EZA - iShares MSCI South Africa ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

91.0%

Best CAGR

80

Total Months

10.8%

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 7.1 66.1 75.0 2.5 3.9 6.8 21.9 -9.8
pair RSI SLmean pos-neg 20 7.1 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 21.3 41.9 66.7 1.3 1.7 1.1 30.2 -36.5
pair RSI MACD neg-neg 60 21.3 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 19.1 40.4 68.5 1.3 1.6 1.1 29.9 -36.5
pair MACD RSIhist neg-neg 54 19.1 40.4 68.5 1.3 1.6 1.1 29.9 -36.5
pair SLmean MACD neg-neg 51 18.1 39.2 68.6 1.3 1.5 1.1 30.3 -36.5
pair MACD SLmean neg-neg 51 18.1 39.2 68.6 1.3 1.5 1.1 30.3 -36.5
pair MACD MRmean neg-neg 58 20.6 34.4 63.8 1.2 1.5 0.9 29.5 -36.5
pair MRmean MACD neg-neg 58 20.6 34.4 63.8 1.2 1.5 0.9 29.5 -36.5
pair SLmean RSIhist pos-neg 28 9.9 33.6 71.4 1.5 2.3 2.0 20.8 -17.0
pair RSIhist SLmean pos-neg 28 9.9 33.6 71.4 1.5 2.3 2.0 20.8 -17.0
pair MACD RSmean pos-neg 86 30.5 31.3 68.6 1.1 1.5 0.9 28.5 -35.8
pair RSmean MACD pos-neg 86 30.5 31.3 68.6 1.1 1.5 0.9 28.5 -35.8
pair MACD MACDhist neg-pos 20 7.1 30.8 80.0 1.6 2.4 1.8 18.3 -16.7
pair MACDhist MACD neg-pos 20 7.1 30.8 80.0 1.6 2.4 1.8 18.3 -16.7
pair LWTI RSI neg-neg 40 14.2 27.9 65.0 0.8 1.0 0.8 39.2 -35.9
pair RSI LWTI neg-neg 40 14.2 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 RSmean RSI pos-neg 66 23.4 26.4 63.6 0.9 1.1 0.7 33.3 -35.9
pair RSI RSmean pos-neg 66 23.4 26.4 63.6 0.9 1.1 0.7 33.3 -35.9
pair MACD LWTI neg-neg 49 17.4 25.6 63.3 0.8 1.2 0.8 33.7 -31.4
pair LWTI MACD neg-neg 49 17.4 25.6 63.3 0.8 1.2 0.8 33.7 -31.4
single MACD MACD neg-neg 109 38.7 23.1 66.1 0.9 1.3 0.5 27.7 -44.3
pair MACDhist MACD neg-neg 89 31.6 21.5 62.9 0.8 1.2 0.5 29.5 -44.3
pair MACD MACDhist neg-neg 89 31.6 21.5 62.9 0.8 1.2 0.5 29.5 -44.3
pair LWTI MACD neg-pos 60 21.3 21.1 68.3 1.0 1.5 1.0 21.9 -20.6
pair MACD LWTI neg-pos 60 21.3 21.1 68.3 1.0 1.5 1.0 21.9 -20.6
pair RSI MRmean neg-pos 40 14.2 20.1 70.0 1.0 1.7 0.7 20.5 -30.4
pair MRmean RSI neg-pos 40 14.2 20.1 70.0 1.0 1.7 0.7 20.5 -30.4
single RSI RSI neg-neg 76 27.0 19.6 60.5 0.7 0.9 0.5 32.2 -42.9
pair RSI RSIhist pos-neg 81 28.7 17.0 64.2 0.8 1.4 0.6 21.8 -27.8
pair RSIhist RSI pos-neg 81 28.7 17.0 64.2 0.8 1.4 0.6 21.8 -27.8
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 25.2 15.7 57.7 0.6 0.8 0.4 33.0 -42.9
pair RSI MACDhist neg-neg 71 25.2 15.7 57.7 0.6 0.8 0.4 33.0 -42.9
pair MRmean LWTI neg-pos 72 25.5 15.5 62.5 0.8 1.4 0.3 21.5 -50.4
pair LWTI MRmean neg-pos 72 25.5 15.5 62.5 0.8 1.4 0.3 21.5 -50.4
pair MACDhist RSIhist neg-neg 102 36.2 15.2 59.8 0.6 0.8 0.3 29.2 -50.3
pair RSIhist MACDhist neg-neg 102 36.2 15.2 59.8 0.6 0.8 0.3 29.2 -50.3
pair SLmean MACDhist pos-pos 101 35.8 14.9 60.4 0.7 1.2 0.4 23.5 -34.5
pair MACDhist SLmean pos-pos 101 35.8 14.9 60.4 0.7 1.2 0.4 23.5 -34.5
pair LWTI RSIhist neg-pos 112 39.7 14.8 60.7 0.7 1.3 0.3 22.1 -45.7
pair RSIhist LWTI neg-pos 112 39.7 14.8 60.7 0.7 1.3 0.3 22.1 -45.7
pair MACDhist RSIhist pos-pos 93 33.0 14.3 60.2 0.7 1.1 0.5 23.6 -31.5
pair RSIhist MACDhist pos-pos 93 33.0 14.3 60.2 0.7 1.1 0.5 23.6 -31.5
pair RSmean MRmean neg-pos 80 28.4 14.2 60.0 0.6 0.8 0.3 31.4 -45.4
pair MRmean RSmean neg-pos 80 28.4 14.2 60.0 0.6 0.8 0.3 31.4 -45.4
pair SLmean MRmean neg-neg 89 31.6 13.4 60.7 0.6 0.8 0.3 30.1 -45.4
pair MRmean SLmean neg-neg 89 31.6 13.4 60.7 0.6 0.8 0.3 30.1 -45.4
pair SLmean MRmean neg-pos 14 5.0 13.4 57.1 0.7 1.0 0.7 20.6 -19.7
single MRmean MRmean neg-neg 103 36.5 13.4 60.2 0.6 0.8 0.3 28.9 -45.4
pair MRmean SLmean neg-pos 14 5.0 13.4 57.1 0.7 1.0 0.7 20.6 -19.7
pair SLmean MACDhist neg-neg 89 31.6 13.0 57.3 0.6 0.8 0.3 30.1 -45.4
pair MACDhist MRmean neg-neg 93 33.0 13.0 59.1 0.6 0.7 0.3 29.3 -45.4
pair MACDhist SLmean neg-neg 89 31.6 13.0 57.3 0.6 0.8 0.3 30.1 -45.4
pair MRmean MACDhist neg-neg 93 33.0 13.0 59.1 0.6 0.7 0.3 29.3 -45.4
pair RSmean RSIhist pos-neg 115 40.8 12.8 60.0 0.6 0.8 0.2 29.1 -53.8
pair RSIhist RSmean pos-neg 115 40.8 12.8 60.0 0.6 0.8 0.2 29.1 -53.8
pair LWTI MACDhist neg-pos 99 35.1 12.1 59.6 0.6 1.1 0.2 23.0 -51.8
pair MACDhist LWTI neg-pos 99 35.1 12.1 59.6 0.6 1.1 0.2 23.0 -51.8
pair RSIhist MRmean neg-neg 93 33.0 11.9 60.2 0.5 0.7 0.3 29.9 -45.4
pair RSmean LWTI pos-pos 190 67.4 11.9 58.9 0.6 1.0 0.3 23.8 -39.8
pair MRmean RSIhist neg-neg 93 33.0 11.9 60.2 0.5 0.7 0.3 29.9 -45.4
pair SLmean RSI neg-pos 61 21.6 11.9 59.0 0.6 1.0 0.5 21.6 -22.2
pair RSI SLmean neg-pos 61 21.6 11.9 59.0 0.6 1.0 0.5 21.6 -22.2
pair LWTI RSmean pos-pos 190 67.4 11.9 58.9 0.6 1.0 0.3 23.8 -39.8
single RSIhist RSIhist neg-neg 138 48.9 11.9 59.4 0.6 0.7 0.2 27.7 -53.3
pair RSIhist MRmean pos-neg 45 16.0 11.7 57.8 0.6 0.9 0.3 22.8 -38.1
pair MRmean RSIhist pos-neg 45 16.0 11.7 57.8 0.6 0.9 0.3 22.8 -38.1
pair RSmean MACDhist pos-pos 124 44.0 11.6 59.7 0.6 0.9 0.4 23.7 -32.7
pair MACDhist RSmean pos-pos 124 44.0 11.6 59.7 0.6 0.9 0.4 23.7 -32.7
pair LWTI SLmean pos-pos 132 46.8 11.5 60.6 0.6 0.9 0.4 24.1 -32.4
pair SLmean LWTI pos-pos 132 46.8 11.5 60.6 0.6 0.9 0.4 24.1 -32.4
pair MRmean MACD pos-neg 51 18.1 11.4 68.6 0.6 1.1 0.4 25.6 -31.5
pair MACD MRmean pos-neg 51 18.1 11.4 68.6 0.6 1.1 0.4 25.6 -31.5
pair SLmean RSmean pos-pos 155 55.0 11.4 58.7 0.6 1.0 0.2 24.2 -54.4
pair RSmean SLmean pos-pos 155 55.0 11.4 58.7 0.6 1.0 0.2 24.2 -54.4
single RSmean RSmean pos-pos 248 87.9 11.0 58.5 0.5 0.8 0.2 26.7 -57.5
single MACDhist MACDhist pos-pos 129 45.7 11.0 59.7 0.6 0.9 0.3 23.4 -34.2
pair LWTI RSI neg-pos 36 12.8 11.0 55.6 0.6 1.1 0.4 22.1 -29.6
pair RSI LWTI neg-pos 36 12.8 11.0 55.6 0.6 1.1 0.4 22.1 -29.6
single LWTI LWTI pos-pos 222 78.7 10.7 59.0 0.6 0.9 0.2 23.2 -52.9
pair RSI LWTI pos-pos 186 66.0 10.7 59.7 0.6 0.9 0.2 23.4 -51.5
pair LWTI RSI pos-pos 186 66.0 10.7 59.7 0.6 0.9 0.2 23.4 -51.5
pair RSmean MRmean neg-neg 23 8.2 10.6 60.9 0.6 1.1 0.4 18.6 -24.3
pair MRmean RSmean neg-neg 23 8.2 10.6 60.9 0.6 1.1 0.4 18.6 -24.3
pair SLmean MACD pos-neg 58 20.6 10.5 63.8 0.5 0.9 0.3 25.0 -33.0
pair MRmean MACDhist pos-pos 119 42.2 10.5 58.8 0.6 0.8 0.3 23.2 -38.8
pair MACDhist MRmean pos-pos 119 42.2 10.5 58.8 0.6 0.8 0.3 23.2 -38.8
pair MACD SLmean pos-neg 58 20.6 10.5 63.8 0.5 0.9 0.3 25.0 -33.0
pair RSIhist LWTI pos-neg 34 12.1 10.3 58.8 0.5 0.8 0.5 25.7 -21.5
pair SLmean RSmean neg-pos 93 33.0 10.3 58.1 0.5 0.6 0.2 30.6 -47.3
pair RSmean SLmean neg-pos 93 33.0 10.3 58.1 0.5 0.6 0.2 30.6 -47.3
pair RSmean MACDhist pos-neg 124 44.0 10.3 57.3 0.5 0.7 0.2 29.5 -50.8
pair LWTI RSIhist pos-neg 34 12.1 10.3 58.8 0.5 0.8 0.5 25.7 -21.5
pair MACDhist RSmean pos-neg 124 44.0 10.3 57.3 0.5 0.7 0.2 29.5 -50.8
single SLmean SLmean pos-pos 165 58.5 10.0 59.4 0.5 0.8 0.2 24.3 -53.1
pair benchmark___benchmark_ benchmark-benchmark 282 100.0 9.7 58.5 0.5 0.7 0.2 26.1 -57.0
pair benchmark___benchmark_ benchmark-benchmark 282 100.0 9.7 58.5 0.5 0.7 0.2 26.1 -57.0
pair MRmean SLmean pos-pos 151 53.5 9.7 59.6 0.5 0.8 0.2 24.7 -45.7
pair SLmean MRmean pos-pos 151 53.5 9.7 59.6 0.5 0.8 0.2 24.7 -45.7
pair MACD SLmean pos-pos 107 37.9 9.7 57.0 0.5 0.8 0.3 24.0 -35.8
pair SLmean MACD pos-pos 107 37.9 9.7 57.0 0.5 0.8 0.3 24.0 -35.8
pair LWTI MACDhist pos-pos 123 43.6 9.6 58.5 0.5 0.8 0.3 23.4 -32.2
pair MACDhist LWTI pos-pos 123 43.6 9.6 58.5 0.5 0.8 0.3 23.4 -32.2
pair SLmean LWTI neg-pos 90 31.9 9.6 56.7 0.5 0.9 0.2 21.9 -41.8
pair LWTI SLmean neg-pos 90 31.9 9.6 56.7 0.5 0.9 0.2 21.9 -41.8
pair MRmean RSmean pos-pos 168 59.6 9.5 57.7 0.5 0.8 0.2 24.3 -44.8
pair RSmean MRmean pos-pos 168 59.6 9.5 57.7 0.5 0.8 0.2 24.3 -44.8
pair RSmean RSIhist pos-pos 133 47.2 9.4 57.1 0.5 0.8 0.2 24.6 -42.5
pair RSIhist RSmean pos-pos 133 47.2 9.4 57.1 0.5 0.8 0.2 24.6 -42.5
pair RSI MRmean neg-neg 63 22.3 9.3 54.0 0.4 0.6 0.2 33.3 -42.9
pair MRmean RSI neg-neg 63 22.3 9.3 54.0 0.4 0.6 0.2 33.3 -42.9
single SLmean SLmean neg-neg 117 41.5 9.2 57.3 0.5 0.6 0.2 28.5 -46.7
pair RSmean MACD neg-pos 11 3.9 9.2 63.6 0.7 1.6 0.8 14.3 -11.0
pair MACD RSmean neg-pos 11 3.9 9.2 63.6 0.7 1.6 0.8 14.3 -11.0
pair RSI RSmean neg-pos 24 8.5 9.1 66.7 0.5 0.7 0.3 20.9 -33.9
pair RSmean RSI neg-pos 24 8.5 9.1 66.7 0.5 0.7 0.3 20.9 -33.9
single MACDhist MACDhist neg-neg 153 54.3 8.6 57.5 0.4 0.6 0.2 28.2 -50.3
pair RSI MACDhist pos-pos 124 44.0 8.6 58.1 0.5 0.7 0.2 23.5 -38.4
pair MACDhist RSI pos-pos 124 44.0 8.6 58.1 0.5 0.7 0.2 23.5 -38.4
pair MRmean LWTI neg-neg 31 11.0 8.6 54.8 0.4 0.5 0.2 41.8 -42.9
pair LWTI MRmean neg-neg 31 11.0 8.6 54.8 0.4 0.5 0.2 41.8 -42.9
pair LWTI MRmean pos-pos 150 53.2 8.5 57.3 0.5 0.8 0.2 24.0 -40.5
pair MRmean LWTI pos-pos 150 53.2 8.5 57.3 0.5 0.8 0.2 24.0 -40.5
pair RSIhist MACD neg-pos 55 19.5 8.2 63.6 0.4 0.8 0.3 25.1 -31.5
pair MACD RSIhist neg-pos 55 19.5 8.2 63.6 0.4 0.8 0.3 25.1 -31.5
pair LWTI RSmean pos-neg 58 20.6 7.9 56.9 0.4 0.5 0.2 34.9 -42.9
pair RSmean LWTI pos-neg 58 20.6 7.9 56.9 0.4 0.5 0.2 34.9 -42.9
pair SLmean LWTI neg-neg 27 9.6 7.8 59.3 0.4 0.5 0.2 44.5 -42.9
pair LWTI SLmean neg-neg 27 9.6 7.8 59.3 0.4 0.5 0.2 44.5 -42.9
pair MACD MACDhist pos-pos 109 38.7 7.7 56.0 0.4 0.7 0.2 24.2 -35.1
pair MACDhist MACD pos-pos 109 38.7 7.7 56.0 0.4 0.7 0.2 24.2 -35.1
single MRmean MRmean pos-pos 179 63.5 7.6 57.5 0.4 0.7 0.1 24.3 -48.8
single RSIhist RSIhist pos-pos 144 51.1 7.6 57.6 0.4 0.7 0.2 24.5 -42.9
pair RSmean RSIhist neg-neg 23 8.2 7.3 56.5 0.5 0.9 0.2 19.6 -29.3
pair RSIhist RSmean neg-neg 23 8.2 7.3 56.5 0.5 0.9 0.2 19.6 -29.3
pair RSIhist MACD pos-pos 89 31.6 7.2 53.9 0.4 0.7 0.2 24.3 -37.1
pair MACD RSIhist pos-pos 89 31.6 7.2 53.9 0.4 0.7 0.2 24.3 -37.1
pair RSI MACD pos-pos 157 55.7 7.1 55.4 0.4 0.7 0.1 23.4 -47.9
pair MACD RSI pos-pos 157 55.7 7.1 55.4 0.4 0.7 0.1 23.4 -47.9
pair MACD LWTI pos-pos 162 57.4 7.1 55.6 0.4 0.7 0.1 23.6 -52.7
pair LWTI MACD pos-pos 162 57.4 7.1 55.6 0.4 0.7 0.1 23.6 -52.7
pair SLmean RSIhist neg-neg 110 39.0 6.9 56.4 0.4 0.5 0.1 29.2 -46.7
pair RSIhist SLmean neg-neg 110 39.0 6.9 56.4 0.4 0.5 0.1 29.2 -46.7
pair LWTI RSIhist pos-pos 110 39.0 6.7 57.3 0.4 0.6 0.2 24.3 -35.0
pair RSIhist LWTI pos-pos 110 39.0 6.7 57.3 0.4 0.6 0.2 24.3 -35.0
pair SLmean RSI neg-neg 56 19.9 6.3 55.4 0.4 0.5 0.1 34.8 -42.9
pair RSI SLmean neg-neg 56 19.9 6.3 55.4 0.4 0.5 0.1 34.8 -42.9
single RSI RSI pos-pos 206 73.0 6.2 57.8 0.4 0.6 0.1 23.4 -74.7
pair RSIhist MRmean pos-pos 134 47.5 6.2 57.5 0.4 0.6 0.1 24.9 -45.4
pair MRmean RSIhist pos-pos 134 47.5 6.2 57.5 0.4 0.6 0.1 24.9 -45.4
pair MACD MRmean pos-pos 128 45.4 6.1 53.1 0.4 0.6 0.1 23.9 -44.3
pair MRmean MACD pos-pos 128 45.4 6.1 53.1 0.4 0.6 0.1 23.9 -44.3
pair RSI RSmean pos-pos 182 64.5 5.8 56.6 0.4 0.6 0.1 23.8 -64.5
pair RSmean RSI pos-pos 182 64.5 5.8 56.6 0.4 0.6 0.1 23.8 -64.5
single LWTI LWTI neg-neg 60 21.3 5.7 56.7 0.3 0.5 0.1 35.0 -42.9
pair SLmean RSIhist pos-pos 137 48.6 5.7 56.9 0.3 0.6 0.1 24.9 -53.1
pair RSIhist SLmean pos-pos 137 48.6 5.7 56.9 0.3 0.6 0.1 24.9 -53.1
pair RSmean SLmean neg-neg 24 8.5 5.2 54.2 0.4 0.7 0.2 18.9 -29.3
pair SLmean RSmean neg-neg 24 8.5 5.2 54.2 0.4 0.7 0.2 18.9 -29.3
pair RSI RSIhist neg-neg 57 20.2 4.9 52.6 0.3 0.4 0.1 34.6 -42.9
pair RSIhist RSI neg-neg 57 20.2 4.9 52.6 0.3 0.4 0.1 34.6 -42.9
pair RSmean LWTI neg-pos 32 11.3 4.1 59.4 0.3 0.5 0.1 19.4 -39.4
pair LWTI RSmean neg-pos 32 11.3 4.1 59.4 0.3 0.5 0.1 19.4 -39.4
pair LWTI SLmean pos-neg 33 11.7 4.0 54.5 0.3 0.5 0.1 25.5 -33.8
pair SLmean LWTI pos-neg 33 11.7 4.0 54.5 0.3 0.5 0.1 25.5 -33.8
pair SLmean RSI pos-pos 145 51.4 3.9 57.2 0.3 0.5 0.1 24.2 -68.8
pair RSI SLmean pos-pos 145 51.4 3.9 57.2 0.3 0.5 0.1 24.2 -68.8
pair MACD RSI neg-pos 49 17.4 3.5 65.3 0.3 0.5 0.1 23.6 -55.5
pair RSI MACD neg-pos 49 17.4 3.5 65.3 0.3 0.5 0.1 23.6 -55.5
pair RSI MRmean pos-pos 166 58.9 3.1 54.8 0.2 0.4 0.0 24.1 -68.5
pair MRmean RSI pos-pos 166 58.9 3.1 54.8 0.2 0.4 0.0 24.1 -68.5
pair MACDhist RSIhist pos-neg 36 12.8 2.9 58.3 0.2 0.4 0.1 22.9 -21.5
pair RSIhist MACDhist pos-neg 36 12.8 2.9 58.3 0.2 0.4 0.1 22.9 -21.5
pair RSI MACDhist pos-neg 82 29.1 2.8 57.3 0.2 0.4 0.0 23.4 -67.1
pair MACDhist RSI pos-neg 82 29.1 2.8 57.3 0.2 0.4 0.0 23.4 -67.1
pair LWTI MRmean pos-neg 29 10.3 2.7 58.6 0.2 0.4 0.1 26.6 -27.6
pair MRmean LWTI pos-neg 29 10.3 2.7 58.6 0.2 0.4 0.1 26.6 -27.6
pair SLmean MACDhist pos-neg 64 22.7 2.6 57.8 0.2 0.4 0.1 25.5 -47.7
pair MACDhist SLmean pos-neg 64 22.7 2.6 57.8 0.2 0.4 0.1 25.5 -47.7
pair MACDhist LWTI neg-neg 54 19.1 2.3 53.7 0.2 0.3 0.1 36.1 -42.9
pair LWTI MACDhist neg-neg 54 19.1 2.3 53.7 0.2 0.3 0.1 36.1 -42.9
pair MRmean MACDhist pos-neg 60 21.3 2.0 55.0 0.2 0.4 0.0 26.6 -47.2
pair MACDhist MRmean pos-neg 60 21.3 2.0 55.0 0.2 0.4 0.0 26.6 -47.2
single MACD MACD pos-pos 173 61.3 1.9 53.8 0.2 0.3 0.0 24.8 -67.2
pair MACDhist RSmean neg-neg 29 10.3 1.6 58.6 0.2 0.3 0.0 22.2 -43.4
pair RSmean MACDhist neg-neg 29 10.3 1.6 58.6 0.2 0.3 0.0 22.2 -43.4
pair RSmean MACD pos-pos 162 57.4 1.5 53.1 0.2 0.3 0.0 25.4 -67.4
pair MACD RSmean pos-pos 162 57.4 1.5 53.1 0.2 0.3 0.0 25.4 -67.4
single RSmean RSmean neg-neg 34 12.1 0.6 58.8 0.1 0.2 0.0 20.9 -44.5
pair LWTI RSIhist neg-neg 26 9.2 -0.1 53.8 0.2 0.3 -0.0 45.0 -42.9
pair RSIhist LWTI neg-neg 26 9.2 -0.1 53.8 0.2 0.3 -0.0 45.0 -42.9
pair RSI RSIhist pos-pos 125 44.3 -0.3 53.6 0.1 0.2 -0.0 24.4 -69.1
pair RSIhist RSI pos-pos 125 44.3 -0.3 53.6 0.1 0.2 -0.0 24.4 -69.1
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 SLmean MRmean pos-neg 28 9.9 -3.1 46.4 -0.0 -0.0 -0.1 22.7 -34.2
pair MRmean SLmean pos-neg 28 9.9 -3.1 46.4 -0.0 -0.0 -0.1 22.7 -34.2
pair MACD RSmean neg-neg 23 8.2 -3.2 56.5 -0.0 -0.0 -0.1 23.6 -43.4
pair RSmean MACD neg-neg 23 8.2 -3.2 56.5 -0.0 -0.0 -0.1 23.6 -43.4
pair RSIhist MACD pos-neg 84 29.8 -3.4 53.6 -0.0 -0.0 -0.1 25.4 -59.8
pair MACD RSIhist pos-neg 84 29.8 -3.4 53.6 -0.0 -0.0 -0.1 25.4 -59.8
pair MACDhist RSIhist neg-pos 51 18.1 -3.6 52.9 -0.0 -0.0 -0.1 26.0 -44.4
pair RSIhist MACDhist neg-pos 51 18.1 -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 MACDhist MACD pos-neg 64 22.7 -7.1 50.0 -0.1 -0.2 -0.1 25.8 -62.3
pair MACD MACDhist pos-neg 64 22.7 -7.1 50.0 -0.1 -0.2 -0.1 25.8 -62.3
pair MACD MRmean neg-pos 45 16.0 -9.0 55.6 -0.2 -0.2 -0.2 27.2 -48.2
pair MRmean MACD neg-pos 45 16.0 -9.0 55.6 -0.2 -0.2 -0.2 27.2 -48.2
pair SLmean MACD neg-pos 66 23.4 -9.5 48.5 -0.2 -0.3 -0.2 25.9 -54.6
pair MACD SLmean neg-pos 66 23.4 -9.5 48.5 -0.2 -0.3 -0.2 25.9 -54.6
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 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 7.1 -27.8 40.0 -1.5 -2.1 -0.6 20.6 -50.3
pair RSI LWTI pos-neg 20 7.1 -27.8 40.0 -1.5 -2.1 -0.6 20.6 -50.3
pair MACD RSI pos-neg 16 5.7 -37.0 37.5 -1.2 -1.4 -0.9 33.9 -39.5
pair RSI MACD pos-neg 16 5.7 -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 9.7% | Win 60%
Sharpe 0.50 | Sortino 0.84 | Calmar 0.2
Vol 25% | MDD -45.7%
Months 151M (54%)
CAGR -3.1% | Win 46%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 23% | MDD -34.2%
Months 28M (10%)
CAGR 7.6% | Win 57%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 24% | MDD -48.8%
Months 179M (64%)
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 13.4% | Win 61%
Sharpe 0.57 | Sortino 0.75 | Calmar 0.3
Vol 30% | MDD -45.4%
Months 89M (32%)
CAGR 13.4% | Win 60%
Sharpe 0.59 | Sortino 0.76 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 103M (36%)
SLmean
only
CAGR 10.0% | Win 59%
Sharpe 0.52 | Sortino 0.85 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 165M (58%)
CAGR 9.2% | Win 57%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 28% | MDD -46.7%
Months 117M (42%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 9.5% | Win 58%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.2
Vol 24% | MDD -44.8%
Months 168M (60%)
CAGR -17.3% | Win 55%
Sharpe -0.64 | Sortino -0.97 | Calmar -0.5
Vol 25% | MDD -31.6%
Months 11M (4%)
CAGR 7.6% | Win 57%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 24% | MDD -48.8%
Months 179M (64%)
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 10.6% | Win 61%
Sharpe 0.63 | Sortino 1.07 | Calmar 0.4
Vol 19% | MDD -24.3%
Months 23M (8%)
CAGR 13.4% | Win 60%
Sharpe 0.59 | Sortino 0.76 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 103M (36%)
RSmean
only
CAGR 11.0% | Win 58%
Sharpe 0.53 | Sortino 0.77 | Calmar 0.2
Vol 27% | MDD -57.5%
Months 248M (88%)
CAGR 0.6% | Win 59%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 21% | MDD -44.5%
Months 34M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 6.1% | Win 53%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 24% | MDD -44.3%
Months 128M (45%)
CAGR 11.4% | Win 69%
Sharpe 0.55 | Sortino 1.12 | Calmar 0.4
Vol 26% | MDD -31.5%
Months 51M (18%)
CAGR 7.6% | Win 57%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 24% | MDD -48.8%
Months 179M (64%)
MRmean
neg
CAGR -9.0% | Win 56%
Sharpe -0.20 | Sortino -0.25 | Calmar -0.2
Vol 27% | MDD -48.2%
Months 45M (16%)
CAGR 34.4% | Win 64%
Sharpe 1.17 | Sortino 1.48 | Calmar 0.9
Vol 30% | MDD -36.5%
Months 58M (21%)
CAGR 13.4% | Win 60%
Sharpe 0.59 | Sortino 0.76 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 103M (36%)
MACD
only
CAGR 1.9% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 25% | MDD -67.2%
Months 173M (61%)
CAGR 23.1% | Win 66%
Sharpe 0.90 | Sortino 1.28 | Calmar 0.5
Vol 28% | MDD -44.3%
Months 109M (39%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.0
Vol 24% | MDD -68.5%
Months 166M (59%)
CAGR 84.8% | Win 92%
Sharpe 2.82 | Sortino 0.00 | Calmar 8.7
Vol 23% | MDD -9.8%
Months 13M (5%)
CAGR 7.6% | Win 57%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 24% | MDD -48.8%
Months 179M (64%)
MRmean
neg
CAGR 20.1% | Win 70%
Sharpe 1.00 | Sortino 1.73 | Calmar 0.7
Vol 20% | MDD -30.4%
Months 40M (14%)
CAGR 9.3% | Win 54%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.2
Vol 33% | MDD -42.9%
Months 63M (22%)
CAGR 13.4% | Win 60%
Sharpe 0.59 | Sortino 0.76 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 103M (36%)
RSI
only
CAGR 6.2% | Win 58%
Sharpe 0.38 | Sortino 0.61 | Calmar 0.1
Vol 23% | MDD -74.7%
Months 206M (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 10.5% | Win 59%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.3
Vol 23% | MDD -38.8%
Months 119M (42%)
CAGR 2.0% | Win 55%
Sharpe 0.21 | Sortino 0.39 | Calmar 0.0
Vol 27% | MDD -47.2%
Months 60M (21%)
CAGR 7.6% | Win 57%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 24% | MDD -48.8%
Months 179M (64%)
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 13.0% | Win 59%
Sharpe 0.57 | Sortino 0.72 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 93M (33%)
CAGR 13.4% | Win 60%
Sharpe 0.59 | Sortino 0.76 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 103M (36%)
MACDhist
only
CAGR 11.0% | Win 60%
Sharpe 0.56 | Sortino 0.89 | Calmar 0.3
Vol 23% | MDD -34.2%
Months 129M (46%)
CAGR 8.6% | Win 57%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 153M (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 (48%)
CAGR 11.7% | Win 58%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 23% | MDD -38.1%
Months 45M (16%)
CAGR 7.6% | Win 57%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 24% | MDD -48.8%
Months 179M (64%)
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 11.9% | Win 60%
Sharpe 0.54 | Sortino 0.70 | Calmar 0.3
Vol 30% | MDD -45.4%
Months 93M (33%)
CAGR 13.4% | Win 60%
Sharpe 0.59 | Sortino 0.76 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 103M (36%)
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 11.9% | Win 59%
Sharpe 0.55 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -53.3%
Months 138M (49%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 8.5% | Win 57%
Sharpe 0.46 | Sortino 0.75 | Calmar 0.2
Vol 24% | MDD -40.5%
Months 150M (53%)
CAGR 2.7% | Win 59%
Sharpe 0.23 | Sortino 0.42 | Calmar 0.1
Vol 27% | MDD -27.6%
Months 29M (10%)
CAGR 7.6% | Win 57%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 24% | MDD -48.8%
Months 179M (64%)
MRmean
neg
CAGR 15.5% | Win 62%
Sharpe 0.78 | Sortino 1.39 | Calmar 0.3
Vol 22% | MDD -50.4%
Months 72M (26%)
CAGR 8.6% | Win 55%
Sharpe 0.42 | Sortino 0.52 | Calmar 0.2
Vol 42% | MDD -42.9%
Months 31M (11%)
CAGR 13.4% | Win 60%
Sharpe 0.59 | Sortino 0.76 | Calmar 0.3
Vol 29% | MDD -45.4%
Months 103M (36%)
LWTI
only
CAGR 10.7% | Win 59%
Sharpe 0.56 | Sortino 0.93 | Calmar 0.2
Vol 23% | MDD -52.9%
Months 222M (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 11.4% | Win 59%
Sharpe 0.57 | Sortino 0.96 | Calmar 0.2
Vol 24% | MDD -54.4%
Months 155M (55%)
CAGR -9.5% | Win 70%
Sharpe -0.26 | Sortino -0.44 | Calmar -0.4
Vol 26% | MDD -25.8%
Months 10M (4%)
CAGR 10.0% | Win 59%
Sharpe 0.52 | Sortino 0.85 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 165M (58%)
SLmean
neg
CAGR 10.3% | Win 58%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.2
Vol 31% | MDD -47.3%
Months 93M (33%)
CAGR 5.2% | Win 54%
Sharpe 0.36 | Sortino 0.69 | Calmar 0.2
Vol 19% | MDD -29.3%
Months 24M (8%)
CAGR 9.2% | Win 57%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 28% | MDD -46.7%
Months 117M (42%)
RSmean
only
CAGR 11.0% | Win 58%
Sharpe 0.53 | Sortino 0.77 | Calmar 0.2
Vol 27% | MDD -57.5%
Months 248M (88%)
CAGR 0.6% | Win 59%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 21% | MDD -44.5%
Months 34M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 9.7% | Win 57%
Sharpe 0.51 | Sortino 0.83 | Calmar 0.3
Vol 24% | MDD -35.8%
Months 107M (38%)
CAGR 10.5% | Win 64%
Sharpe 0.53 | Sortino 0.90 | Calmar 0.3
Vol 25% | MDD -33.0%
Months 58M (21%)
CAGR 10.0% | Win 59%
Sharpe 0.52 | Sortino 0.85 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 165M (58%)
SLmean
neg
CAGR -9.5% | Win 48%
Sharpe -0.25 | Sortino -0.33 | Calmar -0.2
Vol 26% | MDD -54.6%
Months 66M (23%)
CAGR 39.2% | Win 69%
Sharpe 1.26 | Sortino 1.53 | Calmar 1.1
Vol 30% | MDD -36.5%
Months 51M (18%)
CAGR 9.2% | Win 57%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 28% | MDD -46.7%
Months 117M (42%)
MACD
only
CAGR 1.9% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 25% | MDD -67.2%
Months 173M (61%)
CAGR 23.1% | Win 66%
Sharpe 0.90 | Sortino 1.28 | Calmar 0.5
Vol 28% | MDD -44.3%
Months 109M (39%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 3.9% | Win 57%
Sharpe 0.28 | Sortino 0.47 | Calmar 0.1
Vol 24% | MDD -68.8%
Months 145M (51%)
CAGR 66.1% | Win 75%
Sharpe 2.47 | Sortino 3.90 | Calmar 6.8
Vol 22% | MDD -9.8%
Months 20M (7%)
CAGR 10.0% | Win 59%
Sharpe 0.52 | Sortino 0.85 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 165M (58%)
SLmean
neg
CAGR 11.9% | Win 59%
Sharpe 0.63 | Sortino 1.00 | Calmar 0.5
Vol 22% | MDD -22.2%
Months 61M (22%)
CAGR 6.3% | Win 55%
Sharpe 0.36 | Sortino 0.48 | Calmar 0.1
Vol 35% | MDD -42.9%
Months 56M (20%)
CAGR 9.2% | Win 57%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 28% | MDD -46.7%
Months 117M (42%)
RSI
only
CAGR 6.2% | Win 58%
Sharpe 0.38 | Sortino 0.61 | Calmar 0.1
Vol 23% | MDD -74.7%
Months 206M (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 14.9% | Win 60%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.4
Vol 24% | MDD -34.5%
Months 101M (36%)
CAGR 2.6% | Win 58%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 26% | MDD -47.7%
Months 64M (23%)
CAGR 10.0% | Win 59%
Sharpe 0.52 | Sortino 0.85 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 165M (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 13.0% | Win 57%
Sharpe 0.57 | Sortino 0.75 | Calmar 0.3
Vol 30% | MDD -45.4%
Months 89M (32%)
CAGR 9.2% | Win 57%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 28% | MDD -46.7%
Months 117M (42%)
MACDhist
only
CAGR 11.0% | Win 60%
Sharpe 0.56 | Sortino 0.89 | Calmar 0.3
Vol 23% | MDD -34.2%
Months 129M (46%)
CAGR 8.6% | Win 57%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 153M (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 (49%)
CAGR 33.6% | Win 71%
Sharpe 1.51 | Sortino 2.26 | Calmar 2.0
Vol 21% | MDD -17.0%
Months 28M (10%)
CAGR 10.0% | Win 59%
Sharpe 0.52 | Sortino 0.85 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 165M (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 6.9% | Win 56%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.1
Vol 29% | MDD -46.7%
Months 110M (39%)
CAGR 9.2% | Win 57%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 28% | MDD -46.7%
Months 117M (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 11.9% | Win 59%
Sharpe 0.55 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -53.3%
Months 138M (49%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.5% | Win 61%
Sharpe 0.58 | Sortino 0.94 | Calmar 0.4
Vol 24% | MDD -32.4%
Months 132M (47%)
CAGR 4.0% | Win 55%
Sharpe 0.28 | Sortino 0.47 | Calmar 0.1
Vol 26% | MDD -33.8%
Months 33M (12%)
CAGR 10.0% | Win 59%
Sharpe 0.52 | Sortino 0.85 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 165M (58%)
SLmean
neg
CAGR 9.6% | Win 57%
Sharpe 0.53 | Sortino 0.90 | Calmar 0.2
Vol 22% | MDD -41.8%
Months 90M (32%)
CAGR 7.8% | Win 59%
Sharpe 0.40 | Sortino 0.52 | Calmar 0.2
Vol 44% | MDD -42.9%
Months 27M (10%)
CAGR 9.2% | Win 57%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 28% | MDD -46.7%
Months 117M (42%)
LWTI
only
CAGR 10.7% | Win 59%
Sharpe 0.56 | Sortino 0.93 | Calmar 0.2
Vol 23% | MDD -52.9%
Months 222M (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 1.5% | Win 53%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 25% | MDD -67.4%
Months 162M (57%)
CAGR 31.3% | Win 69%
Sharpe 1.11 | Sortino 1.50 | Calmar 0.9
Vol 28% | MDD -35.8%
Months 86M (30%)
CAGR 11.0% | Win 58%
Sharpe 0.53 | Sortino 0.77 | Calmar 0.2
Vol 27% | MDD -57.5%
Months 248M (88%)
RSmean
neg
CAGR 9.2% | Win 64%
Sharpe 0.68 | Sortino 1.61 | Calmar 0.8
Vol 14% | MDD -11.0%
Months 11M (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 59%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 21% | MDD -44.5%
Months 34M (12%)
MACD
only
CAGR 1.9% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 25% | MDD -67.2%
Months 173M (61%)
CAGR 23.1% | Win 66%
Sharpe 0.90 | Sortino 1.28 | Calmar 0.5
Vol 28% | MDD -44.3%
Months 109M (39%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 5.8% | Win 57%
Sharpe 0.36 | Sortino 0.60 | Calmar 0.1
Vol 24% | MDD -64.5%
Months 182M (64%)
CAGR 26.4% | Win 64%
Sharpe 0.88 | Sortino 1.07 | Calmar 0.7
Vol 33% | MDD -35.9%
Months 66M (23%)
CAGR 11.0% | Win 58%
Sharpe 0.53 | Sortino 0.77 | Calmar 0.2
Vol 27% | MDD -57.5%
Months 248M (88%)
RSmean
neg
CAGR 9.1% | Win 67%
Sharpe 0.52 | Sortino 0.66 | Calmar 0.3
Vol 21% | MDD -33.9%
Months 24M (8%)
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 59%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 21% | MDD -44.5%
Months 34M (12%)
RSI
only
CAGR 6.2% | Win 58%
Sharpe 0.38 | Sortino 0.61 | Calmar 0.1
Vol 23% | MDD -74.7%
Months 206M (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 11.6% | Win 60%
Sharpe 0.58 | Sortino 0.92 | Calmar 0.4
Vol 24% | MDD -32.7%
Months 124M (44%)
CAGR 10.3% | Win 57%
Sharpe 0.48 | Sortino 0.69 | Calmar 0.2
Vol 30% | MDD -50.8%
Months 124M (44%)
CAGR 11.0% | Win 58%
Sharpe 0.53 | Sortino 0.77 | Calmar 0.2
Vol 27% | MDD -57.5%
Months 248M (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 1.6% | Win 59%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 22% | MDD -43.4%
Months 29M (10%)
CAGR 0.6% | Win 59%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 21% | MDD -44.5%
Months 34M (12%)
MACDhist
only
CAGR 11.0% | Win 60%
Sharpe 0.56 | Sortino 0.89 | Calmar 0.3
Vol 23% | MDD -34.2%
Months 129M (46%)
CAGR 8.6% | Win 57%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 153M (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 12.8% | Win 60%
Sharpe 0.57 | Sortino 0.75 | Calmar 0.2
Vol 29% | MDD -53.8%
Months 115M (41%)
CAGR 11.0% | Win 58%
Sharpe 0.53 | Sortino 0.77 | Calmar 0.2
Vol 27% | MDD -57.5%
Months 248M (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 7.3% | Win 56%
Sharpe 0.46 | Sortino 0.93 | Calmar 0.2
Vol 20% | MDD -29.3%
Months 23M (8%)
CAGR 0.6% | Win 59%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 21% | MDD -44.5%
Months 34M (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 11.9% | Win 59%
Sharpe 0.55 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -53.3%
Months 138M (49%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.9% | Win 59%
Sharpe 0.59 | Sortino 0.98 | Calmar 0.3
Vol 24% | MDD -39.8%
Months 190M (67%)
CAGR 7.9% | Win 57%
Sharpe 0.40 | Sortino 0.53 | Calmar 0.2
Vol 35% | MDD -42.9%
Months 58M (21%)
CAGR 11.0% | Win 58%
Sharpe 0.53 | Sortino 0.77 | Calmar 0.2
Vol 27% | MDD -57.5%
Months 248M (88%)
RSmean
neg
CAGR 4.1% | Win 59%
Sharpe 0.30 | Sortino 0.50 | Calmar 0.1
Vol 19% | MDD -39.4%
Months 32M (11%)
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 59%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 21% | MDD -44.5%
Months 34M (12%)
LWTI
only
CAGR 10.7% | Win 59%
Sharpe 0.56 | Sortino 0.93 | Calmar 0.2
Vol 23% | MDD -52.9%
Months 222M (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 7.1% | Win 55%
Sharpe 0.41 | Sortino 0.68 | Calmar 0.1
Vol 23% | MDD -47.9%
Months 157M (56%)
CAGR -37.0% | Win 38%
Sharpe -1.16 | Sortino -1.38 | Calmar -0.9
Vol 34% | MDD -39.5%
Months 16M (6%)
CAGR 1.9% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 25% | MDD -67.2%
Months 173M (61%)
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 (39%)
RSI
only
CAGR 6.2% | Win 58%
Sharpe 0.38 | Sortino 0.61 | Calmar 0.1
Vol 23% | MDD -74.7%
Months 206M (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 7.7% | Win 56%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 24% | MDD -35.1%
Months 109M (39%)
CAGR -7.1% | Win 50%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 26% | MDD -62.3%
Months 64M (23%)
CAGR 1.9% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 25% | MDD -67.2%
Months 173M (61%)
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 (32%)
CAGR 23.1% | Win 66%
Sharpe 0.90 | Sortino 1.28 | Calmar 0.5
Vol 28% | MDD -44.3%
Months 109M (39%)
MACDhist
only
CAGR 11.0% | Win 60%
Sharpe 0.56 | Sortino 0.89 | Calmar 0.3
Vol 23% | MDD -34.2%
Months 129M (46%)
CAGR 8.6% | Win 57%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 153M (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 (32%)
CAGR -3.4% | Win 54%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.1
Vol 25% | MDD -59.8%
Months 84M (30%)
CAGR 1.9% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 25% | MDD -67.2%
Months 173M (61%)
MACD
neg
CAGR 8.2% | Win 64%
Sharpe 0.44 | Sortino 0.77 | Calmar 0.3
Vol 25% | MDD -31.5%
Months 55M (20%)
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 (39%)
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 11.9% | Win 59%
Sharpe 0.55 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -53.3%
Months 138M (49%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 7.1% | Win 56%
Sharpe 0.41 | Sortino 0.69 | Calmar 0.1
Vol 24% | MDD -52.7%
Months 162M (57%)
CAGR -51.0% | Win 27%
Sharpe -1.86 | Sortino -1.92 | Calmar -1.1
Vol 34% | MDD -45.6%
Months 11M (4%)
CAGR 1.9% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 25% | MDD -67.2%
Months 173M (61%)
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 (39%)
LWTI
only
CAGR 10.7% | Win 59%
Sharpe 0.56 | Sortino 0.93 | Calmar 0.2
Vol 23% | MDD -52.9%
Months 222M (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 8.6% | Win 58%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 24% | MDD -38.4%
Months 124M (44%)
CAGR 2.8% | Win 57%
Sharpe 0.23 | Sortino 0.40 | Calmar 0.0
Vol 23% | MDD -67.1%
Months 82M (29%)
CAGR 6.2% | Win 58%
Sharpe 0.38 | Sortino 0.61 | Calmar 0.1
Vol 23% | MDD -74.7%
Months 206M (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 11.0% | Win 60%
Sharpe 0.56 | Sortino 0.89 | Calmar 0.3
Vol 23% | MDD -34.2%
Months 129M (46%)
CAGR 8.6% | Win 57%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 153M (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 17.0% | Win 64%
Sharpe 0.83 | Sortino 1.37 | Calmar 0.6
Vol 22% | MDD -27.8%
Months 81M (29%)
CAGR 6.2% | Win 58%
Sharpe 0.38 | Sortino 0.61 | Calmar 0.1
Vol 23% | MDD -74.7%
Months 206M (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 11.9% | Win 59%
Sharpe 0.55 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -53.3%
Months 138M (49%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 10.7% | Win 60%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.2
Vol 23% | MDD -51.5%
Months 186M (66%)
CAGR -27.8% | Win 40%
Sharpe -1.46 | Sortino -2.08 | Calmar -0.6
Vol 21% | MDD -50.3%
Months 20M (7%)
CAGR 6.2% | Win 58%
Sharpe 0.38 | Sortino 0.61 | Calmar 0.1
Vol 23% | MDD -74.7%
Months 206M (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 10.7% | Win 59%
Sharpe 0.56 | Sortino 0.93 | Calmar 0.2
Vol 23% | MDD -52.9%
Months 222M (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 2.9% | Win 58%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.1
Vol 23% | MDD -21.5%
Months 36M (13%)
CAGR 11.0% | Win 60%
Sharpe 0.56 | Sortino 0.89 | Calmar 0.3
Vol 23% | MDD -34.2%
Months 129M (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 15.2% | Win 60%
Sharpe 0.64 | Sortino 0.84 | Calmar 0.3
Vol 29% | MDD -50.3%
Months 102M (36%)
CAGR 8.6% | Win 57%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 153M (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 11.9% | Win 59%
Sharpe 0.55 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -53.3%
Months 138M (49%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 9.6% | Win 58%
Sharpe 0.51 | Sortino 0.81 | Calmar 0.3
Vol 23% | MDD -32.2%
Months 123M (44%)
CAGR 41.5% | Win 83%
Sharpe 1.56 | Sortino 0.00 | Calmar 4.6
Vol 24% | MDD -9.1%
Months 6M (2%)
CAGR 11.0% | Win 60%
Sharpe 0.56 | Sortino 0.89 | Calmar 0.3
Vol 23% | MDD -34.2%
Months 129M (46%)
MACDhist
neg
CAGR 12.1% | Win 60%
Sharpe 0.61 | Sortino 1.09 | Calmar 0.2
Vol 23% | MDD -51.8%
Months 99M (35%)
CAGR 2.3% | Win 54%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.1
Vol 36% | MDD -42.9%
Months 54M (19%)
CAGR 8.6% | Win 57%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 153M (54%)
LWTI
only
CAGR 10.7% | Win 59%
Sharpe 0.56 | Sortino 0.93 | Calmar 0.2
Vol 23% | MDD -52.9%
Months 222M (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 14.8% | Win 61%
Sharpe 0.74 | Sortino 1.26 | Calmar 0.3
Vol 22% | MDD -45.7%
Months 112M (40%)
CAGR -0.1% | Win 54%
Sharpe 0.23 | Sortino 0.30 | Calmar -0.0
Vol 45% | MDD -42.9%
Months 26M (9%)
CAGR 11.9% | Win 59%
Sharpe 0.55 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -53.3%
Months 138M (49%)
LWTI
only
CAGR 10.7% | Win 59%
Sharpe 0.56 | Sortino 0.93 | Calmar 0.2
Vol 23% | MDD -52.9%
Months 222M (79%)
CAGR 5.7% | Win 57%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 35% | MDD -42.9%
Months 60M (21%)