FXI - iShares China Large-Cap ETF

Signal Pair Analysis

MACD-LWTI

Best Pair

33.9%

Best CAGR

75

Total Months

4.4%

Avg CAGR

FXI 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 FXI

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair LWTI MACD neg-pos 59 22.3 33.9 74.6 1.6 2.7 1.3 19.7 -26.6
pair MACD LWTI neg-pos 59 22.3 33.9 74.6 1.6 2.7 1.3 19.7 -26.6
pair SLmean RSI pos-neg 24 9.1 28.9 66.7 1.0 1.7 1.2 29.0 -24.0
pair RSI SLmean pos-neg 24 9.1 28.9 66.7 1.0 1.7 1.2 29.0 -24.0
pair MACD SLmean pos-neg 54 20.5 28.4 72.2 1.2 2.0 1.2 23.5 -24.0
pair SLmean MACD pos-neg 54 20.5 28.4 72.2 1.2 2.0 1.2 23.5 -24.0
pair MACDhist MACD neg-neg 80 30.3 27.7 72.5 1.0 1.6 0.6 27.4 -44.5
pair MACD MACDhist neg-neg 80 30.3 27.7 72.5 1.0 1.6 0.6 27.4 -44.5
pair MRmean MACD pos-neg 45 17.0 27.6 71.1 1.2 2.2 0.9 23.3 -30.4
pair MACD MRmean pos-neg 45 17.0 27.6 71.1 1.2 2.2 0.9 23.3 -30.4
pair RSI MRmean pos-neg 15 5.7 26.8 60.0 0.9 1.8 0.9 31.4 -30.4
pair MRmean RSI pos-neg 15 5.7 26.8 60.0 0.9 1.8 0.9 31.4 -30.4
pair RSIhist MACD neg-neg 56 21.2 24.8 64.3 0.9 1.4 0.7 28.4 -38.1
pair MACD RSIhist neg-neg 56 21.2 24.8 64.3 0.9 1.4 0.7 28.4 -38.1
pair MACDhist SLmean pos-neg 55 20.8 24.8 70.9 1.0 2.0 1.0 25.0 -23.8
pair SLmean MACDhist pos-neg 55 20.8 24.8 70.9 1.0 2.0 1.0 25.0 -23.8
pair RSI MACD neg-pos 43 16.3 24.6 72.1 1.3 2.2 2.2 18.6 -11.0
pair MACD RSI neg-pos 43 16.3 24.6 72.1 1.3 2.2 2.2 18.6 -11.0
pair MACD RSmean pos-neg 93 35.2 24.3 68.8 0.9 1.5 0.6 27.4 -44.5
pair RSmean MACD pos-neg 93 35.2 24.3 68.8 0.9 1.5 0.6 27.4 -44.5
pair RSIhist MACDhist neg-pos 40 15.2 23.7 77.5 0.9 3.8 1.2 26.5 -19.6
pair MACDhist RSIhist neg-pos 40 15.2 23.7 77.5 0.9 3.8 1.2 26.5 -19.6
pair MACDhist MRmean pos-neg 46 17.4 22.2 69.6 0.9 1.9 0.7 25.5 -31.7
pair MRmean MACDhist pos-neg 46 17.4 22.2 69.6 0.9 1.9 0.7 25.5 -31.7
single MACD MACD neg-neg 110 41.7 21.7 66.4 0.9 1.5 0.5 26.2 -44.5
pair RSI RSIhist neg-pos 24 9.1 21.6 62.5 0.8 1.6 1.1 29.9 -20.3
pair RSIhist RSI neg-pos 24 9.1 21.6 62.5 0.8 1.6 1.1 29.9 -20.3
pair RSI LWTI neg-pos 45 17.0 21.5 66.7 0.9 1.3 0.8 25.6 -26.6
pair LWTI RSI neg-pos 45 17.0 21.5 66.7 0.9 1.3 0.8 25.6 -26.6
pair RSmean RSI neg-neg 7 2.7 19.9 57.1 1.1 12.5 1.9 18.4 -10.6
pair RSI RSmean neg-neg 7 2.7 19.9 57.1 1.1 12.5 1.9 18.4 -10.6
pair RSI MACD neg-neg 67 25.4 19.9 62.7 0.8 1.3 0.5 30.2 -44.5
pair MACD RSI neg-neg 67 25.4 19.9 62.7 0.8 1.3 0.5 30.2 -44.5
pair LWTI RSIhist pos-pos 102 38.6 19.4 61.8 0.9 1.8 0.6 23.6 -30.1
pair RSIhist LWTI pos-pos 102 38.6 19.4 61.8 0.9 1.8 0.6 23.6 -30.1
pair RSIhist RSmean neg-neg 16 6.1 19.3 56.2 1.2 2.9 3.3 16.1 -5.9
pair RSmean RSIhist neg-neg 16 6.1 19.3 56.2 1.2 2.9 3.3 16.1 -5.9
pair MACD RSIhist neg-pos 54 20.5 18.6 68.5 0.8 1.5 0.9 23.9 -20.3
pair RSIhist MACD neg-pos 54 20.5 18.6 68.5 0.8 1.5 0.9 23.9 -20.3
pair LWTI MACDhist neg-pos 81 30.7 18.2 65.4 0.8 1.3 0.5 24.6 -35.7
pair MACDhist LWTI neg-pos 81 30.7 18.2 65.4 0.8 1.3 0.5 24.6 -35.7
pair RSIhist RSmean pos-pos 119 45.1 17.8 63.0 0.8 1.5 0.5 24.3 -38.2
pair MACD MRmean neg-neg 65 24.6 17.8 63.1 0.7 1.1 0.4 28.2 -44.5
pair MRmean MACD neg-neg 65 24.6 17.8 63.1 0.7 1.1 0.4 28.2 -44.5
pair RSmean RSIhist pos-pos 119 45.1 17.8 63.0 0.8 1.5 0.5 24.3 -38.2
pair RSIhist SLmean pos-pos 119 45.1 16.6 62.2 0.8 1.4 0.5 24.0 -34.0
pair SLmean RSIhist pos-pos 119 45.1 16.6 62.2 0.8 1.4 0.5 24.0 -34.0
pair MACDhist RSmean neg-neg 18 6.8 16.5 61.1 1.0 1.4 1.6 17.3 -10.3
pair RSmean MACDhist neg-neg 18 6.8 16.5 61.1 1.0 1.4 1.6 17.3 -10.3
pair RSI MACDhist neg-neg 73 27.7 15.9 65.8 0.6 0.8 0.3 32.6 -48.0
pair MACDhist RSI neg-neg 73 27.7 15.9 65.8 0.6 0.8 0.3 32.6 -48.0
pair SLmean MACD neg-neg 56 21.2 15.6 60.7 0.6 1.1 0.4 28.7 -38.1
pair MACD SLmean neg-neg 56 21.2 15.6 60.7 0.6 1.1 0.4 28.7 -38.1
pair RSIhist MRmean pos-pos 117 44.3 15.5 60.7 0.7 1.5 0.4 23.6 -39.1
pair MRmean RSIhist pos-pos 117 44.3 15.5 60.7 0.7 1.5 0.4 23.6 -39.1
single RSIhist RSIhist pos-pos 130 49.2 15.0 61.5 0.7 1.4 0.4 23.9 -36.4
pair RSIhist RSI pos-pos 106 40.2 13.6 61.3 0.7 1.3 0.4 22.5 -34.6
pair RSI RSIhist pos-pos 106 40.2 13.6 61.3 0.7 1.3 0.4 22.5 -34.6
pair LWTI SLmean pos-pos 118 44.7 13.5 59.3 0.6 1.2 0.3 24.4 -40.9
pair SLmean LWTI pos-pos 118 44.7 13.5 59.3 0.6 1.2 0.3 24.4 -40.9
pair SLmean RSmean neg-neg 18 6.8 12.6 61.1 0.8 1.2 1.2 18.0 -10.3
pair RSmean SLmean neg-neg 18 6.8 12.6 61.1 0.8 1.2 1.2 18.0 -10.3
pair MRmean RSmean neg-neg 18 6.8 12.6 61.1 0.8 1.2 1.2 18.0 -10.3
pair RSmean MRmean neg-neg 18 6.8 12.6 61.1 0.8 1.2 1.2 18.0 -10.3
pair SLmean RSmean pos-pos 138 52.3 12.5 60.9 0.6 1.1 0.3 24.8 -43.0
pair RSmean SLmean pos-pos 138 52.3 12.5 60.9 0.6 1.1 0.3 24.8 -43.0
pair MACD RSIhist pos-pos 76 28.8 12.5 56.6 0.6 1.2 0.3 24.0 -46.1
pair RSIhist MACD pos-pos 76 28.8 12.5 56.6 0.6 1.2 0.3 24.0 -46.1
single RSI RSI neg-neg 95 36.0 12.2 61.1 0.5 0.8 0.3 30.9 -48.0
pair MRmean SLmean pos-pos 135 51.1 12.1 59.3 0.6 1.1 0.2 24.3 -48.4
pair SLmean MRmean pos-pos 135 51.1 12.1 59.3 0.6 1.1 0.2 24.3 -48.4
pair RSI RSmean pos-neg 88 33.3 11.7 61.4 0.5 0.7 0.2 31.7 -48.0
pair RSmean RSI pos-neg 88 33.3 11.7 61.4 0.5 0.7 0.2 31.7 -48.0
pair MACDhist RSIhist pos-pos 90 34.1 11.3 54.4 0.6 1.2 0.3 22.8 -36.2
pair RSIhist MACDhist pos-pos 90 34.1 11.3 54.4 0.6 1.2 0.3 22.8 -36.2
single SLmean SLmean pos-pos 147 55.7 11.2 59.2 0.6 1.0 0.2 24.4 -47.7
pair MRmean RSIhist neg-pos 13 4.9 10.3 69.2 0.5 1.0 0.4 27.5 -23.5
pair RSIhist MRmean neg-pos 13 4.9 10.3 69.2 0.5 1.0 0.4 27.5 -23.5
pair MRmean RSI neg-neg 80 30.3 9.7 61.2 0.5 0.6 0.2 30.9 -48.0
pair RSI MRmean neg-neg 80 30.3 9.7 61.2 0.5 0.6 0.2 30.9 -48.0
single MACDhist MACDhist neg-neg 135 51.1 9.7 62.2 0.5 0.7 0.2 29.4 -53.2
pair LWTI MRmean pos-pos 130 49.2 9.4 56.2 0.5 0.9 0.2 23.9 -52.5
pair MRmean LWTI pos-pos 130 49.2 9.4 56.2 0.5 0.9 0.2 23.9 -52.5
pair RSIhist RSI neg-neg 71 26.9 9.3 60.6 0.4 0.6 0.2 31.4 -42.0
pair RSI RSIhist neg-neg 71 26.9 9.3 60.6 0.4 0.6 0.2 31.4 -42.0
pair LWTI MACD neg-neg 51 19.3 9.0 56.9 0.4 0.8 0.2 32.1 -44.5
pair MACD LWTI neg-neg 51 19.3 9.0 56.9 0.4 0.8 0.2 32.1 -44.5
pair MRmean RSmean pos-pos 142 53.8 8.7 57.7 0.5 0.8 0.2 24.2 -48.8
pair RSmean MACDhist pos-neg 117 44.3 8.7 62.4 0.4 0.7 0.2 30.9 -54.2
pair RSmean MRmean pos-pos 142 53.8 8.7 57.7 0.5 0.8 0.2 24.2 -48.8
pair MACDhist RSmean pos-neg 117 44.3 8.7 62.4 0.4 0.7 0.2 30.9 -54.2
pair RSmean MACD neg-neg 17 6.4 8.5 52.9 0.5 0.9 0.8 18.7 -10.6
pair MACD RSmean neg-neg 17 6.4 8.5 52.9 0.5 0.9 0.8 18.7 -10.6
pair RSmean LWTI pos-pos 174 65.9 8.2 58.0 0.4 0.8 0.1 24.4 -57.4
pair LWTI RSmean pos-pos 174 65.9 8.2 58.0 0.4 0.8 0.1 24.4 -57.4
single LWTI LWTI pos-pos 200 75.8 8.1 57.5 0.5 0.8 0.1 23.6 -53.7
pair SLmean RSI pos-pos 123 46.6 8.0 57.7 0.4 0.8 0.2 23.5 -50.3
pair RSI SLmean pos-pos 123 46.6 8.0 57.7 0.4 0.8 0.2 23.5 -50.3
pair RSmean LWTI neg-pos 26 9.8 7.8 53.8 0.5 1.0 0.5 17.5 -14.7
pair LWTI RSmean neg-pos 26 9.8 7.8 53.8 0.5 1.0 0.5 17.5 -14.7
single MRmean MRmean pos-pos 151 57.2 7.7 56.3 0.4 0.8 0.1 23.8 -53.1
pair RSI SLmean neg-neg 71 26.9 7.1 59.2 0.4 0.5 0.2 31.6 -42.0
pair MACD MACDhist neg-pos 30 11.4 7.1 50.0 0.4 0.9 0.3 22.6 -26.6
pair MACDhist MACD neg-pos 30 11.4 7.1 50.0 0.4 0.9 0.3 22.6 -26.6
pair SLmean RSI neg-neg 71 26.9 7.1 59.2 0.4 0.5 0.2 31.6 -42.0
pair MRmean RSI pos-pos 136 51.5 5.8 55.9 0.4 0.6 0.1 22.9 -56.9
pair RSI MRmean pos-pos 136 51.5 5.8 55.9 0.4 0.6 0.1 22.9 -56.9
pair LWTI MRmean neg-pos 70 26.5 5.7 60.0 0.3 0.6 0.2 23.2 -29.1
pair MRmean LWTI neg-pos 70 26.5 5.7 60.0 0.3 0.6 0.2 23.2 -29.1
single RSmean RSmean neg-neg 27 10.2 5.6 51.9 0.4 0.8 0.3 17.5 -17.3
pair benchmark___benchmark_ benchmark-benchmark 264 100.0 5.3 56.8 0.3 0.5 0.1 26.2 -65.6
pair benchmark___benchmark_ benchmark-benchmark 264 100.0 5.3 56.8 0.3 0.5 0.1 26.2 -65.6
single RSmean RSmean pos-pos 237 89.8 5.2 57.4 0.3 0.5 0.1 27.0 -66.4
pair LWTI RSI pos-pos 155 58.7 4.5 54.8 0.3 0.5 0.1 23.0 -57.1
pair RSI LWTI pos-pos 155 58.7 4.5 54.8 0.3 0.5 0.1 23.0 -57.1
pair LWTI RSI neg-neg 50 18.9 4.5 56.0 0.3 0.5 0.1 35.1 -47.2
pair RSI LWTI neg-neg 50 18.9 4.5 56.0 0.3 0.5 0.1 35.1 -47.2
pair MACDhist RSIhist neg-neg 95 36.0 4.3 55.8 0.3 0.4 0.1 30.6 -53.2
pair RSIhist MACDhist neg-neg 95 36.0 4.3 55.8 0.3 0.4 0.1 30.6 -53.2
pair MACDhist MRmean neg-neg 89 33.7 3.8 58.4 0.3 0.4 0.1 31.2 -48.0
pair MRmean MACDhist neg-neg 89 33.7 3.8 58.4 0.3 0.4 0.1 31.2 -48.0
pair SLmean MACDhist pos-pos 92 34.8 3.7 52.2 0.3 0.5 0.1 24.0 -42.5
pair MACDhist SLmean pos-pos 92 34.8 3.7 52.2 0.3 0.5 0.1 24.0 -42.5
pair MACDhist RSI pos-neg 62 23.5 2.9 58.1 0.2 0.4 0.1 25.1 -61.9
pair RSI MACDhist pos-neg 62 23.5 2.9 58.1 0.2 0.4 0.1 25.1 -61.9
pair SLmean LWTI pos-neg 29 11.0 2.4 58.6 0.2 0.4 0.1 25.0 -34.1
pair LWTI SLmean pos-neg 29 11.0 2.4 58.6 0.2 0.4 0.1 25.0 -34.1
pair SLmean MACD pos-pos 93 35.2 2.3 51.6 0.2 0.4 0.0 24.7 -56.4
pair MACD SLmean pos-pos 93 35.2 2.3 51.6 0.2 0.4 0.0 24.7 -56.4
pair MRmean SLmean neg-neg 101 38.3 2.2 57.4 0.2 0.3 0.1 29.6 -45.9
pair SLmean MRmean neg-neg 101 38.3 2.2 57.4 0.2 0.3 0.1 29.6 -45.9
single MRmean MRmean neg-neg 113 42.8 2.1 57.5 0.2 0.3 0.0 29.2 -52.4
pair MACDhist MRmean pos-pos 105 39.8 1.9 50.5 0.2 0.3 0.0 22.9 -50.6
pair MRmean MACDhist pos-pos 105 39.8 1.9 50.5 0.2 0.3 0.0 22.9 -50.6
pair MACDhist RSmean pos-pos 120 45.5 1.9 52.5 0.2 0.3 0.0 22.8 -53.3
pair RSmean MACDhist pos-pos 120 45.5 1.9 52.5 0.2 0.3 0.0 22.8 -53.3
pair MACDhist LWTI pos-pos 119 45.1 1.7 52.1 0.2 0.3 0.0 22.8 -50.4
pair LWTI MACDhist pos-pos 119 45.1 1.7 52.1 0.2 0.3 0.0 22.8 -50.4
pair RSmean RSI pos-pos 149 56.4 1.6 55.0 0.2 0.3 0.0 23.9 -68.9
pair RSI RSmean pos-pos 149 56.4 1.6 55.0 0.2 0.3 0.0 23.9 -68.9
pair SLmean MRmean neg-pos 12 4.5 1.5 58.3 0.2 0.3 0.1 26.5 -24.0
pair MRmean SLmean neg-pos 12 4.5 1.5 58.3 0.2 0.3 0.1 26.5 -24.0
single RSI RSI pos-pos 169 64.0 1.5 54.4 0.2 0.3 0.0 23.2 -69.4
pair RSIhist MRmean neg-neg 100 37.9 1.1 56.0 0.2 0.3 0.0 29.5 -45.2
pair MRmean RSIhist neg-neg 100 37.9 1.1 56.0 0.2 0.3 0.0 29.5 -45.2
pair MACDhist RSI neg-pos 22 8.3 1.0 45.5 0.1 0.3 0.0 24.5 -26.6
pair RSI MACDhist neg-pos 22 8.3 1.0 45.5 0.1 0.3 0.0 24.5 -26.6
pair SLmean LWTI neg-pos 82 31.1 0.9 54.9 0.1 0.2 0.0 22.5 -30.8
pair RSI RSmean neg-pos 20 7.6 0.9 50.0 0.1 0.2 0.1 17.4 -14.7
pair RSmean RSI neg-pos 20 7.6 0.9 50.0 0.1 0.2 0.1 17.4 -14.7
pair LWTI SLmean neg-pos 82 31.1 0.9 54.9 0.1 0.2 0.0 22.5 -30.8
single MACDhist MACDhist pos-pos 129 48.9 0.8 51.2 0.1 0.2 0.0 22.4 -56.3
pair MACDhist RSI pos-pos 107 40.5 0.8 52.3 0.1 0.2 0.0 22.1 -50.9
pair RSI MACDhist pos-pos 107 40.5 0.8 52.3 0.1 0.2 0.0 22.1 -50.9
pair RSmean MACD neg-pos 10 3.8 0.8 50.0 0.1 0.3 0.1 16.0 -9.6
pair MACD RSmean neg-pos 10 3.8 0.8 50.0 0.1 0.3 0.1 16.0 -9.6
pair MACDhist SLmean neg-neg 80 30.3 0.4 56.2 0.2 0.2 0.0 32.0 -54.2
pair SLmean MACDhist neg-neg 80 30.3 0.4 56.2 0.2 0.2 0.0 32.0 -54.2
pair RSIhist LWTI pos-neg 28 10.6 0.4 60.7 0.1 0.2 0.0 25.0 -31.7
pair LWTI RSIhist pos-neg 28 10.6 0.4 60.7 0.1 0.2 0.0 25.0 -31.7
pair MRmean MACD pos-pos 106 40.2 0.2 50.0 0.1 0.2 0.0 23.8 -62.8
pair MACD MRmean pos-pos 106 40.2 0.2 50.0 0.1 0.2 0.0 23.8 -62.8
pair MRmean RSmean neg-pos 95 36.0 0.2 56.8 0.2 0.2 0.0 30.9 -57.5
pair RSmean MRmean neg-pos 95 36.0 0.2 56.8 0.2 0.2 0.0 30.9 -57.5
pair MACDhist MACD pos-pos 99 37.5 -1.0 51.5 0.1 0.1 -0.0 22.4 -57.4
pair MACD MACDhist pos-pos 99 37.5 -1.0 51.5 0.1 0.1 -0.0 22.4 -57.4
pair MACD LWTI pos-pos 141 53.4 -1.2 50.4 0.1 0.1 -0.0 24.7 -68.6
pair LWTI MACD pos-pos 141 53.4 -1.2 50.4 0.1 0.1 -0.0 24.7 -68.6
pair RSIhist SLmean neg-pos 11 4.2 -1.3 54.5 0.1 0.1 -0.1 23.7 -18.0
pair SLmean RSIhist neg-pos 11 4.2 -1.3 54.5 0.1 0.1 -0.1 23.7 -18.0
single SLmean SLmean neg-neg 117 44.3 -1.7 53.8 0.1 0.1 -0.0 28.3 -52.8
pair RSIhist SLmean neg-neg 106 40.2 -1.8 53.8 0.1 0.1 -0.0 28.8 -51.1
pair SLmean RSIhist neg-neg 106 40.2 -1.8 53.8 0.1 0.1 -0.0 28.8 -51.1
pair LWTI MACDhist neg-neg 54 20.5 -1.9 57.4 0.1 0.2 -0.0 35.5 -52.1
pair MACDhist LWTI neg-neg 54 20.5 -1.9 57.4 0.1 0.2 -0.0 35.5 -52.1
pair RSmean LWTI pos-neg 63 23.9 -2.4 55.6 0.1 0.1 -0.1 33.4 -52.1
pair LWTI RSmean pos-neg 63 23.9 -2.4 55.6 0.1 0.1 -0.1 33.4 -52.1
pair RSIhist LWTI neg-pos 98 37.1 -2.5 53.1 0.0 0.0 -0.0 23.3 -57.2
pair LWTI RSIhist neg-pos 98 37.1 -2.5 53.1 0.0 0.0 -0.0 23.3 -57.2
pair MRmean LWTI pos-neg 21 8.0 -2.6 57.1 0.0 0.0 -0.1 23.5 -31.5
pair LWTI MRmean pos-neg 21 8.0 -2.6 57.1 0.0 0.0 -0.1 23.5 -31.5
single LWTI LWTI neg-neg 64 24.2 -3.2 54.7 0.1 0.1 -0.1 33.2 -52.1
single RSIhist RSIhist neg-neg 134 50.8 -3.4 52.2 0.0 0.0 -0.1 28.1 -68.4
pair LWTI MRmean neg-neg 43 16.3 -3.5 53.5 0.1 0.1 -0.1 37.2 -47.2
pair MRmean LWTI neg-neg 43 16.3 -3.5 53.5 0.1 0.1 -0.1 37.2 -47.2
pair MACDhist MRmean neg-pos 24 9.1 -3.8 54.2 -0.1 -0.2 -0.1 20.2 -26.1
pair MRmean MACDhist neg-pos 24 9.1 -3.8 54.2 -0.1 -0.2 -0.1 20.2 -26.1
pair RSmean SLmean neg-pos 99 37.5 -4.1 52.5 0.0 0.0 -0.1 29.8 -58.5
pair SLmean RSmean neg-pos 99 37.5 -4.1 52.5 0.0 0.0 -0.1 29.8 -58.5
pair MACD RSI pos-neg 28 10.6 -4.1 57.1 0.0 0.1 -0.2 32.5 -20.7
pair RSI MACD pos-neg 28 10.6 -4.1 57.1 0.0 0.1 -0.2 32.5 -20.7
single MACD MACD pos-pos 154 58.3 -5.1 50.0 -0.1 -0.1 -0.1 25.9 -80.4
pair RSI MACD pos-pos 126 47.7 -5.3 48.4 -0.1 -0.2 -0.1 24.3 -75.8
pair MACD RSI pos-pos 126 47.7 -5.3 48.4 -0.1 -0.2 -0.1 24.3 -75.8
pair MACD RSmean pos-pos 144 54.5 -5.5 50.0 -0.1 -0.1 -0.1 26.5 -80.5
pair RSmean MACD pos-pos 144 54.5 -5.5 50.0 -0.1 -0.1 -0.1 26.5 -80.5
pair LWTI RSIhist neg-neg 36 13.6 -5.8 50.0 0.0 0.1 -0.1 38.7 -41.1
pair RSIhist LWTI neg-neg 36 13.6 -5.8 50.0 0.0 0.1 -0.1 38.7 -41.1
pair RSmean RSIhist pos-neg 118 44.7 -6.1 51.7 -0.1 -0.1 -0.1 29.4 -71.2
pair RSIhist RSmean pos-neg 118 44.7 -6.1 51.7 -0.1 -0.1 -0.1 29.4 -71.2
pair SLmean MACDhist neg-pos 37 14.0 -6.2 48.6 -0.3 -0.4 -0.2 17.9 -29.5
pair MACDhist SLmean neg-pos 37 14.0 -6.2 48.6 -0.3 -0.4 -0.2 17.9 -29.5
pair SLmean RSmean pos-neg 9 3.4 -7.3 33.3 -0.4 -1.1 -0.6 16.7 -13.2
pair RSmean SLmean pos-neg 9 3.4 -7.3 33.3 -0.4 -1.1 -0.6 16.7 -13.2
pair MRmean RSmean pos-neg 9 3.4 -7.3 33.3 -0.4 -1.1 -0.6 16.7 -13.2
pair RSmean MRmean pos-neg 9 3.4 -7.3 33.3 -0.4 -1.1 -0.6 16.7 -13.2
pair SLmean LWTI neg-neg 35 13.3 -7.5 51.4 -0.0 -0.0 -0.2 39.1 -41.1
pair LWTI SLmean neg-neg 35 13.3 -7.5 51.4 -0.0 -0.0 -0.2 39.1 -41.1
pair RSIhist SLmean pos-neg 28 10.6 -9.3 46.4 -0.2 -0.4 -0.2 25.8 -42.9
pair SLmean RSIhist pos-neg 28 10.6 -9.3 46.4 -0.2 -0.4 -0.2 25.8 -42.9
pair LWTI MACDhist pos-neg 10 3.8 -9.6 40.0 -0.5 -0.9 -0.7 16.9 -14.7
pair MACDhist LWTI pos-neg 10 3.8 -9.6 40.0 -0.5 -0.9 -0.7 16.9 -14.7
pair RSmean RSIhist neg-pos 11 4.2 -11.7 45.5 -0.6 -1.1 -0.7 18.9 -17.1
pair RSIhist RSmean neg-pos 11 4.2 -11.7 45.5 -0.6 -1.1 -0.7 18.9 -17.1
pair MACDhist MACD pos-neg 55 20.8 -12.0 47.3 -0.2 -0.4 -0.2 31.3 -69.6
pair MACD MACDhist pos-neg 55 20.8 -12.0 47.3 -0.2 -0.4 -0.2 31.3 -69.6
pair RSmean MACDhist neg-pos 9 3.4 -13.3 33.3 -0.8 -4.0 -0.9 17.2 -15.5
pair MACDhist RSmean neg-pos 9 3.4 -13.3 33.3 -0.8 -4.0 -0.9 17.2 -15.5
pair RSI SLmean neg-pos 46 17.4 -14.0 45.7 -0.6 -0.8 -0.3 21.9 -53.4
pair SLmean RSI neg-pos 46 17.4 -14.0 45.7 -0.6 -0.8 -0.3 21.9 -53.4
pair MRmean RSI neg-pos 33 12.5 -14.2 48.5 -0.5 -0.8 -0.3 24.1 -50.4
pair RSI MRmean neg-pos 33 12.5 -14.2 48.5 -0.5 -0.8 -0.3 24.1 -50.4
pair SLmean MACD neg-pos 61 23.1 -15.3 47.5 -0.5 -0.6 -0.2 27.4 -65.3
pair MACD SLmean neg-pos 61 23.1 -15.3 47.5 -0.5 -0.6 -0.2 27.4 -65.3
pair RSIhist MRmean pos-neg 34 12.9 -15.4 41.2 -0.6 -0.8 -0.3 23.5 -55.4
pair MRmean RSIhist pos-neg 34 12.9 -15.4 41.2 -0.6 -0.8 -0.3 23.5 -55.4
pair MACD MRmean neg-pos 48 18.2 -15.8 50.0 -0.4 -0.6 -0.3 29.9 -61.7
pair MRmean MACD neg-pos 48 18.2 -15.8 50.0 -0.4 -0.6 -0.3 29.9 -61.7
pair RSIhist RSI pos-neg 63 23.9 -15.9 42.9 -0.6 -0.9 -0.2 23.5 -75.3
pair RSI RSIhist pos-neg 63 23.9 -15.9 42.9 -0.6 -0.9 -0.2 23.5 -75.3
pair RSIhist MACD pos-neg 78 29.5 -19.6 43.6 -0.7 -0.9 -0.2 26.9 -78.6
pair MACD RSIhist pos-neg 78 29.5 -19.6 43.6 -0.7 -0.9 -0.2 26.9 -78.6
pair MACDhist RSIhist pos-neg 39 14.8 -19.9 43.6 -1.0 -1.2 -0.4 20.2 -51.3
pair RSIhist MACDhist pos-neg 39 14.8 -19.9 43.6 -1.0 -1.2 -0.4 20.2 -51.3
pair SLmean MRmean pos-neg 16 6.1 -23.2 31.2 -1.6 -1.8 -0.9 16.1 -24.5
pair MRmean SLmean pos-neg 16 6.1 -23.2 31.2 -1.6 -1.8 -0.9 16.1 -24.5
pair LWTI RSI pos-neg 14 5.3 -26.3 50.0 -1.1 -1.5 -1.1 24.2 -24.3
pair RSI LWTI pos-neg 14 5.3 -26.3 50.0 -1.1 -1.5 -1.1 24.2 -24.3
pair MACD LWTI pos-neg 13 4.9 -39.0 46.2 -1.2 -1.3 -1.4 35.5 -28.5
pair LWTI MACD pos-neg 13 4.9 -39.0 46.2 -1.2 -1.3 -1.4 35.5 -28.5
pair RSmean LWTI neg-neg 1 0.4 -39.2 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.4 -39.2 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for FXI

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 12.1% | Win 59%
Sharpe 0.59 | Sortino 1.08 | Calmar 0.2
Vol 24% | MDD -48.4%
Months 135M (51%)
CAGR -23.2% | Win 31%
Sharpe -1.55 | Sortino -1.75 | Calmar -0.9
Vol 16% | MDD -24.5%
Months 16M (6%)
CAGR 7.7% | Win 56%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.1
Vol 24% | MDD -53.1%
Months 151M (57%)
MRmean
neg
CAGR 1.5% | Win 58%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.1
Vol 26% | MDD -24.0%
Months 12M (4%)
CAGR 2.2% | Win 57%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 30% | MDD -45.9%
Months 101M (38%)
CAGR 2.1% | Win 57%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 29% | MDD -52.4%
Months 113M (43%)
SLmean
only
CAGR 11.2% | Win 59%
Sharpe 0.56 | Sortino 1.02 | Calmar 0.2
Vol 24% | MDD -47.7%
Months 147M (56%)
CAGR -1.7% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -52.8%
Months 117M (44%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 8.7% | Win 58%
Sharpe 0.46 | Sortino 0.81 | Calmar 0.2
Vol 24% | MDD -48.8%
Months 142M (54%)
CAGR -7.3% | Win 33%
Sharpe -0.38 | Sortino -1.06 | Calmar -0.5
Vol 17% | MDD -13.2%
Months 9M (3%)
CAGR 7.7% | Win 56%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.1
Vol 24% | MDD -53.1%
Months 151M (57%)
MRmean
neg
CAGR 0.2% | Win 57%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 31% | MDD -57.5%
Months 95M (36%)
CAGR 12.6% | Win 61%
Sharpe 0.75 | Sortino 1.18 | Calmar 1.2
Vol 18% | MDD -10.3%
Months 18M (7%)
CAGR 2.1% | Win 57%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 29% | MDD -52.4%
Months 113M (43%)
RSmean
only
CAGR 5.2% | Win 57%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 27% | MDD -66.4%
Months 237M (90%)
CAGR 5.6% | Win 52%
Sharpe 0.40 | Sortino 0.77 | Calmar 0.3
Vol 18% | MDD -17.3%
Months 27M (10%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 0.2% | Win 50%
Sharpe 0.12 | Sortino 0.21 | Calmar 0.0
Vol 24% | MDD -62.8%
Months 106M (40%)
CAGR 27.6% | Win 71%
Sharpe 1.17 | Sortino 2.23 | Calmar 0.9
Vol 23% | MDD -30.4%
Months 45M (17%)
CAGR 7.7% | Win 56%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.1
Vol 24% | MDD -53.1%
Months 151M (57%)
MRmean
neg
CAGR -15.8% | Win 50%
Sharpe -0.42 | Sortino -0.57 | Calmar -0.3
Vol 30% | MDD -61.7%
Months 48M (18%)
CAGR 17.8% | Win 63%
Sharpe 0.72 | Sortino 1.14 | Calmar 0.4
Vol 28% | MDD -44.5%
Months 65M (25%)
CAGR 2.1% | Win 57%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 29% | MDD -52.4%
Months 113M (43%)
MACD
only
CAGR -5.1% | Win 50%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -80.4%
Months 154M (58%)
CAGR 21.7% | Win 66%
Sharpe 0.88 | Sortino 1.46 | Calmar 0.5
Vol 26% | MDD -44.5%
Months 110M (42%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 5.8% | Win 56%
Sharpe 0.36 | Sortino 0.62 | Calmar 0.1
Vol 23% | MDD -56.9%
Months 136M (52%)
CAGR 26.8% | Win 60%
Sharpe 0.91 | Sortino 1.84 | Calmar 0.9
Vol 31% | MDD -30.4%
Months 15M (6%)
CAGR 7.7% | Win 56%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.1
Vol 24% | MDD -53.1%
Months 151M (57%)
MRmean
neg
CAGR -14.2% | Win 48%
Sharpe -0.51 | Sortino -0.80 | Calmar -0.3
Vol 24% | MDD -50.4%
Months 33M (12%)
CAGR 9.7% | Win 61%
Sharpe 0.45 | Sortino 0.63 | Calmar 0.2
Vol 31% | MDD -48.0%
Months 80M (30%)
CAGR 2.1% | Win 57%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 29% | MDD -52.4%
Months 113M (43%)
RSI
only
CAGR 1.5% | Win 54%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 23% | MDD -69.4%
Months 169M (64%)
CAGR 12.2% | Win 61%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.3
Vol 31% | MDD -48.0%
Months 95M (36%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 1.9% | Win 50%
Sharpe 0.19 | Sortino 0.33 | Calmar 0.0
Vol 23% | MDD -50.6%
Months 105M (40%)
CAGR 22.2% | Win 70%
Sharpe 0.91 | Sortino 1.92 | Calmar 0.7
Vol 26% | MDD -31.7%
Months 46M (17%)
CAGR 7.7% | Win 56%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.1
Vol 24% | MDD -53.1%
Months 151M (57%)
MRmean
neg
CAGR -3.8% | Win 54%
Sharpe -0.09 | Sortino -0.16 | Calmar -0.1
Vol 20% | MDD -26.1%
Months 24M (9%)
CAGR 3.8% | Win 58%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 31% | MDD -48.0%
Months 89M (34%)
CAGR 2.1% | Win 57%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 29% | MDD -52.4%
Months 113M (43%)
MACDhist
only
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.25 | Calmar 0.0
Vol 22% | MDD -56.3%
Months 129M (49%)
CAGR 9.7% | Win 62%
Sharpe 0.46 | Sortino 0.70 | Calmar 0.2
Vol 29% | MDD -53.2%
Months 135M (51%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 15.5% | Win 61%
Sharpe 0.73 | Sortino 1.46 | Calmar 0.4
Vol 24% | MDD -39.1%
Months 117M (44%)
CAGR -15.4% | Win 41%
Sharpe -0.59 | Sortino -0.83 | Calmar -0.3
Vol 24% | MDD -55.4%
Months 34M (13%)
CAGR 7.7% | Win 56%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.1
Vol 24% | MDD -53.1%
Months 151M (57%)
MRmean
neg
CAGR 10.3% | Win 69%
Sharpe 0.49 | Sortino 1.00 | Calmar 0.4
Vol 28% | MDD -23.5%
Months 13M (5%)
CAGR 1.1% | Win 56%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -45.2%
Months 100M (38%)
CAGR 2.1% | Win 57%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 29% | MDD -52.4%
Months 113M (43%)
RSIhist
only
CAGR 15.0% | Win 62%
Sharpe 0.70 | Sortino 1.36 | Calmar 0.4
Vol 24% | MDD -36.4%
Months 130M (49%)
CAGR -3.4% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 28% | MDD -68.4%
Months 134M (51%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 9.4% | Win 56%
Sharpe 0.49 | Sortino 0.88 | Calmar 0.2
Vol 24% | MDD -52.5%
Months 130M (49%)
CAGR -2.6% | Win 57%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.1
Vol 24% | MDD -31.5%
Months 21M (8%)
CAGR 7.7% | Win 56%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.1
Vol 24% | MDD -53.1%
Months 151M (57%)
MRmean
neg
CAGR 5.7% | Win 60%
Sharpe 0.35 | Sortino 0.55 | Calmar 0.2
Vol 23% | MDD -29.1%
Months 70M (26%)
CAGR -3.5% | Win 54%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.1
Vol 37% | MDD -47.2%
Months 43M (16%)
CAGR 2.1% | Win 57%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 29% | MDD -52.4%
Months 113M (43%)
LWTI
only
CAGR 8.1% | Win 57%
Sharpe 0.45 | Sortino 0.76 | Calmar 0.2
Vol 24% | MDD -53.7%
Months 200M (76%)
CAGR -3.2% | Win 55%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.1
Vol 33% | MDD -52.1%
Months 64M (24%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 12.5% | Win 61%
Sharpe 0.60 | Sortino 1.08 | Calmar 0.3
Vol 25% | MDD -43.0%
Months 138M (52%)
CAGR -7.3% | Win 33%
Sharpe -0.38 | Sortino -1.06 | Calmar -0.5
Vol 17% | MDD -13.2%
Months 9M (3%)
CAGR 11.2% | Win 59%
Sharpe 0.56 | Sortino 1.02 | Calmar 0.2
Vol 24% | MDD -47.7%
Months 147M (56%)
SLmean
neg
CAGR -4.1% | Win 52%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 30% | MDD -58.5%
Months 99M (38%)
CAGR 12.6% | Win 61%
Sharpe 0.75 | Sortino 1.18 | Calmar 1.2
Vol 18% | MDD -10.3%
Months 18M (7%)
CAGR -1.7% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -52.8%
Months 117M (44%)
RSmean
only
CAGR 5.2% | Win 57%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 27% | MDD -66.4%
Months 237M (90%)
CAGR 5.6% | Win 52%
Sharpe 0.40 | Sortino 0.77 | Calmar 0.3
Vol 18% | MDD -17.3%
Months 27M (10%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 2.3% | Win 52%
Sharpe 0.21 | Sortino 0.39 | Calmar 0.0
Vol 25% | MDD -56.4%
Months 93M (35%)
CAGR 28.4% | Win 72%
Sharpe 1.19 | Sortino 2.01 | Calmar 1.2
Vol 24% | MDD -24.0%
Months 54M (20%)
CAGR 11.2% | Win 59%
Sharpe 0.56 | Sortino 1.02 | Calmar 0.2
Vol 24% | MDD -47.7%
Months 147M (56%)
SLmean
neg
CAGR -15.3% | Win 48%
Sharpe -0.46 | Sortino -0.59 | Calmar -0.2
Vol 27% | MDD -65.3%
Months 61M (23%)
CAGR 15.6% | Win 61%
Sharpe 0.64 | Sortino 1.06 | Calmar 0.4
Vol 29% | MDD -38.1%
Months 56M (21%)
CAGR -1.7% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -52.8%
Months 117M (44%)
MACD
only
CAGR -5.1% | Win 50%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -80.4%
Months 154M (58%)
CAGR 21.7% | Win 66%
Sharpe 0.88 | Sortino 1.46 | Calmar 0.5
Vol 26% | MDD -44.5%
Months 110M (42%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.0% | Win 58%
Sharpe 0.44 | Sortino 0.82 | Calmar 0.2
Vol 24% | MDD -50.3%
Months 123M (47%)
CAGR 28.9% | Win 67%
Sharpe 1.02 | Sortino 1.72 | Calmar 1.2
Vol 29% | MDD -24.0%
Months 24M (9%)
CAGR 11.2% | Win 59%
Sharpe 0.56 | Sortino 1.02 | Calmar 0.2
Vol 24% | MDD -47.7%
Months 147M (56%)
SLmean
neg
CAGR -14.0% | Win 46%
Sharpe -0.58 | Sortino -0.79 | Calmar -0.3
Vol 22% | MDD -53.4%
Months 46M (17%)
CAGR 7.1% | Win 59%
Sharpe 0.38 | Sortino 0.53 | Calmar 0.2
Vol 32% | MDD -42.0%
Months 71M (27%)
CAGR -1.7% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -52.8%
Months 117M (44%)
RSI
only
CAGR 1.5% | Win 54%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 23% | MDD -69.4%
Months 169M (64%)
CAGR 12.2% | Win 61%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.3
Vol 31% | MDD -48.0%
Months 95M (36%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 3.7% | Win 52%
Sharpe 0.27 | Sortino 0.48 | Calmar 0.1
Vol 24% | MDD -42.5%
Months 92M (35%)
CAGR 24.8% | Win 71%
Sharpe 1.02 | Sortino 2.05 | Calmar 1.0
Vol 25% | MDD -23.8%
Months 55M (21%)
CAGR 11.2% | Win 59%
Sharpe 0.56 | Sortino 1.02 | Calmar 0.2
Vol 24% | MDD -47.7%
Months 147M (56%)
SLmean
neg
CAGR -6.2% | Win 49%
Sharpe -0.27 | Sortino -0.40 | Calmar -0.2
Vol 18% | MDD -29.5%
Months 37M (14%)
CAGR 0.4% | Win 56%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 32% | MDD -54.2%
Months 80M (30%)
CAGR -1.7% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -52.8%
Months 117M (44%)
MACDhist
only
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.25 | Calmar 0.0
Vol 22% | MDD -56.3%
Months 129M (49%)
CAGR 9.7% | Win 62%
Sharpe 0.46 | Sortino 0.70 | Calmar 0.2
Vol 29% | MDD -53.2%
Months 135M (51%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 16.6% | Win 62%
Sharpe 0.76 | Sortino 1.45 | Calmar 0.5
Vol 24% | MDD -34.0%
Months 119M (45%)
CAGR -9.3% | Win 46%
Sharpe -0.25 | Sortino -0.41 | Calmar -0.2
Vol 26% | MDD -42.9%
Months 28M (11%)
CAGR 11.2% | Win 59%
Sharpe 0.56 | Sortino 1.02 | Calmar 0.2
Vol 24% | MDD -47.7%
Months 147M (56%)
SLmean
neg
CAGR -1.3% | Win 55%
Sharpe 0.05 | Sortino 0.12 | Calmar -0.1
Vol 24% | MDD -18.0%
Months 11M (4%)
CAGR -1.8% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 29% | MDD -51.1%
Months 106M (40%)
CAGR -1.7% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -52.8%
Months 117M (44%)
RSIhist
only
CAGR 15.0% | Win 62%
Sharpe 0.70 | Sortino 1.36 | Calmar 0.4
Vol 24% | MDD -36.4%
Months 130M (49%)
CAGR -3.4% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 28% | MDD -68.4%
Months 134M (51%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 13.5% | Win 59%
Sharpe 0.64 | Sortino 1.18 | Calmar 0.3
Vol 24% | MDD -40.9%
Months 118M (45%)
CAGR 2.4% | Win 59%
Sharpe 0.21 | Sortino 0.38 | Calmar 0.1
Vol 25% | MDD -34.1%
Months 29M (11%)
CAGR 11.2% | Win 59%
Sharpe 0.56 | Sortino 1.02 | Calmar 0.2
Vol 24% | MDD -47.7%
Months 147M (56%)
SLmean
neg
CAGR 0.9% | Win 55%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 22% | MDD -30.8%
Months 82M (31%)
CAGR -7.5% | Win 51%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.2
Vol 39% | MDD -41.1%
Months 35M (13%)
CAGR -1.7% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -52.8%
Months 117M (44%)
LWTI
only
CAGR 8.1% | Win 57%
Sharpe 0.45 | Sortino 0.76 | Calmar 0.2
Vol 24% | MDD -53.7%
Months 200M (76%)
CAGR -3.2% | Win 55%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.1
Vol 33% | MDD -52.1%
Months 64M (24%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -5.5% | Win 50%
Sharpe -0.08 | Sortino -0.12 | Calmar -0.1
Vol 26% | MDD -80.5%
Months 144M (54%)
CAGR 24.3% | Win 69%
Sharpe 0.93 | Sortino 1.53 | Calmar 0.5
Vol 27% | MDD -44.5%
Months 93M (35%)
CAGR 5.2% | Win 57%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 27% | MDD -66.4%
Months 237M (90%)
RSmean
neg
CAGR 0.8% | Win 50%
Sharpe 0.12 | Sortino 0.30 | Calmar 0.1
Vol 16% | MDD -9.6%
Months 10M (4%)
CAGR 8.5% | Win 53%
Sharpe 0.53 | Sortino 0.93 | Calmar 0.8
Vol 19% | MDD -10.6%
Months 17M (6%)
CAGR 5.6% | Win 52%
Sharpe 0.40 | Sortino 0.77 | Calmar 0.3
Vol 18% | MDD -17.3%
Months 27M (10%)
MACD
only
CAGR -5.1% | Win 50%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -80.4%
Months 154M (58%)
CAGR 21.7% | Win 66%
Sharpe 0.88 | Sortino 1.46 | Calmar 0.5
Vol 26% | MDD -44.5%
Months 110M (42%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 1.6% | Win 55%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.0
Vol 24% | MDD -68.9%
Months 149M (56%)
CAGR 11.7% | Win 61%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 32% | MDD -48.0%
Months 88M (33%)
CAGR 5.2% | Win 57%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 27% | MDD -66.4%
Months 237M (90%)
RSmean
neg
CAGR 0.9% | Win 50%
Sharpe 0.14 | Sortino 0.23 | Calmar 0.1
Vol 17% | MDD -14.7%
Months 20M (8%)
CAGR 19.9% | Win 57%
Sharpe 1.08 | Sortino 12.47 | Calmar 1.9
Vol 18% | MDD -10.6%
Months 7M (3%)
CAGR 5.6% | Win 52%
Sharpe 0.40 | Sortino 0.77 | Calmar 0.3
Vol 18% | MDD -17.3%
Months 27M (10%)
RSI
only
CAGR 1.5% | Win 54%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 23% | MDD -69.4%
Months 169M (64%)
CAGR 12.2% | Win 61%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.3
Vol 31% | MDD -48.0%
Months 95M (36%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 1.9% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 23% | MDD -53.3%
Months 120M (46%)
CAGR 8.7% | Win 62%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 31% | MDD -54.2%
Months 117M (44%)
CAGR 5.2% | Win 57%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 27% | MDD -66.4%
Months 237M (90%)
RSmean
neg
CAGR -13.3% | Win 33%
Sharpe -0.75 | Sortino -4.04 | Calmar -0.9
Vol 17% | MDD -15.5%
Months 9M (3%)
CAGR 16.5% | Win 61%
Sharpe 0.97 | Sortino 1.37 | Calmar 1.6
Vol 17% | MDD -10.3%
Months 18M (7%)
CAGR 5.6% | Win 52%
Sharpe 0.40 | Sortino 0.77 | Calmar 0.3
Vol 18% | MDD -17.3%
Months 27M (10%)
MACDhist
only
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.25 | Calmar 0.0
Vol 22% | MDD -56.3%
Months 129M (49%)
CAGR 9.7% | Win 62%
Sharpe 0.46 | Sortino 0.70 | Calmar 0.2
Vol 29% | MDD -53.2%
Months 135M (51%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 17.8% | Win 63%
Sharpe 0.80 | Sortino 1.51 | Calmar 0.5
Vol 24% | MDD -38.2%
Months 119M (45%)
CAGR -6.1% | Win 52%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 29% | MDD -71.2%
Months 118M (45%)
CAGR 5.2% | Win 57%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 27% | MDD -66.4%
Months 237M (90%)
RSmean
neg
CAGR -11.7% | Win 46%
Sharpe -0.57 | Sortino -1.14 | Calmar -0.7
Vol 19% | MDD -17.1%
Months 11M (4%)
CAGR 19.3% | Win 56%
Sharpe 1.18 | Sortino 2.85 | Calmar 3.3
Vol 16% | MDD -5.9%
Months 16M (6%)
CAGR 5.6% | Win 52%
Sharpe 0.40 | Sortino 0.77 | Calmar 0.3
Vol 18% | MDD -17.3%
Months 27M (10%)
RSIhist
only
CAGR 15.0% | Win 62%
Sharpe 0.70 | Sortino 1.36 | Calmar 0.4
Vol 24% | MDD -36.4%
Months 130M (49%)
CAGR -3.4% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 28% | MDD -68.4%
Months 134M (51%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 8.2% | Win 58%
Sharpe 0.44 | Sortino 0.75 | Calmar 0.1
Vol 24% | MDD -57.4%
Months 174M (66%)
CAGR -2.4% | Win 56%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 33% | MDD -52.1%
Months 63M (24%)
CAGR 5.2% | Win 57%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 27% | MDD -66.4%
Months 237M (90%)
RSmean
neg
CAGR 7.8% | Win 54%
Sharpe 0.52 | Sortino 0.97 | Calmar 0.5
Vol 18% | MDD -14.7%
Months 26M (10%)
CAGR -39.2% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 5.6% | Win 52%
Sharpe 0.40 | Sortino 0.77 | Calmar 0.3
Vol 18% | MDD -17.3%
Months 27M (10%)
LWTI
only
CAGR 8.1% | Win 57%
Sharpe 0.45 | Sortino 0.76 | Calmar 0.2
Vol 24% | MDD -53.7%
Months 200M (76%)
CAGR -3.2% | Win 55%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.1
Vol 33% | MDD -52.1%
Months 64M (24%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -5.3% | Win 48%
Sharpe -0.10 | Sortino -0.18 | Calmar -0.1
Vol 24% | MDD -75.8%
Months 126M (48%)
CAGR -4.1% | Win 57%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.2
Vol 32% | MDD -20.7%
Months 28M (11%)
CAGR -5.1% | Win 50%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -80.4%
Months 154M (58%)
MACD
neg
CAGR 24.6% | Win 72%
Sharpe 1.28 | Sortino 2.16 | Calmar 2.2
Vol 19% | MDD -11.0%
Months 43M (16%)
CAGR 19.9% | Win 63%
Sharpe 0.75 | Sortino 1.29 | Calmar 0.4
Vol 30% | MDD -44.5%
Months 67M (25%)
CAGR 21.7% | Win 66%
Sharpe 0.88 | Sortino 1.46 | Calmar 0.5
Vol 26% | MDD -44.5%
Months 110M (42%)
RSI
only
CAGR 1.5% | Win 54%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 23% | MDD -69.4%
Months 169M (64%)
CAGR 12.2% | Win 61%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.3
Vol 31% | MDD -48.0%
Months 95M (36%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR -1.0% | Win 52%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.0
Vol 22% | MDD -57.4%
Months 99M (38%)
CAGR -12.0% | Win 47%
Sharpe -0.25 | Sortino -0.38 | Calmar -0.2
Vol 31% | MDD -69.6%
Months 55M (21%)
CAGR -5.1% | Win 50%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -80.4%
Months 154M (58%)
MACD
neg
CAGR 7.1% | Win 50%
Sharpe 0.41 | Sortino 0.90 | Calmar 0.3
Vol 23% | MDD -26.6%
Months 30M (11%)
CAGR 27.7% | Win 72%
Sharpe 1.03 | Sortino 1.57 | Calmar 0.6
Vol 27% | MDD -44.5%
Months 80M (30%)
CAGR 21.7% | Win 66%
Sharpe 0.88 | Sortino 1.46 | Calmar 0.5
Vol 26% | MDD -44.5%
Months 110M (42%)
MACDhist
only
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.25 | Calmar 0.0
Vol 22% | MDD -56.3%
Months 129M (49%)
CAGR 9.7% | Win 62%
Sharpe 0.46 | Sortino 0.70 | Calmar 0.2
Vol 29% | MDD -53.2%
Months 135M (51%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 12.5% | Win 57%
Sharpe 0.61 | Sortino 1.25 | Calmar 0.3
Vol 24% | MDD -46.1%
Months 76M (29%)
CAGR -19.6% | Win 44%
Sharpe -0.67 | Sortino -0.90 | Calmar -0.2
Vol 27% | MDD -78.6%
Months 78M (30%)
CAGR -5.1% | Win 50%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -80.4%
Months 154M (58%)
MACD
neg
CAGR 18.6% | Win 68%
Sharpe 0.83 | Sortino 1.53 | Calmar 0.9
Vol 24% | MDD -20.3%
Months 54M (20%)
CAGR 24.8% | Win 64%
Sharpe 0.92 | Sortino 1.45 | Calmar 0.7
Vol 28% | MDD -38.1%
Months 56M (21%)
CAGR 21.7% | Win 66%
Sharpe 0.88 | Sortino 1.46 | Calmar 0.5
Vol 26% | MDD -44.5%
Months 110M (42%)
RSIhist
only
CAGR 15.0% | Win 62%
Sharpe 0.70 | Sortino 1.36 | Calmar 0.4
Vol 24% | MDD -36.4%
Months 130M (49%)
CAGR -3.4% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 28% | MDD -68.4%
Months 134M (51%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -1.2% | Win 50%
Sharpe 0.07 | Sortino 0.13 | Calmar -0.0
Vol 25% | MDD -68.6%
Months 141M (53%)
CAGR -39.0% | Win 46%
Sharpe -1.18 | Sortino -1.33 | Calmar -1.4
Vol 36% | MDD -28.5%
Months 13M (5%)
CAGR -5.1% | Win 50%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -80.4%
Months 154M (58%)
MACD
neg
CAGR 33.9% | Win 75%
Sharpe 1.59 | Sortino 2.69 | Calmar 1.3
Vol 20% | MDD -26.6%
Months 59M (22%)
CAGR 9.0% | Win 57%
Sharpe 0.42 | Sortino 0.76 | Calmar 0.2
Vol 32% | MDD -44.5%
Months 51M (19%)
CAGR 21.7% | Win 66%
Sharpe 0.88 | Sortino 1.46 | Calmar 0.5
Vol 26% | MDD -44.5%
Months 110M (42%)
LWTI
only
CAGR 8.1% | Win 57%
Sharpe 0.45 | Sortino 0.76 | Calmar 0.2
Vol 24% | MDD -53.7%
Months 200M (76%)
CAGR -3.2% | Win 55%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.1
Vol 33% | MDD -52.1%
Months 64M (24%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 0.8% | Win 52%
Sharpe 0.14 | Sortino 0.23 | Calmar 0.0
Vol 22% | MDD -50.9%
Months 107M (40%)
CAGR 2.9% | Win 58%
Sharpe 0.24 | Sortino 0.43 | Calmar 0.0
Vol 25% | MDD -61.9%
Months 62M (24%)
CAGR 1.5% | Win 54%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 23% | MDD -69.4%
Months 169M (64%)
RSI
neg
CAGR 1.0% | Win 46%
Sharpe 0.15 | Sortino 0.34 | Calmar 0.0
Vol 24% | MDD -26.6%
Months 22M (8%)
CAGR 15.9% | Win 66%
Sharpe 0.62 | Sortino 0.85 | Calmar 0.3
Vol 33% | MDD -48.0%
Months 73M (28%)
CAGR 12.2% | Win 61%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.3
Vol 31% | MDD -48.0%
Months 95M (36%)
MACDhist
only
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.25 | Calmar 0.0
Vol 22% | MDD -56.3%
Months 129M (49%)
CAGR 9.7% | Win 62%
Sharpe 0.46 | Sortino 0.70 | Calmar 0.2
Vol 29% | MDD -53.2%
Months 135M (51%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 13.6% | Win 61%
Sharpe 0.68 | Sortino 1.33 | Calmar 0.4
Vol 22% | MDD -34.6%
Months 106M (40%)
CAGR -15.9% | Win 43%
Sharpe -0.61 | Sortino -0.90 | Calmar -0.2
Vol 24% | MDD -75.3%
Months 63M (24%)
CAGR 1.5% | Win 54%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 23% | MDD -69.4%
Months 169M (64%)
RSI
neg
CAGR 21.6% | Win 62%
Sharpe 0.80 | Sortino 1.59 | Calmar 1.1
Vol 30% | MDD -20.3%
Months 24M (9%)
CAGR 9.3% | Win 61%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.2
Vol 31% | MDD -42.0%
Months 71M (27%)
CAGR 12.2% | Win 61%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.3
Vol 31% | MDD -48.0%
Months 95M (36%)
RSIhist
only
CAGR 15.0% | Win 62%
Sharpe 0.70 | Sortino 1.36 | Calmar 0.4
Vol 24% | MDD -36.4%
Months 130M (49%)
CAGR -3.4% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 28% | MDD -68.4%
Months 134M (51%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 4.5% | Win 55%
Sharpe 0.30 | Sortino 0.54 | Calmar 0.1
Vol 23% | MDD -57.1%
Months 155M (59%)
CAGR -26.3% | Win 50%
Sharpe -1.12 | Sortino -1.50 | Calmar -1.1
Vol 24% | MDD -24.3%
Months 14M (5%)
CAGR 1.5% | Win 54%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 23% | MDD -69.4%
Months 169M (64%)
RSI
neg
CAGR 21.5% | Win 67%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.8
Vol 26% | MDD -26.6%
Months 45M (17%)
CAGR 4.5% | Win 56%
Sharpe 0.30 | Sortino 0.45 | Calmar 0.1
Vol 35% | MDD -47.2%
Months 50M (19%)
CAGR 12.2% | Win 61%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.3
Vol 31% | MDD -48.0%
Months 95M (36%)
LWTI
only
CAGR 8.1% | Win 57%
Sharpe 0.45 | Sortino 0.76 | Calmar 0.2
Vol 24% | MDD -53.7%
Months 200M (76%)
CAGR -3.2% | Win 55%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.1
Vol 33% | MDD -52.1%
Months 64M (24%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 11.3% | Win 54%
Sharpe 0.58 | Sortino 1.21 | Calmar 0.3
Vol 23% | MDD -36.2%
Months 90M (34%)
CAGR -19.9% | Win 44%
Sharpe -0.98 | Sortino -1.23 | Calmar -0.4
Vol 20% | MDD -51.3%
Months 39M (15%)
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.25 | Calmar 0.0
Vol 22% | MDD -56.3%
Months 129M (49%)
MACDhist
neg
CAGR 23.7% | Win 78%
Sharpe 0.94 | Sortino 3.82 | Calmar 1.2
Vol 26% | MDD -19.6%
Months 40M (15%)
CAGR 4.3% | Win 56%
Sharpe 0.29 | Sortino 0.43 | Calmar 0.1
Vol 31% | MDD -53.2%
Months 95M (36%)
CAGR 9.7% | Win 62%
Sharpe 0.46 | Sortino 0.70 | Calmar 0.2
Vol 29% | MDD -53.2%
Months 135M (51%)
RSIhist
only
CAGR 15.0% | Win 62%
Sharpe 0.70 | Sortino 1.36 | Calmar 0.4
Vol 24% | MDD -36.4%
Months 130M (49%)
CAGR -3.4% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 28% | MDD -68.4%
Months 134M (51%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 1.7% | Win 52%
Sharpe 0.19 | Sortino 0.32 | Calmar 0.0
Vol 23% | MDD -50.4%
Months 119M (45%)
CAGR -9.6% | Win 40%
Sharpe -0.52 | Sortino -0.95 | Calmar -0.7
Vol 17% | MDD -14.7%
Months 10M (4%)
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.25 | Calmar 0.0
Vol 22% | MDD -56.3%
Months 129M (49%)
MACDhist
neg
CAGR 18.2% | Win 65%
Sharpe 0.81 | Sortino 1.33 | Calmar 0.5
Vol 25% | MDD -35.7%
Months 81M (31%)
CAGR -1.9% | Win 57%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.0
Vol 36% | MDD -52.1%
Months 54M (20%)
CAGR 9.7% | Win 62%
Sharpe 0.46 | Sortino 0.70 | Calmar 0.2
Vol 29% | MDD -53.2%
Months 135M (51%)
LWTI
only
CAGR 8.1% | Win 57%
Sharpe 0.45 | Sortino 0.76 | Calmar 0.2
Vol 24% | MDD -53.7%
Months 200M (76%)
CAGR -3.2% | Win 55%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.1
Vol 33% | MDD -52.1%
Months 64M (24%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 19.4% | Win 62%
Sharpe 0.87 | Sortino 1.77 | Calmar 0.6
Vol 24% | MDD -30.1%
Months 102M (39%)
CAGR 0.4% | Win 61%
Sharpe 0.14 | Sortino 0.25 | Calmar 0.0
Vol 25% | MDD -31.7%
Months 28M (11%)
CAGR 15.0% | Win 62%
Sharpe 0.70 | Sortino 1.36 | Calmar 0.4
Vol 24% | MDD -36.4%
Months 130M (49%)
RSIhist
neg
CAGR -2.5% | Win 53%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 23% | MDD -57.2%
Months 98M (37%)
CAGR -5.8% | Win 50%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 39% | MDD -41.1%
Months 36M (14%)
CAGR -3.4% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 28% | MDD -68.4%
Months 134M (51%)
LWTI
only
CAGR 8.1% | Win 57%
Sharpe 0.45 | Sortino 0.76 | Calmar 0.2
Vol 24% | MDD -53.7%
Months 200M (76%)
CAGR -3.2% | Win 55%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.1
Vol 33% | MDD -52.1%
Months 64M (24%)