EZA - iShares MSCI South Africa ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

91.0%

Best CAGR

81

Total Months

10.2%

Avg CAGR

EZA 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 EZA

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist RSI neg-pos 5 1.8 91.0 100.0 5.2 0.0 0.0 12.8 0.0
pair RSI MACDhist neg-pos 5 1.8 91.0 100.0 5.2 0.0 0.0 12.8 0.0
pair RSI MRmean pos-neg 13 4.6 84.8 92.3 2.8 0.0 8.7 23.2 -9.8
pair MRmean RSI pos-neg 13 4.6 84.8 92.3 2.8 0.0 8.7 23.2 -9.8
pair RSI RSIhist neg-pos 19 6.7 77.0 84.2 2.9 3.4 7.9 20.8 -9.8
pair RSIhist RSI neg-pos 19 6.7 77.0 84.2 2.9 3.4 7.9 20.8 -9.8
pair SLmean RSI pos-neg 20 7.0 66.1 75.0 2.5 3.9 6.8 21.9 -9.8
pair RSI SLmean pos-neg 20 7.0 66.1 75.0 2.5 3.9 6.8 21.9 -9.8
pair SLmean RSIhist neg-pos 7 2.5 51.9 71.4 3.1 274.7 52.8 13.8 -1.0
pair RSIhist SLmean neg-pos 7 2.5 51.9 71.4 3.1 274.7 52.8 13.8 -1.0
pair MACD RSI neg-neg 60 21.1 41.9 66.7 1.3 1.7 1.1 30.2 -36.5
pair RSI MACD neg-neg 60 21.1 41.9 66.7 1.3 1.7 1.1 30.2 -36.5
pair MACDhist LWTI pos-neg 6 2.1 41.5 83.3 1.6 0.0 4.6 24.1 -9.1
pair LWTI MACDhist pos-neg 6 2.1 41.5 83.3 1.6 0.0 4.6 24.1 -9.1
pair RSIhist MACD neg-neg 54 19.0 40.4 68.5 1.3 1.6 1.1 29.9 -36.5
pair MACD RSIhist neg-neg 54 19.0 40.4 68.5 1.3 1.6 1.1 29.9 -36.5
pair SLmean MACD neg-neg 51 18.0 39.2 68.6 1.3 1.5 1.1 30.3 -36.5
pair MACD SLmean neg-neg 51 18.0 39.2 68.6 1.3 1.5 1.1 30.3 -36.5
pair MACD MRmean neg-neg 58 20.4 34.4 63.8 1.2 1.5 0.9 29.5 -36.5
pair MRmean MACD neg-neg 58 20.4 34.4 63.8 1.2 1.5 0.9 29.5 -36.5
pair MACD RSmean pos-neg 86 30.3 31.3 68.6 1.1 1.5 0.9 28.5 -35.8
pair RSmean MACD pos-neg 86 30.3 31.3 68.6 1.1 1.5 0.9 28.5 -35.8
pair MACD MACDhist neg-pos 20 7.0 30.8 80.0 1.6 2.4 1.8 18.3 -16.7
pair MACDhist MACD neg-pos 20 7.0 30.8 80.0 1.6 2.4 1.8 18.3 -16.7
pair LWTI RSI neg-neg 40 14.1 27.9 65.0 0.8 1.0 0.8 39.2 -35.9
pair RSI LWTI neg-neg 40 14.1 27.9 65.0 0.8 1.0 0.8 39.2 -35.9
pair MRmean RSIhist neg-pos 10 3.5 27.4 60.0 1.4 2.1 3.4 18.3 -8.1
pair RSIhist MRmean neg-pos 10 3.5 27.4 60.0 1.4 2.1 3.4 18.3 -8.1
pair SLmean RSIhist pos-neg 29 10.2 27.0 69.0 1.2 1.9 1.6 21.8 -17.0
pair RSIhist SLmean pos-neg 29 10.2 27.0 69.0 1.2 1.9 1.6 21.8 -17.0
pair RSmean RSI pos-neg 66 23.2 26.4 63.6 0.9 1.1 0.7 33.3 -35.9
pair RSI RSmean pos-neg 66 23.2 26.4 63.6 0.9 1.1 0.7 33.3 -35.9
pair MACD LWTI neg-neg 49 17.3 25.6 63.3 0.8 1.2 0.8 33.7 -31.4
pair LWTI MACD neg-neg 49 17.3 25.6 63.3 0.8 1.2 0.8 33.7 -31.4
single MACD MACD neg-neg 109 38.4 23.1 66.1 0.9 1.3 0.5 27.7 -44.3
pair MACDhist MACD neg-neg 89 31.3 21.5 62.9 0.8 1.2 0.5 29.5 -44.3
pair MACD MACDhist neg-neg 89 31.3 21.5 62.9 0.8 1.2 0.5 29.5 -44.3
pair LWTI MACD neg-pos 60 21.1 21.1 68.3 1.0 1.5 1.0 21.9 -20.6
pair MACD LWTI neg-pos 60 21.1 21.1 68.3 1.0 1.5 1.0 21.9 -20.6
single RSI RSI neg-neg 76 26.8 19.6 60.5 0.7 0.9 0.5 32.2 -42.9
pair RSI MRmean neg-pos 41 14.4 18.3 68.3 0.9 1.7 0.6 20.5 -30.4
pair MRmean RSI neg-pos 41 14.4 18.3 68.3 0.9 1.7 0.6 20.5 -30.4
pair MACDhist MRmean neg-pos 10 3.5 16.5 70.0 0.7 2.6 1.1 26.7 -15.1
pair MRmean MACDhist neg-pos 10 3.5 16.5 70.0 0.7 2.6 1.1 26.7 -15.1
pair MACDhist RSI neg-neg 71 25.0 15.7 57.7 0.6 0.8 0.4 33.0 -42.9
pair RSI MACDhist neg-neg 71 25.0 15.7 57.7 0.6 0.8 0.4 33.0 -42.9
pair MACDhist RSIhist neg-neg 103 36.3 14.6 59.2 0.6 0.8 0.3 29.1 -50.3
pair RSIhist MACDhist neg-neg 103 36.3 14.6 59.2 0.6 0.8 0.3 29.1 -50.3
pair MRmean LWTI neg-pos 73 25.7 14.6 61.6 0.7 1.3 0.3 21.5 -50.4
pair LWTI MRmean neg-pos 73 25.7 14.6 61.6 0.7 1.3 0.3 21.5 -50.4
pair RSI RSIhist pos-neg 83 29.2 14.3 62.7 0.7 1.2 0.5 22.0 -27.8
pair RSIhist RSI pos-neg 83 29.2 14.3 62.7 0.7 1.2 0.5 22.0 -27.8
pair MACDhist RSIhist pos-pos 93 32.7 14.3 60.2 0.7 1.1 0.5 23.6 -31.5
pair RSIhist MACDhist pos-pos 93 32.7 14.3 60.2 0.7 1.1 0.5 23.6 -31.5
pair RSmean MRmean neg-pos 80 28.2 14.2 60.0 0.6 0.8 0.3 31.4 -45.4
pair MRmean RSmean neg-pos 80 28.2 14.2 60.0 0.6 0.8 0.3 31.4 -45.4
pair SLmean MACDhist pos-pos 102 35.9 13.4 59.8 0.7 1.1 0.4 23.7 -34.5
pair MACDhist SLmean pos-pos 102 35.9 13.4 59.8 0.7 1.1 0.4 23.7 -34.5
pair SLmean MRmean neg-pos 14 4.9 13.4 57.1 0.7 1.0 0.7 20.6 -19.7
pair MRmean SLmean neg-pos 14 4.9 13.4 57.1 0.7 1.0 0.7 20.6 -19.7
pair LWTI RSIhist neg-pos 114 40.1 12.9 59.6 0.7 1.1 0.3 22.2 -45.7
pair RSIhist LWTI neg-pos 114 40.1 12.9 59.6 0.7 1.1 0.3 22.2 -45.7
single MRmean MRmean neg-neg 104 36.6 12.8 59.6 0.6 0.7 0.3 28.8 -45.4
pair SLmean MRmean neg-neg 90 31.7 12.7 60.0 0.6 0.7 0.3 30.0 -45.4
pair MRmean SLmean neg-neg 90 31.7 12.7 60.0 0.6 0.7 0.3 30.0 -45.4
pair MACDhist MRmean neg-neg 94 33.1 12.4 58.5 0.6 0.7 0.3 29.2 -45.4
pair MRmean MACDhist neg-neg 94 33.1 12.4 58.5 0.6 0.7 0.3 29.2 -45.4
pair SLmean MACDhist neg-neg 90 31.7 12.3 56.7 0.6 0.7 0.3 30.0 -45.4
pair MACDhist SLmean neg-neg 90 31.7 12.3 56.7 0.6 0.7 0.3 30.0 -45.4
pair LWTI MACDhist neg-pos 100 35.2 11.5 59.0 0.6 1.1 0.2 22.9 -51.8
pair MACDhist LWTI neg-pos 100 35.2 11.5 59.0 0.6 1.1 0.2 22.9 -51.8
pair RSIhist RSmean pos-neg 116 40.8 11.5 59.5 0.5 0.7 0.2 29.2 -53.8
pair RSmean RSIhist pos-neg 116 40.8 11.5 59.5 0.5 0.7 0.2 29.2 -53.8
pair MACD MRmean pos-neg 51 18.0 11.4 68.6 0.6 1.1 0.4 25.6 -31.5
pair MRmean MACD pos-neg 51 18.0 11.4 68.6 0.6 1.1 0.4 25.6 -31.5
pair RSIhist MRmean neg-neg 94 33.1 11.3 59.6 0.5 0.7 0.2 29.8 -45.4
pair MRmean RSIhist neg-neg 94 33.1 11.3 59.6 0.5 0.7 0.2 29.8 -45.4
pair RSmean LWTI pos-pos 191 67.3 11.1 58.6 0.6 0.9 0.3 23.9 -39.8
pair LWTI RSmean pos-pos 191 67.3 11.1 58.6 0.6 0.9 0.3 23.9 -39.8
pair LWTI RSI neg-pos 36 12.7 11.0 55.6 0.6 1.1 0.4 22.1 -29.6
pair RSI LWTI neg-pos 36 12.7 11.0 55.6 0.6 1.1 0.4 22.1 -29.6
pair SLmean RSI neg-pos 62 21.8 10.9 58.1 0.6 0.9 0.5 21.5 -22.2
pair RSI SLmean neg-pos 62 21.8 10.9 58.1 0.6 0.9 0.5 21.5 -22.2
pair SLmean RSmean pos-pos 156 54.9 10.5 58.3 0.5 0.9 0.2 24.3 -54.4
pair LWTI SLmean pos-pos 133 46.8 10.5 60.2 0.5 0.9 0.3 24.2 -32.4
pair RSmean MACDhist pos-pos 125 44.0 10.5 59.2 0.5 0.9 0.3 23.9 -32.7
pair MACDhist RSmean pos-pos 125 44.0 10.5 59.2 0.5 0.9 0.3 23.9 -32.7
pair RSmean SLmean pos-pos 156 54.9 10.5 58.3 0.5 0.9 0.2 24.3 -54.4
pair MACD SLmean pos-neg 58 20.4 10.5 63.8 0.5 0.9 0.3 25.0 -33.0
pair SLmean MACD pos-neg 58 20.4 10.5 63.8 0.5 0.9 0.3 25.0 -33.0
pair SLmean LWTI pos-pos 133 46.8 10.5 60.2 0.5 0.9 0.3 24.2 -32.4
single RSmean RSmean pos-pos 249 87.7 10.4 58.2 0.5 0.7 0.2 26.8 -57.5
single RSIhist RSIhist neg-neg 140 49.3 10.4 58.6 0.5 0.7 0.2 27.7 -53.3
pair RSIhist LWTI pos-neg 34 12.0 10.3 58.8 0.5 0.8 0.5 25.7 -21.5
pair LWTI RSIhist pos-neg 34 12.0 10.3 58.8 0.5 0.8 0.5 25.7 -21.5
pair RSmean SLmean neg-pos 93 32.7 10.2 58.1 0.5 0.6 0.2 30.6 -47.3
pair MACDhist RSmean pos-neg 124 43.7 10.2 57.3 0.5 0.7 0.2 29.5 -50.8
pair RSmean MACDhist pos-neg 124 43.7 10.2 57.3 0.5 0.7 0.2 29.5 -50.8
pair SLmean RSmean neg-pos 93 32.7 10.2 58.1 0.5 0.6 0.2 30.6 -47.3
single MACDhist MACDhist pos-pos 130 45.8 9.9 59.2 0.5 0.8 0.3 23.5 -34.2
single LWTI LWTI pos-pos 224 78.9 9.8 58.5 0.5 0.9 0.2 23.2 -52.9
pair RSI LWTI pos-pos 188 66.2 9.6 59.0 0.5 0.8 0.2 23.5 -51.5
pair LWTI RSI pos-pos 188 66.2 9.6 59.0 0.5 0.8 0.2 23.5 -51.5
pair RSmean RSIhist pos-pos 133 46.8 9.4 57.1 0.5 0.8 0.2 24.6 -42.5
pair RSIhist RSmean pos-pos 133 46.8 9.4 57.1 0.5 0.8 0.2 24.6 -42.5
pair MRmean MACDhist pos-pos 120 42.3 9.3 58.3 0.5 0.8 0.2 23.3 -38.8
pair MRmean RSI neg-neg 63 22.2 9.3 54.0 0.4 0.6 0.2 33.3 -42.9
pair RSI MRmean neg-neg 63 22.2 9.3 54.0 0.4 0.6 0.2 33.3 -42.9
pair MACDhist MRmean pos-pos 120 42.3 9.3 58.3 0.5 0.8 0.2 23.3 -38.8
single SLmean SLmean pos-pos 166 58.5 9.2 59.0 0.5 0.8 0.2 24.4 -53.1
pair benchmark___benchmark_ benchmark-benchmark 284 100.0 9.0 58.1 0.5 0.7 0.2 26.1 -57.0
pair benchmark___benchmark_ benchmark-benchmark 284 100.0 9.0 58.1 0.5 0.7 0.2 26.1 -57.0
pair LWTI SLmean neg-pos 91 32.0 8.9 56.0 0.5 0.9 0.2 21.9 -41.8
pair SLmean LWTI neg-pos 91 32.0 8.9 56.0 0.5 0.9 0.2 21.9 -41.8
pair MRmean SLmean pos-pos 152 53.5 8.8 59.2 0.5 0.8 0.2 24.7 -45.7
pair SLmean MRmean pos-pos 152 53.5 8.8 59.2 0.5 0.8 0.2 24.7 -45.7
single SLmean SLmean neg-neg 118 41.5 8.7 56.8 0.4 0.6 0.2 28.4 -46.7
pair LWTI MRmean neg-neg 31 10.9 8.6 54.8 0.4 0.5 0.2 41.8 -42.9
pair MRmean RSIhist pos-neg 46 16.2 8.6 56.5 0.5 0.8 0.2 23.1 -38.1
pair RSIhist MRmean pos-neg 46 16.2 8.6 56.5 0.5 0.8 0.2 23.1 -38.1
pair RSmean MRmean pos-pos 169 59.5 8.6 57.4 0.5 0.8 0.2 24.4 -44.8
pair MRmean RSmean pos-pos 169 59.5 8.6 57.4 0.5 0.8 0.2 24.4 -44.8
pair MRmean LWTI neg-neg 31 10.9 8.6 54.8 0.4 0.5 0.2 41.8 -42.9
pair LWTI MACDhist pos-pos 124 43.7 8.5 58.1 0.5 0.7 0.3 23.5 -32.2
pair MACDhist LWTI pos-pos 124 43.7 8.5 58.1 0.5 0.7 0.3 23.5 -32.2
pair MACD SLmean pos-pos 108 38.0 8.4 56.5 0.5 0.8 0.2 24.1 -35.8
pair SLmean MACD pos-pos 108 38.0 8.4 56.5 0.5 0.8 0.2 24.1 -35.8
pair MACD RSIhist neg-pos 55 19.4 8.2 63.6 0.4 0.8 0.3 25.1 -31.5
pair RSmean MRmean neg-neg 24 8.5 8.2 58.3 0.5 0.9 0.3 18.5 -26.9
pair MRmean RSmean neg-neg 24 8.5 8.2 58.3 0.5 0.9 0.3 18.5 -26.9
single MACDhist MACDhist neg-neg 154 54.2 8.2 57.1 0.4 0.6 0.2 28.2 -50.3
pair RSIhist MACD neg-pos 55 19.4 8.2 63.6 0.4 0.8 0.3 25.1 -31.5
pair LWTI RSmean pos-neg 58 20.4 7.9 56.9 0.4 0.5 0.2 34.9 -42.9
pair RSmean LWTI pos-neg 58 20.4 7.9 56.9 0.4 0.5 0.2 34.9 -42.9
pair SLmean LWTI neg-neg 27 9.5 7.8 59.3 0.4 0.5 0.2 44.5 -42.9
pair LWTI SLmean neg-neg 27 9.5 7.8 59.3 0.4 0.5 0.2 44.5 -42.9
single RSIhist RSIhist pos-pos 144 50.7 7.6 57.6 0.4 0.7 0.2 24.5 -42.9
pair MRmean LWTI pos-pos 151 53.2 7.6 57.0 0.4 0.7 0.2 24.1 -40.5
pair LWTI MRmean pos-pos 151 53.2 7.6 57.0 0.4 0.7 0.2 24.1 -40.5
pair MACDhist RSI pos-pos 125 44.0 7.5 57.6 0.4 0.7 0.2 23.6 -38.4
pair RSI MACDhist pos-pos 125 44.0 7.5 57.6 0.4 0.7 0.2 23.6 -38.4
pair MACD RSIhist pos-pos 89 31.3 7.2 53.9 0.4 0.7 0.2 24.3 -37.1
pair RSIhist MACD pos-pos 89 31.3 7.2 53.9 0.4 0.7 0.2 24.3 -37.1
pair RSI RSmean neg-pos 25 8.8 6.9 64.0 0.4 0.6 0.2 20.7 -36.2
pair RSmean RSI neg-pos 25 8.8 6.9 64.0 0.4 0.6 0.2 20.7 -36.2
single MRmean MRmean pos-pos 180 63.4 6.8 57.2 0.4 0.7 0.1 24.4 -48.8
pair LWTI RSIhist pos-pos 110 38.7 6.7 57.3 0.4 0.6 0.2 24.3 -35.0
pair RSIhist LWTI pos-pos 110 38.7 6.7 57.3 0.4 0.6 0.2 24.3 -35.0
pair MACD MACDhist pos-pos 110 38.7 6.5 55.5 0.4 0.6 0.2 24.3 -35.1
pair MACDhist MACD pos-pos 110 38.7 6.5 55.5 0.4 0.6 0.2 24.3 -35.1
pair SLmean RSIhist neg-neg 111 39.1 6.4 55.9 0.4 0.5 0.1 29.0 -46.7
pair RSIhist SLmean neg-neg 111 39.1 6.4 55.9 0.4 0.5 0.1 29.0 -46.7
pair SLmean RSI neg-neg 56 19.7 6.3 55.4 0.4 0.5 0.1 34.8 -42.9
pair RSI SLmean neg-neg 56 19.7 6.3 55.4 0.4 0.5 0.1 34.8 -42.9
pair MRmean RSIhist pos-pos 134 47.2 6.2 57.5 0.4 0.6 0.1 24.9 -45.4
pair RSIhist MRmean pos-pos 134 47.2 6.2 57.5 0.4 0.6 0.1 24.9 -45.4
pair MACD LWTI pos-pos 164 57.7 6.0 54.9 0.4 0.6 0.1 23.7 -52.7
pair LWTI MACD pos-pos 164 57.7 6.0 54.9 0.4 0.6 0.1 23.7 -52.7
pair RSI MACD pos-pos 159 56.0 5.9 54.7 0.4 0.6 0.1 23.5 -47.9
pair MACD RSI pos-pos 159 56.0 5.9 54.7 0.4 0.6 0.1 23.5 -47.9
pair SLmean RSIhist pos-pos 137 48.2 5.7 56.9 0.3 0.6 0.1 24.9 -53.1
pair RSIhist SLmean pos-pos 137 48.2 5.7 56.9 0.3 0.6 0.1 24.9 -53.1
single LWTI LWTI neg-neg 60 21.1 5.7 56.7 0.3 0.5 0.1 35.0 -42.9
single RSI RSI pos-pos 208 73.2 5.3 57.2 0.3 0.6 0.1 23.4 -74.7
pair RSmean RSIhist neg-neg 24 8.5 5.2 54.2 0.3 0.8 0.2 19.4 -31.7
pair RSIhist RSmean neg-neg 24 8.5 5.2 54.2 0.3 0.8 0.2 19.4 -31.7
pair MRmean MACD pos-pos 129 45.4 5.1 52.7 0.3 0.5 0.1 24.0 -44.3
pair MACD MRmean pos-pos 129 45.4 5.1 52.7 0.3 0.5 0.1 24.0 -44.3
pair RSmean RSI pos-pos 183 64.4 5.1 56.3 0.3 0.6 0.1 23.9 -64.5
pair RSI RSmean pos-pos 183 64.4 5.1 56.3 0.3 0.6 0.1 23.9 -64.5
pair RSI RSIhist neg-neg 57 20.1 4.9 52.6 0.3 0.4 0.1 34.6 -42.9
pair RSIhist RSI neg-neg 57 20.1 4.9 52.6 0.3 0.4 0.1 34.6 -42.9
pair RSmean MACD neg-pos 12 4.2 4.7 58.3 0.4 1.1 0.4 14.3 -11.0
pair MACD RSmean neg-pos 12 4.2 4.7 58.3 0.4 1.1 0.4 14.3 -11.0
pair LWTI SLmean pos-neg 33 11.6 4.0 54.5 0.3 0.5 0.1 25.5 -33.8
pair SLmean LWTI pos-neg 33 11.6 4.0 54.5 0.3 0.5 0.1 25.5 -33.8
pair MACD RSI neg-pos 49 17.3 3.5 65.3 0.3 0.5 0.1 23.6 -55.5
pair RSI MACD neg-pos 49 17.3 3.5 65.3 0.3 0.5 0.1 23.6 -55.5
pair RSmean SLmean neg-neg 25 8.8 3.2 52.0 0.3 0.5 0.1 18.7 -31.7
pair SLmean RSmean neg-neg 25 8.8 3.2 52.0 0.3 0.5 0.1 18.7 -31.7
pair SLmean RSI pos-pos 146 51.4 3.1 56.8 0.2 0.4 0.0 24.3 -68.8
pair RSI SLmean pos-pos 146 51.4 3.1 56.8 0.2 0.4 0.0 24.3 -68.8
pair RSmean LWTI neg-pos 33 11.6 2.7 57.6 0.2 0.4 0.1 19.2 -40.8
pair LWTI RSmean neg-pos 33 11.6 2.7 57.6 0.2 0.4 0.1 19.2 -40.8
pair LWTI MRmean pos-neg 29 10.2 2.7 58.6 0.2 0.4 0.1 26.6 -27.6
pair MRmean LWTI pos-neg 29 10.2 2.7 58.6 0.2 0.4 0.1 26.6 -27.6
pair SLmean MACDhist pos-neg 64 22.5 2.6 57.8 0.2 0.4 0.1 25.5 -47.7
pair MACDhist SLmean pos-neg 64 22.5 2.6 57.8 0.2 0.4 0.1 25.5 -47.7
pair RSI MRmean pos-pos 167 58.8 2.4 54.5 0.2 0.4 0.0 24.1 -68.5
pair MRmean RSI pos-pos 167 58.8 2.4 54.5 0.2 0.4 0.0 24.1 -68.5
pair MACDhist LWTI neg-neg 54 19.0 2.3 53.7 0.2 0.3 0.1 36.1 -42.9
pair LWTI MACDhist neg-neg 54 19.0 2.3 53.7 0.2 0.3 0.1 36.1 -42.9
pair RSI MACDhist pos-neg 83 29.2 2.2 56.6 0.2 0.4 0.0 23.3 -67.1
pair MACDhist RSI pos-neg 83 29.2 2.2 56.6 0.2 0.4 0.0 23.3 -67.1
pair MRmean MACDhist pos-neg 60 21.1 1.9 55.0 0.2 0.4 0.0 26.6 -47.2
pair MACDhist MRmean pos-neg 60 21.1 1.9 55.0 0.2 0.4 0.0 26.6 -47.2
single MACD MACD pos-pos 175 61.6 1.0 53.1 0.2 0.2 0.0 24.8 -67.2
pair RSmean MACD pos-pos 163 57.4 0.7 52.8 0.2 0.2 0.0 25.4 -67.4
pair MACD RSmean pos-pos 163 57.4 0.7 52.8 0.2 0.2 0.0 25.4 -67.4
pair MACDhist RSmean neg-neg 30 10.6 0.1 56.7 0.1 0.2 0.0 21.9 -45.4
pair RSmean MACDhist neg-neg 30 10.6 0.1 56.7 0.1 0.2 0.0 21.9 -45.4
pair RSIhist LWTI neg-neg 26 9.2 -0.1 53.8 0.2 0.3 -0.0 45.0 -42.9
pair LWTI RSIhist neg-neg 26 9.2 -0.1 53.8 0.2 0.3 -0.0 45.0 -42.9
pair RSIhist RSI pos-pos 125 44.0 -0.3 53.6 0.1 0.2 -0.0 24.4 -69.1
pair RSI RSIhist pos-pos 125 44.0 -0.3 53.6 0.1 0.2 -0.0 24.4 -69.1
pair RSIhist MACDhist pos-neg 37 13.0 -0.4 56.8 0.1 0.1 -0.0 23.2 -23.9
pair MACDhist RSIhist pos-neg 37 13.0 -0.4 56.8 0.1 0.1 -0.0 23.2 -23.9
single RSmean RSmean neg-neg 35 12.3 -0.6 57.1 0.1 0.1 -0.0 20.7 -45.8
pair SLmean MACDhist neg-pos 28 9.9 -2.2 57.1 0.0 0.0 -0.1 22.9 -20.7
pair MACDhist SLmean neg-pos 28 9.9 -2.2 57.1 0.0 0.0 -0.1 22.9 -20.7
pair MACD RSmean neg-neg 23 8.1 -3.2 56.5 -0.0 -0.0 -0.1 23.6 -43.4
pair RSmean MACD neg-neg 23 8.1 -3.2 56.5 -0.0 -0.0 -0.1 23.6 -43.4
pair SLmean MRmean pos-neg 28 9.9 -3.2 46.4 -0.0 -0.1 -0.1 22.7 -34.2
pair MRmean SLmean pos-neg 28 9.9 -3.2 46.4 -0.0 -0.1 -0.1 22.7 -34.2
pair MACDhist RSIhist neg-pos 51 18.0 -3.6 52.9 -0.0 -0.0 -0.1 26.0 -44.4
pair RSIhist MACDhist neg-pos 51 18.0 -3.6 52.9 -0.0 -0.0 -0.1 26.0 -44.4
pair RSmean MACDhist neg-pos 5 1.8 -4.8 60.0 -0.3 -1.6 -0.6 12.2 -7.9
pair MACDhist RSmean neg-pos 5 1.8 -4.8 60.0 -0.3 -1.6 -0.6 12.2 -7.9
pair RSIhist MACD pos-neg 86 30.3 -5.1 52.3 -0.1 -0.1 -0.1 25.4 -60.3
pair MACD RSIhist pos-neg 86 30.3 -5.1 52.3 -0.1 -0.1 -0.1 25.4 -60.3
pair MACDhist MACD pos-neg 65 22.9 -7.6 49.2 -0.2 -0.2 -0.1 25.6 -62.3
pair MACD MACDhist pos-neg 65 22.9 -7.6 49.2 -0.2 -0.2 -0.1 25.6 -62.3
pair SLmean RSmean pos-neg 10 3.5 -9.5 70.0 -0.3 -0.4 -0.4 26.0 -25.8
pair RSmean SLmean pos-neg 10 3.5 -9.5 70.0 -0.3 -0.4 -0.4 26.0 -25.8
pair MACD MRmean neg-pos 46 16.2 -9.6 54.3 -0.2 -0.3 -0.2 26.9 -48.2
pair MRmean MACD neg-pos 46 16.2 -9.6 54.3 -0.2 -0.3 -0.2 26.9 -48.2
pair SLmean MACD neg-pos 67 23.6 -10.0 47.8 -0.3 -0.4 -0.2 25.7 -54.6
pair MACD SLmean neg-pos 67 23.6 -10.0 47.8 -0.3 -0.4 -0.2 25.7 -54.6
pair RSmean RSIhist neg-pos 11 3.9 -12.0 63.6 -0.4 -0.5 -0.5 23.9 -25.8
pair RSIhist RSmean neg-pos 11 3.9 -12.0 63.6 -0.4 -0.5 -0.5 23.9 -25.8
pair RSmean RSI neg-neg 10 3.5 -17.2 40.0 -0.8 -1.5 -0.8 20.8 -20.8
pair RSI RSmean neg-neg 10 3.5 -17.2 40.0 -0.8 -1.5 -0.8 20.8 -20.8
pair MRmean RSmean pos-neg 11 3.9 -17.3 54.5 -0.6 -1.0 -0.6 25.1 -31.6
pair RSmean MRmean pos-neg 11 3.9 -17.3 54.5 -0.6 -1.0 -0.6 25.1 -31.6
pair LWTI RSI pos-neg 20 7.0 -27.8 40.0 -1.5 -2.1 -0.6 20.6 -50.3
pair RSI LWTI pos-neg 20 7.0 -27.8 40.0 -1.5 -2.1 -0.6 20.6 -50.3
pair MACD RSI pos-neg 16 5.6 -37.0 37.5 -1.2 -1.4 -0.9 33.9 -39.5
pair RSI MACD pos-neg 16 5.6 -37.0 37.5 -1.2 -1.4 -0.9 33.9 -39.5
pair RSmean LWTI neg-neg 2 0.7 -41.5 50.0 -0.9 0.0 -3.0 48.5 -13.8
pair LWTI RSmean neg-neg 2 0.7 -41.5 50.0 -0.9 0.0 -3.0 48.5 -13.8
pair MACD LWTI pos-neg 11 3.9 -51.0 27.3 -1.9 -1.9 -1.1 33.9 -45.6
pair LWTI MACD pos-neg 11 3.9 -51.0 27.3 -1.9 -1.9 -1.1 33.9 -45.6

All Contingency Tables for EZA

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 8.8% | Win 59%
Sharpe 0.46 | Sortino 0.79 | Calmar 0.2
Vol 25% | MDD -45.7%
Months 152M (54%)
CAGR -3.2% | Win 46%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 23% | MDD -34.2%
Months 28M (10%)
CAGR 6.8% | Win 57%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.1
Vol 24% | MDD -48.8%
Months 180M (63%)
MRmean
neg
CAGR 13.4% | Win 57%
Sharpe 0.71 | Sortino 0.97 | Calmar 0.7
Vol 21% | MDD -19.7%
Months 14M (5%)
CAGR 12.7% | Win 60%
Sharpe 0.56 | Sortino 0.73 | Calmar 0.3
Vol 30% | MDD -45.4%
Months 90M (32%)
CAGR 12.8% | Win 60%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 104M (37%)
SLmean
only
CAGR 9.2% | Win 59%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 166M (58%)
CAGR 8.7% | Win 57%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -46.7%
Months 118M (42%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 8.6% | Win 57%
Sharpe 0.46 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -44.8%
Months 169M (60%)
CAGR -17.3% | Win 55%
Sharpe -0.64 | Sortino -0.97 | Calmar -0.5
Vol 25% | MDD -31.6%
Months 11M (4%)
CAGR 6.8% | Win 57%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.1
Vol 24% | MDD -48.8%
Months 180M (63%)
MRmean
neg
CAGR 14.2% | Win 60%
Sharpe 0.59 | Sortino 0.75 | Calmar 0.3
Vol 31% | MDD -45.4%
Months 80M (28%)
CAGR 8.2% | Win 58%
Sharpe 0.52 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -26.9%
Months 24M (8%)
CAGR 12.8% | Win 60%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 104M (37%)
RSmean
only
CAGR 10.4% | Win 58%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 27% | MDD -57.5%
Months 249M (88%)
CAGR -0.6% | Win 57%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -45.8%
Months 35M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.1% | Win 53%
Sharpe 0.33 | Sortino 0.53 | Calmar 0.1
Vol 24% | MDD -44.3%
Months 129M (45%)
CAGR 11.4% | Win 69%
Sharpe 0.55 | Sortino 1.12 | Calmar 0.4
Vol 26% | MDD -31.5%
Months 51M (18%)
CAGR 6.8% | Win 57%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.1
Vol 24% | MDD -48.8%
Months 180M (63%)
MRmean
neg
CAGR -9.6% | Win 54%
Sharpe -0.23 | Sortino -0.29 | Calmar -0.2
Vol 27% | MDD -48.2%
Months 46M (16%)
CAGR 34.4% | Win 64%
Sharpe 1.17 | Sortino 1.48 | Calmar 0.9
Vol 30% | MDD -36.5%
Months 58M (20%)
CAGR 12.8% | Win 60%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 104M (37%)
MACD
only
CAGR 1.0% | Win 53%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 25% | MDD -67.2%
Months 175M (62%)
CAGR 23.1% | Win 66%
Sharpe 0.90 | Sortino 1.28 | Calmar 0.5
Vol 28% | MDD -44.3%
Months 109M (38%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 2.4% | Win 55%
Sharpe 0.22 | Sortino 0.36 | Calmar 0.0
Vol 24% | MDD -68.5%
Months 167M (59%)
CAGR 84.8% | Win 92%
Sharpe 2.82 | Sortino 0.00 | Calmar 8.7
Vol 23% | MDD -9.8%
Months 13M (5%)
CAGR 6.8% | Win 57%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.1
Vol 24% | MDD -48.8%
Months 180M (63%)
MRmean
neg
CAGR 18.3% | Win 68%
Sharpe 0.93 | Sortino 1.66 | Calmar 0.6
Vol 20% | MDD -30.4%
Months 41M (14%)
CAGR 9.3% | Win 54%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.2
Vol 33% | MDD -42.9%
Months 63M (22%)
CAGR 12.8% | Win 60%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 104M (37%)
RSI
only
CAGR 5.3% | Win 57%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 23% | MDD -74.7%
Months 208M (73%)
CAGR 19.6% | Win 60%
Sharpe 0.73 | Sortino 0.93 | Calmar 0.5
Vol 32% | MDD -42.9%
Months 76M (27%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 9.3% | Win 58%
Sharpe 0.50 | Sortino 0.78 | Calmar 0.2
Vol 23% | MDD -38.8%
Months 120M (42%)
CAGR 1.9% | Win 55%
Sharpe 0.20 | Sortino 0.39 | Calmar 0.0
Vol 27% | MDD -47.2%
Months 60M (21%)
CAGR 6.8% | Win 57%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.1
Vol 24% | MDD -48.8%
Months 180M (63%)
MRmean
neg
CAGR 16.5% | Win 70%
Sharpe 0.69 | Sortino 2.57 | Calmar 1.1
Vol 27% | MDD -15.1%
Months 10M (4%)
CAGR 12.4% | Win 58%
Sharpe 0.55 | Sortino 0.71 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 94M (33%)
CAGR 12.8% | Win 60%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 104M (37%)
MACDhist
only
CAGR 9.9% | Win 59%
Sharpe 0.52 | Sortino 0.83 | Calmar 0.3
Vol 24% | MDD -34.2%
Months 130M (46%)
CAGR 8.2% | Win 57%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 154M (54%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 6.2% | Win 57%
Sharpe 0.37 | Sortino 0.61 | Calmar 0.1
Vol 25% | MDD -45.4%
Months 134M (47%)
CAGR 8.6% | Win 56%
Sharpe 0.47 | Sortino 0.76 | Calmar 0.2
Vol 23% | MDD -38.1%
Months 46M (16%)
CAGR 6.8% | Win 57%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.1
Vol 24% | MDD -48.8%
Months 180M (63%)
MRmean
neg
CAGR 27.4% | Win 60%
Sharpe 1.42 | Sortino 2.08 | Calmar 3.4
Vol 18% | MDD -8.1%
Months 10M (4%)
CAGR 11.3% | Win 60%
Sharpe 0.52 | Sortino 0.68 | Calmar 0.2
Vol 30% | MDD -45.4%
Months 94M (33%)
CAGR 12.8% | Win 60%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 104M (37%)
RSIhist
only
CAGR 7.6% | Win 58%
Sharpe 0.42 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -42.9%
Months 144M (51%)
CAGR 10.4% | Win 59%
Sharpe 0.50 | Sortino 0.69 | Calmar 0.2
Vol 28% | MDD -53.3%
Months 140M (49%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.6% | Win 57%
Sharpe 0.43 | Sortino 0.70 | Calmar 0.2
Vol 24% | MDD -40.5%
Months 151M (53%)
CAGR 2.7% | Win 59%
Sharpe 0.23 | Sortino 0.42 | Calmar 0.1
Vol 27% | MDD -27.6%
Months 29M (10%)
CAGR 6.8% | Win 57%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.1
Vol 24% | MDD -48.8%
Months 180M (63%)
MRmean
neg
CAGR 14.6% | Win 62%
Sharpe 0.74 | Sortino 1.34 | Calmar 0.3
Vol 22% | MDD -50.4%
Months 73M (26%)
CAGR 8.6% | Win 55%
Sharpe 0.42 | Sortino 0.52 | Calmar 0.2
Vol 42% | MDD -42.9%
Months 31M (11%)
CAGR 12.8% | Win 60%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 104M (37%)
LWTI
only
CAGR 9.8% | Win 58%
Sharpe 0.52 | Sortino 0.87 | Calmar 0.2
Vol 23% | MDD -52.9%
Months 224M (79%)
CAGR 5.7% | Win 57%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 35% | MDD -42.9%
Months 60M (21%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.5% | Win 58%
Sharpe 0.53 | Sortino 0.91 | Calmar 0.2
Vol 24% | MDD -54.4%
Months 156M (55%)
CAGR -9.5% | Win 70%
Sharpe -0.26 | Sortino -0.44 | Calmar -0.4
Vol 26% | MDD -25.8%
Months 10M (4%)
CAGR 9.2% | Win 59%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 166M (58%)
SLmean
neg
CAGR 10.2% | Win 58%
Sharpe 0.48 | Sortino 0.62 | Calmar 0.2
Vol 31% | MDD -47.3%
Months 93M (33%)
CAGR 3.2% | Win 52%
Sharpe 0.26 | Sortino 0.52 | Calmar 0.1
Vol 19% | MDD -31.7%
Months 25M (9%)
CAGR 8.7% | Win 57%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -46.7%
Months 118M (42%)
RSmean
only
CAGR 10.4% | Win 58%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 27% | MDD -57.5%
Months 249M (88%)
CAGR -0.6% | Win 57%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -45.8%
Months 35M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 8.4% | Win 56%
Sharpe 0.46 | Sortino 0.75 | Calmar 0.2
Vol 24% | MDD -35.8%
Months 108M (38%)
CAGR 10.5% | Win 64%
Sharpe 0.53 | Sortino 0.90 | Calmar 0.3
Vol 25% | MDD -33.0%
Months 58M (20%)
CAGR 9.2% | Win 59%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 166M (58%)
SLmean
neg
CAGR -10.0% | Win 48%
Sharpe -0.27 | Sortino -0.36 | Calmar -0.2
Vol 26% | MDD -54.6%
Months 67M (24%)
CAGR 39.2% | Win 69%
Sharpe 1.26 | Sortino 1.53 | Calmar 1.1
Vol 30% | MDD -36.5%
Months 51M (18%)
CAGR 8.7% | Win 57%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -46.7%
Months 118M (42%)
MACD
only
CAGR 1.0% | Win 53%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 25% | MDD -67.2%
Months 175M (62%)
CAGR 23.1% | Win 66%
Sharpe 0.90 | Sortino 1.28 | Calmar 0.5
Vol 28% | MDD -44.3%
Months 109M (38%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 3.1% | Win 57%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.0
Vol 24% | MDD -68.8%
Months 146M (51%)
CAGR 66.1% | Win 75%
Sharpe 2.47 | Sortino 3.90 | Calmar 6.8
Vol 22% | MDD -9.8%
Months 20M (7%)
CAGR 9.2% | Win 59%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 166M (58%)
SLmean
neg
CAGR 10.9% | Win 58%
Sharpe 0.59 | Sortino 0.95 | Calmar 0.5
Vol 22% | MDD -22.2%
Months 62M (22%)
CAGR 6.3% | Win 55%
Sharpe 0.36 | Sortino 0.48 | Calmar 0.1
Vol 35% | MDD -42.9%
Months 56M (20%)
CAGR 8.7% | Win 57%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -46.7%
Months 118M (42%)
RSI
only
CAGR 5.3% | Win 57%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 23% | MDD -74.7%
Months 208M (73%)
CAGR 19.6% | Win 60%
Sharpe 0.73 | Sortino 0.93 | Calmar 0.5
Vol 32% | MDD -42.9%
Months 76M (27%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 13.4% | Win 60%
Sharpe 0.65 | Sortino 1.08 | Calmar 0.4
Vol 24% | MDD -34.5%
Months 102M (36%)
CAGR 2.6% | Win 58%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 26% | MDD -47.7%
Months 64M (22%)
CAGR 9.2% | Win 59%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 166M (58%)
SLmean
neg
CAGR -2.2% | Win 57%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.1
Vol 23% | MDD -20.7%
Months 28M (10%)
CAGR 12.3% | Win 57%
Sharpe 0.55 | Sortino 0.73 | Calmar 0.3
Vol 30% | MDD -45.4%
Months 90M (32%)
CAGR 8.7% | Win 57%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -46.7%
Months 118M (42%)
MACDhist
only
CAGR 9.9% | Win 59%
Sharpe 0.52 | Sortino 0.83 | Calmar 0.3
Vol 24% | MDD -34.2%
Months 130M (46%)
CAGR 8.2% | Win 57%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 154M (54%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 5.7% | Win 57%
Sharpe 0.35 | Sortino 0.58 | Calmar 0.1
Vol 25% | MDD -53.1%
Months 137M (48%)
CAGR 27.0% | Win 69%
Sharpe 1.22 | Sortino 1.90 | Calmar 1.6
Vol 22% | MDD -17.0%
Months 29M (10%)
CAGR 9.2% | Win 59%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 166M (58%)
SLmean
neg
CAGR 51.9% | Win 71%
Sharpe 3.14 | Sortino 274.68 | Calmar 52.7
Vol 14% | MDD -1.0%
Months 7M (2%)
CAGR 6.4% | Win 56%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.1
Vol 29% | MDD -46.7%
Months 111M (39%)
CAGR 8.7% | Win 57%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -46.7%
Months 118M (42%)
RSIhist
only
CAGR 7.6% | Win 58%
Sharpe 0.42 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -42.9%
Months 144M (51%)
CAGR 10.4% | Win 59%
Sharpe 0.50 | Sortino 0.69 | Calmar 0.2
Vol 28% | MDD -53.3%
Months 140M (49%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 10.5% | Win 60%
Sharpe 0.53 | Sortino 0.88 | Calmar 0.3
Vol 24% | MDD -32.4%
Months 133M (47%)
CAGR 4.0% | Win 55%
Sharpe 0.28 | Sortino 0.47 | Calmar 0.1
Vol 26% | MDD -33.8%
Months 33M (12%)
CAGR 9.2% | Win 59%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 166M (58%)
SLmean
neg
CAGR 8.9% | Win 56%
Sharpe 0.50 | Sortino 0.86 | Calmar 0.2
Vol 22% | MDD -41.8%
Months 91M (32%)
CAGR 7.8% | Win 59%
Sharpe 0.40 | Sortino 0.52 | Calmar 0.2
Vol 44% | MDD -42.9%
Months 27M (10%)
CAGR 8.7% | Win 57%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -46.7%
Months 118M (42%)
LWTI
only
CAGR 9.8% | Win 58%
Sharpe 0.52 | Sortino 0.87 | Calmar 0.2
Vol 23% | MDD -52.9%
Months 224M (79%)
CAGR 5.7% | Win 57%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 35% | MDD -42.9%
Months 60M (21%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 0.7% | Win 53%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 25% | MDD -67.4%
Months 163M (57%)
CAGR 31.3% | Win 69%
Sharpe 1.11 | Sortino 1.50 | Calmar 0.9
Vol 28% | MDD -35.8%
Months 86M (30%)
CAGR 10.4% | Win 58%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 27% | MDD -57.5%
Months 249M (88%)
RSmean
neg
CAGR 4.7% | Win 58%
Sharpe 0.38 | Sortino 1.05 | Calmar 0.4
Vol 14% | MDD -11.0%
Months 12M (4%)
CAGR -3.2% | Win 56%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 24% | MDD -43.4%
Months 23M (8%)
CAGR -0.6% | Win 57%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -45.8%
Months 35M (12%)
MACD
only
CAGR 1.0% | Win 53%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 25% | MDD -67.2%
Months 175M (62%)
CAGR 23.1% | Win 66%
Sharpe 0.90 | Sortino 1.28 | Calmar 0.5
Vol 28% | MDD -44.3%
Months 109M (38%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 5.1% | Win 56%
Sharpe 0.33 | Sortino 0.55 | Calmar 0.1
Vol 24% | MDD -64.5%
Months 183M (64%)
CAGR 26.4% | Win 64%
Sharpe 0.88 | Sortino 1.07 | Calmar 0.7
Vol 33% | MDD -35.9%
Months 66M (23%)
CAGR 10.4% | Win 58%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 27% | MDD -57.5%
Months 249M (88%)
RSmean
neg
CAGR 6.9% | Win 64%
Sharpe 0.43 | Sortino 0.56 | Calmar 0.2
Vol 21% | MDD -36.2%
Months 25M (9%)
CAGR -17.2% | Win 40%
Sharpe -0.80 | Sortino -1.54 | Calmar -0.8
Vol 21% | MDD -20.8%
Months 10M (4%)
CAGR -0.6% | Win 57%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -45.8%
Months 35M (12%)
RSI
only
CAGR 5.3% | Win 57%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 23% | MDD -74.7%
Months 208M (73%)
CAGR 19.6% | Win 60%
Sharpe 0.73 | Sortino 0.93 | Calmar 0.5
Vol 32% | MDD -42.9%
Months 76M (27%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 10.5% | Win 59%
Sharpe 0.54 | Sortino 0.86 | Calmar 0.3
Vol 24% | MDD -32.7%
Months 125M (44%)
CAGR 10.2% | Win 57%
Sharpe 0.48 | Sortino 0.69 | Calmar 0.2
Vol 30% | MDD -50.8%
Months 124M (44%)
CAGR 10.4% | Win 58%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 27% | MDD -57.5%
Months 249M (88%)
RSmean
neg
CAGR -4.8% | Win 60%
Sharpe -0.35 | Sortino -1.65 | Calmar -0.6
Vol 12% | MDD -7.9%
Months 5M (2%)
CAGR 0.1% | Win 57%
Sharpe 0.11 | Sortino 0.17 | Calmar 0.0
Vol 22% | MDD -45.4%
Months 30M (11%)
CAGR -0.6% | Win 57%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -45.8%
Months 35M (12%)
MACDhist
only
CAGR 9.9% | Win 59%
Sharpe 0.52 | Sortino 0.83 | Calmar 0.3
Vol 24% | MDD -34.2%
Months 130M (46%)
CAGR 8.2% | Win 57%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 154M (54%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 9.4% | Win 57%
Sharpe 0.49 | Sortino 0.83 | Calmar 0.2
Vol 25% | MDD -42.5%
Months 133M (47%)
CAGR 11.5% | Win 60%
Sharpe 0.53 | Sortino 0.70 | Calmar 0.2
Vol 29% | MDD -53.8%
Months 116M (41%)
CAGR 10.4% | Win 58%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 27% | MDD -57.5%
Months 249M (88%)
RSmean
neg
CAGR -12.0% | Win 64%
Sharpe -0.42 | Sortino -0.48 | Calmar -0.5
Vol 24% | MDD -25.8%
Months 11M (4%)
CAGR 5.2% | Win 54%
Sharpe 0.35 | Sortino 0.75 | Calmar 0.2
Vol 19% | MDD -31.7%
Months 24M (8%)
CAGR -0.6% | Win 57%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -45.8%
Months 35M (12%)
RSIhist
only
CAGR 7.6% | Win 58%
Sharpe 0.42 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -42.9%
Months 144M (51%)
CAGR 10.4% | Win 59%
Sharpe 0.50 | Sortino 0.69 | Calmar 0.2
Vol 28% | MDD -53.3%
Months 140M (49%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.1% | Win 59%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.3
Vol 24% | MDD -39.8%
Months 191M (67%)
CAGR 7.9% | Win 57%
Sharpe 0.40 | Sortino 0.53 | Calmar 0.2
Vol 35% | MDD -42.9%
Months 58M (20%)
CAGR 10.4% | Win 58%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 27% | MDD -57.5%
Months 249M (88%)
RSmean
neg
CAGR 2.7% | Win 58%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 19% | MDD -40.8%
Months 33M (12%)
CAGR -41.5% | Win 50%
Sharpe -0.95 | Sortino 0.00 | Calmar -3.0
Vol 48% | MDD -13.8%
Months 2M (1%)
CAGR -0.6% | Win 57%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -45.8%
Months 35M (12%)
LWTI
only
CAGR 9.8% | Win 58%
Sharpe 0.52 | Sortino 0.87 | Calmar 0.2
Vol 23% | MDD -52.9%
Months 224M (79%)
CAGR 5.7% | Win 57%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 35% | MDD -42.9%
Months 60M (21%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 5.9% | Win 55%
Sharpe 0.36 | Sortino 0.60 | Calmar 0.1
Vol 24% | MDD -47.9%
Months 159M (56%)
CAGR -37.0% | Win 38%
Sharpe -1.16 | Sortino -1.38 | Calmar -0.9
Vol 34% | MDD -39.5%
Months 16M (6%)
CAGR 1.0% | Win 53%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 25% | MDD -67.2%
Months 175M (62%)
MACD
neg
CAGR 3.5% | Win 65%
Sharpe 0.26 | Sortino 0.47 | Calmar 0.1
Vol 24% | MDD -55.5%
Months 49M (17%)
CAGR 41.9% | Win 67%
Sharpe 1.33 | Sortino 1.70 | Calmar 1.1
Vol 30% | MDD -36.5%
Months 60M (21%)
CAGR 23.1% | Win 66%
Sharpe 0.90 | Sortino 1.28 | Calmar 0.5
Vol 28% | MDD -44.3%
Months 109M (38%)
RSI
only
CAGR 5.3% | Win 57%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 23% | MDD -74.7%
Months 208M (73%)
CAGR 19.6% | Win 60%
Sharpe 0.73 | Sortino 0.93 | Calmar 0.5
Vol 32% | MDD -42.9%
Months 76M (27%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 6.5% | Win 56%
Sharpe 0.38 | Sortino 0.61 | Calmar 0.2
Vol 24% | MDD -35.1%
Months 110M (39%)
CAGR -7.6% | Win 49%
Sharpe -0.18 | Sortino -0.24 | Calmar -0.1
Vol 26% | MDD -62.3%
Months 65M (23%)
CAGR 1.0% | Win 53%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 25% | MDD -67.2%
Months 175M (62%)
MACD
neg
CAGR 30.8% | Win 80%
Sharpe 1.57 | Sortino 2.41 | Calmar 1.8
Vol 18% | MDD -16.7%
Months 20M (7%)
CAGR 21.5% | Win 63%
Sharpe 0.81 | Sortino 1.19 | Calmar 0.5
Vol 30% | MDD -44.3%
Months 89M (31%)
CAGR 23.1% | Win 66%
Sharpe 0.90 | Sortino 1.28 | Calmar 0.5
Vol 28% | MDD -44.3%
Months 109M (38%)
MACDhist
only
CAGR 9.9% | Win 59%
Sharpe 0.52 | Sortino 0.83 | Calmar 0.3
Vol 24% | MDD -34.2%
Months 130M (46%)
CAGR 8.2% | Win 57%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 154M (54%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 7.2% | Win 54%
Sharpe 0.41 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -37.1%
Months 89M (31%)
CAGR -5.1% | Win 52%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 25% | MDD -60.3%
Months 86M (30%)
CAGR 1.0% | Win 53%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 25% | MDD -67.2%
Months 175M (62%)
MACD
neg
CAGR 8.2% | Win 64%
Sharpe 0.44 | Sortino 0.77 | Calmar 0.3
Vol 25% | MDD -31.5%
Months 55M (19%)
CAGR 40.4% | Win 68%
Sharpe 1.31 | Sortino 1.59 | Calmar 1.1
Vol 30% | MDD -36.5%
Months 54M (19%)
CAGR 23.1% | Win 66%
Sharpe 0.90 | Sortino 1.28 | Calmar 0.5
Vol 28% | MDD -44.3%
Months 109M (38%)
RSIhist
only
CAGR 7.6% | Win 58%
Sharpe 0.42 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -42.9%
Months 144M (51%)
CAGR 10.4% | Win 59%
Sharpe 0.50 | Sortino 0.69 | Calmar 0.2
Vol 28% | MDD -53.3%
Months 140M (49%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 6.0% | Win 55%
Sharpe 0.36 | Sortino 0.62 | Calmar 0.1
Vol 24% | MDD -52.7%
Months 164M (58%)
CAGR -51.0% | Win 27%
Sharpe -1.86 | Sortino -1.92 | Calmar -1.1
Vol 34% | MDD -45.6%
Months 11M (4%)
CAGR 1.0% | Win 53%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 25% | MDD -67.2%
Months 175M (62%)
MACD
neg
CAGR 21.1% | Win 68%
Sharpe 0.99 | Sortino 1.54 | Calmar 1.0
Vol 22% | MDD -20.6%
Months 60M (21%)
CAGR 25.6% | Win 63%
Sharpe 0.85 | Sortino 1.21 | Calmar 0.8
Vol 34% | MDD -31.4%
Months 49M (17%)
CAGR 23.1% | Win 66%
Sharpe 0.90 | Sortino 1.28 | Calmar 0.5
Vol 28% | MDD -44.3%
Months 109M (38%)
LWTI
only
CAGR 9.8% | Win 58%
Sharpe 0.52 | Sortino 0.87 | Calmar 0.2
Vol 23% | MDD -52.9%
Months 224M (79%)
CAGR 5.7% | Win 57%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 35% | MDD -42.9%
Months 60M (21%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 7.5% | Win 58%
Sharpe 0.42 | Sortino 0.68 | Calmar 0.2
Vol 24% | MDD -38.4%
Months 125M (44%)
CAGR 2.2% | Win 57%
Sharpe 0.21 | Sortino 0.36 | Calmar 0.0
Vol 23% | MDD -67.1%
Months 83M (29%)
CAGR 5.3% | Win 57%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 23% | MDD -74.7%
Months 208M (73%)
RSI
neg
CAGR 91.0% | Win 100%
Sharpe 5.23 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 5M (2%)
CAGR 15.7% | Win 58%
Sharpe 0.62 | Sortino 0.81 | Calmar 0.4
Vol 33% | MDD -42.9%
Months 71M (25%)
CAGR 19.6% | Win 60%
Sharpe 0.73 | Sortino 0.93 | Calmar 0.5
Vol 32% | MDD -42.9%
Months 76M (27%)
MACDhist
only
CAGR 9.9% | Win 59%
Sharpe 0.52 | Sortino 0.83 | Calmar 0.3
Vol 24% | MDD -34.2%
Months 130M (46%)
CAGR 8.2% | Win 57%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 154M (54%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR -0.3% | Win 54%
Sharpe 0.11 | Sortino 0.18 | Calmar -0.0
Vol 24% | MDD -69.1%
Months 125M (44%)
CAGR 14.3% | Win 63%
Sharpe 0.72 | Sortino 1.21 | Calmar 0.5
Vol 22% | MDD -27.8%
Months 83M (29%)
CAGR 5.3% | Win 57%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 23% | MDD -74.7%
Months 208M (73%)
RSI
neg
CAGR 77.0% | Win 84%
Sharpe 2.91 | Sortino 3.37 | Calmar 7.9
Vol 21% | MDD -9.8%
Months 19M (7%)
CAGR 4.9% | Win 53%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 35% | MDD -42.9%
Months 57M (20%)
CAGR 19.6% | Win 60%
Sharpe 0.73 | Sortino 0.93 | Calmar 0.5
Vol 32% | MDD -42.9%
Months 76M (27%)
RSIhist
only
CAGR 7.6% | Win 58%
Sharpe 0.42 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -42.9%
Months 144M (51%)
CAGR 10.4% | Win 59%
Sharpe 0.50 | Sortino 0.69 | Calmar 0.2
Vol 28% | MDD -53.3%
Months 140M (49%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 9.6% | Win 59%
Sharpe 0.51 | Sortino 0.84 | Calmar 0.2
Vol 24% | MDD -51.5%
Months 188M (66%)
CAGR -27.8% | Win 40%
Sharpe -1.46 | Sortino -2.08 | Calmar -0.6
Vol 21% | MDD -50.3%
Months 20M (7%)
CAGR 5.3% | Win 57%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 23% | MDD -74.7%
Months 208M (73%)
RSI
neg
CAGR 11.0% | Win 56%
Sharpe 0.58 | Sortino 1.05 | Calmar 0.4
Vol 22% | MDD -29.6%
Months 36M (13%)
CAGR 27.9% | Win 65%
Sharpe 0.84 | Sortino 0.99 | Calmar 0.8
Vol 39% | MDD -35.9%
Months 40M (14%)
CAGR 19.6% | Win 60%
Sharpe 0.73 | Sortino 0.93 | Calmar 0.5
Vol 32% | MDD -42.9%
Months 76M (27%)
LWTI
only
CAGR 9.8% | Win 58%
Sharpe 0.52 | Sortino 0.87 | Calmar 0.2
Vol 23% | MDD -52.9%
Months 224M (79%)
CAGR 5.7% | Win 57%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 35% | MDD -42.9%
Months 60M (21%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 14.3% | Win 60%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.5
Vol 24% | MDD -31.5%
Months 93M (33%)
CAGR -0.4% | Win 57%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 23% | MDD -23.9%
Months 37M (13%)
CAGR 9.9% | Win 59%
Sharpe 0.52 | Sortino 0.83 | Calmar 0.3
Vol 24% | MDD -34.2%
Months 130M (46%)
MACDhist
neg
CAGR -3.6% | Win 53%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 26% | MDD -44.4%
Months 51M (18%)
CAGR 14.6% | Win 59%
Sharpe 0.62 | Sortino 0.82 | Calmar 0.3
Vol 29% | MDD -50.3%
Months 103M (36%)
CAGR 8.2% | Win 57%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 154M (54%)
RSIhist
only
CAGR 7.6% | Win 58%
Sharpe 0.42 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -42.9%
Months 144M (51%)
CAGR 10.4% | Win 59%
Sharpe 0.50 | Sortino 0.69 | Calmar 0.2
Vol 28% | MDD -53.3%
Months 140M (49%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 8.5% | Win 58%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 24% | MDD -32.2%
Months 124M (44%)
CAGR 41.5% | Win 83%
Sharpe 1.56 | Sortino 0.00 | Calmar 4.6
Vol 24% | MDD -9.1%
Months 6M (2%)
CAGR 9.9% | Win 59%
Sharpe 0.52 | Sortino 0.83 | Calmar 0.3
Vol 24% | MDD -34.2%
Months 130M (46%)
MACDhist
neg
CAGR 11.5% | Win 59%
Sharpe 0.59 | Sortino 1.05 | Calmar 0.2
Vol 23% | MDD -51.8%
Months 100M (35%)
CAGR 2.3% | Win 54%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.1
Vol 36% | MDD -42.9%
Months 54M (19%)
CAGR 8.2% | Win 57%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 154M (54%)
LWTI
only
CAGR 9.8% | Win 58%
Sharpe 0.52 | Sortino 0.87 | Calmar 0.2
Vol 23% | MDD -52.9%
Months 224M (79%)
CAGR 5.7% | Win 57%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 35% | MDD -42.9%
Months 60M (21%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 6.7% | Win 57%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.2
Vol 24% | MDD -35.0%
Months 110M (39%)
CAGR 10.3% | Win 59%
Sharpe 0.51 | Sortino 0.85 | Calmar 0.5
Vol 26% | MDD -21.5%
Months 34M (12%)
CAGR 7.6% | Win 58%
Sharpe 0.42 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -42.9%
Months 144M (51%)
RSIhist
neg
CAGR 12.9% | Win 60%
Sharpe 0.66 | Sortino 1.14 | Calmar 0.3
Vol 22% | MDD -45.7%
Months 114M (40%)
CAGR -0.1% | Win 54%
Sharpe 0.23 | Sortino 0.30 | Calmar -0.0
Vol 45% | MDD -42.9%
Months 26M (9%)
CAGR 10.4% | Win 59%
Sharpe 0.50 | Sortino 0.69 | Calmar 0.2
Vol 28% | MDD -53.3%
Months 140M (49%)
LWTI
only
CAGR 9.8% | Win 58%
Sharpe 0.52 | Sortino 0.87 | Calmar 0.2
Vol 23% | MDD -52.9%
Months 224M (79%)
CAGR 5.7% | Win 57%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 35% | MDD -42.9%
Months 60M (21%)