KSA - iShares MSCI Saudi Arabia ETF

Signal Pair Analysis

SLmean-RSI

Best Pair

196.1%

Best CAGR

39

Total Months

7.7%

Avg CAGR

KSA 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 KSA

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSI SLmean pos-neg 3 2.3 196.1 100.0 7.2 0.0 0.0 15.9 0.0
pair SLmean RSI pos-neg 3 2.3 196.1 100.0 7.2 0.0 0.0 15.9 0.0
pair MRmean MACDhist neg-pos 2 1.5 71.8 100.0 6.2 0.0 0.0 9.0 0.0
pair MACDhist MRmean neg-pos 2 1.5 71.8 100.0 6.2 0.0 0.0 9.0 0.0
pair LWTI MACD neg-neg 6 4.5 67.3 100.0 4.4 0.0 0.0 12.1 0.0
pair MACD LWTI neg-neg 6 4.5 67.3 100.0 4.4 0.0 0.0 12.1 0.0
pair RSI LWTI neg-neg 10 7.5 40.5 80.0 1.7 1.5 25.7 21.5 -1.6
pair LWTI RSI neg-neg 10 7.5 40.5 80.0 1.7 1.5 25.7 21.5 -1.6
pair MRmean SLmean neg-pos 7 5.3 36.4 57.1 1.3 3.2 4.6 26.6 -8.0
pair SLmean MRmean neg-pos 7 5.3 36.4 57.1 1.3 3.2 4.6 26.6 -8.0
pair RSI RSmean pos-neg 23 17.3 36.1 69.6 1.7 2.5 3.1 19.7 -11.5
pair RSmean RSI pos-neg 23 17.3 36.1 69.6 1.7 2.5 3.1 19.7 -11.5
pair RSIhist LWTI neg-neg 12 9.0 28.5 75.0 1.2 1.6 3.8 22.2 -7.5
pair LWTI RSIhist neg-neg 12 9.0 28.5 75.0 1.2 1.6 3.8 22.2 -7.5
pair SLmean RSIhist pos-neg 14 10.5 28.5 57.1 1.3 2.9 3.6 21.0 -8.0
pair RSIhist SLmean pos-neg 14 10.5 28.5 57.1 1.3 2.9 3.6 21.0 -8.0
pair RSmean MACD pos-neg 21 15.8 28.4 71.4 1.5 3.8 4.0 17.9 -7.1
pair MACD RSmean pos-neg 21 15.8 28.4 71.4 1.5 3.8 4.0 17.9 -7.1
pair SLmean MACD pos-neg 14 10.5 25.6 71.4 1.3 4.2 3.6 18.7 -7.1
pair MACD SLmean pos-neg 14 10.5 25.6 71.4 1.3 4.2 3.6 18.7 -7.1
pair SLmean LWTI neg-neg 10 7.5 22.7 70.0 0.9 1.4 3.0 25.0 -7.5
pair LWTI SLmean neg-neg 10 7.5 22.7 70.0 0.9 1.4 3.0 25.0 -7.5
pair MRmean LWTI neg-neg 13 9.8 22.7 69.2 1.1 1.4 3.0 21.8 -7.5
pair LWTI MRmean neg-neg 13 9.8 22.7 69.2 1.1 1.4 3.0 21.8 -7.5
pair RSIhist RSI neg-pos 5 3.8 20.8 40.0 0.8 7.7 3.0 28.8 -7.0
pair RSI RSIhist neg-pos 5 3.8 20.8 40.0 0.8 7.7 3.0 28.8 -7.0
pair RSmean MRmean neg-pos 36 27.1 17.3 63.9 0.9 1.6 0.9 20.5 -19.9
pair MRmean RSmean neg-pos 36 27.1 17.3 63.9 0.9 1.6 0.9 20.5 -19.9
pair MRmean MACD neg-neg 23 17.3 16.3 60.9 0.8 1.4 1.0 21.4 -16.3
pair MACD MRmean neg-neg 23 17.3 16.3 60.9 0.8 1.4 1.0 21.4 -16.3
pair MACD RSI neg-neg 23 17.3 16.3 60.9 0.8 1.4 1.0 21.4 -16.3
pair RSI MACD neg-neg 23 17.3 16.3 60.9 0.8 1.4 1.0 21.4 -16.3
pair MACDhist RSI neg-neg 37 27.8 16.2 59.5 0.8 1.3 1.0 20.2 -16.3
single RSI RSI neg-neg 37 27.8 16.2 59.5 0.8 1.3 1.0 20.2 -16.3
pair RSI MRmean neg-neg 37 27.8 16.2 59.5 0.8 1.3 1.0 20.2 -16.3
pair MRmean RSI neg-neg 37 27.8 16.2 59.5 0.8 1.3 1.0 20.2 -16.3
pair RSI MACDhist neg-neg 37 27.8 16.2 59.5 0.8 1.3 1.0 20.2 -16.3
pair MACD RSI pos-neg 14 10.5 16.1 57.1 0.9 1.2 1.4 18.8 -11.5
pair RSI MACD pos-neg 14 10.5 16.1 57.1 0.9 1.2 1.4 18.8 -11.5
pair RSIhist RSI neg-neg 32 24.1 15.6 62.5 0.8 1.1 0.9 19.1 -16.3
pair RSI RSIhist neg-neg 32 24.1 15.6 62.5 0.8 1.1 0.9 19.1 -16.3
pair LWTI RSmean pos-neg 19 14.3 15.3 63.2 0.8 1.3 1.5 21.3 -10.3
pair RSmean LWTI pos-neg 19 14.3 15.3 63.2 0.8 1.3 1.5 21.3 -10.3
pair MACD RSIhist neg-neg 18 13.5 15.1 66.7 0.8 1.0 0.9 19.9 -16.3
pair RSIhist MACD neg-neg 18 13.5 15.1 66.7 0.8 1.0 0.9 19.9 -16.3
pair LWTI MACDhist neg-neg 20 15.0 13.4 60.0 0.7 1.2 1.1 20.9 -11.7
single LWTI LWTI neg-neg 20 15.0 13.4 60.0 0.7 1.2 1.1 20.9 -11.7
pair MACDhist LWTI neg-neg 20 15.0 13.4 60.0 0.7 1.2 1.1 20.9 -11.7
pair MACDhist RSmean pos-neg 68 51.1 12.7 60.3 0.7 1.4 0.6 19.1 -22.6
pair RSmean MACDhist pos-neg 68 51.1 12.7 60.3 0.7 1.4 0.6 19.1 -22.6
pair MACD MACDhist neg-neg 35 26.3 12.6 62.9 0.7 1.2 0.8 18.9 -16.3
pair MACDhist MACD neg-neg 35 26.3 12.6 62.9 0.7 1.2 0.8 18.9 -16.3
single MACD MACD neg-neg 35 26.3 12.6 62.9 0.7 1.2 0.8 18.9 -16.3
pair SLmean RSmean pos-pos 66 49.6 11.7 57.6 0.7 1.4 0.6 18.1 -20.7
pair RSmean SLmean pos-pos 66 49.6 11.7 57.6 0.7 1.4 0.6 18.1 -20.7
pair RSIhist RSmean pos-pos 56 42.1 10.9 58.9 0.7 1.3 0.4 17.5 -24.9
pair RSmean RSIhist pos-pos 56 42.1 10.9 58.9 0.7 1.3 0.4 17.5 -24.9
pair MACD RSIhist neg-pos 17 12.8 10.0 58.8 0.6 2.3 1.4 18.2 -7.1
pair RSIhist MACD neg-pos 17 12.8 10.0 58.8 0.6 2.3 1.4 18.2 -7.1
single RSmean RSmean pos-pos 109 82.0 9.7 59.6 0.6 1.0 0.3 18.5 -30.5
pair LWTI RSmean pos-pos 90 67.7 8.5 58.9 0.6 0.9 0.3 17.9 -27.0
pair RSmean LWTI pos-pos 90 67.7 8.5 58.9 0.6 0.9 0.3 17.9 -27.0
pair LWTI RSI neg-pos 27 20.3 8.4 51.9 0.5 0.9 0.5 19.7 -16.3
pair RSI LWTI neg-pos 27 20.3 8.4 51.9 0.5 0.9 0.5 19.7 -16.3
pair RSIhist RSmean pos-neg 53 39.8 8.4 60.4 0.5 0.9 0.3 19.7 -26.6
pair RSmean RSIhist pos-neg 53 39.8 8.4 60.4 0.5 0.9 0.3 19.7 -26.6
pair SLmean LWTI pos-pos 64 48.1 8.4 56.2 0.5 1.0 0.3 18.0 -31.6
pair LWTI SLmean pos-pos 64 48.1 8.4 56.2 0.5 1.0 0.3 18.0 -31.6
pair MACDhist SLmean pos-pos 31 23.3 8.1 58.1 0.5 0.8 0.5 17.1 -17.1
pair SLmean MACDhist pos-pos 31 23.3 8.1 58.1 0.5 0.8 0.5 17.1 -17.1
single SLmean SLmean pos-pos 74 55.6 7.9 55.4 0.5 1.0 0.2 17.8 -32.6
pair MACDhist SLmean pos-neg 43 32.3 7.8 53.5 0.5 1.2 0.3 18.4 -26.3
pair SLmean MACDhist pos-neg 43 32.3 7.8 53.5 0.5 1.2 0.3 18.4 -26.3
pair RSIhist MRmean neg-neg 46 34.6 7.7 60.9 0.5 0.7 0.3 19.3 -22.0
pair MRmean RSIhist neg-neg 46 34.6 7.7 60.9 0.5 0.7 0.3 19.3 -22.0
single MRmean MRmean neg-neg 53 39.8 7.6 56.6 0.5 0.8 0.4 19.8 -19.9
pair RSIhist MACDhist neg-neg 53 39.8 7.2 60.4 0.5 0.7 0.3 19.6 -22.6
pair MACDhist RSIhist neg-neg 53 39.8 7.2 60.4 0.5 0.7 0.3 19.6 -22.6
pair RSIhist MRmean neg-pos 7 5.3 7.2 28.6 0.4 2.0 1.0 24.4 -7.0
pair MRmean RSIhist neg-pos 7 5.3 7.2 28.6 0.4 2.0 1.0 24.4 -7.0
pair SLmean RSI neg-neg 34 25.6 7.0 55.9 0.5 0.7 0.3 18.7 -20.0
pair RSI SLmean neg-neg 34 25.6 7.0 55.9 0.5 0.7 0.3 18.7 -20.0
single RSIhist RSIhist neg-neg 67 50.4 6.6 59.7 0.4 0.7 0.2 19.4 -26.6
pair RSmean SLmean neg-pos 43 32.3 6.5 62.8 0.4 0.7 0.3 19.3 -22.9
pair SLmean RSmean neg-pos 43 32.3 6.5 62.8 0.4 0.7 0.3 19.3 -22.9
pair SLmean RSIhist neg-pos 6 4.5 6.2 33.3 0.4 1.4 0.9 20.8 -7.0
pair RSIhist SLmean neg-pos 6 4.5 6.2 33.3 0.4 1.4 0.9 20.8 -7.0
pair RSmean MRmean pos-pos 73 54.9 6.1 57.5 0.4 0.7 0.2 17.4 -34.8
pair MRmean RSmean pos-pos 73 54.9 6.1 57.5 0.4 0.7 0.2 17.4 -34.8
pair MACD MRmean pos-neg 12 9.0 5.8 66.7 0.5 1.1 0.8 13.3 -7.1
pair RSI MACD neg-pos 12 9.0 5.8 66.7 0.5 1.1 0.8 13.3 -7.1
pair MRmean MACD pos-neg 12 9.0 5.8 66.7 0.5 1.1 0.8 13.3 -7.1
pair MACD RSI neg-pos 12 9.0 5.8 66.7 0.5 1.1 0.8 13.3 -7.1
pair MRmean MACDhist neg-neg 51 38.3 5.7 54.9 0.4 0.6 0.3 19.9 -19.9
pair MACDhist MRmean neg-neg 51 38.3 5.7 54.9 0.4 0.6 0.3 19.9 -19.9
pair MACD RSmean pos-pos 88 66.2 5.6 56.8 0.4 0.7 0.2 18.5 -30.5
pair RSmean MACD pos-pos 88 66.2 5.6 56.8 0.4 0.7 0.2 18.5 -30.5
single MACDhist MACDhist neg-neg 92 69.2 5.4 55.4 0.4 0.7 0.2 18.6 -22.6
pair SLmean MRmean pos-pos 67 50.4 5.3 55.2 0.4 0.7 0.2 16.7 -30.6
pair MRmean SLmean pos-pos 67 50.4 5.3 55.2 0.4 0.7 0.2 16.7 -30.6
pair MRmean MACDhist pos-neg 41 30.8 5.2 56.1 0.4 0.9 0.2 17.1 -24.6
pair MACDhist MRmean pos-neg 41 30.8 5.2 56.1 0.4 0.9 0.2 17.1 -24.6
pair benchmark___benchmark_ benchmark-benchmark 133 100.0 5.2 56.4 0.4 0.6 0.2 18.2 -30.5
pair benchmark___benchmark_ benchmark-benchmark 133 100.0 5.2 56.4 0.4 0.6 0.2 18.2 -30.5
pair LWTI RSIhist pos-pos 58 43.6 5.2 55.2 0.4 0.7 0.2 17.0 -29.5
pair RSIhist LWTI pos-pos 58 43.6 5.2 55.2 0.4 0.7 0.2 17.0 -29.5
single MACDhist MACDhist pos-pos 41 30.8 4.8 58.5 0.3 0.5 0.2 17.5 -20.8
pair MACDhist LWTI pos-pos 41 30.8 4.8 58.5 0.3 0.5 0.2 17.5 -20.8
pair LWTI SLmean pos-neg 10 7.5 4.8 50.0 0.3 0.7 0.5 16.9 -10.3
pair SLmean LWTI pos-neg 10 7.5 4.8 50.0 0.3 0.7 0.5 16.9 -10.3
pair LWTI MACDhist pos-pos 41 30.8 4.8 58.5 0.3 0.5 0.2 17.5 -20.8
pair MACDhist RSIhist pos-pos 27 20.3 4.8 59.3 0.4 0.5 0.3 16.8 -17.6
pair RSI MACDhist pos-pos 41 30.8 4.8 58.5 0.3 0.5 0.2 17.5 -20.8
pair MACDhist RSI pos-pos 41 30.8 4.8 58.5 0.3 0.5 0.2 17.5 -20.8
pair RSIhist MACDhist pos-pos 27 20.3 4.8 59.3 0.4 0.5 0.3 16.8 -17.6
pair MACDhist RSmean pos-pos 41 30.8 4.8 58.5 0.3 0.5 0.2 17.5 -20.8
pair MACDhist MACD pos-pos 41 30.8 4.8 58.5 0.3 0.5 0.2 17.5 -20.8
pair MACD MACDhist pos-pos 41 30.8 4.8 58.5 0.3 0.5 0.2 17.5 -20.8
pair RSmean MACDhist pos-pos 41 30.8 4.8 58.5 0.3 0.5 0.2 17.5 -20.8
pair SLmean MACD neg-neg 21 15.8 4.7 57.1 0.3 0.5 0.3 19.1 -16.3
pair MACD SLmean neg-neg 21 15.8 4.7 57.1 0.3 0.5 0.3 19.1 -16.3
pair MACDhist RSIhist pos-neg 14 10.5 4.6 57.1 0.3 0.5 0.4 19.3 -10.9
pair RSIhist MACDhist pos-neg 14 10.5 4.6 57.1 0.3 0.5 0.4 19.3 -10.9
pair RSIhist MRmean pos-neg 21 15.8 4.4 57.1 0.3 0.5 0.2 20.0 -21.4
pair MRmean RSIhist pos-neg 21 15.8 4.4 57.1 0.3 0.5 0.2 20.0 -21.4
pair MRmean LWTI pos-pos 73 54.9 4.2 57.5 0.3 0.6 0.1 17.1 -37.8
pair LWTI MRmean pos-pos 73 54.9 4.2 57.5 0.3 0.6 0.1 17.1 -37.8
pair MACD SLmean pos-pos 60 45.1 4.1 51.7 0.3 0.6 0.1 17.5 -32.6
pair SLmean MACD pos-pos 60 45.1 4.1 51.7 0.3 0.6 0.1 17.5 -32.6
pair LWTI MACD pos-pos 84 63.2 3.9 56.0 0.3 0.5 0.1 17.3 -30.7
pair MACD LWTI pos-pos 84 63.2 3.9 56.0 0.3 0.5 0.1 17.3 -30.7
pair MRmean SLmean neg-neg 46 34.6 3.8 56.5 0.3 0.4 0.1 18.6 -26.5
single LWTI LWTI pos-pos 113 85.0 3.8 55.8 0.3 0.5 0.1 17.8 -27.3
single RSIhist RSIhist pos-pos 66 49.6 3.8 53.0 0.3 0.6 0.1 17.1 -37.4
pair SLmean MRmean neg-neg 46 34.6 3.8 56.5 0.3 0.4 0.1 18.6 -26.5
pair MACD LWTI neg-pos 29 21.8 3.7 55.2 0.3 0.5 0.2 19.3 -16.3
pair MRmean RSI pos-pos 80 60.2 3.7 56.2 0.3 0.5 0.1 17.2 -43.2
pair RSI MRmean pos-pos 80 60.2 3.7 56.2 0.3 0.5 0.1 17.2 -43.2
pair LWTI MACD neg-pos 29 21.8 3.7 55.2 0.3 0.5 0.2 19.3 -16.3
single MRmean MRmean pos-pos 80 60.2 3.7 56.2 0.3 0.5 0.1 17.2 -43.2
pair MACD RSIhist pos-neg 49 36.8 3.7 57.1 0.3 0.5 0.1 19.3 -27.9
pair RSIhist MACD pos-neg 49 36.8 3.7 57.1 0.3 0.5 0.1 19.3 -27.9
pair SLmean RSIhist pos-pos 60 45.1 3.6 55.0 0.3 0.5 0.1 16.9 -36.9
pair RSIhist SLmean pos-pos 60 45.1 3.6 55.0 0.3 0.5 0.1 16.9 -36.9
pair MACDhist SLmean neg-neg 49 36.8 3.5 57.1 0.3 0.4 0.1 19.0 -22.6
pair SLmean MACDhist neg-neg 49 36.8 3.5 57.1 0.3 0.4 0.1 19.0 -22.6
pair RSI RSmean pos-pos 86 64.7 3.5 57.0 0.3 0.5 0.1 17.9 -36.6
pair RSmean RSI pos-pos 86 64.7 3.5 57.0 0.3 0.5 0.1 17.9 -36.6
pair MRmean RSIhist pos-pos 59 44.4 3.4 55.9 0.3 0.5 0.1 16.3 -35.0
pair RSIhist MRmean pos-pos 59 44.4 3.4 55.9 0.3 0.5 0.1 16.3 -35.0
pair RSI SLmean pos-pos 71 53.4 3.4 53.5 0.3 0.5 0.1 16.8 -36.6
pair SLmean RSI pos-pos 71 53.4 3.4 53.5 0.3 0.5 0.1 16.8 -36.6
pair LWTI MACDhist neg-pos 72 54.1 3.3 54.2 0.3 0.5 0.1 18.1 -27.6
pair MACDhist LWTI neg-pos 72 54.1 3.3 54.2 0.3 0.5 0.1 18.1 -27.6
pair MRmean MACD pos-pos 68 51.1 3.3 54.4 0.3 0.5 0.1 17.9 -43.2
pair MACD MRmean pos-pos 68 51.1 3.3 54.4 0.3 0.5 0.1 17.9 -43.2
pair MRmean LWTI neg-pos 40 30.1 3.1 52.5 0.3 0.4 0.2 19.2 -16.3
pair LWTI MRmean neg-pos 40 30.1 3.1 52.5 0.3 0.4 0.2 19.2 -16.3
pair RSIhist MACDhist neg-pos 39 29.3 3.1 48.7 0.3 0.7 0.1 17.5 -25.3
pair MACDhist RSIhist neg-pos 39 29.3 3.1 48.7 0.3 0.7 0.1 17.5 -25.3
single MACD MACD pos-pos 98 73.7 2.7 54.1 0.2 0.4 0.1 18.0 -33.5
pair RSI LWTI pos-pos 86 64.7 2.5 57.0 0.2 0.4 0.1 17.2 -37.3
pair RSIhist RSI pos-pos 61 45.9 2.5 54.1 0.2 0.4 0.1 16.1 -37.4
pair RSI RSIhist pos-pos 61 45.9 2.5 54.1 0.2 0.4 0.1 16.1 -37.4
pair LWTI RSI pos-pos 86 64.7 2.5 57.0 0.2 0.4 0.1 17.2 -37.3
pair LWTI RSIhist neg-pos 55 41.4 2.4 56.4 0.2 0.3 0.1 18.7 -23.7
pair RSIhist LWTI neg-pos 55 41.4 2.4 56.4 0.2 0.3 0.1 18.7 -23.7
pair MACDhist MRmean pos-pos 39 29.3 2.1 56.4 0.2 0.3 0.1 17.5 -27.7
pair MRmean MACDhist pos-pos 39 29.3 2.1 56.4 0.2 0.3 0.1 17.5 -27.7
single SLmean SLmean neg-neg 59 44.4 2.0 57.6 0.2 0.3 0.1 18.9 -25.7
pair RSIhist MACD pos-pos 49 36.8 1.8 51.0 0.2 0.3 0.1 16.9 -37.4
pair MACD RSIhist pos-pos 49 36.8 1.8 51.0 0.2 0.3 0.1 16.9 -37.4
pair SLmean RSIhist neg-neg 53 39.8 1.5 60.4 0.2 0.3 0.1 18.9 -22.9
pair RSIhist SLmean neg-neg 53 39.8 1.5 60.4 0.2 0.3 0.1 18.9 -22.9
pair MACD MRmean neg-pos 30 22.6 1.4 53.3 0.2 0.3 0.1 18.6 -19.9
pair MRmean MACD neg-pos 30 22.6 1.4 53.3 0.2 0.3 0.1 18.6 -19.9
single RSI RSI pos-pos 96 72.2 1.3 55.2 0.2 0.3 0.0 17.4 -46.2
pair MACDhist MACD pos-neg 57 42.9 1.3 50.9 0.2 0.3 0.0 18.6 -28.0
pair MACD MACDhist pos-neg 57 42.9 1.3 50.9 0.2 0.3 0.0 18.6 -28.0
pair MACD RSI pos-pos 84 63.2 0.6 53.6 0.1 0.2 0.0 17.9 -46.2
pair RSI MACD pos-pos 84 63.2 0.6 53.6 0.1 0.2 0.0 17.9 -46.2
pair SLmean MACD neg-pos 38 28.6 0.5 57.9 0.1 0.2 0.0 19.0 -22.9
pair MACD SLmean neg-pos 38 28.6 0.5 57.9 0.1 0.2 0.0 19.0 -22.9
pair RSmean RSIhist neg-neg 14 10.5 0.3 57.1 0.1 0.1 0.0 18.8 -16.3
pair RSIhist RSmean neg-neg 14 10.5 0.3 57.1 0.1 0.1 0.0 18.8 -16.3
pair RSI RSIhist pos-neg 35 26.3 -0.9 57.1 0.1 0.1 -0.0 19.6 -26.2
pair RSIhist RSI pos-neg 35 26.3 -0.9 57.1 0.1 0.1 -0.0 19.6 -26.2
pair RSI MACDhist pos-neg 55 41.4 -1.3 52.7 0.0 0.0 -0.0 17.4 -35.7
pair MACDhist RSI pos-neg 55 41.4 -1.3 52.7 0.0 0.0 -0.0 17.4 -35.7
pair LWTI SLmean neg-pos 49 36.8 -1.8 55.1 -0.0 -0.0 -0.1 17.5 -22.9
pair SLmean LWTI neg-pos 49 36.8 -1.8 55.1 -0.0 -0.0 -0.1 17.5 -22.9
pair LWTI MRmean pos-neg 7 5.3 -2.0 42.9 -0.0 -0.0 -0.2 19.9 -10.3
pair MRmean LWTI pos-neg 7 5.3 -2.0 42.9 -0.0 -0.0 -0.2 19.9 -10.3
pair MACD LWTI pos-neg 14 10.5 -4.0 42.9 -0.1 -0.1 -0.3 22.4 -11.7
pair LWTI MACD pos-neg 14 10.5 -4.0 42.9 -0.1 -0.1 -0.3 22.4 -11.7
pair SLmean MRmean pos-neg 13 9.8 -4.2 61.5 -0.1 -0.2 -0.2 20.4 -19.3
pair MRmean SLmean pos-neg 13 9.8 -4.2 61.5 -0.1 -0.2 -0.2 20.4 -19.3
pair RSI SLmean neg-pos 25 18.8 -4.5 60.0 -0.1 -0.3 -0.3 19.3 -16.3
pair SLmean RSI neg-pos 25 18.8 -4.5 60.0 -0.1 -0.3 -0.3 19.3 -16.3
pair SLmean MACDhist neg-pos 10 7.5 -4.9 60.0 -0.2 -0.2 -0.4 19.1 -13.2
pair MACDhist SLmean neg-pos 10 7.5 -4.9 60.0 -0.2 -0.2 -0.4 19.1 -13.2
pair LWTI RSIhist pos-neg 8 6.0 -5.9 37.5 -0.2 -0.6 -0.5 18.7 -11.3
pair RSIhist LWTI pos-neg 8 6.0 -5.9 37.5 -0.2 -0.6 -0.5 18.7 -11.3
pair RSmean MACD neg-neg 14 10.5 -7.6 50.0 -0.3 -0.4 -0.5 19.4 -16.3
pair MACD RSmean neg-neg 14 10.5 -7.6 50.0 -0.3 -0.4 -0.5 19.4 -16.3
pair RSI LWTI pos-neg 10 7.5 -8.5 40.0 -0.4 -0.8 -0.6 19.3 -14.2
pair LWTI RSI pos-neg 10 7.5 -8.5 40.0 -0.4 -0.8 -0.6 19.3 -14.2
pair SLmean RSmean neg-neg 16 12.0 -9.3 43.8 -0.5 -0.6 -0.6 18.0 -16.8
pair RSmean SLmean neg-neg 16 12.0 -9.3 43.8 -0.5 -0.6 -0.6 18.0 -16.8
pair RSI MRmean neg-pos 16 12.0 -9.9 50.0 -0.5 -0.8 -0.6 18.3 -17.3
pair MRmean RSI neg-pos 16 12.0 -9.9 50.0 -0.5 -0.8 -0.6 18.3 -17.3
pair RSI RSmean neg-neg 14 10.5 -10.3 42.9 -0.5 -0.7 -0.6 19.3 -17.3
pair RSmean MRmean neg-neg 17 12.8 -10.3 41.2 -0.5 -0.8 -0.6 17.5 -18.7
pair MRmean RSmean neg-neg 17 12.8 -10.3 41.2 -0.5 -0.8 -0.6 17.5 -18.7
pair RSmean RSI neg-neg 14 10.5 -10.3 42.9 -0.5 -0.7 -0.6 19.3 -17.3
pair LWTI RSmean neg-pos 23 17.3 -12.6 43.5 -0.7 -1.1 -0.6 16.6 -22.3
pair RSmean LWTI neg-pos 23 17.3 -12.6 43.5 -0.7 -1.1 -0.6 16.6 -22.3
pair MACDhist RSmean neg-neg 24 18.0 -12.8 41.7 -0.8 -1.1 -0.5 16.2 -23.5
pair RSmean MACDhist neg-neg 24 18.0 -12.8 41.7 -0.8 -1.1 -0.5 16.2 -23.5
single RSmean RSmean neg-neg 24 18.0 -12.8 41.7 -0.8 -1.1 -0.5 16.2 -23.5
pair RSmean RSI neg-pos 10 7.5 -16.0 40.0 -1.4 -1.9 -0.9 11.5 -18.6
pair RSI RSmean neg-pos 10 7.5 -16.0 40.0 -1.4 -1.9 -0.9 11.5 -18.6
pair RSmean LWTI neg-neg 1 0.8 -17.3 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.8 -17.3 0.0 0.0 0.0 0.0 - 0.0
pair RSmean MRmean pos-neg 7 5.3 -18.5 42.9 -1.4 -2.2 -1.1 13.7 -16.4
pair MRmean RSmean pos-neg 7 5.3 -18.5 42.9 -1.4 -2.2 -1.1 13.7 -16.4
pair SLmean RSmean pos-neg 8 6.0 -19.2 37.5 -1.6 -2.4 -1.1 12.7 -18.3
pair RSmean SLmean pos-neg 8 6.0 -19.2 37.5 -1.6 -2.4 -1.1 12.7 -18.3
pair MACD RSmean neg-pos 10 7.5 -19.5 30.0 -1.9 -2.5 -1.0 10.8 -19.9
pair RSmean MACD neg-pos 10 7.5 -19.5 30.0 -1.9 -2.5 -1.0 10.8 -19.9
pair RSIhist RSmean neg-pos 10 7.5 -28.3 20.0 -3.3 -4.4 -1.4 9.8 -21.0
pair RSmean RSIhist neg-pos 10 7.5 -28.3 20.0 -3.3 -4.4 -1.4 9.8 -21.0

All Contingency Tables for KSA

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos
SLmean
neg
MRmean
only
MRmean
pos
CAGR 5.3% | Win 55%
Sharpe 0.39 | Sortino 0.71 | Calmar 0.2
Vol 17% | MDD -30.6%
Months 67M (50%)
CAGR -4.2% | Win 62%
Sharpe -0.12 | Sortino -0.20 | Calmar -0.2
Vol 20% | MDD -19.3%
Months 13M (10%)
CAGR 3.7% | Win 56%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.1
Vol 17% | MDD -43.2%
Months 80M (60%)
MRmean
neg
CAGR 36.4% | Win 57%
Sharpe 1.29 | Sortino 3.18 | Calmar 4.6
Vol 27% | MDD -8.0%
Months 7M (5%)
CAGR 3.8% | Win 56%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 19% | MDD -26.5%
Months 46M (35%)
CAGR 7.6% | Win 57%
Sharpe 0.47 | Sortino 0.78 | Calmar 0.4
Vol 20% | MDD -19.9%
Months 53M (40%)
SLmean
only
CAGR 7.9% | Win 55%
Sharpe 0.52 | Sortino 1.00 | Calmar 0.2
Vol 18% | MDD -32.6%
Months 74M (56%)
CAGR 2.0% | Win 58%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.1
Vol 19% | MDD -25.7%
Months 59M (44%)
MRmean × RSmean
RSmean
pos
RSmean
neg
MRmean
only
MRmean
pos
CAGR 6.1% | Win 57%
Sharpe 0.42 | Sortino 0.73 | Calmar 0.2
Vol 17% | MDD -34.8%
Months 73M (55%)
CAGR -18.5% | Win 43%
Sharpe -1.42 | Sortino -2.17 | Calmar -1.1
Vol 14% | MDD -16.4%
Months 7M (5%)
CAGR 3.7% | Win 56%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.1
Vol 17% | MDD -43.2%
Months 80M (60%)
MRmean
neg
CAGR 17.3% | Win 64%
Sharpe 0.88 | Sortino 1.55 | Calmar 0.9
Vol 20% | MDD -19.9%
Months 36M (27%)
CAGR -10.3% | Win 41%
Sharpe -0.53 | Sortino -0.75 | Calmar -0.6
Vol 18% | MDD -18.7%
Months 17M (13%)
CAGR 7.6% | Win 57%
Sharpe 0.47 | Sortino 0.78 | Calmar 0.4
Vol 20% | MDD -19.9%
Months 53M (40%)
RSmean
only
CAGR 9.7% | Win 60%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.3
Vol 18% | MDD -30.5%
Months 109M (82%)
CAGR -12.8% | Win 42%
Sharpe -0.76 | Sortino -1.10 | Calmar -0.5
Vol 16% | MDD -23.5%
Months 24M (18%)
MRmean × MACD
MACD
pos
MACD
neg
MRmean
only
MRmean
pos
CAGR 3.3% | Win 54%
Sharpe 0.27 | Sortino 0.47 | Calmar 0.1
Vol 18% | MDD -43.2%
Months 68M (51%)
CAGR 5.8% | Win 67%
Sharpe 0.48 | Sortino 1.09 | Calmar 0.8
Vol 13% | MDD -7.1%
Months 12M (9%)
CAGR 3.7% | Win 56%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.1
Vol 17% | MDD -43.2%
Months 80M (60%)
MRmean
neg
CAGR 1.4% | Win 53%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.1
Vol 19% | MDD -19.9%
Months 30M (23%)
CAGR 16.3% | Win 61%
Sharpe 0.81 | Sortino 1.36 | Calmar 1.0
Vol 21% | MDD -16.3%
Months 23M (17%)
CAGR 7.6% | Win 57%
Sharpe 0.47 | Sortino 0.78 | Calmar 0.4
Vol 20% | MDD -19.9%
Months 53M (40%)
MACD
only
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.1
Vol 18% | MDD -33.5%
Months 98M (74%)
CAGR 12.6% | Win 63%
Sharpe 0.72 | Sortino 1.23 | Calmar 0.8
Vol 19% | MDD -16.3%
Months 35M (26%)
MRmean × RSI
RSI
pos
RSI
neg
MRmean
only
MRmean
pos
CAGR 3.7% | Win 56%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.1
Vol 17% | MDD -43.2%
Months 80M (60%)
-
CAGR 3.7% | Win 56%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.1
Vol 17% | MDD -43.2%
Months 80M (60%)
MRmean
neg
CAGR -9.9% | Win 50%
Sharpe -0.48 | Sortino -0.85 | Calmar -0.6
Vol 18% | MDD -17.3%
Months 16M (12%)
CAGR 16.2% | Win 60%
Sharpe 0.85 | Sortino 1.34 | Calmar 1.0
Vol 20% | MDD -16.3%
Months 37M (28%)
CAGR 7.6% | Win 57%
Sharpe 0.47 | Sortino 0.78 | Calmar 0.4
Vol 20% | MDD -19.9%
Months 53M (40%)
RSI
only
CAGR 1.3% | Win 55%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 17% | MDD -46.2%
Months 96M (72%)
CAGR 16.2% | Win 60%
Sharpe 0.85 | Sortino 1.34 | Calmar 1.0
Vol 20% | MDD -16.3%
Months 37M (28%)
MRmean × MACDhist
MACDhist
pos
MACDhist
neg
MRmean
only
MRmean
pos
CAGR 2.1% | Win 56%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 18% | MDD -27.7%
Months 39M (29%)
CAGR 5.2% | Win 56%
Sharpe 0.38 | Sortino 0.86 | Calmar 0.2
Vol 17% | MDD -24.6%
Months 41M (31%)
CAGR 3.7% | Win 56%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.1
Vol 17% | MDD -43.2%
Months 80M (60%)
MRmean
neg
CAGR 71.8% | Win 100%
Sharpe 6.15 | Sortino 0.00 | Calmar 0.0
Vol 9% | MDD 0.0%
Months 2M (2%)
CAGR 5.7% | Win 55%
Sharpe 0.38 | Sortino 0.63 | Calmar 0.3
Vol 20% | MDD -19.9%
Months 51M (38%)
CAGR 7.6% | Win 57%
Sharpe 0.47 | Sortino 0.78 | Calmar 0.4
Vol 20% | MDD -19.9%
Months 53M (40%)
MACDhist
only
CAGR 4.8% | Win 58%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.2
Vol 18% | MDD -20.8%
Months 41M (31%)
CAGR 5.4% | Win 55%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 19% | MDD -22.6%
Months 92M (69%)
MRmean × RSIhist
RSIhist
pos
RSIhist
neg
MRmean
only
MRmean
pos
CAGR 3.4% | Win 56%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.1
Vol 16% | MDD -35.0%
Months 59M (44%)
CAGR 4.4% | Win 57%
Sharpe 0.31 | Sortino 0.53 | Calmar 0.2
Vol 20% | MDD -21.4%
Months 21M (16%)
CAGR 3.7% | Win 56%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.1
Vol 17% | MDD -43.2%
Months 80M (60%)
MRmean
neg
CAGR 7.2% | Win 29%
Sharpe 0.38 | Sortino 1.98 | Calmar 1.0
Vol 24% | MDD -7.0%
Months 7M (5%)
CAGR 7.7% | Win 61%
Sharpe 0.48 | Sortino 0.71 | Calmar 0.3
Vol 19% | MDD -22.0%
Months 46M (35%)
CAGR 7.6% | Win 57%
Sharpe 0.47 | Sortino 0.78 | Calmar 0.4
Vol 20% | MDD -19.9%
Months 53M (40%)
RSIhist
only
CAGR 3.8% | Win 53%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 17% | MDD -37.4%
Months 66M (50%)
CAGR 6.6% | Win 60%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 19% | MDD -26.6%
Months 67M (50%)
MRmean × LWTI
LWTI
pos
LWTI
neg
MRmean
only
MRmean
pos
CAGR 4.2% | Win 57%
Sharpe 0.33 | Sortino 0.55 | Calmar 0.1
Vol 17% | MDD -37.8%
Months 73M (55%)
CAGR -2.0% | Win 43%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.2
Vol 20% | MDD -10.3%
Months 7M (5%)
CAGR 3.7% | Win 56%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.1
Vol 17% | MDD -43.2%
Months 80M (60%)
MRmean
neg
CAGR 3.1% | Win 52%
Sharpe 0.26 | Sortino 0.44 | Calmar 0.2
Vol 19% | MDD -16.3%
Months 40M (30%)
CAGR 22.7% | Win 69%
Sharpe 1.05 | Sortino 1.45 | Calmar 3.0
Vol 22% | MDD -7.5%
Months 13M (10%)
CAGR 7.6% | Win 57%
Sharpe 0.47 | Sortino 0.78 | Calmar 0.4
Vol 20% | MDD -19.9%
Months 53M (40%)
LWTI
only
CAGR 3.8% | Win 56%
Sharpe 0.30 | Sortino 0.51 | Calmar 0.1
Vol 18% | MDD -27.3%
Months 113M (85%)
CAGR 13.4% | Win 60%
Sharpe 0.70 | Sortino 1.17 | Calmar 1.1
Vol 21% | MDD -11.7%
Months 20M (15%)
SLmean × RSmean
RSmean
pos
RSmean
neg
SLmean
only
SLmean
pos
CAGR 11.7% | Win 58%
Sharpe 0.70 | Sortino 1.35 | Calmar 0.6
Vol 18% | MDD -20.7%
Months 66M (50%)
CAGR -19.2% | Win 38%
Sharpe -1.61 | Sortino -2.43 | Calmar -1.0
Vol 13% | MDD -18.3%
Months 8M (6%)
CAGR 7.9% | Win 55%
Sharpe 0.52 | Sortino 1.00 | Calmar 0.2
Vol 18% | MDD -32.6%
Months 74M (56%)
SLmean
neg
CAGR 6.5% | Win 63%
Sharpe 0.42 | Sortino 0.69 | Calmar 0.3
Vol 19% | MDD -22.9%
Months 43M (32%)
CAGR -9.3% | Win 44%
Sharpe -0.46 | Sortino -0.63 | Calmar -0.6
Vol 18% | MDD -16.8%
Months 16M (12%)
CAGR 2.0% | Win 58%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.1
Vol 19% | MDD -25.7%
Months 59M (44%)
RSmean
only
CAGR 9.7% | Win 60%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.3
Vol 18% | MDD -30.5%
Months 109M (82%)
CAGR -12.8% | Win 42%
Sharpe -0.76 | Sortino -1.10 | Calmar -0.5
Vol 16% | MDD -23.5%
Months 24M (18%)
SLmean × MACD
MACD
pos
MACD
neg
SLmean
only
SLmean
pos
CAGR 4.1% | Win 52%
Sharpe 0.32 | Sortino 0.58 | Calmar 0.1
Vol 18% | MDD -32.6%
Months 60M (45%)
CAGR 25.6% | Win 71%
Sharpe 1.31 | Sortino 4.20 | Calmar 3.6
Vol 19% | MDD -7.1%
Months 14M (10%)
CAGR 7.9% | Win 55%
Sharpe 0.52 | Sortino 1.00 | Calmar 0.2
Vol 18% | MDD -32.6%
Months 74M (56%)
SLmean
neg
CAGR 0.5% | Win 58%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 19% | MDD -22.9%
Months 38M (29%)
CAGR 4.7% | Win 57%
Sharpe 0.33 | Sortino 0.50 | Calmar 0.3
Vol 19% | MDD -16.3%
Months 21M (16%)
CAGR 2.0% | Win 58%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.1
Vol 19% | MDD -25.7%
Months 59M (44%)
MACD
only
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.1
Vol 18% | MDD -33.5%
Months 98M (74%)
CAGR 12.6% | Win 63%
Sharpe 0.72 | Sortino 1.23 | Calmar 0.8
Vol 19% | MDD -16.3%
Months 35M (26%)
SLmean × RSI
RSI
pos
RSI
neg
SLmean
only
SLmean
pos
CAGR 3.4% | Win 54%
Sharpe 0.28 | Sortino 0.51 | Calmar 0.1
Vol 17% | MDD -36.6%
Months 71M (53%)
CAGR 196.1% | Win 100%
Sharpe 7.21 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 3M (2%)
CAGR 7.9% | Win 55%
Sharpe 0.52 | Sortino 1.00 | Calmar 0.2
Vol 18% | MDD -32.6%
Months 74M (56%)
SLmean
neg
CAGR -4.5% | Win 60%
Sharpe -0.14 | Sortino -0.26 | Calmar -0.3
Vol 19% | MDD -16.3%
Months 25M (19%)
CAGR 7.0% | Win 56%
Sharpe 0.46 | Sortino 0.67 | Calmar 0.4
Vol 19% | MDD -20.0%
Months 34M (26%)
CAGR 2.0% | Win 58%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.1
Vol 19% | MDD -25.7%
Months 59M (44%)
RSI
only
CAGR 1.3% | Win 55%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 17% | MDD -46.2%
Months 96M (72%)
CAGR 16.2% | Win 60%
Sharpe 0.85 | Sortino 1.34 | Calmar 1.0
Vol 20% | MDD -16.3%
Months 37M (28%)
SLmean × MACDhist
MACDhist
pos
MACDhist
neg
SLmean
only
SLmean
pos
CAGR 8.1% | Win 58%
Sharpe 0.54 | Sortino 0.78 | Calmar 0.5
Vol 17% | MDD -17.1%
Months 31M (23%)
CAGR 7.8% | Win 54%
Sharpe 0.49 | Sortino 1.24 | Calmar 0.3
Vol 18% | MDD -26.3%
Months 43M (32%)
CAGR 7.9% | Win 55%
Sharpe 0.52 | Sortino 1.00 | Calmar 0.2
Vol 18% | MDD -32.6%
Months 74M (56%)
SLmean
neg
CAGR -4.9% | Win 60%
Sharpe -0.17 | Sortino -0.25 | Calmar -0.4
Vol 19% | MDD -13.2%
Months 10M (8%)
CAGR 3.5% | Win 57%
Sharpe 0.27 | Sortino 0.42 | Calmar 0.2
Vol 19% | MDD -22.6%
Months 49M (37%)
CAGR 2.0% | Win 58%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.1
Vol 19% | MDD -25.7%
Months 59M (44%)
MACDhist
only
CAGR 4.8% | Win 58%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.2
Vol 18% | MDD -20.8%
Months 41M (31%)
CAGR 5.4% | Win 55%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 19% | MDD -22.6%
Months 92M (69%)
SLmean × RSIhist
RSIhist
pos
RSIhist
neg
SLmean
only
SLmean
pos
CAGR 3.6% | Win 55%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 17% | MDD -36.9%
Months 60M (45%)
CAGR 28.5% | Win 57%
Sharpe 1.30 | Sortino 2.85 | Calmar 3.6
Vol 21% | MDD -8.0%
Months 14M (10%)
CAGR 7.9% | Win 55%
Sharpe 0.52 | Sortino 1.00 | Calmar 0.2
Vol 18% | MDD -32.6%
Months 74M (56%)
SLmean
neg
CAGR 6.2% | Win 33%
Sharpe 0.38 | Sortino 1.43 | Calmar 0.9
Vol 21% | MDD -7.0%
Months 6M (4%)
CAGR 1.5% | Win 60%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.1
Vol 19% | MDD -22.9%
Months 53M (40%)
CAGR 2.0% | Win 58%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.1
Vol 19% | MDD -25.7%
Months 59M (44%)
RSIhist
only
CAGR 3.8% | Win 53%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 17% | MDD -37.4%
Months 66M (50%)
CAGR 6.6% | Win 60%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 19% | MDD -26.6%
Months 67M (50%)
SLmean × LWTI
LWTI
pos
LWTI
neg
SLmean
only
SLmean
pos
CAGR 8.4% | Win 56%
Sharpe 0.54 | Sortino 1.02 | Calmar 0.3
Vol 18% | MDD -31.6%
Months 64M (48%)
CAGR 4.8% | Win 50%
Sharpe 0.35 | Sortino 0.73 | Calmar 0.5
Vol 17% | MDD -10.3%
Months 10M (8%)
CAGR 7.9% | Win 55%
Sharpe 0.52 | Sortino 1.00 | Calmar 0.2
Vol 18% | MDD -32.6%
Months 74M (56%)
SLmean
neg
CAGR -1.8% | Win 55%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.1
Vol 18% | MDD -22.9%
Months 49M (37%)
CAGR 22.7% | Win 70%
Sharpe 0.94 | Sortino 1.35 | Calmar 3.0
Vol 25% | MDD -7.5%
Months 10M (8%)
CAGR 2.0% | Win 58%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.1
Vol 19% | MDD -25.7%
Months 59M (44%)
LWTI
only
CAGR 3.8% | Win 56%
Sharpe 0.30 | Sortino 0.51 | Calmar 0.1
Vol 18% | MDD -27.3%
Months 113M (85%)
CAGR 13.4% | Win 60%
Sharpe 0.70 | Sortino 1.17 | Calmar 1.1
Vol 21% | MDD -11.7%
Months 20M (15%)
RSmean × MACD
MACD
pos
MACD
neg
RSmean
only
RSmean
pos
CAGR 5.6% | Win 57%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.2
Vol 18% | MDD -30.5%
Months 88M (66%)
CAGR 28.4% | Win 71%
Sharpe 1.49 | Sortino 3.80 | Calmar 4.0
Vol 18% | MDD -7.1%
Months 21M (16%)
CAGR 9.7% | Win 60%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.3
Vol 18% | MDD -30.5%
Months 109M (82%)
RSmean
neg
CAGR -19.5% | Win 30%
Sharpe -1.95 | Sortino -2.53 | Calmar -1.0
Vol 11% | MDD -19.9%
Months 10M (8%)
CAGR -7.6% | Win 50%
Sharpe -0.31 | Sortino -0.44 | Calmar -0.5
Vol 19% | MDD -16.3%
Months 14M (10%)
CAGR -12.8% | Win 42%
Sharpe -0.76 | Sortino -1.10 | Calmar -0.5
Vol 16% | MDD -23.5%
Months 24M (18%)
MACD
only
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.1
Vol 18% | MDD -33.5%
Months 98M (74%)
CAGR 12.6% | Win 63%
Sharpe 0.72 | Sortino 1.23 | Calmar 0.8
Vol 19% | MDD -16.3%
Months 35M (26%)
RSmean × RSI
RSI
pos
RSI
neg
RSmean
only
RSmean
pos
CAGR 3.5% | Win 57%
Sharpe 0.28 | Sortino 0.48 | Calmar 0.1
Vol 18% | MDD -36.6%
Months 86M (65%)
CAGR 36.1% | Win 70%
Sharpe 1.68 | Sortino 2.51 | Calmar 3.1
Vol 20% | MDD -11.5%
Months 23M (17%)
CAGR 9.7% | Win 60%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.3
Vol 18% | MDD -30.5%
Months 109M (82%)
RSmean
neg
CAGR -16.0% | Win 40%
Sharpe -1.45 | Sortino -1.93 | Calmar -0.9
Vol 12% | MDD -18.6%
Months 10M (8%)
CAGR -10.3% | Win 43%
Sharpe -0.47 | Sortino -0.69 | Calmar -0.6
Vol 19% | MDD -17.3%
Months 14M (10%)
CAGR -12.8% | Win 42%
Sharpe -0.76 | Sortino -1.10 | Calmar -0.5
Vol 16% | MDD -23.5%
Months 24M (18%)
RSI
only
CAGR 1.3% | Win 55%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 17% | MDD -46.2%
Months 96M (72%)
CAGR 16.2% | Win 60%
Sharpe 0.85 | Sortino 1.34 | Calmar 1.0
Vol 20% | MDD -16.3%
Months 37M (28%)
RSmean × MACDhist
MACDhist
pos
MACDhist
neg
RSmean
only
RSmean
pos
CAGR 4.8% | Win 58%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.2
Vol 18% | MDD -20.8%
Months 41M (31%)
CAGR 12.7% | Win 60%
Sharpe 0.72 | Sortino 1.42 | Calmar 0.6
Vol 19% | MDD -22.6%
Months 68M (51%)
CAGR 9.7% | Win 60%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.3
Vol 18% | MDD -30.5%
Months 109M (82%)
RSmean
neg
-
CAGR -12.8% | Win 42%
Sharpe -0.76 | Sortino -1.10 | Calmar -0.5
Vol 16% | MDD -23.5%
Months 24M (18%)
CAGR -12.8% | Win 42%
Sharpe -0.76 | Sortino -1.10 | Calmar -0.5
Vol 16% | MDD -23.5%
Months 24M (18%)
MACDhist
only
CAGR 4.8% | Win 58%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.2
Vol 18% | MDD -20.8%
Months 41M (31%)
CAGR 5.4% | Win 55%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 19% | MDD -22.6%
Months 92M (69%)
RSmean × RSIhist
RSIhist
pos
RSIhist
neg
RSmean
only
RSmean
pos
CAGR 10.9% | Win 59%
Sharpe 0.68 | Sortino 1.26 | Calmar 0.4
Vol 18% | MDD -24.9%
Months 56M (42%)
CAGR 8.4% | Win 60%
Sharpe 0.51 | Sortino 0.86 | Calmar 0.3
Vol 20% | MDD -26.6%
Months 53M (40%)
CAGR 9.7% | Win 60%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.3
Vol 18% | MDD -30.5%
Months 109M (82%)
RSmean
neg
CAGR -28.3% | Win 20%
Sharpe -3.30 | Sortino -4.43 | Calmar -1.3
Vol 10% | MDD -21.0%
Months 10M (8%)
CAGR 0.3% | Win 57%
Sharpe 0.11 | Sortino 0.13 | Calmar 0.0
Vol 19% | MDD -16.3%
Months 14M (10%)
CAGR -12.8% | Win 42%
Sharpe -0.76 | Sortino -1.10 | Calmar -0.5
Vol 16% | MDD -23.5%
Months 24M (18%)
RSIhist
only
CAGR 3.8% | Win 53%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 17% | MDD -37.4%
Months 66M (50%)
CAGR 6.6% | Win 60%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 19% | MDD -26.6%
Months 67M (50%)
RSmean × LWTI
LWTI
pos
LWTI
neg
RSmean
only
RSmean
pos
CAGR 8.5% | Win 59%
Sharpe 0.55 | Sortino 0.95 | Calmar 0.3
Vol 18% | MDD -27.0%
Months 90M (68%)
CAGR 15.3% | Win 63%
Sharpe 0.77 | Sortino 1.30 | Calmar 1.5
Vol 21% | MDD -10.3%
Months 19M (14%)
CAGR 9.7% | Win 60%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.3
Vol 18% | MDD -30.5%
Months 109M (82%)
RSmean
neg
CAGR -12.6% | Win 44%
Sharpe -0.72 | Sortino -1.05 | Calmar -0.6
Vol 17% | MDD -22.3%
Months 23M (17%)
CAGR -17.3% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR -12.8% | Win 42%
Sharpe -0.76 | Sortino -1.10 | Calmar -0.5
Vol 16% | MDD -23.5%
Months 24M (18%)
LWTI
only
CAGR 3.8% | Win 56%
Sharpe 0.30 | Sortino 0.51 | Calmar 0.1
Vol 18% | MDD -27.3%
Months 113M (85%)
CAGR 13.4% | Win 60%
Sharpe 0.70 | Sortino 1.17 | Calmar 1.1
Vol 21% | MDD -11.7%
Months 20M (15%)
MACD × RSI
RSI
pos
RSI
neg
MACD
only
MACD
pos
CAGR 0.6% | Win 54%
Sharpe 0.12 | Sortino 0.21 | Calmar 0.0
Vol 18% | MDD -46.2%
Months 84M (63%)
CAGR 16.1% | Win 57%
Sharpe 0.89 | Sortino 1.21 | Calmar 1.4
Vol 19% | MDD -11.5%
Months 14M (10%)
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.1
Vol 18% | MDD -33.5%
Months 98M (74%)
MACD
neg
CAGR 5.8% | Win 67%
Sharpe 0.48 | Sortino 1.09 | Calmar 0.8
Vol 13% | MDD -7.1%
Months 12M (9%)
CAGR 16.3% | Win 61%
Sharpe 0.81 | Sortino 1.36 | Calmar 1.0
Vol 21% | MDD -16.3%
Months 23M (17%)
CAGR 12.6% | Win 63%
Sharpe 0.72 | Sortino 1.23 | Calmar 0.8
Vol 19% | MDD -16.3%
Months 35M (26%)
RSI
only
CAGR 1.3% | Win 55%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 17% | MDD -46.2%
Months 96M (72%)
CAGR 16.2% | Win 60%
Sharpe 0.85 | Sortino 1.34 | Calmar 1.0
Vol 20% | MDD -16.3%
Months 37M (28%)
MACD × MACDhist
MACDhist
pos
MACDhist
neg
MACD
only
MACD
pos
CAGR 4.8% | Win 58%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.2
Vol 18% | MDD -20.8%
Months 41M (31%)
CAGR 1.3% | Win 51%
Sharpe 0.16 | Sortino 0.30 | Calmar 0.0
Vol 19% | MDD -28.0%
Months 57M (43%)
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.1
Vol 18% | MDD -33.5%
Months 98M (74%)
MACD
neg
-
CAGR 12.6% | Win 63%
Sharpe 0.72 | Sortino 1.23 | Calmar 0.8
Vol 19% | MDD -16.3%
Months 35M (26%)
CAGR 12.6% | Win 63%
Sharpe 0.72 | Sortino 1.23 | Calmar 0.8
Vol 19% | MDD -16.3%
Months 35M (26%)
MACDhist
only
CAGR 4.8% | Win 58%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.2
Vol 18% | MDD -20.8%
Months 41M (31%)
CAGR 5.4% | Win 55%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 19% | MDD -22.6%
Months 92M (69%)
MACD × RSIhist
RSIhist
pos
RSIhist
neg
MACD
only
MACD
pos
CAGR 1.8% | Win 51%
Sharpe 0.19 | Sortino 0.32 | Calmar 0.0
Vol 17% | MDD -37.4%
Months 49M (37%)
CAGR 3.7% | Win 57%
Sharpe 0.28 | Sortino 0.47 | Calmar 0.1
Vol 19% | MDD -27.9%
Months 49M (37%)
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.1
Vol 18% | MDD -33.5%
Months 98M (74%)
MACD
neg
CAGR 10.0% | Win 59%
Sharpe 0.60 | Sortino 2.32 | Calmar 1.4
Vol 18% | MDD -7.1%
Months 17M (13%)
CAGR 15.1% | Win 67%
Sharpe 0.81 | Sortino 1.01 | Calmar 0.9
Vol 20% | MDD -16.3%
Months 18M (14%)
CAGR 12.6% | Win 63%
Sharpe 0.72 | Sortino 1.23 | Calmar 0.8
Vol 19% | MDD -16.3%
Months 35M (26%)
RSIhist
only
CAGR 3.8% | Win 53%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 17% | MDD -37.4%
Months 66M (50%)
CAGR 6.6% | Win 60%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 19% | MDD -26.6%
Months 67M (50%)
MACD × LWTI
LWTI
pos
LWTI
neg
MACD
only
MACD
pos
CAGR 3.9% | Win 56%
Sharpe 0.30 | Sortino 0.51 | Calmar 0.1
Vol 17% | MDD -30.7%
Months 84M (63%)
CAGR -4.0% | Win 43%
Sharpe -0.08 | Sortino -0.14 | Calmar -0.3
Vol 22% | MDD -11.7%
Months 14M (10%)
CAGR 2.7% | Win 54%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.1
Vol 18% | MDD -33.5%
Months 98M (74%)
MACD
neg
CAGR 3.7% | Win 55%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.2
Vol 19% | MDD -16.3%
Months 29M (22%)
CAGR 67.3% | Win 100%
Sharpe 4.38 | Sortino 0.00 | Calmar 0.0
Vol 12% | MDD 0.0%
Months 6M (4%)
CAGR 12.6% | Win 63%
Sharpe 0.72 | Sortino 1.23 | Calmar 0.8
Vol 19% | MDD -16.3%
Months 35M (26%)
LWTI
only
CAGR 3.8% | Win 56%
Sharpe 0.30 | Sortino 0.51 | Calmar 0.1
Vol 18% | MDD -27.3%
Months 113M (85%)
CAGR 13.4% | Win 60%
Sharpe 0.70 | Sortino 1.17 | Calmar 1.1
Vol 21% | MDD -11.7%
Months 20M (15%)
RSI × MACDhist
MACDhist
pos
MACDhist
neg
RSI
only
RSI
pos
CAGR 4.8% | Win 58%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.2
Vol 18% | MDD -20.8%
Months 41M (31%)
CAGR -1.3% | Win 53%
Sharpe 0.01 | Sortino 0.03 | Calmar -0.0
Vol 17% | MDD -35.7%
Months 55M (41%)
CAGR 1.3% | Win 55%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 17% | MDD -46.2%
Months 96M (72%)
RSI
neg
-
CAGR 16.2% | Win 60%
Sharpe 0.85 | Sortino 1.34 | Calmar 1.0
Vol 20% | MDD -16.3%
Months 37M (28%)
CAGR 16.2% | Win 60%
Sharpe 0.85 | Sortino 1.34 | Calmar 1.0
Vol 20% | MDD -16.3%
Months 37M (28%)
MACDhist
only
CAGR 4.8% | Win 58%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.2
Vol 18% | MDD -20.8%
Months 41M (31%)
CAGR 5.4% | Win 55%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 19% | MDD -22.6%
Months 92M (69%)
RSI × RSIhist
RSIhist
pos
RSIhist
neg
RSI
only
RSI
pos
CAGR 2.5% | Win 54%
Sharpe 0.23 | Sortino 0.41 | Calmar 0.1
Vol 16% | MDD -37.4%
Months 61M (46%)
CAGR -0.9% | Win 57%
Sharpe 0.05 | Sortino 0.09 | Calmar -0.0
Vol 20% | MDD -26.2%
Months 35M (26%)
CAGR 1.3% | Win 55%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 17% | MDD -46.2%
Months 96M (72%)
RSI
neg
CAGR 20.8% | Win 40%
Sharpe 0.77 | Sortino 7.71 | Calmar 3.0
Vol 29% | MDD -7.0%
Months 5M (4%)
CAGR 15.6% | Win 62%
Sharpe 0.85 | Sortino 1.14 | Calmar 1.0
Vol 19% | MDD -16.3%
Months 32M (24%)
CAGR 16.2% | Win 60%
Sharpe 0.85 | Sortino 1.34 | Calmar 1.0
Vol 20% | MDD -16.3%
Months 37M (28%)
RSIhist
only
CAGR 3.8% | Win 53%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 17% | MDD -37.4%
Months 66M (50%)
CAGR 6.6% | Win 60%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 19% | MDD -26.6%
Months 67M (50%)
RSI × LWTI
LWTI
pos
LWTI
neg
RSI
only
RSI
pos
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.38 | Calmar 0.1
Vol 17% | MDD -37.3%
Months 86M (65%)
CAGR -8.5% | Win 40%
Sharpe -0.37 | Sortino -0.78 | Calmar -0.6
Vol 19% | MDD -14.2%
Months 10M (8%)
CAGR 1.3% | Win 55%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 17% | MDD -46.2%
Months 96M (72%)
RSI
neg
CAGR 8.4% | Win 52%
Sharpe 0.50 | Sortino 0.88 | Calmar 0.5
Vol 20% | MDD -16.3%
Months 27M (20%)
CAGR 40.5% | Win 80%
Sharpe 1.71 | Sortino 1.50 | Calmar 25.7
Vol 22% | MDD -1.6%
Months 10M (8%)
CAGR 16.2% | Win 60%
Sharpe 0.85 | Sortino 1.34 | Calmar 1.0
Vol 20% | MDD -16.3%
Months 37M (28%)
LWTI
only
CAGR 3.8% | Win 56%
Sharpe 0.30 | Sortino 0.51 | Calmar 0.1
Vol 18% | MDD -27.3%
Months 113M (85%)
CAGR 13.4% | Win 60%
Sharpe 0.70 | Sortino 1.17 | Calmar 1.1
Vol 21% | MDD -11.7%
Months 20M (15%)
MACDhist × RSIhist
RSIhist
pos
RSIhist
neg
MACDhist
only
MACDhist
pos
CAGR 4.8% | Win 59%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.3
Vol 17% | MDD -17.6%
Months 27M (20%)
CAGR 4.6% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.4
Vol 19% | MDD -10.9%
Months 14M (10%)
CAGR 4.8% | Win 58%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.2
Vol 18% | MDD -20.8%
Months 41M (31%)
MACDhist
neg
CAGR 3.1% | Win 49%
Sharpe 0.26 | Sortino 0.69 | Calmar 0.1
Vol 18% | MDD -25.3%
Months 39M (29%)
CAGR 7.2% | Win 60%
Sharpe 0.45 | Sortino 0.72 | Calmar 0.3
Vol 20% | MDD -22.6%
Months 53M (40%)
CAGR 5.4% | Win 55%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 19% | MDD -22.6%
Months 92M (69%)
RSIhist
only
CAGR 3.8% | Win 53%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 17% | MDD -37.4%
Months 66M (50%)
CAGR 6.6% | Win 60%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 19% | MDD -26.6%
Months 67M (50%)
MACDhist × LWTI
LWTI
pos
LWTI
neg
MACDhist
only
MACDhist
pos
CAGR 4.8% | Win 58%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.2
Vol 18% | MDD -20.8%
Months 41M (31%)
-
CAGR 4.8% | Win 58%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.2
Vol 18% | MDD -20.8%
Months 41M (31%)
MACDhist
neg
CAGR 3.3% | Win 54%
Sharpe 0.27 | Sortino 0.51 | Calmar 0.1
Vol 18% | MDD -27.6%
Months 72M (54%)
CAGR 13.4% | Win 60%
Sharpe 0.70 | Sortino 1.17 | Calmar 1.1
Vol 21% | MDD -11.7%
Months 20M (15%)
CAGR 5.4% | Win 55%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 19% | MDD -22.6%
Months 92M (69%)
LWTI
only
CAGR 3.8% | Win 56%
Sharpe 0.30 | Sortino 0.51 | Calmar 0.1
Vol 18% | MDD -27.3%
Months 113M (85%)
CAGR 13.4% | Win 60%
Sharpe 0.70 | Sortino 1.17 | Calmar 1.1
Vol 21% | MDD -11.7%
Months 20M (15%)
RSIhist × LWTI
LWTI
pos
LWTI
neg
RSIhist
only
RSIhist
pos
CAGR 5.2% | Win 55%
Sharpe 0.38 | Sortino 0.72 | Calmar 0.2
Vol 17% | MDD -29.5%
Months 58M (44%)
CAGR -5.9% | Win 38%
Sharpe -0.25 | Sortino -0.56 | Calmar -0.5
Vol 19% | MDD -11.3%
Months 8M (6%)
CAGR 3.8% | Win 53%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 17% | MDD -37.4%
Months 66M (50%)
RSIhist
neg
CAGR 2.4% | Win 56%
Sharpe 0.22 | Sortino 0.35 | Calmar 0.1
Vol 19% | MDD -23.7%
Months 55M (41%)
CAGR 28.5% | Win 75%
Sharpe 1.24 | Sortino 1.59 | Calmar 3.8
Vol 22% | MDD -7.5%
Months 12M (9%)
CAGR 6.6% | Win 60%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 19% | MDD -26.6%
Months 67M (50%)
LWTI
only
CAGR 3.8% | Win 56%
Sharpe 0.30 | Sortino 0.51 | Calmar 0.1
Vol 18% | MDD -27.3%
Months 113M (85%)
CAGR 13.4% | Win 60%
Sharpe 0.70 | Sortino 1.17 | Calmar 1.1
Vol 21% | MDD -11.7%
Months 20M (15%)