months 177M (56%)
SLmean
neg
CAGR 41.1% | Win 60%
Sharpe 1.15 | Sortino 1.66 | Calmar 2.1
Vol 35% | MDD -19.8%
Months 15M (5%)
CAGR -3.8% | Win 53%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.1
Vol 41% | MDD -76.2%
Months 121M (39%)
CAGR 0.3% | Win 54%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 40% | MDD -74.4%
Months 136M (44%)
RSIhist
only
CAGR 15.7% | Win 55%
Sharpe 0.63 | Sortino 1.18 | Calmar 0.3
Vol 30% | MDD -49.5%
Months 170M (54%)
CAGR -4.0% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.1
Vol 38% | MDD -74.3%
Months 143M (46%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.6% | Win 56%
Sharpe 0.52 | Sortino 0.94 | Calmar 0.2
Vol 29% | MDD -60.9%
Months 131M (42%)
CAGR 9.6% | Win 46%
Sharpe 0.45 | Sortino 1.09 | Calmar 0.4
Vol 30% | MDD -26.0%
Months 46M (15%)
CAGR 11.1% | Win 53%
Sharpe 0.51 | Sortino 0.98 | Calmar 0.2
Vol 29% | MDD -66.3%
Months 177M (56%)
SLmean
neg
CAGR -13.1% | Win 52%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.2
Vol 41% | MDD -85.2%
Months 89M (28%)
CAGR 31.6% | Win 57%
Sharpe 0.92 | Sortino 2.32 | Calmar 0.7
Vol 37% | MDD -43.7%
Months 47M (15%)
CAGR 0.3% | Win 54%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 40% | MDD -74.4%
Months 136M (44%)
LWTI
only
CAGR 0.8% | Win 54%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -82.0%
Months 220M (70%)
CAGR 20.2% | Win 52%
Sharpe 0.71 | Sortino 1.75 | Calmar 0.4
Vol 34% | MDD -54.7%
Months 93M (30%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 4.0% | Win 51%
Sharpe 0.28 | Sortino 0.46 | Calmar 0.0
Vol 31% | MDD -82.7%
Months 175M (56%)
CAGR 22.9% | Win 60%
Sharpe 0.75 | Sortino 1.21 | Calmar 0.4
Vol 37% | MDD -61.4%
Months 119M (38%)
CAGR 11.3% | Win 55%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 34% | MDD -72.5%
Months 294M (94%)
RSmean
neg
CAGR -71.7% | Win 33%
Sharpe -1.85 | Sortino -1.88 | Calmar -1.6
Vol 56% | MDD -44.8%
Months 6M (2%)
CAGR -31.4% | Win 31%
Sharpe -1.03 | Sortino -2.14 | Calmar -0.9
Vol 32% | MDD -36.0%
Months 13M (4%)
CAGR -48.1% | Win 32%
Sharpe -1.36 | Sortino -1.68 | Calmar -0.7
Vol 40% | MDD -66.0%
Months 19M (6%)
MACD
only
CAGR -0.3% | Win 51%
Sharpe 0.16 | Sortino 0.23 | Calmar -0.0
Vol 32% | MDD -90.8%
Months 181M (58%)
CAGR 16.0% | Win 57%
Sharpe 0.59 | Sortino 1.00 | Calmar 0.2
Vol 37% | MDD -69.1%
Months 132M (42%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 13.5% | Win 55%
Sharpe 0.58 | Sortino 1.01 | Calmar 0.2
Vol 29% | MDD -55.1%
Months 178M (57%)
CAGR 8.0% | Win 54%
Sharpe 0.40 | Sortino 0.63 | Calmar 0.1
Vol 39% | MDD -65.9%
Months 116M (37%)
CAGR 11.3% | Win 55%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 34% | MDD -72.5%
Months 294M (94%)
RSmean
neg
CAGR -65.9% | Win 0%
Sharpe -8.33 | Sortino -8.33 | Calmar -2.8
Vol 12% | MDD -23.9%
Months 4M (1%)
CAGR -42.0% | Win 40%
Sharpe -0.95 | Sortino -1.08 | Calmar -0.8
Vol 45% | MDD -52.9%
Months 15M (5%)
CAGR -48.1% | Win 32%
Sharpe -1.36 | Sortino -1.68 | Calmar -0.7
Vol 40% | MDD -66.0%
Months 19M (6%)
RSI
only
CAGR 10.5% | Win 54%
Sharpe 0.49 | Sortino 0.86 | Calmar 0.2
Vol 29% | MDD -61.2%
Months 182M (58%)
CAGR 0.6% | Win 53%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.0
Vol 40% | MDD -70.4%
Months 131M (42%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 12.9% | Win 56%
Sharpe 0.57 | Sortino 1.01 | Calmar 0.2
Vol 29% | MDD -60.5%
Months 173M (55%)
CAGR 9.0% | Win 54%
Sharpe 0.42 | Sortino 0.65 | Calmar 0.1
Vol 40% | MDD -65.0%
Months 121M (39%)
CAGR 11.3% | Win 55%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 34% | MDD -72.5%
Months 294M (94%)
RSmean
neg
CAGR -14.3% | Win 40%
Sharpe -0.56 | Sortino -0.77 | Calmar -1.4
Vol 23% | MDD -10.1%
Months 5M (2%)
CAGR -56.7% | Win 29%
Sharpe -1.56 | Sortino -2.00 | Calmar -0.9
Vol 45% | MDD -63.7%
Months 14M (4%)
CAGR -48.1% | Win 32%
Sharpe -1.36 | Sortino -1.68 | Calmar -0.7
Vol 40% | MDD -66.0%
Months 19M (6%)
MACDhist
only
CAGR 12.0% | Win 55%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.2
Vol 28% | MDD -61.4%
Months 178M (57%)
CAGR -0.9% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar -0.0
Vol 41% | MDD -74.5%
Months 135M (43%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 17.1% | Win 55%
Sharpe 0.67 | Sortino 1.25 | Calmar 0.4
Vol 30% | MDD -42.3%
Months 168M (54%)
CAGR 4.0% | Win 54%
Sharpe 0.30 | Sortino 0.45 | Calmar 0.1
Vol 37% | MDD -70.5%
Months 126M (40%)
CAGR 11.3% | Win 55%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 34% | MDD -72.5%
Months 294M (94%)
RSmean
neg
CAGR -58.0% | Win 0%
Sharpe -5.32 | Sortino -5.32 | Calmar -5.7
Vol 16% | MDD -10.1%
Months 2M (1%)
CAGR -46.8% | Win 35%
Sharpe -1.22 | Sortino -1.47 | Calmar -0.8
Vol 42% | MDD -60.7%
Months 17M (5%)
CAGR -48.1% | Win 32%
Sharpe -1.36 | Sortino -1.68 | Calmar -0.7
Vol 40% | MDD -66.0%
Months 19M (6%)
RSIhist
only
CAGR 15.7% | Win 55%
Sharpe 0.63 | Sortino 1.18 | Calmar 0.3
Vol 30% | MDD -49.5%
Months 170M (54%)
CAGR -4.0% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.1
Vol 38% | MDD -74.3%
Months 143M (46%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.53 | Calmar 0.1
Vol 34% | MDD -73.6%
Months 202M (64%)
CAGR 21.8% | Win 52%
Sharpe 0.75 | Sortino 1.83 | Calmar 0.4
Vol 34% | MDD -54.7%
Months 92M (29%)
CAGR 11.3% | Win 55%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 34% | MDD -72.5%
Months 294M (94%)
RSmean
neg
CAGR -47.1% | Win 33%
Sharpe -1.27 | Sortino -1.55 | Calmar -0.7
Vol 41% | MDD -63.1%
Months 18M (6%)
CAGR -63.9% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -48.1% | Win 32%
Sharpe -1.36 | Sortino -1.68 | Calmar -0.7
Vol 40% | MDD -66.0%
Months 19M (6%)
LWTI
only
CAGR 0.8% | Win 54%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -82.0%
Months 220M (70%)
CAGR 20.2% | Win 52%
Sharpe 0.71 | Sortino 1.75 | Calmar 0.4
Vol 34% | MDD -54.7%
Months 93M (30%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 7.5% | Win 51%
Sharpe 0.39 | Sortino 0.71 | Calmar 0.1
Vol 29% | MDD -75.5%
Months 154M (49%)
CAGR -35.2% | Win 52%
Sharpe -0.66 | Sortino -0.79 | Calmar -0.7
Vol 46% | MDD -50.2%
Months 27M (9%)
CAGR -0.3% | Win 51%
Sharpe 0.16 | Sortino 0.23 | Calmar -0.0
Vol 32% | MDD -90.8%
Months 181M (58%)
MACD
neg
CAGR 28.9% | Win 71%
Sharpe 0.99 | Sortino 1.50 | Calmar 1.3
Vol 30% | MDD -21.8%
Months 28M (9%)
CAGR 12.8% | Win 53%
Sharpe 0.51 | Sortino 0.87 | Calmar 0.2
Vol 38% | MDD -63.0%
Months 104M (33%)
CAGR 16.0% | Win 57%
Sharpe 0.59 | Sortino 1.00 | Calmar 0.2
Vol 37% | MDD -69.1%
Months 132M (42%)
RSI
only
CAGR 10.5% | Win 54%
Sharpe 0.49 | Sortino 0.86 | Calmar 0.2
Vol 29% | MDD -61.2%
Months 182M (58%)
CAGR 0.6% | Win 53%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.0
Vol 40% | MDD -70.4%
Months 131M (42%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 9.0% | Win 53%
Sharpe 0.45 | Sortino 0.84 | Calmar 0.1
Vol 28% | MDD -71.8%
Months 146M (47%)
CAGR -31.5% | Win 43%
Sharpe -0.57 | Sortino -0.71 | Calmar -0.4
Vol 46% | MDD -72.5%
Months 35M (11%)
CAGR -0.3% | Win 51%
Sharpe 0.16 | Sortino 0.23 | Calmar -0.0
Vol 32% | MDD -90.8%
Months 181M (58%)
MACD
neg
CAGR 27.0% | Win 66%
Sharpe 0.94 | Sortino 1.30 | Calmar 0.7
Vol 30% | MDD -40.6%
Months 32M (10%)
CAGR 12.7% | Win 54%
Sharpe 0.50 | Sortino 0.89 | Calmar 0.2
Vol 38% | MDD -69.1%
Months 100M (32%)
CAGR 16.0% | Win 57%
Sharpe 0.59 | Sortino 1.00 | Calmar 0.2
Vol 37% | MDD -69.1%
Months 132M (42%)
MACDhist
only
CAGR 12.0% | Win 55%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.2
Vol 28% | MDD -61.4%
Months 178M (57%)
CAGR -0.9% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar -0.0
Vol 41% | MDD -74.5%
Months 135M (43%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 6.8% | Win 50%
Sharpe 0.37 | Sortino 0.72 | Calmar 0.1
Vol 29% | MDD -68.2%
Months 107M (34%)
CAGR -9.9% | Win 53%
Sharpe -0.08 | Sortino -0.10 | Calmar -0.1
Vol 37% | MDD -75.3%
Months 74M (24%)
CAGR -0.3% | Win 51%
Sharpe 0.16 | Sortino 0.23 | Calmar -0.0
Vol 32% | MDD -90.8%
Months 181M (58%)
MACD
neg
CAGR 32.5% | Win 64%
Sharpe 1.05 | Sortino 1.76 | Calmar 1.1
Vol 32% | MDD -30.3%
Months 63M (20%)
CAGR 2.8% | Win 51%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.0
Vol 40% | MDD -64.0%
Months 69M (22%)
CAGR 16.0% | Win 57%
Sharpe 0.59 | Sortino 1.00 | Calmar 0.2
Vol 37% | MDD -69.1%
Months 132M (42%)
RSIhist
only
CAGR 15.7% | Win 55%
Sharpe 0.63 | Sortino 1.18 | Calmar 0.3
Vol 30% | MDD -49.5%
Months 170M (54%)
CAGR -4.0% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.1
Vol 38% | MDD -74.3%
Months 143M (46%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 3.1% | Win 54%
Sharpe 0.26 | Sortino 0.36 | Calmar 0.0
Vol 33% | MDD -87.5%
Months 168M (54%)
CAGR -35.6% | Win 15%
Sharpe -1.43 | Sortino -3.24 | Calmar -0.9
Vol 28% | MDD -39.9%
Months 13M (4%)
CAGR -0.3% | Win 51%
Sharpe 0.16 | Sortino 0.23 | Calmar -0.0
Vol 32% | MDD -90.8%
Months 181M (58%)
MACD
neg
CAGR -6.0% | Win 56%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.1
Vol 40% | MDD -75.7%
Months 52M (17%)
CAGR 33.1% | Win 57%
Sharpe 1.02 | Sortino 2.40 | Calmar 0.7
Vol 34% | MDD -46.4%
Months 80M (26%)
CAGR 16.0% | Win 57%
Sharpe 0.59 | Sortino 1.00 | Calmar 0.2
Vol 37% | MDD -69.1%
Months 132M (42%)
LWTI
only
CAGR 0.8% | Win 54%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -82.0%
Months 220M (70%)
CAGR 20.2% | Win 52%
Sharpe 0.71 | Sortino 1.75 | Calmar 0.4
Vol 34% | MDD -54.7%
Months 93M (30%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 12.8% | Win 55%
Sharpe 0.56 | Sortino 1.01 | Calmar 0.2
Vol 29% | MDD -65.4%
Months 158M (50%)
CAGR -3.6% | Win 46%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.1
Vol 34% | MDD -25.7%
Months 24M (8%)
CAGR 10.5% | Win 54%
Sharpe 0.49 | Sortino 0.86 | Calmar 0.2
Vol 29% | MDD -61.2%
Months 182M (58%)
RSI
neg
CAGR 6.0% | Win 55%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.2
Vol 28% | MDD -28.7%
Months 20M (6%)
CAGR -0.3% | Win 52%
Sharpe 0.21 | Sortino 0.31 | Calmar -0.0
Vol 42% | MDD -66.0%
Months 111M (36%)
CAGR 0.6% | Win 53%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.0
Vol 40% | MDD -70.4%
Months 131M (42%)
MACDhist
only
CAGR 12.0% | Win 55%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.2
Vol 28% | MDD -61.4%
Months 178M (57%)
CAGR -0.9% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar -0.0
Vol 41% | MDD -74.5%
Months 135M (43%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 13.4% | Win 55%
Sharpe 0.57 | Sortino 1.06 | Calmar 0.2
Vol 29% | MDD -58.9%
Months 133M (42%)
CAGR 3.1% | Win 51%
Sharpe 0.25 | Sortino 0.40 | Calmar 0.1
Vol 30% | MDD -36.9%
Months 49M (16%)
CAGR 10.5% | Win 54%
Sharpe 0.49 | Sortino 0.86 | Calmar 0.2
Vol 29% | MDD -61.2%
Months 182M (58%)
RSI
neg
CAGR 24.4% | Win 54%
Sharpe 0.80 | Sortino 1.54 | Calmar 0.8
Vol 34% | MDD -30.1%
Months 37M (12%)
CAGR -7.4% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 42% | MDD -78.5%
Months 94M (30%)
CAGR 0.6% | Win 53%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.0
Vol 40% | MDD -70.4%
Months 131M (42%)
RSIhist
only
CAGR 15.7% | Win 55%
Sharpe 0.63 | Sortino 1.18 | Calmar 0.3
Vol 30% | MDD -49.5%
Months 170M (54%)
CAGR -4.0% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.1
Vol 38% | MDD -74.3%
Months 143M (46%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 11.6% | Win 55%
Sharpe 0.52 | Sortino 0.88 | Calmar 0.2
Vol 30% | MDD -63.4%
Months 163M (52%)
CAGR 1.8% | Win 42%
Sharpe 0.19 | Sortino 0.55 | Calmar 0.1
Vol 27% | MDD -23.2%
Months 19M (6%)
CAGR 10.5% | Win 54%
Sharpe 0.49 | Sortino 0.86 | Calmar 0.2
Vol 29% | MDD -61.2%
Months 182M (58%)
RSI
neg
CAGR -24.5% | Win 51%
Sharpe -0.37 | Sortino -0.47 | Calmar -0.3
Vol 45% | MDD -87.7%
Months 57M (18%)
CAGR 25.5% | Win 54%
Sharpe 0.82 | Sortino 1.96 | Calmar 0.5
Vol 35% | MDD -48.0%
Months 74M (24%)
CAGR 0.6% | Win 53%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.0
Vol 40% | MDD -70.4%
Months 131M (42%)
LWTI
only
CAGR 0.8% | Win 54%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -82.0%
Months 220M (70%)
CAGR 20.2% | Win 52%
Sharpe 0.71 | Sortino 1.75 | Calmar 0.4
Vol 34% | MDD -54.7%
Months 93M (30%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 11.3% | Win 56%
Sharpe 0.51 | Sortino 0.91 | Calmar 0.2
Vol 29% | MDD -62.2%
Months 128M (41%)
CAGR 14.0% | Win 54%
Sharpe 0.63 | Sortino 1.11 | Calmar 0.5
Vol 26% | MDD -26.7%
Months 50M (16%)
CAGR 12.0% | Win 55%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.2
Vol 28% | MDD -61.4%
Months 178M (57%)
MACDhist
neg
CAGR 30.2% | Win 52%
Sharpe 0.96 | Sortino 2.00 | Calmar 1.0
Vol 33% | MDD -30.1%
Months 42M (13%)
CAGR -12.4% | Win 50%
Sharpe -0.08 | Sortino -0.11 | Calmar -0.1
Vol 43% | MDD -83.3%
Months 93M (30%)
CAGR -0.9% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar -0.0
Vol 41% | MDD -74.5%
Months 135M (43%)
RSIhist
only
CAGR 15.7% | Win 55%
Sharpe 0.63 | Sortino 1.18 | Calmar 0.3
Vol 30% | MDD -49.5%
Months 170M (54%)
CAGR -4.0% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.1
Vol 38% | MDD -74.3%
Months 143M (46%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 13.3% | Win 56%
Sharpe 0.58 | Sortino 1.03 | Calmar 0.2
Vol 28% | MDD -55.2%
Months 165M (53%)
CAGR -2.9% | Win 46%
Sharpe 0.04 | Sortino 0.08 | Calmar -0.2
Vol 30% | MDD -18.6%
Months 13M (4%)
CAGR 12.0% | Win 55%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.2
Vol 28% | MDD -61.4%
Months 178M (57%)
MACDhist
neg
CAGR -28.9% | Win 49%
Sharpe -0.45 | Sortino -0.61 | Calmar -0.3
Vol 48% | MDD -89.6%
Months 55M (18%)
CAGR 24.5% | Win 52%
Sharpe 0.81 | Sortino 2.05 | Calmar 0.5
Vol 34% | MDD -53.3%
Months 80M (26%)
CAGR -0.9% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar -0.0
Vol 41% | MDD -74.5%
Months 135M (43%)
LWTI
only
CAGR 0.8% | Win 54%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -82.0%
Months 220M (70%)
CAGR 20.2% | Win 52%
Sharpe 0.71 | Sortino 1.75 | Calmar 0.4
Vol 34% | MDD -54.7%
Months 93M (30%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 12.0% | Win 56%
Sharpe 0.53 | Sortino 0.89 | Calmar 0.2
Vol 30% | MDD -51.5%
Months 119M (38%)
CAGR 24.9% | Win 51%
Sharpe 0.86 | Sortino 2.19 | Calmar 1.0
Vol 31% | MDD -23.9%
Months 51M (16%)
CAGR 15.7% | Win 55%
Sharpe 0.63 | Sortino 1.18 | Calmar 0.3
Vol 30% | MDD -49.5%
Months 170M (54%)
RSIhist
neg
CAGR -10.9% | Win 52%
Sharpe -0.08 | Sortino -0.11 | Calmar -0.1
Vol 39% | MDD -80.4%
Months 101M (32%)
CAGR 14.9% | Win 52%
Sharpe 0.55 | Sortino 1.39 | Calmar 0.4
Vol 37% | MDD -42.4%
Months 42M (13%)
CAGR -4.0% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.1
Vol 38% | MDD -74.3%
Months 143M (46%)
LWTI
only
CAGR 0.8% | Win 54%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -82.0%
Months 220M (70%)
CAGR 20.2% | Win 52%
Sharpe 0.71 | Sortino 1.75 | Calmar 0.4
Vol 34% | MDD -54.7%
Months 93M (30%)