UAE - iShares MSCI UAE ETF

Signal Pair Analysis

MACDhist-LWTI

Best Pair

82.0%

Best CAGR

43

Total Months

1.6%

Avg CAGR

UAE 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 UAE

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist LWTI pos-neg 2 1.3 82.0 100.0 2.6 0.0 0.0 23.6 0.0
pair LWTI MACDhist pos-neg 2 1.3 82.0 100.0 2.6 0.0 0.0 23.6 0.0
pair SLmean RSIhist pos-neg 10 6.7 34.6 70.0 2.9 21.1 28.3 10.5 -1.2
pair RSIhist SLmean pos-neg 10 6.7 34.6 70.0 2.9 21.1 28.3 10.5 -1.2
pair RSI MACD pos-neg 9 6.0 33.9 77.8 2.0 205.5 10.2 15.5 -3.3
pair MACD RSI pos-neg 9 6.0 33.9 77.8 2.0 205.5 10.2 15.5 -3.3
pair MRmean SLmean neg-pos 9 6.0 22.1 55.6 1.6 2.3 3.9 13.3 -5.7
pair SLmean MRmean neg-pos 9 6.0 22.1 55.6 1.6 2.3 3.9 13.3 -5.7
pair MACD MRmean neg-pos 18 12.1 18.7 72.2 1.2 3.2 1.7 15.0 -10.9
pair MRmean MACD neg-pos 18 12.1 18.7 72.2 1.2 3.2 1.7 15.0 -10.9
pair MACDhist RSI neg-pos 13 8.7 18.6 61.5 1.5 5.8 3.7 12.1 -5.1
pair RSI MACDhist neg-pos 13 8.7 18.6 61.5 1.5 5.8 3.7 12.1 -5.1
pair MACDhist SLmean pos-pos 48 32.2 17.2 60.4 1.1 1.6 1.4 16.5 -12.6
pair SLmean MACDhist pos-pos 48 32.2 17.2 60.4 1.1 1.6 1.4 16.5 -12.6
pair MACD RSIhist pos-neg 30 20.1 16.8 70.0 1.1 1.7 1.0 14.6 -16.4
pair RSIhist MACD pos-neg 30 20.1 16.8 70.0 1.1 1.7 1.0 14.6 -16.4
pair MACD MACDhist neg-pos 20 13.4 16.6 60.0 1.2 2.6 2.7 14.1 -6.2
pair MACDhist MACD neg-pos 20 13.4 16.6 60.0 1.2 2.6 2.7 14.1 -6.2
pair SLmean RSIhist neg-pos 10 6.7 15.4 50.0 0.6 2.8 1.3 29.0 -12.1
pair RSIhist SLmean neg-pos 10 6.7 15.4 50.0 0.6 2.8 1.3 29.0 -12.1
pair MACDhist RSIhist pos-pos 44 29.5 15.2 59.1 0.9 1.4 0.8 16.9 -19.0
pair RSIhist MACDhist pos-pos 44 29.5 15.2 59.1 0.9 1.4 0.8 16.9 -19.0
pair RSIhist MRmean neg-pos 18 12.1 15.0 50.0 0.7 1.8 1.5 22.6 -9.7
pair MRmean RSIhist neg-pos 18 12.1 15.0 50.0 0.7 1.8 1.5 22.6 -9.7
pair MACDhist MRmean pos-pos 52 34.9 13.7 59.6 0.8 1.2 0.6 17.2 -23.0
pair MRmean MACDhist pos-pos 52 34.9 13.7 59.6 0.8 1.2 0.6 17.2 -23.0
single MACDhist MACDhist pos-pos 59 39.6 13.3 59.3 0.8 1.2 0.7 16.5 -18.3
pair RSmean MACDhist pos-pos 59 39.6 13.3 59.3 0.8 1.2 0.7 16.5 -18.3
pair MACDhist RSmean pos-pos 59 39.6 13.3 59.3 0.8 1.2 0.7 16.5 -18.3
pair MRmean LWTI neg-neg 33 22.1 12.5 51.5 0.7 1.4 0.7 19.3 -18.1
pair LWTI MRmean neg-neg 33 22.1 12.5 51.5 0.7 1.4 0.7 19.3 -18.1
pair LWTI RSI neg-neg 39 26.2 11.8 48.7 0.7 1.3 0.7 18.8 -18.1
pair MACDhist RSI pos-pos 46 30.9 11.8 58.7 0.7 1.1 0.7 17.6 -18.3
pair RSI MACDhist pos-pos 46 30.9 11.8 58.7 0.7 1.1 0.7 17.6 -18.3
pair RSI LWTI neg-neg 39 26.2 11.8 48.7 0.7 1.3 0.7 18.8 -18.1
pair MACD MACDhist pos-pos 39 26.2 11.6 59.0 0.7 1.0 0.6 17.7 -18.3
pair MACDhist MACD pos-pos 39 26.2 11.6 59.0 0.7 1.0 0.6 17.7 -18.3
pair LWTI MACD pos-neg 8 5.4 11.6 62.5 0.7 2.0 2.1 16.6 -5.6
pair MACD LWTI pos-neg 8 5.4 11.6 62.5 0.7 2.0 2.1 16.6 -5.6
pair LWTI MACDhist pos-pos 57 38.3 11.4 57.9 0.8 1.1 0.6 16.2 -18.3
pair MACDhist LWTI pos-pos 57 38.3 11.4 57.9 0.8 1.1 0.6 16.2 -18.3
pair RSIhist MRmean pos-neg 14 9.4 10.6 64.3 0.7 0.8 0.7 15.3 -15.7
pair SLmean LWTI neg-neg 26 17.4 10.6 50.0 0.6 1.2 0.6 20.9 -18.1
pair MRmean RSIhist pos-neg 14 9.4 10.6 64.3 0.7 0.8 0.7 15.3 -15.7
pair LWTI SLmean neg-neg 26 17.4 10.6 50.0 0.6 1.2 0.6 20.9 -18.1
pair RSI RSIhist pos-neg 21 14.1 10.1 66.7 0.7 0.9 0.9 14.3 -11.3
pair RSIhist RSI pos-neg 21 14.1 10.1 66.7 0.7 0.9 0.9 14.3 -11.3
pair MRmean MACDhist neg-pos 7 4.7 9.8 57.1 0.9 3.5 1.9 10.5 -5.1
pair MACDhist MRmean neg-pos 7 4.7 9.8 57.1 0.9 3.5 1.9 10.5 -5.1
pair RSmean MACD pos-pos 64 43.0 8.9 59.4 0.6 0.9 0.4 16.8 -23.7
pair MACD RSmean pos-pos 64 43.0 8.9 59.4 0.6 0.9 0.4 16.8 -23.7
pair SLmean MACD neg-pos 20 13.4 8.8 70.0 0.6 1.1 0.6 16.2 -15.5
pair MACD SLmean neg-pos 20 13.4 8.8 70.0 0.6 1.1 0.6 16.2 -15.5
pair LWTI RSmean pos-neg 43 28.9 8.5 48.8 0.5 1.0 0.5 18.9 -18.1
pair RSmean LWTI pos-neg 43 28.9 8.5 48.8 0.5 1.0 0.5 18.9 -18.1
pair RSI RSIhist neg-pos 34 22.8 8.1 47.1 0.5 1.0 0.5 19.3 -15.6
pair SLmean RSI pos-neg 25 16.8 8.1 48.0 0.6 0.9 0.9 14.4 -8.8
pair RSIhist RSI neg-pos 34 22.8 8.1 47.1 0.5 1.0 0.5 19.3 -15.6
pair RSI SLmean pos-neg 25 16.8 8.1 48.0 0.6 0.9 0.9 14.4 -8.8
single MACD MACD pos-pos 67 45.0 7.9 58.2 0.5 0.8 0.3 16.5 -23.7
pair MACDhist RSIhist pos-neg 15 10.1 7.7 60.0 0.6 0.8 0.5 15.5 -15.1
pair RSIhist MACDhist pos-neg 15 10.1 7.7 60.0 0.6 0.8 0.5 15.5 -15.1
pair RSIhist LWTI neg-neg 23 15.4 7.6 47.8 0.5 0.9 0.5 20.2 -15.6
pair LWTI RSIhist neg-neg 23 15.4 7.6 47.8 0.5 0.9 0.5 20.2 -15.6
pair MACD SLmean pos-pos 47 31.5 7.5 53.2 0.5 0.8 0.3 16.8 -23.0
pair SLmean MACD pos-pos 47 31.5 7.5 53.2 0.5 0.8 0.3 16.8 -23.0
pair LWTI MACD pos-pos 59 39.6 7.4 57.6 0.5 0.7 0.3 16.6 -29.0
pair MACD LWTI pos-pos 59 39.6 7.4 57.6 0.5 0.7 0.3 16.6 -29.0
single LWTI LWTI neg-neg 44 29.5 7.2 47.7 0.5 0.9 0.4 18.9 -18.1
pair SLmean RSmean pos-pos 76 51.0 7.1 52.6 0.5 0.7 0.3 16.4 -20.6
pair RSmean SLmean pos-pos 76 51.0 7.1 52.6 0.5 0.7 0.3 16.4 -20.6
pair RSIhist LWTI pos-neg 21 14.1 6.8 47.6 0.5 0.8 0.6 17.9 -12.2
pair LWTI RSIhist pos-neg 21 14.1 6.8 47.6 0.5 0.8 0.6 17.9 -12.2
pair SLmean LWTI pos-pos 62 41.6 6.6 53.2 0.5 0.7 0.3 16.4 -21.8
pair LWTI SLmean pos-pos 62 41.6 6.6 53.2 0.5 0.7 0.3 16.4 -21.8
pair MACD LWTI neg-neg 36 24.2 6.3 44.4 0.4 0.8 0.3 19.5 -18.1
pair LWTI MACD neg-neg 36 24.2 6.3 44.4 0.4 0.8 0.3 19.5 -18.1
pair LWTI RSI pos-pos 62 41.6 5.9 56.5 0.4 0.6 0.2 16.7 -30.9
pair RSI LWTI pos-pos 62 41.6 5.9 56.5 0.4 0.6 0.2 16.7 -30.9
pair MACD RSIhist neg-pos 43 28.9 5.8 48.8 0.4 0.8 0.3 19.1 -22.5
pair RSIhist MACD neg-pos 43 28.9 5.8 48.8 0.4 0.8 0.3 19.1 -22.5
single SLmean SLmean pos-pos 80 53.7 5.7 51.2 0.4 0.6 0.2 16.2 -23.0
pair RSmean MRmean neg-pos 58 38.9 5.5 53.4 0.4 0.5 0.2 19.8 -33.2
pair MRmean RSmean neg-pos 58 38.9 5.5 53.4 0.4 0.5 0.2 19.8 -33.2
pair MRmean RSI neg-pos 9 6.0 5.2 66.7 0.4 0.8 0.4 14.6 -13.3
pair RSI MRmean neg-pos 9 6.0 5.2 66.7 0.4 0.8 0.4 14.6 -13.3
pair RSmean RSI pos-neg 66 44.3 4.8 50.0 0.3 0.4 0.1 19.4 -33.2
pair RSI RSmean pos-neg 66 44.3 4.8 50.0 0.3 0.4 0.1 19.4 -33.2
pair RSmean RSIhist pos-pos 74 49.7 4.6 51.4 0.3 0.5 0.2 17.1 -23.3
pair RSIhist RSmean pos-pos 74 49.7 4.6 51.4 0.3 0.5 0.2 17.1 -23.3
pair SLmean RSI pos-pos 55 36.9 4.6 52.7 0.3 0.5 0.2 17.1 -23.0
pair RSI SLmean pos-pos 55 36.9 4.6 52.7 0.3 0.5 0.2 17.1 -23.0
pair MACDhist LWTI neg-neg 42 28.2 4.5 45.2 0.3 0.6 0.2 18.6 -18.1
pair LWTI MACDhist neg-neg 42 28.2 4.5 45.2 0.3 0.6 0.2 18.6 -18.1
single RSmean RSmean pos-pos 130 87.2 4.5 53.1 0.3 0.5 0.1 18.2 -44.1
pair RSIhist RSmean pos-neg 56 37.6 4.3 55.4 0.3 0.4 0.1 19.8 -30.8
pair RSmean RSIhist pos-neg 56 37.6 4.3 55.4 0.3 0.4 0.1 19.8 -30.8
pair MACD RSI pos-pos 58 38.9 4.3 55.2 0.3 0.5 0.1 16.6 -31.9
pair RSI MACD pos-pos 58 38.9 4.3 55.2 0.3 0.5 0.1 16.6 -31.9
pair MACD MRmean pos-pos 49 32.9 4.2 53.1 0.3 0.5 0.1 17.1 -30.5
pair RSI RSmean pos-pos 64 43.0 4.2 56.2 0.3 0.5 0.1 17.2 -30.9
pair MRmean MACD pos-pos 49 32.9 4.2 53.1 0.3 0.5 0.1 17.1 -30.5
pair RSmean RSI pos-pos 64 43.0 4.2 56.2 0.3 0.5 0.1 17.2 -30.9
pair MRmean LWTI pos-pos 65 43.6 4.1 53.8 0.3 0.5 0.1 16.7 -33.5
pair LWTI MRmean pos-pos 65 43.6 4.1 53.8 0.3 0.5 0.1 16.7 -33.5
pair MRmean SLmean pos-pos 71 47.7 3.8 50.7 0.3 0.5 0.1 16.5 -31.2
pair SLmean MRmean pos-pos 71 47.7 3.8 50.7 0.3 0.5 0.1 16.5 -31.2
single RSIhist RSIhist pos-pos 80 53.7 3.7 48.8 0.3 0.5 0.1 18.5 -26.3
pair RSmean MRmean pos-pos 72 48.3 3.7 52.8 0.3 0.4 0.1 17.1 -28.4
pair MRmean RSmean pos-pos 72 48.3 3.7 52.8 0.3 0.4 0.1 17.1 -28.4
single RSI RSI pos-pos 67 45.0 3.4 55.2 0.3 0.4 0.1 16.9 -31.9
pair RSI MRmean pos-pos 58 38.9 3.1 53.4 0.3 0.4 0.1 17.3 -30.5
pair SLmean MACD pos-neg 33 22.1 3.1 48.5 0.3 0.4 0.2 15.5 -17.1
pair MACD SLmean pos-neg 33 22.1 3.1 48.5 0.3 0.4 0.2 15.5 -17.1
pair MRmean RSI pos-pos 58 38.9 3.1 53.4 0.3 0.4 0.1 17.3 -30.5
pair MACDhist MACD pos-neg 28 18.8 3.0 57.1 0.3 0.4 0.3 14.9 -10.9
pair MACD MACDhist pos-neg 28 18.8 3.0 57.1 0.3 0.4 0.3 14.9 -10.9
pair RSIhist LWTI pos-pos 59 39.6 2.6 49.2 0.2 0.4 0.1 18.8 -23.8
pair LWTI RSIhist pos-pos 59 39.6 2.6 49.2 0.2 0.4 0.1 18.8 -23.8
pair RSmean LWTI pos-pos 87 58.4 2.6 55.2 0.2 0.3 0.1 18.0 -35.2
pair LWTI RSmean pos-pos 87 58.4 2.6 55.2 0.2 0.3 0.1 18.0 -35.2
single MRmean MRmean pos-pos 76 51.0 2.4 51.3 0.2 0.3 0.1 16.8 -30.5
pair SLmean LWTI pos-neg 18 12.1 2.4 44.4 0.2 0.3 0.2 16.0 -14.3
pair LWTI SLmean pos-neg 18 12.1 2.4 44.4 0.2 0.3 0.2 16.0 -14.3
pair RSIhist SLmean pos-pos 70 47.0 2.1 48.6 0.2 0.3 0.1 16.7 -25.6
pair SLmean RSIhist pos-pos 70 47.0 2.1 48.6 0.2 0.3 0.1 16.7 -25.6
pair benchmark___benchmark_ benchmark-benchmark 149 100.0 1.6 51.0 0.2 0.2 0.0 20.0 -52.3
pair benchmark___benchmark_ benchmark-benchmark 149 100.0 1.6 51.0 0.2 0.2 0.0 20.0 -52.3
pair MACD RSIhist pos-pos 37 24.8 1.2 48.6 0.1 0.2 0.1 17.9 -25.6
pair RSIhist MACD pos-pos 37 24.8 1.2 48.6 0.1 0.2 0.1 17.9 -25.6
pair RSmean SLmean neg-pos 54 36.2 0.9 53.7 0.1 0.2 0.0 20.7 -34.1
pair SLmean RSmean neg-pos 54 36.2 0.9 53.7 0.1 0.2 0.0 20.7 -34.1
single MRmean MRmean neg-neg 73 49.0 0.8 50.7 0.1 0.2 0.0 23.1 -36.9
pair RSIhist MRmean pos-pos 62 41.6 0.6 48.4 0.1 0.2 0.0 17.1 -31.2
pair MRmean RSIhist pos-pos 62 41.6 0.6 48.4 0.1 0.2 0.0 17.1 -31.2
pair RSIhist RSI pos-pos 46 30.9 0.5 50.0 0.1 0.2 0.0 18.0 -25.6
pair RSI RSIhist pos-pos 46 30.9 0.5 50.0 0.1 0.2 0.0 18.0 -25.6
pair RSmean MACD pos-neg 66 44.3 0.4 47.0 0.1 0.2 0.0 19.6 -41.3
pair MACD RSmean pos-neg 66 44.3 0.4 47.0 0.1 0.2 0.0 19.6 -41.3
pair MRmean RSI neg-neg 64 43.0 0.2 48.4 0.1 0.2 0.0 24.1 -36.9
pair RSI MRmean neg-neg 64 43.0 0.2 48.4 0.1 0.2 0.0 24.1 -36.9
single RSI RSI neg-neg 82 55.0 0.1 47.6 0.1 0.2 0.0 22.4 -41.6
pair MRmean MACDhist neg-neg 66 44.3 -0.1 50.0 0.1 0.2 -0.0 24.1 -34.6
pair MACDhist MRmean neg-neg 66 44.3 -0.1 50.0 0.1 0.2 -0.0 24.1 -34.6
pair MRmean RSI pos-neg 18 12.1 -0.1 44.4 0.1 0.1 -0.0 15.3 -18.6
pair RSI MRmean pos-neg 18 12.1 -0.1 44.4 0.1 0.1 -0.0 15.3 -18.6
single LWTI LWTI pos-pos 105 70.5 -0.7 52.4 0.1 0.1 -0.0 20.6 -42.6
pair MRmean MACD pos-neg 27 18.1 -0.8 48.1 0.0 0.0 -0.0 16.5 -24.4
pair MACD MRmean pos-neg 27 18.1 -0.8 48.1 0.0 0.0 -0.0 16.5 -24.4
single RSIhist RSIhist neg-neg 69 46.3 -0.8 53.6 0.1 0.1 -0.0 21.9 -42.7
pair SLmean RSI neg-pos 12 8.1 -1.9 66.7 -0.0 -0.1 -0.2 16.5 -10.3
pair RSI SLmean neg-pos 12 8.1 -1.9 66.7 -0.0 -0.1 -0.2 16.5 -10.3
pair SLmean MRmean neg-neg 64 43.0 -1.9 50.0 0.0 0.1 -0.0 24.1 -45.6
pair MRmean SLmean neg-neg 64 43.0 -1.9 50.0 0.0 0.1 -0.0 24.1 -45.6
pair RSmean MACDhist pos-neg 71 47.7 -2.2 47.9 -0.0 -0.0 -0.1 19.5 -42.6
pair MACDhist RSmean pos-neg 71 47.7 -2.2 47.9 -0.0 -0.0 -0.1 19.5 -42.6
pair RSI MACD neg-pos 9 6.0 -2.3 55.6 -0.0 -0.1 -0.1 19.5 -15.5
pair MACD RSI neg-pos 9 6.0 -2.3 55.6 -0.0 -0.1 -0.1 19.5 -15.5
pair MACDhist SLmean neg-pos 11 7.4 -2.5 54.5 -0.1 -0.1 -0.2 16.1 -14.2
pair SLmean MACDhist neg-pos 11 7.4 -2.5 54.5 -0.1 -0.1 -0.2 16.1 -14.2
single SLmean SLmean neg-neg 69 46.3 -2.9 50.7 -0.0 -0.0 -0.1 23.8 -43.1
pair MACDhist SLmean neg-neg 58 38.9 -3.0 50.0 0.0 0.0 -0.1 25.1 -43.6
pair SLmean MACDhist neg-neg 58 38.9 -3.0 50.0 0.0 0.0 -0.1 25.1 -43.6
pair RSIhist MACDhist neg-neg 54 36.2 -3.0 51.9 -0.0 -0.0 -0.1 23.4 -41.8
pair MACDhist RSIhist neg-neg 54 36.2 -3.0 51.9 -0.0 -0.0 -0.1 23.4 -41.8
pair RSI MACDhist neg-neg 69 46.3 -3.0 44.9 -0.0 -0.0 -0.1 23.8 -46.4
pair MACDhist RSI neg-neg 69 46.3 -3.0 44.9 -0.0 -0.0 -0.1 23.8 -46.4
pair SLmean RSI neg-neg 57 38.3 -3.2 47.4 -0.0 -0.0 -0.1 25.2 -43.1
pair RSI SLmean neg-neg 57 38.3 -3.2 47.4 -0.0 -0.0 -0.1 25.2 -43.1
single MACD MACD neg-neg 82 55.0 -3.3 45.1 -0.0 -0.1 -0.1 22.5 -50.0
pair RSI MACD neg-neg 73 49.0 -3.4 43.8 -0.0 -0.0 -0.1 23.0 -41.7
pair MACD RSI neg-neg 73 49.0 -3.4 43.8 -0.0 -0.0 -0.1 23.0 -41.7
pair RSIhist MRmean neg-neg 55 36.9 -3.5 50.9 -0.0 -0.0 -0.1 23.3 -43.9
pair MRmean RSIhist neg-neg 55 36.9 -3.5 50.9 -0.0 -0.0 -0.1 23.3 -43.9
pair MACD MRmean neg-neg 55 36.9 -4.5 43.6 -0.1 -0.1 -0.1 25.1 -37.1
pair MRmean MACD neg-neg 55 36.9 -4.5 43.6 -0.1 -0.1 -0.1 25.1 -37.1
pair RSIhist LWTI neg-pos 46 30.9 -4.7 56.5 -0.1 -0.1 -0.1 22.8 -41.1
pair LWTI RSIhist neg-pos 46 30.9 -4.7 56.5 -0.1 -0.1 -0.1 22.8 -41.1
pair RSI RSIhist neg-neg 48 32.2 -5.2 47.9 -0.1 -0.1 -0.1 24.5 -41.3
pair RSIhist RSI neg-neg 48 32.2 -5.2 47.9 -0.1 -0.1 -0.1 24.5 -41.3
single MACDhist MACDhist neg-neg 90 60.4 -5.4 45.6 -0.1 -0.2 -0.1 21.9 -51.0
pair RSIhist SLmean neg-neg 59 39.6 -5.8 50.8 -0.1 -0.2 -0.1 23.0 -42.1
pair SLmean RSIhist neg-neg 59 39.6 -5.8 50.8 -0.1 -0.2 -0.1 23.0 -42.1
pair LWTI MRmean pos-neg 11 7.4 -7.3 36.4 -0.3 -0.6 -0.5 17.5 -14.4
pair MRmean LWTI pos-neg 11 7.4 -7.3 36.4 -0.3 -0.6 -0.5 17.5 -14.4
pair MACD SLmean neg-neg 49 32.9 -7.4 42.9 -0.2 -0.2 -0.2 26.4 -43.3
pair SLmean MACD neg-neg 49 32.9 -7.4 42.9 -0.2 -0.2 -0.2 26.4 -43.3
pair RSmean RSIhist neg-pos 6 4.0 -7.7 16.7 -0.1 -0.5 -0.6 33.1 -12.9
pair RSIhist RSmean neg-pos 6 4.0 -7.7 16.7 -0.1 -0.5 -0.6 33.1 -12.9
pair LWTI MRmean neg-pos 40 26.8 -7.9 50.0 -0.2 -0.2 -0.2 25.8 -36.1
pair MRmean LWTI neg-pos 40 26.8 -7.9 50.0 -0.2 -0.2 -0.2 25.8 -36.1
pair RSIhist MACDhist neg-pos 36 24.2 -8.9 36.1 -0.4 -0.7 -0.3 19.8 -31.5
pair MACDhist RSIhist neg-pos 36 24.2 -8.9 36.1 -0.4 -0.7 -0.3 19.8 -31.5
pair MACDhist MACD neg-neg 62 41.6 -9.0 40.3 -0.3 -0.4 -0.2 24.5 -51.0
pair MACD MACDhist neg-neg 62 41.6 -9.0 40.3 -0.3 -0.4 -0.2 24.5 -51.0
pair RSI LWTI neg-pos 43 28.9 -9.4 46.5 -0.3 -0.3 -0.3 25.2 -34.9
pair LWTI RSI neg-pos 43 28.9 -9.4 46.5 -0.3 -0.3 -0.3 25.2 -34.9
pair MACDhist SLmean pos-neg 32 21.5 -9.5 37.5 -0.6 -0.8 -0.3 14.8 -29.7
pair SLmean MACDhist pos-neg 32 21.5 -9.5 37.5 -0.6 -0.8 -0.3 14.8 -29.7
pair LWTI MACD neg-pos 46 30.9 -10.1 45.7 -0.3 -0.4 -0.3 24.7 -39.7
pair MACD LWTI neg-pos 46 30.9 -10.1 45.7 -0.3 -0.4 -0.3 24.7 -39.7
pair LWTI SLmean neg-pos 43 28.9 -10.3 51.2 -0.3 -0.4 -0.2 25.4 -40.9
pair SLmean LWTI neg-pos 43 28.9 -10.3 51.2 -0.3 -0.4 -0.2 25.4 -40.9
pair RSI RSmean neg-pos 3 2.0 -11.5 33.3 -1.7 -2.1 -3.0 7.0 -3.9
pair MACD RSmean neg-pos 3 2.0 -11.5 33.3 -1.7 -2.1 -3.0 7.0 -3.9
pair RSmean MACD neg-pos 3 2.0 -11.5 33.3 -1.7 -2.1 -3.0 7.0 -3.9
pair RSmean RSI neg-pos 3 2.0 -11.5 33.3 -1.7 -2.1 -3.0 7.0 -3.9
pair RSIhist MACD neg-neg 39 26.2 -12.4 41.0 -0.4 -0.5 -0.3 25.8 -41.5
pair MACD RSIhist neg-neg 39 26.2 -12.4 41.0 -0.4 -0.5 -0.3 25.8 -41.5
pair MACDhist RSI pos-neg 21 14.1 -12.8 47.6 -0.9 -1.1 -0.6 14.2 -20.5
pair RSI MACDhist pos-neg 21 14.1 -12.8 47.6 -0.9 -1.1 -0.6 14.2 -20.5
pair MACDhist LWTI neg-pos 48 32.2 -13.3 45.8 -0.5 -0.6 -0.3 24.4 -48.0
pair LWTI MACDhist neg-pos 48 32.2 -13.3 45.8 -0.5 -0.6 -0.3 24.4 -48.0
pair LWTI RSmean neg-pos 18 12.1 -15.0 38.9 -0.4 -0.6 -0.6 30.5 -24.3
pair RSmean LWTI neg-pos 18 12.1 -15.0 38.9 -0.4 -0.6 -0.6 30.5 -24.3
pair MRmean SLmean pos-neg 5 3.4 -15.5 60.0 -0.7 -3.9 -1.0 21.2 -14.8
pair SLmean MRmean pos-neg 5 3.4 -15.5 60.0 -0.7 -3.9 -1.0 21.2 -14.8
pair RSmean MRmean neg-neg 15 10.1 -15.7 40.0 -0.3 -0.6 -0.7 33.5 -24.3
pair MRmean RSmean neg-neg 15 10.1 -15.7 40.0 -0.3 -0.6 -0.7 33.5 -24.3
pair SLmean RSmean neg-neg 15 10.1 -15.7 40.0 -0.3 -0.6 -0.7 33.5 -24.3
pair RSmean SLmean neg-neg 15 10.1 -15.7 40.0 -0.3 -0.6 -0.7 33.5 -24.3
single RSmean RSmean neg-neg 19 12.8 -16.3 36.8 -0.5 -0.7 -0.7 29.8 -24.3
pair MACDhist RSmean neg-neg 19 12.8 -16.3 36.8 -0.5 -0.7 -0.7 29.8 -24.3
pair RSmean MACDhist neg-neg 19 12.8 -16.3 36.8 -0.5 -0.7 -0.7 29.8 -24.3
pair RSI RSmean neg-neg 16 10.7 -17.2 37.5 -0.4 -0.7 -0.7 32.5 -24.3
pair RSmean RSI neg-neg 16 10.7 -17.2 37.5 -0.4 -0.7 -0.7 32.5 -24.3
pair RSmean MACD neg-neg 16 10.7 -17.2 37.5 -0.4 -0.7 -0.7 32.5 -24.3
pair MACD RSmean neg-neg 16 10.7 -17.2 37.5 -0.4 -0.7 -0.7 32.5 -24.3
pair MRmean MACDhist pos-neg 24 16.1 -18.5 33.3 -1.4 -1.7 -0.5 13.9 -35.7
pair MACDhist MRmean pos-neg 24 16.1 -18.5 33.3 -1.4 -1.7 -0.5 13.9 -35.7
pair MRmean RSmean pos-neg 4 2.7 -18.7 25.0 -2.7 -3.8 -4.8 7.5 -3.9
pair RSmean MRmean pos-neg 4 2.7 -18.7 25.0 -2.7 -3.8 -4.8 7.5 -3.9
pair SLmean RSmean pos-neg 4 2.7 -18.7 25.0 -2.7 -3.8 -4.8 7.5 -3.9
pair RSmean SLmean pos-neg 4 2.7 -18.7 25.0 -2.7 -3.8 -4.8 7.5 -3.9
pair RSIhist RSmean neg-neg 13 8.7 -20.0 46.2 -0.6 -0.7 -0.9 29.4 -23.2
pair RSmean RSIhist neg-neg 13 8.7 -20.0 46.2 -0.6 -0.7 -0.9 29.4 -23.2
pair LWTI RSI pos-neg 5 3.4 -22.6 40.0 -1.2 -2.1 -4.0 19.0 -5.6
pair RSI LWTI pos-neg 5 3.4 -22.6 40.0 -1.2 -2.1 -4.0 19.0 -5.6
pair RSmean LWTI neg-neg 1 0.7 -37.0 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.7 -37.0 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for UAE

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 51%
Sharpe 0.30 | Sortino 0.45 | Calmar 0.1
Vol 16% | MDD -31.2%
Months 71M (48%)
CAGR -15.5% | Win 60%
Sharpe -0.70 | Sortino -3.85 | Calmar -1.0
Vol 21% | MDD -14.8%
Months 5M (3%)
CAGR 2.4% | Win 51%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.1
Vol 17% | MDD -30.5%
Months 76M (51%)
MRmean
neg
CAGR 22.1% | Win 56%
Sharpe 1.57 | Sortino 2.33 | Calmar 3.9
Vol 13% | MDD -5.7%
Months 9M (6%)
CAGR -1.9% | Win 50%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 24% | MDD -45.6%
Months 64M (43%)
CAGR 0.8% | Win 51%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 23% | MDD -36.9%
Months 73M (49%)
SLmean
only
CAGR 5.7% | Win 51%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -23.0%
Months 80M (54%)
CAGR -2.9% | Win 51%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 24% | MDD -43.1%
Months 69M (46%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 3.7% | Win 53%
Sharpe 0.30 | Sortino 0.43 | Calmar 0.1
Vol 17% | MDD -28.4%
Months 72M (48%)
CAGR -18.7% | Win 25%
Sharpe -2.72 | Sortino -3.77 | Calmar -4.8
Vol 8% | MDD -3.9%
Months 4M (3%)
CAGR 2.4% | Win 51%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.1
Vol 17% | MDD -30.5%
Months 76M (51%)
MRmean
neg
CAGR 5.5% | Win 53%
Sharpe 0.38 | Sortino 0.47 | Calmar 0.2
Vol 20% | MDD -33.2%
Months 58M (39%)
CAGR -15.7% | Win 40%
Sharpe -0.35 | Sortino -0.57 | Calmar -0.6
Vol 34% | MDD -24.3%
Months 15M (10%)
CAGR 0.8% | Win 51%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 23% | MDD -36.9%
Months 73M (49%)
RSmean
only
CAGR 4.5% | Win 53%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -44.1%
Months 130M (87%)
CAGR -16.3% | Win 37%
Sharpe -0.45 | Sortino -0.71 | Calmar -0.7
Vol 30% | MDD -24.3%
Months 19M (13%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.2% | Win 53%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 17% | MDD -30.5%
Months 49M (33%)
CAGR -0.8% | Win 48%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 16% | MDD -24.4%
Months 27M (18%)
CAGR 2.4% | Win 51%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.1
Vol 17% | MDD -30.5%
Months 76M (51%)
MRmean
neg
CAGR 18.7% | Win 72%
Sharpe 1.22 | Sortino 3.22 | Calmar 1.7
Vol 15% | MDD -10.9%
Months 18M (12%)
CAGR -4.5% | Win 44%
Sharpe -0.05 | Sortino -0.07 | Calmar -0.1
Vol 25% | MDD -37.1%
Months 55M (37%)
CAGR 0.8% | Win 51%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 23% | MDD -36.9%
Months 73M (49%)
MACD
only
CAGR 7.9% | Win 58%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.3
Vol 16% | MDD -23.7%
Months 67M (45%)
CAGR -3.3% | Win 45%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -50.0%
Months 82M (55%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.1% | Win 53%
Sharpe 0.26 | Sortino 0.39 | Calmar 0.1
Vol 17% | MDD -30.5%
Months 58M (39%)
CAGR -0.1% | Win 44%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.0
Vol 15% | MDD -18.6%
Months 18M (12%)
CAGR 2.4% | Win 51%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.1
Vol 17% | MDD -30.5%
Months 76M (51%)
MRmean
neg
CAGR 5.2% | Win 67%
Sharpe 0.41 | Sortino 0.83 | Calmar 0.4
Vol 15% | MDD -13.3%
Months 9M (6%)
CAGR 0.2% | Win 48%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 24% | MDD -36.9%
Months 64M (43%)
CAGR 0.8% | Win 51%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 23% | MDD -36.9%
Months 73M (49%)
RSI
only
CAGR 3.4% | Win 55%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 17% | MDD -31.9%
Months 67M (45%)
CAGR 0.1% | Win 48%
Sharpe 0.12 | Sortino 0.16 | Calmar 0.0
Vol 22% | MDD -41.6%
Months 82M (55%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 13.7% | Win 60%
Sharpe 0.84 | Sortino 1.23 | Calmar 0.6
Vol 17% | MDD -23.0%
Months 52M (35%)
CAGR -18.5% | Win 33%
Sharpe -1.39 | Sortino -1.71 | Calmar -0.5
Vol 14% | MDD -35.7%
Months 24M (16%)
CAGR 2.4% | Win 51%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.1
Vol 17% | MDD -30.5%
Months 76M (51%)
MRmean
neg
CAGR 9.8% | Win 57%
Sharpe 0.94 | Sortino 3.54 | Calmar 1.9
Vol 10% | MDD -5.1%
Months 7M (5%)
CAGR -0.1% | Win 50%
Sharpe 0.12 | Sortino 0.16 | Calmar -0.0
Vol 24% | MDD -34.6%
Months 66M (44%)
CAGR 0.8% | Win 51%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 23% | MDD -36.9%
Months 73M (49%)
MACDhist
only
CAGR 13.3% | Win 59%
Sharpe 0.84 | Sortino 1.25 | Calmar 0.7
Vol 16% | MDD -18.3%
Months 59M (40%)
CAGR -5.4% | Win 46%
Sharpe -0.14 | Sortino -0.19 | Calmar -0.1
Vol 22% | MDD -51.0%
Months 90M (60%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 0.6% | Win 48%
Sharpe 0.12 | Sortino 0.18 | Calmar 0.0
Vol 17% | MDD -31.2%
Months 62M (42%)
CAGR 10.6% | Win 64%
Sharpe 0.73 | Sortino 0.85 | Calmar 0.7
Vol 15% | MDD -15.7%
Months 14M (9%)
CAGR 2.4% | Win 51%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.1
Vol 17% | MDD -30.5%
Months 76M (51%)
MRmean
neg
CAGR 15.0% | Win 50%
Sharpe 0.72 | Sortino 1.82 | Calmar 1.5
Vol 23% | MDD -9.7%
Months 18M (12%)
CAGR -3.5% | Win 51%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 23% | MDD -43.9%
Months 55M (37%)
CAGR 0.8% | Win 51%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 23% | MDD -36.9%
Months 73M (49%)
RSIhist
only
CAGR 3.7% | Win 49%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -26.3%
Months 80M (54%)
CAGR -0.8% | Win 54%
Sharpe 0.08 | Sortino 0.09 | Calmar -0.0
Vol 22% | MDD -42.7%
Months 69M (46%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 4.1% | Win 54%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 17% | MDD -33.5%
Months 65M (44%)
CAGR -7.3% | Win 36%
Sharpe -0.35 | Sortino -0.57 | Calmar -0.5
Vol 18% | MDD -14.4%
Months 11M (7%)
CAGR 2.4% | Win 51%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.1
Vol 17% | MDD -30.5%
Months 76M (51%)
MRmean
neg
CAGR -7.9% | Win 50%
Sharpe -0.19 | Sortino -0.23 | Calmar -0.2
Vol 26% | MDD -36.1%
Months 40M (27%)
CAGR 12.5% | Win 52%
Sharpe 0.70 | Sortino 1.35 | Calmar 0.7
Vol 19% | MDD -18.1%
Months 33M (22%)
CAGR 0.8% | Win 51%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 23% | MDD -36.9%
Months 73M (49%)
LWTI
only
CAGR -0.7% | Win 52%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 21% | MDD -42.6%
Months 105M (70%)
CAGR 7.2% | Win 48%
Sharpe 0.46 | Sortino 0.87 | Calmar 0.4
Vol 19% | MDD -18.1%
Months 44M (30%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 7.1% | Win 53%
Sharpe 0.50 | Sortino 0.73 | Calmar 0.3
Vol 16% | MDD -20.6%
Months 76M (51%)
CAGR -18.7% | Win 25%
Sharpe -2.72 | Sortino -3.77 | Calmar -4.8
Vol 8% | MDD -3.9%
Months 4M (3%)
CAGR 5.7% | Win 51%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -23.0%
Months 80M (54%)
SLmean
neg
CAGR 0.9% | Win 54%
Sharpe 0.15 | Sortino 0.19 | Calmar 0.0
Vol 21% | MDD -34.1%
Months 54M (36%)
CAGR -15.7% | Win 40%
Sharpe -0.35 | Sortino -0.57 | Calmar -0.6
Vol 34% | MDD -24.3%
Months 15M (10%)
CAGR -2.9% | Win 51%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 24% | MDD -43.1%
Months 69M (46%)
RSmean
only
CAGR 4.5% | Win 53%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -44.1%
Months 130M (87%)
CAGR -16.3% | Win 37%
Sharpe -0.45 | Sortino -0.71 | Calmar -0.7
Vol 30% | MDD -24.3%
Months 19M (13%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 7.5% | Win 53%
Sharpe 0.52 | Sortino 0.75 | Calmar 0.3
Vol 17% | MDD -23.0%
Months 47M (32%)
CAGR 3.1% | Win 48%
Sharpe 0.27 | Sortino 0.41 | Calmar 0.2
Vol 16% | MDD -17.1%
Months 33M (22%)
CAGR 5.7% | Win 51%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -23.0%
Months 80M (54%)
SLmean
neg
CAGR 8.8% | Win 70%
Sharpe 0.60 | Sortino 1.13 | Calmar 0.6
Vol 16% | MDD -15.5%
Months 20M (13%)
CAGR -7.4% | Win 43%
Sharpe -0.16 | Sortino -0.22 | Calmar -0.2
Vol 26% | MDD -43.3%
Months 49M (33%)
CAGR -2.9% | Win 51%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 24% | MDD -43.1%
Months 69M (46%)
MACD
only
CAGR 7.9% | Win 58%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.3
Vol 16% | MDD -23.7%
Months 67M (45%)
CAGR -3.3% | Win 45%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -50.0%
Months 82M (55%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 4.6% | Win 53%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.2
Vol 17% | MDD -23.0%
Months 55M (37%)
CAGR 8.1% | Win 48%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.9
Vol 14% | MDD -8.8%
Months 25M (17%)
CAGR 5.7% | Win 51%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -23.0%
Months 80M (54%)
SLmean
neg
CAGR -1.9% | Win 67%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.2
Vol 16% | MDD -10.3%
Months 12M (8%)
CAGR -3.2% | Win 47%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.1
Vol 25% | MDD -43.1%
Months 57M (38%)
CAGR -2.9% | Win 51%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 24% | MDD -43.1%
Months 69M (46%)
RSI
only
CAGR 3.4% | Win 55%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 17% | MDD -31.9%
Months 67M (45%)
CAGR 0.1% | Win 48%
Sharpe 0.12 | Sortino 0.16 | Calmar 0.0
Vol 22% | MDD -41.6%
Months 82M (55%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 17.2% | Win 60%
Sharpe 1.05 | Sortino 1.56 | Calmar 1.4
Vol 16% | MDD -12.6%
Months 48M (32%)
CAGR -9.5% | Win 38%
Sharpe -0.60 | Sortino -0.81 | Calmar -0.3
Vol 15% | MDD -29.7%
Months 32M (22%)
CAGR 5.7% | Win 51%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -23.0%
Months 80M (54%)
SLmean
neg
CAGR -2.5% | Win 55%
Sharpe -0.08 | Sortino -0.11 | Calmar -0.2
Vol 16% | MDD -14.2%
Months 11M (7%)
CAGR -3.0% | Win 50%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 25% | MDD -43.6%
Months 58M (39%)
CAGR -2.9% | Win 51%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 24% | MDD -43.1%
Months 69M (46%)
MACDhist
only
CAGR 13.3% | Win 59%
Sharpe 0.84 | Sortino 1.25 | Calmar 0.7
Vol 16% | MDD -18.3%
Months 59M (40%)
CAGR -5.4% | Win 46%
Sharpe -0.14 | Sortino -0.19 | Calmar -0.1
Vol 22% | MDD -51.0%
Months 90M (60%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 2.1% | Win 49%
Sharpe 0.21 | Sortino 0.31 | Calmar 0.1
Vol 17% | MDD -25.6%
Months 70M (47%)
CAGR 34.6% | Win 70%
Sharpe 2.91 | Sortino 21.08 | Calmar 28.3
Vol 10% | MDD -1.2%
Months 10M (7%)
CAGR 5.7% | Win 51%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -23.0%
Months 80M (54%)
SLmean
neg
CAGR 15.4% | Win 50%
Sharpe 0.62 | Sortino 2.81 | Calmar 1.3
Vol 29% | MDD -12.1%
Months 10M (7%)
CAGR -5.8% | Win 51%
Sharpe -0.14 | Sortino -0.17 | Calmar -0.1
Vol 23% | MDD -42.1%
Months 59M (40%)
CAGR -2.9% | Win 51%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 24% | MDD -43.1%
Months 69M (46%)
RSIhist
only
CAGR 3.7% | Win 49%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -26.3%
Months 80M (54%)
CAGR -0.8% | Win 54%
Sharpe 0.08 | Sortino 0.09 | Calmar -0.0
Vol 22% | MDD -42.7%
Months 69M (46%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 6.6% | Win 53%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.3
Vol 16% | MDD -21.8%
Months 62M (42%)
CAGR 2.4% | Win 44%
Sharpe 0.23 | Sortino 0.35 | Calmar 0.2
Vol 16% | MDD -14.3%
Months 18M (12%)
CAGR 5.7% | Win 51%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -23.0%
Months 80M (54%)
SLmean
neg
CAGR -10.3% | Win 51%
Sharpe -0.30 | Sortino -0.36 | Calmar -0.3
Vol 25% | MDD -40.9%
Months 43M (29%)
CAGR 10.6% | Win 50%
Sharpe 0.58 | Sortino 1.23 | Calmar 0.6
Vol 21% | MDD -18.1%
Months 26M (17%)
CAGR -2.9% | Win 51%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 24% | MDD -43.1%
Months 69M (46%)
LWTI
only
CAGR -0.7% | Win 52%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 21% | MDD -42.6%
Months 105M (70%)
CAGR 7.2% | Win 48%
Sharpe 0.46 | Sortino 0.87 | Calmar 0.4
Vol 19% | MDD -18.1%
Months 44M (30%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 8.9% | Win 59%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.4
Vol 17% | MDD -23.7%
Months 64M (43%)
CAGR 0.4% | Win 47%
Sharpe 0.12 | Sortino 0.16 | Calmar 0.0
Vol 20% | MDD -41.3%
Months 66M (44%)
CAGR 4.5% | Win 53%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -44.1%
Months 130M (87%)
RSmean
neg
CAGR -11.5% | Win 33%
Sharpe -1.71 | Sortino -2.13 | Calmar -3.0
Vol 7% | MDD -3.9%
Months 3M (2%)
CAGR -17.2% | Win 38%
Sharpe -0.42 | Sortino -0.70 | Calmar -0.7
Vol 32% | MDD -24.3%
Months 16M (11%)
CAGR -16.3% | Win 37%
Sharpe -0.45 | Sortino -0.71 | Calmar -0.7
Vol 30% | MDD -24.3%
Months 19M (13%)
MACD
only
CAGR 7.9% | Win 58%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.3
Vol 16% | MDD -23.7%
Months 67M (45%)
CAGR -3.3% | Win 45%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -50.0%
Months 82M (55%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 4.2% | Win 56%
Sharpe 0.32 | Sortino 0.48 | Calmar 0.1
Vol 17% | MDD -30.9%
Months 64M (43%)
CAGR 4.8% | Win 50%
Sharpe 0.34 | Sortino 0.44 | Calmar 0.1
Vol 19% | MDD -33.2%
Months 66M (44%)
CAGR 4.5% | Win 53%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -44.1%
Months 130M (87%)
RSmean
neg
CAGR -11.5% | Win 33%
Sharpe -1.71 | Sortino -2.13 | Calmar -3.0
Vol 7% | MDD -3.9%
Months 3M (2%)
CAGR -17.2% | Win 38%
Sharpe -0.42 | Sortino -0.70 | Calmar -0.7
Vol 32% | MDD -24.3%
Months 16M (11%)
CAGR -16.3% | Win 37%
Sharpe -0.45 | Sortino -0.71 | Calmar -0.7
Vol 30% | MDD -24.3%
Months 19M (13%)
RSI
only
CAGR 3.4% | Win 55%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 17% | MDD -31.9%
Months 67M (45%)
CAGR 0.1% | Win 48%
Sharpe 0.12 | Sortino 0.16 | Calmar 0.0
Vol 22% | MDD -41.6%
Months 82M (55%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 13.3% | Win 59%
Sharpe 0.84 | Sortino 1.25 | Calmar 0.7
Vol 16% | MDD -18.3%
Months 59M (40%)
CAGR -2.2% | Win 48%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.1
Vol 20% | MDD -42.6%
Months 71M (48%)
CAGR 4.5% | Win 53%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -44.1%
Months 130M (87%)
RSmean
neg		-
CAGR -16.3% | Win 37%
Sharpe -0.45 | Sortino -0.71 | Calmar -0.7
Vol 30% | MDD -24.3%
Months 19M (13%)
CAGR -16.3% | Win 37%
Sharpe -0.45 | Sortino -0.71 | Calmar -0.7
Vol 30% | MDD -24.3%
Months 19M (13%)
MACDhist
only
CAGR 13.3% | Win 59%
Sharpe 0.84 | Sortino 1.25 | Calmar 0.7
Vol 16% | MDD -18.3%
Months 59M (40%)
CAGR -5.4% | Win 46%
Sharpe -0.14 | Sortino -0.19 | Calmar -0.1
Vol 22% | MDD -51.0%
Months 90M (60%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 4.6% | Win 51%
Sharpe 0.35 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -23.3%
Months 74M (50%)
CAGR 4.3% | Win 55%
Sharpe 0.32 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -30.8%
Months 56M (38%)
CAGR 4.5% | Win 53%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -44.1%
Months 130M (87%)
RSmean
neg
CAGR -7.7% | Win 17%
Sharpe -0.11 | Sortino -0.45 | Calmar -0.6
Vol 33% | MDD -12.9%
Months 6M (4%)
CAGR -20.0% | Win 46%
Sharpe -0.61 | Sortino -0.74 | Calmar -0.9
Vol 29% | MDD -23.2%
Months 13M (9%)
CAGR -16.3% | Win 37%
Sharpe -0.45 | Sortino -0.71 | Calmar -0.7
Vol 30% | MDD -24.3%
Months 19M (13%)
RSIhist
only
CAGR 3.7% | Win 49%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -26.3%
Months 80M (54%)
CAGR -0.8% | Win 54%
Sharpe 0.08 | Sortino 0.09 | Calmar -0.0
Vol 22% | MDD -42.7%
Months 69M (46%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 2.6% | Win 55%
Sharpe 0.23 | Sortino 0.28 | Calmar 0.1
Vol 18% | MDD -35.2%
Months 87M (58%)
CAGR 8.5% | Win 49%
Sharpe 0.53 | Sortino 0.97 | Calmar 0.5
Vol 19% | MDD -18.1%
Months 43M (29%)
CAGR 4.5% | Win 53%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -44.1%
Months 130M (87%)
RSmean
neg
CAGR -15.0% | Win 39%
Sharpe -0.38 | Sortino -0.59 | Calmar -0.6
Vol 30% | MDD -24.3%
Months 18M (12%)
CAGR -37.0% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR -16.3% | Win 37%
Sharpe -0.45 | Sortino -0.71 | Calmar -0.7
Vol 30% | MDD -24.3%
Months 19M (13%)
LWTI
only
CAGR -0.7% | Win 52%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 21% | MDD -42.6%
Months 105M (70%)
CAGR 7.2% | Win 48%
Sharpe 0.46 | Sortino 0.87 | Calmar 0.4
Vol 19% | MDD -18.1%
Months 44M (30%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 4.3% | Win 55%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 17% | MDD -31.9%
Months 58M (39%)
CAGR 33.9% | Win 78%
Sharpe 1.98 | Sortino 205.49 | Calmar 10.1
Vol 16% | MDD -3.3%
Months 9M (6%)
CAGR 7.9% | Win 58%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.3
Vol 16% | MDD -23.7%
Months 67M (45%)
MACD
neg
CAGR -2.3% | Win 56%
Sharpe -0.03 | Sortino -0.06 | Calmar -0.1
Vol 20% | MDD -15.5%
Months 9M (6%)
CAGR -3.4% | Win 44%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 23% | MDD -41.7%
Months 73M (49%)
CAGR -3.3% | Win 45%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -50.0%
Months 82M (55%)
RSI
only
CAGR 3.4% | Win 55%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 17% | MDD -31.9%
Months 67M (45%)
CAGR 0.1% | Win 48%
Sharpe 0.12 | Sortino 0.16 | Calmar 0.0
Vol 22% | MDD -41.6%
Months 82M (55%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 11.6% | Win 59%
Sharpe 0.71 | Sortino 1.00 | Calmar 0.6
Vol 18% | MDD -18.3%
Months 39M (26%)
CAGR 3.0% | Win 57%
Sharpe 0.27 | Sortino 0.43 | Calmar 0.3
Vol 15% | MDD -10.9%
Months 28M (19%)
CAGR 7.9% | Win 58%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.3
Vol 16% | MDD -23.7%
Months 67M (45%)
MACD
neg
CAGR 16.6% | Win 60%
Sharpe 1.16 | Sortino 2.64 | Calmar 2.7
Vol 14% | MDD -6.2%
Months 20M (13%)
CAGR -9.0% | Win 40%
Sharpe -0.26 | Sortino -0.36 | Calmar -0.2
Vol 24% | MDD -51.0%
Months 62M (42%)
CAGR -3.3% | Win 45%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -50.0%
Months 82M (55%)
MACDhist
only
CAGR 13.3% | Win 59%
Sharpe 0.84 | Sortino 1.25 | Calmar 0.7
Vol 16% | MDD -18.3%
Months 59M (40%)
CAGR -5.4% | Win 46%
Sharpe -0.14 | Sortino -0.19 | Calmar -0.1
Vol 22% | MDD -51.0%
Months 90M (60%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 1.2% | Win 49%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 18% | MDD -25.6%
Months 37M (25%)
CAGR 16.8% | Win 70%
Sharpe 1.14 | Sortino 1.68 | Calmar 1.0
Vol 15% | MDD -16.4%
Months 30M (20%)
CAGR 7.9% | Win 58%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.3
Vol 16% | MDD -23.7%
Months 67M (45%)
MACD
neg
CAGR 5.8% | Win 49%
Sharpe 0.39 | Sortino 0.75 | Calmar 0.3
Vol 19% | MDD -22.5%
Months 43M (29%)
CAGR -12.4% | Win 41%
Sharpe -0.38 | Sortino -0.47 | Calmar -0.3
Vol 26% | MDD -41.5%
Months 39M (26%)
CAGR -3.3% | Win 45%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -50.0%
Months 82M (55%)
RSIhist
only
CAGR 3.7% | Win 49%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -26.3%
Months 80M (54%)
CAGR -0.8% | Win 54%
Sharpe 0.08 | Sortino 0.09 | Calmar -0.0
Vol 22% | MDD -42.7%
Months 69M (46%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 7.4% | Win 58%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.3
Vol 17% | MDD -29.0%
Months 59M (40%)
CAGR 11.6% | Win 62%
Sharpe 0.73 | Sortino 2.02 | Calmar 2.1
Vol 17% | MDD -5.6%
Months 8M (5%)
CAGR 7.9% | Win 58%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.3
Vol 16% | MDD -23.7%
Months 67M (45%)
MACD
neg
CAGR -10.1% | Win 46%
Sharpe -0.31 | Sortino -0.37 | Calmar -0.3
Vol 25% | MDD -39.7%
Months 46M (31%)
CAGR 6.3% | Win 44%
Sharpe 0.41 | Sortino 0.75 | Calmar 0.3
Vol 20% | MDD -18.1%
Months 36M (24%)
CAGR -3.3% | Win 45%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -50.0%
Months 82M (55%)
LWTI
only
CAGR -0.7% | Win 52%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 21% | MDD -42.6%
Months 105M (70%)
CAGR 7.2% | Win 48%
Sharpe 0.46 | Sortino 0.87 | Calmar 0.4
Vol 19% | MDD -18.1%
Months 44M (30%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 11.8% | Win 59%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.6
Vol 18% | MDD -18.3%
Months 46M (31%)
CAGR -12.8% | Win 48%
Sharpe -0.89 | Sortino -1.14 | Calmar -0.6
Vol 14% | MDD -20.5%
Months 21M (14%)
CAGR 3.4% | Win 55%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 17% | MDD -31.9%
Months 67M (45%)
RSI
neg
CAGR 18.6% | Win 62%
Sharpe 1.48 | Sortino 5.76 | Calmar 3.7
Vol 12% | MDD -5.1%
Months 13M (9%)
CAGR -3.0% | Win 45%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 24% | MDD -46.4%
Months 69M (46%)
CAGR 0.1% | Win 48%
Sharpe 0.12 | Sortino 0.16 | Calmar 0.0
Vol 22% | MDD -41.6%
Months 82M (55%)
MACDhist
only
CAGR 13.3% | Win 59%
Sharpe 0.84 | Sortino 1.25 | Calmar 0.7
Vol 16% | MDD -18.3%
Months 59M (40%)
CAGR -5.4% | Win 46%
Sharpe -0.14 | Sortino -0.19 | Calmar -0.1
Vol 22% | MDD -51.0%
Months 90M (60%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 0.5% | Win 50%
Sharpe 0.12 | Sortino 0.18 | Calmar 0.0
Vol 18% | MDD -25.6%
Months 46M (31%)
CAGR 10.1% | Win 67%
Sharpe 0.74 | Sortino 0.93 | Calmar 0.9
Vol 14% | MDD -11.3%
Months 21M (14%)
CAGR 3.4% | Win 55%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 17% | MDD -31.9%
Months 67M (45%)
RSI
neg
CAGR 8.1% | Win 47%
Sharpe 0.50 | Sortino 1.00 | Calmar 0.5
Vol 19% | MDD -15.6%
Months 34M (23%)
CAGR -5.2% | Win 48%
Sharpe -0.09 | Sortino -0.11 | Calmar -0.1
Vol 24% | MDD -41.3%
Months 48M (32%)
CAGR 0.1% | Win 48%
Sharpe 0.12 | Sortino 0.16 | Calmar 0.0
Vol 22% | MDD -41.6%
Months 82M (55%)
RSIhist
only
CAGR 3.7% | Win 49%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -26.3%
Months 80M (54%)
CAGR -0.8% | Win 54%
Sharpe 0.08 | Sortino 0.09 | Calmar -0.0
Vol 22% | MDD -42.7%
Months 69M (46%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 5.9% | Win 56%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.2
Vol 17% | MDD -30.9%
Months 62M (42%)
CAGR -22.6% | Win 40%
Sharpe -1.25 | Sortino -2.11 | Calmar -4.0
Vol 19% | MDD -5.6%
Months 5M (3%)
CAGR 3.4% | Win 55%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 17% | MDD -31.9%
Months 67M (45%)
RSI
neg
CAGR -9.4% | Win 46%
Sharpe -0.26 | Sortino -0.32 | Calmar -0.3
Vol 25% | MDD -34.9%
Months 43M (29%)
CAGR 11.8% | Win 49%
Sharpe 0.69 | Sortino 1.33 | Calmar 0.6
Vol 19% | MDD -18.1%
Months 39M (26%)
CAGR 0.1% | Win 48%
Sharpe 0.12 | Sortino 0.16 | Calmar 0.0
Vol 22% | MDD -41.6%
Months 82M (55%)
LWTI
only
CAGR -0.7% | Win 52%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 21% | MDD -42.6%
Months 105M (70%)
CAGR 7.2% | Win 48%
Sharpe 0.46 | Sortino 0.87 | Calmar 0.4
Vol 19% | MDD -18.1%
Months 44M (30%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 15.2% | Win 59%
Sharpe 0.93 | Sortino 1.38 | Calmar 0.8
Vol 17% | MDD -19.0%
Months 44M (30%)
CAGR 7.7% | Win 60%
Sharpe 0.55 | Sortino 0.75 | Calmar 0.5
Vol 16% | MDD -15.1%
Months 15M (10%)
CAGR 13.3% | Win 59%
Sharpe 0.84 | Sortino 1.25 | Calmar 0.7
Vol 16% | MDD -18.3%
Months 59M (40%)
MACDhist
neg
CAGR -8.9% | Win 36%
Sharpe -0.38 | Sortino -0.72 | Calmar -0.3
Vol 20% | MDD -31.5%
Months 36M (24%)
CAGR -3.0% | Win 52%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 23% | MDD -41.8%
Months 54M (36%)
CAGR -5.4% | Win 46%
Sharpe -0.14 | Sortino -0.19 | Calmar -0.1
Vol 22% | MDD -51.0%
Months 90M (60%)
RSIhist
only
CAGR 3.7% | Win 49%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -26.3%
Months 80M (54%)
CAGR -0.8% | Win 54%
Sharpe 0.08 | Sortino 0.09 | Calmar -0.0
Vol 22% | MDD -42.7%
Months 69M (46%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 11.4% | Win 58%
Sharpe 0.75 | Sortino 1.09 | Calmar 0.6
Vol 16% | MDD -18.3%
Months 57M (38%)
CAGR 82.0% | Win 100%
Sharpe 2.65 | Sortino 0.00 | Calmar 0.0
Vol 24% | MDD 0.0%
Months 2M (1%)
CAGR 13.3% | Win 59%
Sharpe 0.84 | Sortino 1.25 | Calmar 0.7
Vol 16% | MDD -18.3%
Months 59M (40%)
MACDhist
neg
CAGR -13.3% | Win 46%
Sharpe -0.46 | Sortino -0.57 | Calmar -0.3
Vol 24% | MDD -48.0%
Months 48M (32%)
CAGR 4.5% | Win 45%
Sharpe 0.33 | Sortino 0.61 | Calmar 0.2
Vol 19% | MDD -18.1%
Months 42M (28%)
CAGR -5.4% | Win 46%
Sharpe -0.14 | Sortino -0.19 | Calmar -0.1
Vol 22% | MDD -51.0%
Months 90M (60%)
LWTI
only
CAGR -0.7% | Win 52%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 21% | MDD -42.6%
Months 105M (70%)
CAGR 7.2% | Win 48%
Sharpe 0.46 | Sortino 0.87 | Calmar 0.4
Vol 19% | MDD -18.1%
Months 44M (30%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 2.6% | Win 49%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 19% | MDD -23.8%
Months 59M (40%)
CAGR 6.8% | Win 48%
Sharpe 0.45 | Sortino 0.79 | Calmar 0.6
Vol 18% | MDD -12.2%
Months 21M (14%)
CAGR 3.7% | Win 49%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -26.3%
Months 80M (54%)
RSIhist
neg
CAGR -4.7% | Win 56%
Sharpe -0.09 | Sortino -0.09 | Calmar -0.1
Vol 23% | MDD -41.1%
Months 46M (31%)
CAGR 7.6% | Win 48%
Sharpe 0.46 | Sortino 0.91 | Calmar 0.5
Vol 20% | MDD -15.6%
Months 23M (15%)
CAGR -0.8% | Win 54%
Sharpe 0.08 | Sortino 0.09 | Calmar -0.0
Vol 22% | MDD -42.7%
Months 69M (46%)
LWTI
only
CAGR -0.7% | Win 52%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 21% | MDD -42.6%
Months 105M (70%)
CAGR 7.2% | Win 48%
Sharpe 0.46 | Sortino 0.87 | Calmar 0.4
Vol 19% | MDD -18.1%
Months 44M (30%)