| SLmean pos | SLmean neg | MRmean only | |
|---|---|---|---|
| MRmean pos | CAGR 2.7% | Win 65% Sharpe 1.23 | Sortino 1.42 | Calmar 0.8 Vol 2% | MDD -3.5% Months 147M (72%) | CAGR 3.5% | Win 67% Sharpe 1.45 | Sortino 3.06 | Calmar 3.8 Vol 2% | MDD -0.9% Months 18M (9%) | CAGR 2.8% | Win 65% Sharpe 1.26 | Sortino 1.52 | Calmar 0.8 Vol 2% | MDD -3.5% Months 165M (81%) |
| MRmean neg | CAGR -9.0% | Win 50% Sharpe -2.41 | Sortino 0.00 | Calmar 0.0 Vol 4% | MDD 0.0% Months 2M (1%) | CAGR 3.6% | Win 64% Sharpe 0.96 | Sortino 1.51 | Calmar 0.6 Vol 4% | MDD -6.4% Months 36M (18%) | CAGR 2.9% | Win 63% Sharpe 0.77 | Sortino 1.22 | Calmar 0.4 Vol 4% | MDD -7.9% Months 38M (19%) |
| SLmean only | CAGR 2.5% | Win 64% Sharpe 1.14 | Sortino 1.29 | Calmar 0.7 Vol 2% | MDD -3.5% Months 149M (73%) | CAGR 3.6% | Win 65% Sharpe 1.06 | Sortino 1.63 | Calmar 0.5 Vol 3% | MDD -6.9% Months 54M (27%) |