FXI - iShares China Large-Cap ETF

Signal Pair Analysis

MACD-LWTI

Best Pair

33.9%

Best CAGR

74

Total Months

4.5%

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 22.8 33.9 74.6 1.6 2.7 1.3 19.7 -26.6
pair MACD LWTI neg-pos 59 22.8 33.9 74.6 1.6 2.7 1.3 19.7 -26.6
pair SLmean RSI pos-neg 24 9.3 28.8 66.7 1.0 1.7 1.2 29.0 -24.0
pair RSI SLmean pos-neg 24 9.3 28.8 66.7 1.0 1.7 1.2 29.0 -24.0
pair MACD SLmean pos-neg 54 20.8 28.4 72.2 1.2 2.0 1.2 23.5 -24.0
pair SLmean MACD pos-neg 54 20.8 28.4 72.2 1.2 2.0 1.2 23.5 -24.0
pair MACDhist MACD neg-neg 80 30.9 27.7 72.5 1.0 1.6 0.6 27.4 -44.5
pair MACD MACDhist neg-neg 80 30.9 27.7 72.5 1.0 1.6 0.6 27.4 -44.5
pair MRmean MACD pos-neg 45 17.4 27.6 71.1 1.2 2.2 0.9 23.3 -30.4
pair MACD MRmean pos-neg 45 17.4 27.6 71.1 1.2 2.2 0.9 23.3 -30.4
pair RSI MRmean pos-neg 15 5.8 26.8 60.0 0.9 1.8 0.9 31.4 -30.4
pair MRmean RSI pos-neg 15 5.8 26.8 60.0 0.9 1.8 0.9 31.4 -30.4
pair MACDhist SLmean pos-neg 54 20.8 26.2 72.2 1.1 2.1 1.1 25.1 -23.8
pair SLmean MACDhist pos-neg 54 20.8 26.2 72.2 1.1 2.1 1.1 25.1 -23.8
pair RSIhist MACD neg-neg 56 21.6 24.8 64.3 0.9 1.4 0.7 28.4 -38.1
pair MACD RSIhist neg-neg 56 21.6 24.8 64.3 0.9 1.4 0.7 28.4 -38.1
pair RSI MACD neg-pos 43 16.6 24.6 72.1 1.3 2.2 2.2 18.6 -11.0
pair MACD RSI neg-pos 43 16.6 24.6 72.1 1.3 2.2 2.2 18.6 -11.0
pair MACD RSmean pos-neg 93 35.9 24.3 68.8 0.9 1.5 0.6 27.4 -44.5
pair RSmean MACD pos-neg 93 35.9 24.3 68.8 0.9 1.5 0.6 27.4 -44.5
pair MACDhist MRmean pos-neg 45 17.4 23.8 71.1 1.0 2.0 0.8 25.7 -29.5
pair MRmean MACDhist pos-neg 45 17.4 23.8 71.1 1.0 2.0 0.8 25.7 -29.5
pair RSIhist MACDhist neg-pos 40 15.4 23.7 77.5 0.9 3.8 1.2 26.5 -19.6
pair MACDhist RSIhist neg-pos 40 15.4 23.7 77.5 0.9 3.8 1.2 26.5 -19.6
single MACD MACD neg-neg 110 42.5 21.7 66.4 0.9 1.5 0.5 26.2 -44.5
pair RSI RSIhist neg-pos 24 9.3 21.6 62.5 0.8 1.6 1.1 29.9 -20.3
pair RSIhist RSI neg-pos 24 9.3 21.6 62.5 0.8 1.6 1.1 29.9 -20.3
pair RSI RSmean neg-neg 7 2.7 19.9 57.1 1.1 12.4 1.9 18.4 -10.6
pair RSmean RSI neg-neg 7 2.7 19.9 57.1 1.1 12.4 1.9 18.4 -10.6
pair MACD RSI neg-neg 67 25.9 19.9 62.7 0.8 1.3 0.5 30.2 -44.5
pair RSI MACD neg-neg 67 25.9 19.9 62.7 0.8 1.3 0.5 30.2 -44.5
pair LWTI MACDhist neg-pos 77 29.7 19.7 67.5 0.9 1.4 0.6 24.1 -35.7
pair MACDhist LWTI neg-pos 77 29.7 19.7 67.5 0.9 1.4 0.6 24.1 -35.7
pair LWTI RSIhist pos-pos 102 39.4 19.4 61.8 0.9 1.8 0.6 23.6 -30.1
pair RSIhist LWTI pos-pos 102 39.4 19.4 61.8 0.9 1.8 0.6 23.6 -30.1
pair RSIhist RSmean neg-neg 16 6.2 19.3 56.2 1.2 2.9 3.3 16.1 -5.9
pair RSmean RSIhist neg-neg 16 6.2 19.3 56.2 1.2 2.9 3.3 16.1 -5.9
pair MACD RSIhist neg-pos 54 20.8 18.6 68.5 0.8 1.5 0.9 23.9 -20.3
pair RSIhist MACD neg-pos 54 20.8 18.6 68.5 0.8 1.5 0.9 23.9 -20.3
pair MACD MRmean neg-neg 65 25.1 17.8 63.1 0.7 1.1 0.4 28.2 -44.5
pair RSIhist RSmean pos-pos 119 45.9 17.8 63.0 0.8 1.5 0.5 24.3 -38.2
pair RSmean RSIhist pos-pos 119 45.9 17.8 63.0 0.8 1.5 0.5 24.3 -38.2
pair MRmean MACD neg-neg 65 25.1 17.8 63.1 0.7 1.1 0.4 28.2 -44.5
pair RSI LWTI neg-pos 44 17.0 17.3 65.9 0.8 1.1 0.7 24.9 -26.6
pair LWTI RSI neg-pos 44 17.0 17.3 65.9 0.8 1.1 0.7 24.9 -26.6
pair RSIhist SLmean pos-pos 119 45.9 16.6 62.2 0.8 1.4 0.5 24.0 -34.0
pair SLmean RSIhist pos-pos 119 45.9 16.6 62.2 0.8 1.4 0.5 24.0 -34.0
pair MACDhist RSmean neg-neg 18 6.9 16.5 61.1 1.0 1.4 1.6 17.3 -10.3
pair RSmean MACDhist neg-neg 18 6.9 16.5 61.1 1.0 1.4 1.6 17.3 -10.3
pair SLmean MACD neg-neg 56 21.6 15.6 60.7 0.6 1.1 0.4 28.7 -38.1
pair MACD SLmean neg-neg 56 21.6 15.6 60.7 0.6 1.1 0.4 28.7 -38.1
pair RSIhist MRmean pos-pos 117 45.2 15.5 60.7 0.7 1.5 0.4 23.6 -39.1
pair MRmean RSIhist pos-pos 117 45.2 15.5 60.7 0.7 1.5 0.4 23.6 -39.1
single RSIhist RSIhist pos-pos 130 50.2 15.0 61.5 0.7 1.4 0.4 23.9 -36.4
pair LWTI SLmean pos-pos 117 45.2 13.9 59.8 0.7 1.2 0.3 24.4 -40.9
pair SLmean LWTI pos-pos 117 45.2 13.9 59.8 0.7 1.2 0.3 24.4 -40.9
pair RSIhist RSI pos-pos 106 40.9 13.6 61.3 0.7 1.3 0.4 22.5 -34.6
pair RSI RSIhist pos-pos 106 40.9 13.6 61.3 0.7 1.3 0.4 22.5 -34.6
pair RSI MACDhist neg-neg 72 27.8 13.3 65.3 0.6 0.8 0.3 32.4 -48.0
pair MACDhist RSI neg-neg 72 27.8 13.3 65.3 0.6 0.8 0.3 32.4 -48.0
pair SLmean RSmean pos-pos 137 52.9 12.9 61.3 0.6 1.1 0.3 24.9 -43.0
pair RSmean SLmean pos-pos 137 52.9 12.9 61.3 0.6 1.1 0.3 24.9 -43.0
pair MRmean RSmean neg-neg 18 6.9 12.6 61.1 0.8 1.2 1.2 18.0 -10.3
pair RSmean MRmean neg-neg 18 6.9 12.6 61.1 0.8 1.2 1.2 18.0 -10.3
pair SLmean RSmean neg-neg 18 6.9 12.6 61.1 0.8 1.2 1.2 18.0 -10.3
pair RSmean SLmean neg-neg 18 6.9 12.6 61.1 0.8 1.2 1.2 18.0 -10.3
pair MRmean SLmean pos-pos 134 51.7 12.5 59.7 0.6 1.1 0.3 24.4 -48.4
pair SLmean MRmean pos-pos 134 51.7 12.5 59.7 0.6 1.1 0.3 24.4 -48.4
pair MACD RSIhist pos-pos 76 29.3 12.5 56.6 0.6 1.2 0.3 24.0 -46.1
pair RSIhist MACD pos-pos 76 29.3 12.5 56.6 0.6 1.2 0.3 24.0 -46.1
single SLmean SLmean pos-pos 146 56.4 11.6 59.6 0.6 1.0 0.2 24.5 -47.7
pair MACDhist RSIhist pos-pos 90 34.7 11.3 54.4 0.6 1.2 0.3 22.8 -36.2
pair RSIhist MACDhist pos-pos 90 34.7 11.3 54.4 0.6 1.2 0.3 22.8 -36.2
single MACDhist MACDhist neg-neg 130 50.2 10.6 63.8 0.5 0.7 0.2 29.4 -53.2
pair MRmean RSIhist neg-pos 13 5.0 10.3 69.2 0.5 1.0 0.4 27.5 -23.5
single RSI RSI neg-neg 94 36.3 10.3 60.6 0.5 0.7 0.2 30.6 -48.0
pair RSIhist MRmean neg-pos 13 5.0 10.3 69.2 0.5 1.0 0.4 27.5 -23.5
pair LWTI MRmean pos-pos 129 49.8 9.8 56.6 0.5 0.9 0.2 24.0 -52.5
pair MRmean LWTI pos-pos 129 49.8 9.8 56.6 0.5 0.9 0.2 24.0 -52.5
pair RSmean MACDhist pos-neg 112 43.2 9.7 64.3 0.5 0.7 0.2 30.9 -54.2
pair MACDhist RSmean pos-neg 112 43.2 9.7 64.3 0.5 0.7 0.2 30.9 -54.2
pair RSI RSmean pos-neg 87 33.6 9.6 60.9 0.5 0.7 0.2 31.5 -48.0
pair RSmean RSI pos-neg 87 33.6 9.6 60.9 0.5 0.7 0.2 31.5 -48.0
pair RSmean MRmean pos-pos 141 54.4 9.1 58.2 0.5 0.8 0.2 24.3 -48.8
pair MRmean RSmean pos-pos 141 54.4 9.1 58.2 0.5 0.8 0.2 24.3 -48.8
pair LWTI MACD neg-neg 51 19.7 9.0 56.9 0.4 0.8 0.2 32.1 -44.5
pair MACD LWTI neg-neg 51 19.7 9.0 56.9 0.4 0.8 0.2 32.1 -44.5
pair RSmean MACD neg-neg 17 6.6 8.5 52.9 0.5 0.9 0.8 18.7 -10.6
pair RSmean LWTI pos-pos 170 65.6 8.5 58.8 0.5 0.8 0.1 24.2 -57.4
pair MACD RSmean neg-neg 17 6.6 8.5 52.9 0.5 0.9 0.8 18.7 -10.6
pair LWTI RSmean pos-pos 170 65.6 8.5 58.8 0.5 0.8 0.1 24.2 -57.4
single LWTI LWTI pos-pos 196 75.7 8.4 58.2 0.5 0.8 0.2 23.4 -53.7
pair SLmean RSI pos-pos 122 47.1 8.4 58.2 0.5 0.8 0.2 23.5 -50.3
pair RSI SLmean pos-pos 122 47.1 8.4 58.2 0.5 0.8 0.2 23.5 -50.3
single MRmean MRmean pos-pos 150 57.9 8.0 56.7 0.4 0.8 0.1 23.9 -53.1
pair LWTI RSmean neg-pos 26 10.0 7.8 53.8 0.5 1.0 0.5 17.5 -14.7
pair RSmean LWTI neg-pos 26 10.0 7.8 53.8 0.5 1.0 0.5 17.5 -14.7
pair RSI MRmean neg-neg 79 30.5 7.4 60.8 0.4 0.5 0.1 30.6 -48.0
pair MRmean RSI neg-neg 79 30.5 7.4 60.8 0.4 0.5 0.1 30.6 -48.0
pair MACDhist RSI pos-neg 58 22.4 7.3 62.1 0.4 0.7 0.1 25.4 -54.3
pair RSI MACDhist pos-neg 58 22.4 7.3 62.1 0.4 0.7 0.1 25.4 -54.3
pair MACD MACDhist neg-pos 30 11.6 7.1 50.0 0.4 0.9 0.3 22.6 -26.6
pair MACDhist MACD neg-pos 30 11.6 7.1 50.0 0.4 0.9 0.3 22.6 -26.6
pair RSI RSIhist neg-neg 70 27.0 6.7 60.0 0.4 0.5 0.2 31.0 -42.0
pair RSIhist RSI neg-neg 70 27.0 6.7 60.0 0.4 0.5 0.2 31.0 -42.0
pair MRmean RSI pos-pos 135 52.1 6.1 56.3 0.4 0.6 0.1 22.9 -56.9
pair RSI MRmean pos-pos 135 52.1 6.1 56.3 0.4 0.6 0.1 22.9 -56.9
pair RSI LWTI pos-pos 152 58.7 6.0 55.9 0.4 0.6 0.1 23.0 -57.1
pair LWTI RSI pos-pos 152 58.7 6.0 55.9 0.4 0.6 0.1 23.0 -57.1
pair MRmean LWTI neg-pos 67 25.9 5.8 61.2 0.4 0.5 0.2 22.4 -29.1
pair LWTI MRmean neg-pos 67 25.9 5.8 61.2 0.4 0.5 0.2 22.4 -29.1
single RSmean RSmean pos-pos 232 89.6 5.6 58.2 0.3 0.5 0.1 27.0 -66.4
pair benchmark___benchmark_ benchmark-benchmark 259 100.0 5.6 57.5 0.3 0.5 0.1 26.1 -65.6
pair benchmark___benchmark_ benchmark-benchmark 259 100.0 5.6 57.5 0.3 0.5 0.1 26.1 -65.6
single RSmean RSmean neg-neg 27 10.4 5.6 51.9 0.4 0.8 0.3 17.4 -17.3
pair MACDhist RSIhist neg-neg 90 34.7 5.3 57.8 0.3 0.5 0.1 30.6 -53.2
pair RSIhist MACDhist neg-neg 90 34.7 5.3 57.8 0.3 0.5 0.1 30.6 -53.2
pair RSI SLmean neg-neg 70 27.0 4.6 58.6 0.3 0.4 0.1 31.2 -42.0
pair SLmean RSI neg-neg 70 27.0 4.6 58.6 0.3 0.4 0.1 31.2 -42.0
pair LWTI RSI neg-neg 50 19.3 4.5 56.0 0.3 0.5 0.1 35.1 -47.2
pair RSI LWTI neg-neg 50 19.3 4.5 56.0 0.3 0.5 0.1 35.1 -47.2
pair MACDhist MRmean neg-neg 85 32.8 4.2 60.0 0.3 0.4 0.1 31.2 -48.0
pair MRmean MACDhist neg-neg 85 32.8 4.2 60.0 0.3 0.4 0.1 31.2 -48.0
pair SLmean MACDhist pos-pos 92 35.5 3.7 52.2 0.3 0.5 0.1 24.0 -42.5
pair MACDhist SLmean pos-pos 92 35.5 3.7 52.2 0.3 0.5 0.1 24.0 -42.5
pair RSI RSmean pos-pos 145 56.0 3.3 56.6 0.2 0.4 0.1 24.0 -68.6
pair RSmean RSI pos-pos 145 56.0 3.3 56.6 0.2 0.4 0.1 24.0 -68.6
single RSI RSI pos-pos 165 63.7 3.0 55.8 0.2 0.4 0.0 23.2 -69.1
pair SLmean MACD pos-pos 92 35.5 2.7 52.2 0.2 0.4 0.1 24.8 -56.4
pair MACD SLmean pos-pos 92 35.5 2.7 52.2 0.2 0.4 0.1 24.8 -56.4
pair SLmean MRmean neg-neg 97 37.5 2.5 58.8 0.2 0.3 0.1 29.5 -45.9
pair MRmean SLmean neg-neg 97 37.5 2.5 58.8 0.2 0.3 0.1 29.5 -45.9
single MRmean MRmean neg-neg 109 42.1 2.4 58.7 0.2 0.3 0.1 29.1 -52.4
pair LWTI SLmean pos-neg 29 11.2 2.4 58.6 0.2 0.4 0.1 25.0 -34.1
pair SLmean LWTI pos-neg 29 11.2 2.4 58.6 0.2 0.4 0.1 25.0 -34.1
pair RSmean MACDhist pos-pos 120 46.3 1.9 52.5 0.2 0.3 0.0 22.8 -53.3
pair MACDhist MRmean pos-pos 105 40.5 1.9 50.5 0.2 0.3 0.0 22.9 -50.6
pair MRmean MACDhist pos-pos 105 40.5 1.9 50.5 0.2 0.3 0.0 22.9 -50.6
pair MACDhist RSmean pos-pos 120 46.3 1.9 52.5 0.2 0.3 0.0 22.8 -53.3
pair MACDhist LWTI pos-pos 119 45.9 1.7 52.1 0.2 0.3 0.0 22.8 -50.5
pair LWTI MACDhist pos-pos 119 45.9 1.7 52.1 0.2 0.3 0.0 22.8 -50.5
pair MRmean SLmean neg-pos 12 4.6 1.5 58.3 0.2 0.3 0.1 26.5 -24.0
pair SLmean MRmean neg-pos 12 4.6 1.5 58.3 0.2 0.3 0.1 26.5 -24.0
pair RSIhist MRmean neg-neg 96 37.1 1.4 57.3 0.2 0.3 0.0 29.4 -45.2
pair MRmean RSIhist neg-neg 96 37.1 1.4 57.3 0.2 0.3 0.0 29.4 -45.2
pair RSmean RSI neg-pos 20 7.7 1.0 50.0 0.1 0.2 0.1 17.4 -14.7
pair RSI RSmean neg-pos 20 7.7 1.0 50.0 0.1 0.2 0.1 17.4 -14.7
pair MACDhist RSI neg-pos 22 8.5 1.0 45.5 0.1 0.3 0.0 24.5 -26.6
pair RSI MACDhist neg-pos 22 8.5 1.0 45.5 0.1 0.3 0.0 24.5 -26.6
single MACDhist MACDhist pos-pos 129 49.8 0.8 51.2 0.1 0.2 0.0 22.4 -56.3
pair MACD RSmean neg-pos 10 3.9 0.8 50.0 0.1 0.3 0.1 16.0 -9.6
pair RSmean MACD neg-pos 10 3.9 0.8 50.0 0.1 0.3 0.1 16.0 -9.6
pair MACDhist RSI pos-pos 107 41.3 0.8 52.3 0.1 0.2 0.0 22.1 -50.9
pair RSI MACDhist pos-pos 107 41.3 0.8 52.3 0.1 0.2 0.0 22.1 -50.9
pair SLmean LWTI neg-pos 79 30.5 0.8 55.7 0.1 0.2 0.0 21.7 -30.8
pair LWTI SLmean neg-pos 79 30.5 0.8 55.7 0.1 0.2 0.0 21.7 -30.8
pair MACDhist SLmean neg-neg 76 29.3 0.7 57.9 0.2 0.3 0.0 32.0 -54.2
pair SLmean MACDhist neg-neg 76 29.3 0.7 57.9 0.2 0.3 0.0 32.0 -54.2
pair MRmean MACD pos-pos 105 40.5 0.6 50.5 0.1 0.2 0.0 23.9 -62.8
pair MACD MRmean pos-pos 105 40.5 0.6 50.5 0.1 0.2 0.0 23.9 -62.8
pair MRmean RSmean neg-pos 91 35.1 0.5 58.2 0.2 0.2 0.0 30.9 -57.5
pair RSmean MRmean neg-pos 91 35.1 0.5 58.2 0.2 0.2 0.0 30.9 -57.5
pair RSIhist LWTI pos-neg 28 10.8 0.4 60.7 0.1 0.2 0.0 25.0 -31.7
pair LWTI RSIhist pos-neg 28 10.8 0.4 60.7 0.1 0.2 0.0 25.0 -31.7
pair MACDhist MACD pos-pos 99 38.2 -1.0 51.5 0.1 0.1 -0.0 22.4 -57.4
pair MACD MACDhist pos-pos 99 38.2 -1.0 51.5 0.1 0.1 -0.0 22.4 -57.4
pair MACD LWTI pos-pos 137 52.9 -1.0 51.1 0.1 0.1 -0.0 24.4 -68.6
pair LWTI MACD pos-pos 137 52.9 -1.0 51.1 0.1 0.1 -0.0 24.4 -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
pair MACDhist LWTI neg-neg 53 20.5 -1.3 58.5 0.1 0.2 -0.0 35.8 -52.1
pair LWTI MACDhist neg-neg 53 20.5 -1.3 58.5 0.1 0.2 -0.0 35.8 -52.1
pair SLmean RSIhist neg-neg 102 39.4 -1.6 54.9 0.1 0.1 -0.0 28.7 -51.1
pair RSIhist SLmean neg-neg 102 39.4 -1.6 54.9 0.1 0.1 -0.0 28.7 -51.1
single SLmean SLmean neg-neg 113 43.6 -1.6 54.9 0.1 0.1 -0.0 28.1 -52.8
pair RSmean LWTI pos-neg 62 23.9 -2.0 56.5 0.1 0.2 -0.0 33.6 -52.1
pair LWTI RSmean pos-neg 62 23.9 -2.0 56.5 0.1 0.2 -0.0 33.6 -52.1
pair RSIhist LWTI neg-pos 94 36.3 -2.3 54.3 0.0 0.0 -0.0 22.9 -55.0
pair LWTI RSIhist neg-pos 94 36.3 -2.3 54.3 0.0 0.0 -0.0 22.9 -55.0
pair MRmean LWTI pos-neg 21 8.1 -2.6 57.1 0.0 0.0 -0.1 23.5 -31.5
pair LWTI MRmean pos-neg 21 8.1 -2.6 57.1 0.0 0.0 -0.1 23.5 -31.5
single LWTI LWTI neg-neg 63 24.3 -2.7 55.6 0.1 0.1 -0.1 33.4 -52.1
pair MRmean LWTI neg-neg 42 16.2 -2.8 54.8 0.1 0.2 -0.1 37.7 -47.2
pair LWTI MRmean neg-neg 42 16.2 -2.8 54.8 0.1 0.2 -0.1 37.7 -47.2
single RSIhist RSIhist neg-neg 129 49.8 -3.1 53.5 0.0 0.0 -0.0 28.1 -68.4
pair RSI MACD pos-pos 122 47.1 -3.7 50.0 -0.0 -0.1 -0.1 24.5 -75.0
pair MACD RSI pos-pos 122 47.1 -3.7 50.0 -0.0 -0.1 -0.1 24.5 -75.0
pair MACDhist MRmean neg-pos 24 9.3 -3.8 54.2 -0.1 -0.2 -0.1 20.2 -26.1
pair MRmean MACDhist neg-pos 24 9.3 -3.8 54.2 -0.1 -0.2 -0.1 20.2 -26.1
pair RSmean SLmean neg-pos 95 36.7 -4.1 53.7 0.0 0.0 -0.1 29.7 -58.5
pair SLmean RSmean neg-pos 95 36.7 -4.1 53.7 0.0 0.0 -0.1 29.7 -58.5
single MACD MACD pos-pos 149 57.5 -4.9 51.0 -0.1 -0.1 -0.1 25.7 -80.4
pair LWTI RSIhist neg-neg 35 13.5 -5.1 51.4 0.1 0.1 -0.1 39.3 -41.1
pair RSIhist LWTI neg-neg 35 13.5 -5.1 51.4 0.1 0.1 -0.1 39.3 -41.1
pair MACD RSmean pos-pos 139 53.7 -5.3 51.1 -0.1 -0.1 -0.1 26.3 -80.5
pair RSmean MACD pos-pos 139 53.7 -5.3 51.1 -0.1 -0.1 -0.1 26.3 -80.5
pair RSmean RSIhist pos-neg 113 43.6 -5.9 53.1 -0.1 -0.1 -0.1 29.4 -71.2
pair RSIhist RSmean pos-neg 113 43.6 -5.9 53.1 -0.1 -0.1 -0.1 29.4 -71.2
pair SLmean MACDhist neg-pos 37 14.3 -6.2 48.6 -0.3 -0.4 -0.2 17.9 -29.5
pair MACDhist SLmean neg-pos 37 14.3 -6.2 48.6 -0.3 -0.4 -0.2 17.9 -29.5
pair SLmean LWTI neg-neg 34 13.1 -6.8 52.9 0.0 0.0 -0.2 39.6 -41.1
pair LWTI SLmean neg-neg 34 13.1 -6.8 52.9 0.0 0.0 -0.2 39.6 -41.1
pair MRmean RSmean pos-neg 9 3.5 -7.3 33.3 -0.4 -1.1 -0.6 16.7 -13.2
pair RSmean MRmean pos-neg 9 3.5 -7.3 33.3 -0.4 -1.1 -0.6 16.7 -13.2
pair SLmean RSmean pos-neg 9 3.5 -7.3 33.3 -0.4 -1.1 -0.6 16.7 -13.2
pair RSmean SLmean pos-neg 9 3.5 -7.3 33.3 -0.4 -1.1 -0.6 16.7 -13.2
pair RSIhist SLmean pos-neg 27 10.4 -8.3 48.1 -0.2 -0.3 -0.2 26.3 -42.6
pair SLmean RSIhist pos-neg 27 10.4 -8.3 48.1 -0.2 -0.3 -0.2 26.3 -42.6
pair LWTI MACDhist pos-neg 10 3.9 -9.6 40.0 -0.5 -0.9 -0.7 16.9 -14.7
pair MACDhist LWTI pos-neg 10 3.9 -9.6 40.0 -0.5 -0.9 -0.7 16.9 -14.7
pair MRmean RSI neg-pos 30 11.6 -9.8 53.3 -0.3 -0.5 -0.2 24.6 -43.0
pair RSI MRmean neg-pos 30 11.6 -9.8 53.3 -0.3 -0.5 -0.2 24.6 -43.0
pair MACD RSI pos-neg 27 10.4 -10.2 55.6 -0.2 -0.2 -0.5 31.4 -20.7
pair RSI MACD pos-neg 27 10.4 -10.2 55.6 -0.2 -0.2 -0.5 31.4 -20.7
pair RSI SLmean neg-pos 43 16.6 -10.9 48.8 -0.4 -0.6 -0.2 22.1 -45.1
pair SLmean RSI neg-pos 43 16.6 -10.9 48.8 -0.4 -0.6 -0.2 22.1 -45.1
pair RSmean RSIhist neg-pos 11 4.2 -11.6 45.5 -0.6 -1.1 -0.7 18.9 -17.1
pair RSIhist RSmean neg-pos 11 4.2 -11.6 45.5 -0.6 -1.1 -0.7 18.9 -17.1
pair MACDhist MACD pos-neg 50 19.3 -12.1 50.0 -0.2 -0.4 -0.2 31.5 -66.5
pair MACD MACDhist pos-neg 50 19.3 -12.1 50.0 -0.2 -0.4 -0.2 31.5 -66.5
pair RSmean MACDhist neg-pos 9 3.5 -13.3 33.3 -0.8 -4.0 -0.9 17.2 -15.5
pair MACDhist RSmean neg-pos 9 3.5 -13.3 33.3 -0.8 -4.0 -0.9 17.2 -15.5
pair RSIhist RSI pos-neg 59 22.8 -13.5 45.8 -0.5 -0.7 -0.2 23.9 -70.0
pair RSI RSIhist pos-neg 59 22.8 -13.5 45.8 -0.5 -0.7 -0.2 23.9 -70.0
pair RSIhist MRmean pos-neg 33 12.7 -14.9 42.4 -0.6 -0.8 -0.3 23.8 -54.0
pair MRmean RSIhist pos-neg 33 12.7 -14.9 42.4 -0.6 -0.8 -0.3 23.8 -54.0
pair SLmean MACD neg-pos 57 22.0 -16.0 49.1 -0.5 -0.6 -0.2 27.0 -65.3
pair MACD SLmean neg-pos 57 22.0 -16.0 49.1 -0.5 -0.6 -0.2 27.0 -65.3
pair MACD MRmean neg-pos 44 17.0 -16.7 52.3 -0.5 -0.6 -0.3 29.7 -61.5
pair MRmean MACD neg-pos 44 17.0 -16.7 52.3 -0.5 -0.6 -0.3 29.7 -61.5
pair MACDhist RSIhist pos-neg 39 15.1 -19.9 43.6 -1.0 -1.2 -0.4 20.2 -51.3
pair RSIhist MACDhist pos-neg 39 15.1 -19.9 43.6 -1.0 -1.2 -0.4 20.2 -51.3
pair RSIhist MACD pos-neg 73 28.2 -20.1 45.2 -0.7 -0.9 -0.3 26.7 -76.5
pair MACD RSIhist pos-neg 73 28.2 -20.1 45.2 -0.7 -0.9 -0.3 26.7 -76.5
pair SLmean MRmean pos-neg 16 6.2 -23.2 31.2 -1.6 -1.8 -0.9 16.1 -24.5
pair MRmean SLmean pos-neg 16 6.2 -23.2 31.2 -1.6 -1.8 -0.9 16.1 -24.5
pair LWTI RSI pos-neg 13 5.0 -26.1 53.8 -1.1 -1.5 -1.2 25.2 -22.1
pair RSI LWTI pos-neg 13 5.0 -26.1 53.8 -1.1 -1.5 -1.2 25.2 -22.1
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
pair MACD LWTI pos-neg 12 4.6 -39.8 50.0 -1.1 -1.3 -1.5 37.0 -27.0
pair LWTI MACD pos-neg 12 4.6 -39.8 50.0 -1.1 -1.3 -1.5 37.0 -27.0

All Contingency Tables for FXI

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 12.5% | Win 60%
Sharpe 0.60 | Sortino 1.11 | Calmar 0.3
Vol 24% | MDD -48.4%
Months 134M (52%)
CAGR -23.2% | Win 31%
Sharpe -1.55 | Sortino -1.75 | Calmar -0.9
Vol 16% | MDD -24.5%
Months 16M (6%)
CAGR 8.0% | Win 57%
Sharpe 0.44 | Sortino 0.78 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 150M (58%)
MRmean
neg
CAGR 1.5% | Win 58%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.1
Vol 26% | MDD -24.0%
Months 12M (5%)
CAGR 2.5% | Win 59%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.1
Vol 30% | MDD -45.9%
Months 97M (38%)
CAGR 2.4% | Win 59%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 29% | MDD -52.4%
Months 109M (42%)
SLmean
only
CAGR 11.6% | Win 60%
Sharpe 0.57 | Sortino 1.04 | Calmar 0.2
Vol 24% | MDD -47.7%
Months 146M (56%)
CAGR -1.6% | Win 55%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -52.8%
Months 113M (44%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 9.1% | Win 58%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 24% | MDD -48.8%
Months 141M (54%)
CAGR -7.3% | Win 33%
Sharpe -0.38 | Sortino -1.05 | Calmar -0.5
Vol 17% | MDD -13.2%
Months 9M (4%)
CAGR 8.0% | Win 57%
Sharpe 0.44 | Sortino 0.78 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 150M (58%)
MRmean
neg
CAGR 0.5% | Win 58%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 31% | MDD -57.5%
Months 91M (35%)
CAGR 12.6% | Win 61%
Sharpe 0.75 | Sortino 1.18 | Calmar 1.2
Vol 18% | MDD -10.3%
Months 18M (7%)
CAGR 2.4% | Win 59%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 29% | MDD -52.4%
Months 109M (42%)
RSmean
only
CAGR 5.6% | Win 58%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 27% | MDD -66.4%
Months 232M (90%)
CAGR 5.6% | Win 52%
Sharpe 0.40 | Sortino 0.77 | Calmar 0.3
Vol 17% | MDD -17.3%
Months 27M (10%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 0.6% | Win 50%
Sharpe 0.14 | Sortino 0.24 | Calmar 0.0
Vol 24% | MDD -62.8%
Months 105M (40%)
CAGR 27.6% | Win 71%
Sharpe 1.17 | Sortino 2.23 | Calmar 0.9
Vol 23% | MDD -30.4%
Months 45M (17%)
CAGR 8.0% | Win 57%
Sharpe 0.44 | Sortino 0.78 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 150M (58%)
MRmean
neg
CAGR -16.7% | Win 52%
Sharpe -0.46 | Sortino -0.59 | Calmar -0.3
Vol 30% | MDD -61.5%
Months 44M (17%)
CAGR 17.8% | Win 63%
Sharpe 0.72 | Sortino 1.14 | Calmar 0.4
Vol 28% | MDD -44.5%
Months 65M (25%)
CAGR 2.4% | Win 59%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 29% | MDD -52.4%
Months 109M (42%)
MACD
only
CAGR -4.9% | Win 51%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 26% | MDD -80.4%
Months 149M (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 6.1% | Win 56%
Sharpe 0.37 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -56.9%
Months 135M (52%)
CAGR 26.8% | Win 60%
Sharpe 0.91 | Sortino 1.84 | Calmar 0.9
Vol 31% | MDD -30.4%
Months 15M (6%)
CAGR 8.0% | Win 57%
Sharpe 0.44 | Sortino 0.78 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 150M (58%)
MRmean
neg
CAGR -9.8% | Win 53%
Sharpe -0.30 | Sortino -0.45 | Calmar -0.2
Vol 25% | MDD -43.0%
Months 30M (12%)
CAGR 7.4% | Win 61%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.2
Vol 31% | MDD -48.0%
Months 79M (30%)
CAGR 2.4% | Win 59%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 29% | MDD -52.4%
Months 109M (42%)
RSI
only
CAGR 3.0% | Win 56%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.0
Vol 23% | MDD -69.1%
Months 165M (64%)
CAGR 10.3% | Win 61%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 31% | MDD -48.0%
Months 94M (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 23.8% | Win 71%
Sharpe 0.96 | Sortino 2.05 | Calmar 0.8
Vol 26% | MDD -29.5%
Months 45M (17%)
CAGR 8.0% | Win 57%
Sharpe 0.44 | Sortino 0.78 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 150M (58%)
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 4.2% | Win 60%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 31% | MDD -48.0%
Months 85M (33%)
CAGR 2.4% | Win 59%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 29% | MDD -52.4%
Months 109M (42%)
MACDhist
only
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.25 | Calmar 0.0
Vol 22% | MDD -56.3%
Months 129M (50%)
CAGR 10.6% | Win 64%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -53.2%
Months 130M (50%)
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 (45%)
CAGR -14.9% | Win 42%
Sharpe -0.56 | Sortino -0.77 | Calmar -0.3
Vol 24% | MDD -54.0%
Months 33M (13%)
CAGR 8.0% | Win 57%
Sharpe 0.44 | Sortino 0.78 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 150M (58%)
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 1.4% | Win 57%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -45.2%
Months 96M (37%)
CAGR 2.4% | Win 59%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 29% | MDD -52.4%
Months 109M (42%)
RSIhist
only
CAGR 15.0% | Win 62%
Sharpe 0.70 | Sortino 1.36 | Calmar 0.4
Vol 24% | MDD -36.4%
Months 130M (50%)
CAGR -3.1% | Win 54%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 28% | MDD -68.4%
Months 129M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 9.8% | Win 57%
Sharpe 0.51 | Sortino 0.90 | Calmar 0.2
Vol 24% | MDD -52.5%
Months 129M (50%)
CAGR -2.6% | Win 57%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.1
Vol 24% | MDD -31.5%
Months 21M (8%)
CAGR 8.0% | Win 57%
Sharpe 0.44 | Sortino 0.78 | Calmar 0.2
Vol 24% | MDD -53.1%
Months 150M (58%)
MRmean
neg
CAGR 5.8% | Win 61%
Sharpe 0.36 | Sortino 0.53 | Calmar 0.2
Vol 22% | MDD -29.1%
Months 67M (26%)
CAGR -2.8% | Win 55%
Sharpe 0.11 | Sortino 0.17 | Calmar -0.1
Vol 38% | MDD -47.2%
Months 42M (16%)
CAGR 2.4% | Win 59%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 29% | MDD -52.4%
Months 109M (42%)
LWTI
only
CAGR 8.4% | Win 58%
Sharpe 0.46 | Sortino 0.77 | Calmar 0.2
Vol 23% | MDD -53.7%
Months 196M (76%)
CAGR -2.7% | Win 56%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.1
Vol 33% | MDD -52.1%
Months 63M (24%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 12.9% | Win 61%
Sharpe 0.61 | Sortino 1.10 | Calmar 0.3
Vol 25% | MDD -43.0%
Months 137M (53%)
CAGR -7.3% | Win 33%
Sharpe -0.38 | Sortino -1.05 | Calmar -0.5
Vol 17% | MDD -13.2%
Months 9M (4%)
CAGR 11.6% | Win 60%
Sharpe 0.57 | Sortino 1.04 | Calmar 0.2
Vol 24% | MDD -47.7%
Months 146M (56%)
SLmean
neg
CAGR -4.1% | Win 54%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 30% | MDD -58.5%
Months 95M (37%)
CAGR 12.6% | Win 61%
Sharpe 0.75 | Sortino 1.18 | Calmar 1.2
Vol 18% | MDD -10.3%
Months 18M (7%)
CAGR -1.6% | Win 55%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -52.8%
Months 113M (44%)
RSmean
only
CAGR 5.6% | Win 58%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 27% | MDD -66.4%
Months 232M (90%)
CAGR 5.6% | Win 52%
Sharpe 0.40 | Sortino 0.77 | Calmar 0.3
Vol 17% | MDD -17.3%
Months 27M (10%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 2.7% | Win 52%
Sharpe 0.23 | Sortino 0.42 | Calmar 0.0
Vol 25% | MDD -56.4%
Months 92M (36%)
CAGR 28.4% | Win 72%
Sharpe 1.19 | Sortino 2.01 | Calmar 1.2
Vol 24% | MDD -24.0%
Months 54M (21%)
CAGR 11.6% | Win 60%
Sharpe 0.57 | Sortino 1.04 | Calmar 0.2
Vol 24% | MDD -47.7%
Months 146M (56%)
SLmean
neg
CAGR -16.0% | Win 49%
Sharpe -0.50 | Sortino -0.61 | Calmar -0.2
Vol 27% | MDD -65.3%
Months 57M (22%)
CAGR 15.6% | Win 61%
Sharpe 0.64 | Sortino 1.06 | Calmar 0.4
Vol 29% | MDD -38.1%
Months 56M (22%)
CAGR -1.6% | Win 55%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -52.8%
Months 113M (44%)
MACD
only
CAGR -4.9% | Win 51%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 26% | MDD -80.4%
Months 149M (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 8.4% | Win 58%
Sharpe 0.46 | Sortino 0.84 | Calmar 0.2
Vol 24% | MDD -50.3%
Months 122M (47%)
CAGR 28.8% | Win 67%
Sharpe 1.02 | Sortino 1.72 | Calmar 1.2
Vol 29% | MDD -24.0%
Months 24M (9%)
CAGR 11.6% | Win 60%
Sharpe 0.57 | Sortino 1.04 | Calmar 0.2
Vol 24% | MDD -47.7%
Months 146M (56%)
SLmean
neg
CAGR -10.9% | Win 49%
Sharpe -0.41 | Sortino -0.55 | Calmar -0.2
Vol 22% | MDD -45.1%
Months 43M (17%)
CAGR 4.6% | Win 59%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 31% | MDD -42.0%
Months 70M (27%)
CAGR -1.6% | Win 55%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -52.8%
Months 113M (44%)
RSI
only
CAGR 3.0% | Win 56%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.0
Vol 23% | MDD -69.1%
Months 165M (64%)
CAGR 10.3% | Win 61%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 31% | MDD -48.0%
Months 94M (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 (36%)
CAGR 26.2% | Win 72%
Sharpe 1.06 | Sortino 2.15 | Calmar 1.1
Vol 25% | MDD -23.8%
Months 54M (21%)
CAGR 11.6% | Win 60%
Sharpe 0.57 | Sortino 1.04 | Calmar 0.2
Vol 24% | MDD -47.7%
Months 146M (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 0.7% | Win 58%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.0
Vol 32% | MDD -54.2%
Months 76M (29%)
CAGR -1.6% | Win 55%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -52.8%
Months 113M (44%)
MACDhist
only
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.25 | Calmar 0.0
Vol 22% | MDD -56.3%
Months 129M (50%)
CAGR 10.6% | Win 64%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -53.2%
Months 130M (50%)
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 (46%)
CAGR -8.3% | Win 48%
Sharpe -0.20 | Sortino -0.33 | Calmar -0.2
Vol 26% | MDD -42.6%
Months 27M (10%)
CAGR 11.6% | Win 60%
Sharpe 0.57 | Sortino 1.04 | Calmar 0.2
Vol 24% | MDD -47.7%
Months 146M (56%)
SLmean
neg
CAGR -1.3% | Win 55%
Sharpe 0.05 | Sortino 0.11 | Calmar -0.1
Vol 24% | MDD -18.0%
Months 11M (4%)
CAGR -1.6% | Win 55%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 29% | MDD -51.1%
Months 102M (39%)
CAGR -1.6% | Win 55%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -52.8%
Months 113M (44%)
RSIhist
only
CAGR 15.0% | Win 62%
Sharpe 0.70 | Sortino 1.36 | Calmar 0.4
Vol 24% | MDD -36.4%
Months 130M (50%)
CAGR -3.1% | Win 54%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 28% | MDD -68.4%
Months 129M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 13.9% | Win 60%
Sharpe 0.66 | Sortino 1.21 | Calmar 0.3
Vol 24% | MDD -40.9%
Months 117M (45%)
CAGR 2.4% | Win 59%
Sharpe 0.21 | Sortino 0.38 | Calmar 0.1
Vol 25% | MDD -34.1%
Months 29M (11%)
CAGR 11.6% | Win 60%
Sharpe 0.57 | Sortino 1.04 | Calmar 0.2
Vol 24% | MDD -47.7%
Months 146M (56%)
SLmean
neg
CAGR 0.8% | Win 56%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 22% | MDD -30.8%
Months 79M (30%)
CAGR -6.8% | Win 53%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.2
Vol 40% | MDD -41.1%
Months 34M (13%)
CAGR -1.6% | Win 55%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -52.8%
Months 113M (44%)
LWTI
only
CAGR 8.4% | Win 58%
Sharpe 0.46 | Sortino 0.77 | Calmar 0.2
Vol 23% | MDD -53.7%
Months 196M (76%)
CAGR -2.7% | Win 56%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.1
Vol 33% | MDD -52.1%
Months 63M (24%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -5.3% | Win 51%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -80.5%
Months 139M (54%)
CAGR 24.3% | Win 69%
Sharpe 0.93 | Sortino 1.53 | Calmar 0.5
Vol 27% | MDD -44.5%
Months 93M (36%)
CAGR 5.6% | Win 58%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 27% | MDD -66.4%
Months 232M (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 (7%)
CAGR 5.6% | Win 52%
Sharpe 0.40 | Sortino 0.77 | Calmar 0.3
Vol 17% | MDD -17.3%
Months 27M (10%)
MACD
only
CAGR -4.9% | Win 51%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 26% | MDD -80.4%
Months 149M (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 3.3% | Win 57%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.0
Vol 24% | MDD -68.6%
Months 145M (56%)
CAGR 9.6% | Win 61%
Sharpe 0.45 | Sortino 0.65 | Calmar 0.2
Vol 32% | MDD -48.0%
Months 87M (34%)
CAGR 5.6% | Win 58%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 27% | MDD -66.4%
Months 232M (90%)
RSmean
neg
CAGR 1.0% | 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 1.07 | Sortino 12.40 | 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 17% | MDD -17.3%
Months 27M (10%)
RSI
only
CAGR 3.0% | Win 56%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.0
Vol 23% | MDD -69.1%
Months 165M (64%)
CAGR 10.3% | Win 61%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 31% | MDD -48.0%
Months 94M (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 9.7% | Win 64%
Sharpe 0.45 | Sortino 0.69 | Calmar 0.2
Vol 31% | MDD -54.2%
Months 112M (43%)
CAGR 5.6% | Win 58%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 27% | MDD -66.4%
Months 232M (90%)
RSmean
neg
CAGR -13.3% | Win 33%
Sharpe -0.75 | Sortino -4.04 | Calmar -0.9
Vol 17% | MDD -15.5%
Months 9M (4%)
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 17% | 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 (50%)
CAGR 10.6% | Win 64%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -53.2%
Months 130M (50%)
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 (46%)
CAGR -5.9% | Win 53%
Sharpe -0.06 | Sortino -0.09 | Calmar -0.1
Vol 29% | MDD -71.2%
Months 113M (44%)
CAGR 5.6% | Win 58%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 27% | MDD -66.4%
Months 232M (90%)
RSmean
neg
CAGR -11.6% | Win 46%
Sharpe -0.56 | 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 17% | 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 (50%)
CAGR -3.1% | Win 54%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 28% | MDD -68.4%
Months 129M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 8.5% | Win 59%
Sharpe 0.46 | Sortino 0.76 | Calmar 0.1
Vol 24% | MDD -57.4%
Months 170M (66%)
CAGR -2.0% | Win 56%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.0
Vol 34% | MDD -52.1%
Months 62M (24%)
CAGR 5.6% | Win 58%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 27% | MDD -66.4%
Months 232M (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 17% | MDD -17.3%
Months 27M (10%)
LWTI
only
CAGR 8.4% | Win 58%
Sharpe 0.46 | Sortino 0.77 | Calmar 0.2
Vol 23% | MDD -53.7%
Months 196M (76%)
CAGR -2.7% | Win 56%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.1
Vol 33% | MDD -52.1%
Months 63M (24%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -3.7% | Win 50%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.0
Vol 24% | MDD -75.0%
Months 122M (47%)
CAGR -10.2% | Win 56%
Sharpe -0.18 | Sortino -0.20 | Calmar -0.5
Vol 31% | MDD -20.7%
Months 27M (10%)
CAGR -4.9% | Win 51%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 26% | MDD -80.4%
Months 149M (58%)
MACD
neg
CAGR 24.6% | Win 72%
Sharpe 1.28 | Sortino 2.16 | Calmar 2.2
Vol 19% | MDD -11.0%
Months 43M (17%)
CAGR 19.9% | Win 63%
Sharpe 0.75 | Sortino 1.29 | Calmar 0.4
Vol 30% | MDD -44.5%
Months 67M (26%)
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 3.0% | Win 56%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.0
Vol 23% | MDD -69.1%
Months 165M (64%)
CAGR 10.3% | Win 61%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 31% | MDD -48.0%
Months 94M (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 -12.1% | Win 50%
Sharpe -0.25 | Sortino -0.36 | Calmar -0.2
Vol 32% | MDD -66.5%
Months 50M (19%)
CAGR -4.9% | Win 51%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 26% | MDD -80.4%
Months 149M (58%)
MACD
neg
CAGR 7.1% | Win 50%
Sharpe 0.41 | Sortino 0.90 | Calmar 0.3
Vol 23% | MDD -26.6%
Months 30M (12%)
CAGR 27.7% | Win 72%
Sharpe 1.03 | Sortino 1.57 | Calmar 0.6
Vol 27% | MDD -44.5%
Months 80M (31%)
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 (50%)
CAGR 10.6% | Win 64%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -53.2%
Months 130M (50%)
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 -20.1% | Win 45%
Sharpe -0.69 | Sortino -0.90 | Calmar -0.3
Vol 27% | MDD -76.5%
Months 73M (28%)
CAGR -4.9% | Win 51%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 26% | MDD -80.4%
Months 149M (58%)
MACD
neg
CAGR 18.6% | Win 68%
Sharpe 0.83 | Sortino 1.53 | Calmar 0.9
Vol 24% | MDD -20.3%
Months 54M (21%)
CAGR 24.8% | Win 64%
Sharpe 0.92 | Sortino 1.45 | Calmar 0.7
Vol 28% | MDD -38.1%
Months 56M (22%)
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 (50%)
CAGR -3.1% | Win 54%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 28% | MDD -68.4%
Months 129M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -1.0% | Win 51%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 24% | MDD -68.6%
Months 137M (53%)
CAGR -39.8% | Win 50%
Sharpe -1.15 | Sortino -1.33 | Calmar -1.5
Vol 37% | MDD -27.0%
Months 12M (5%)
CAGR -4.9% | Win 51%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 26% | MDD -80.4%
Months 149M (58%)
MACD
neg
CAGR 33.9% | Win 75%
Sharpe 1.59 | Sortino 2.69 | Calmar 1.3
Vol 20% | MDD -26.6%
Months 59M (23%)
CAGR 9.0% | Win 57%
Sharpe 0.42 | Sortino 0.77 | Calmar 0.2
Vol 32% | MDD -44.5%
Months 51M (20%)
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 8.4% | Win 58%
Sharpe 0.46 | Sortino 0.77 | Calmar 0.2
Vol 23% | MDD -53.7%
Months 196M (76%)
CAGR -2.7% | Win 56%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.1
Vol 33% | MDD -52.1%
Months 63M (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 (41%)
CAGR 7.3% | Win 62%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 25% | MDD -54.3%
Months 58M (22%)
CAGR 3.0% | Win 56%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.0
Vol 23% | MDD -69.1%
Months 165M (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 13.3% | Win 65%
Sharpe 0.55 | Sortino 0.75 | Calmar 0.3
Vol 32% | MDD -48.0%
Months 72M (28%)
CAGR 10.3% | Win 61%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 31% | MDD -48.0%
Months 94M (36%)
MACDhist
only
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.25 | Calmar 0.0
Vol 22% | MDD -56.3%
Months 129M (50%)
CAGR 10.6% | Win 64%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -53.2%
Months 130M (50%)
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 (41%)
CAGR -13.5% | Win 46%
Sharpe -0.48 | Sortino -0.70 | Calmar -0.2
Vol 24% | MDD -70.0%
Months 59M (23%)
CAGR 3.0% | Win 56%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.0
Vol 23% | MDD -69.1%
Months 165M (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 6.7% | Win 60%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.2
Vol 31% | MDD -42.0%
Months 70M (27%)
CAGR 10.3% | Win 61%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 31% | MDD -48.0%
Months 94M (36%)
RSIhist
only
CAGR 15.0% | Win 62%
Sharpe 0.70 | Sortino 1.36 | Calmar 0.4
Vol 24% | MDD -36.4%
Months 130M (50%)
CAGR -3.1% | Win 54%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 28% | MDD -68.4%
Months 129M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 6.0% | Win 56%
Sharpe 0.37 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -57.1%
Months 152M (59%)
CAGR -26.1% | Win 54%
Sharpe -1.06 | Sortino -1.48 | Calmar -1.2
Vol 25% | MDD -22.1%
Months 13M (5%)
CAGR 3.0% | Win 56%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.0
Vol 23% | MDD -69.1%
Months 165M (64%)
RSI
neg
CAGR 17.3% | Win 66%
Sharpe 0.77 | Sortino 1.07 | Calmar 0.7
Vol 25% | MDD -26.6%
Months 44M (17%)
CAGR 4.5% | Win 56%
Sharpe 0.30 | Sortino 0.45 | Calmar 0.1
Vol 35% | MDD -47.2%
Months 50M (19%)
CAGR 10.3% | Win 61%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 31% | MDD -48.0%
Months 94M (36%)
LWTI
only
CAGR 8.4% | Win 58%
Sharpe 0.46 | Sortino 0.77 | Calmar 0.2
Vol 23% | MDD -53.7%
Months 196M (76%)
CAGR -2.7% | Win 56%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.1
Vol 33% | MDD -52.1%
Months 63M (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 (35%)
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 (50%)
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 5.3% | Win 58%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 31% | MDD -53.2%
Months 90M (35%)
CAGR 10.6% | Win 64%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -53.2%
Months 130M (50%)
RSIhist
only
CAGR 15.0% | Win 62%
Sharpe 0.70 | Sortino 1.36 | Calmar 0.4
Vol 24% | MDD -36.4%
Months 130M (50%)
CAGR -3.1% | Win 54%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 28% | MDD -68.4%
Months 129M (50%)
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 -50.5%
Months 119M (46%)
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 (50%)
MACDhist
neg
CAGR 19.7% | Win 68%
Sharpe 0.87 | Sortino 1.35 | Calmar 0.6
Vol 24% | MDD -35.7%
Months 77M (30%)
CAGR -1.3% | Win 58%
Sharpe 0.14 | Sortino 0.21 | Calmar -0.0
Vol 36% | MDD -52.1%
Months 53M (20%)
CAGR 10.6% | Win 64%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -53.2%
Months 130M (50%)
LWTI
only
CAGR 8.4% | Win 58%
Sharpe 0.46 | Sortino 0.77 | Calmar 0.2
Vol 23% | MDD -53.7%
Months 196M (76%)
CAGR -2.7% | Win 56%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.1
Vol 33% | MDD -52.1%
Months 63M (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 (50%)
RSIhist
neg
CAGR -2.3% | Win 54%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 23% | MDD -55.0%
Months 94M (36%)
CAGR -5.1% | Win 51%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.1
Vol 39% | MDD -41.1%
Months 35M (14%)
CAGR -3.1% | Win 54%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 28% | MDD -68.4%
Months 129M (50%)
LWTI
only
CAGR 8.4% | Win 58%
Sharpe 0.46 | Sortino 0.77 | Calmar 0.2
Vol 23% | MDD -53.7%
Months 196M (76%)
CAGR -2.7% | Win 56%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.1
Vol 33% | MDD -52.1%
Months 63M (24%)