Backtesting of .SDAX (X) - Trend Continuation (SDAX long time) - Call Part



Scan time: 2012-07-30 21:00:14

Main Statistical Values - Table
Temporary Intra Trade Statistical Values - Table
Cummulative Return - Timeseries
Cummulative Return (from Trade to Trade) - Series
Cummulative Return (from Day to Day im Market) - Series
Return - Distribution
Intra Trade Return - Distribution
Trade Durations - Distribution
Return versus Trade Duration - Scatter
Every Trade - Series
Every Trade Reverse - Series
Pseude Average Trade - Series
Temporary Maximal Wins and Losses - Distribution
Temporary Maximal Wins and Loss versus Return - Scatter
Executed Trades - Table

Main Statistical Values - Table

38/0.SDAX (X)Trend ContinuationSDAX long time
Years17.4Start10.03.1995End27.07.2012
TRADESCount#38Yearly#2.2Every167. day
HITSRatio52.63%Wins#20Losses#18
PERFORMProfitf.7.102WinSum168.525LossSum-23.728
Efficiency75.71%AvWin8.426LossAv-1.318
RETURNSum144.797Yearly8.308Daily0.023
Average3.810AvAbs5.03Kurtosis2.97
Median0.714MaxWin20.447MaxLoss-4.909
StdDev7.20Excess-0.031/Prof.0.14
INVTIMEDays28.5%Year28.2%1253 of4403
FULLYear29.448
LENGTHAverage33.0StdDev35.68Median15.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio92.7%Wins1161Losses92
AverageDiff.8.34Wins9.07Losses-0.91
SumProftf.125.3Wins10532.8Losses-84.0
SqrSumProfitf.970.9Wins155617.9Losses160.3
Extremal Temporary Returns
AverageDiff.6.0Wins6.89Losses-0.86
SumProftf.8.0Wins261.76Losses-32.76

Cummulative Return - Timeseries

Cummulative Return (from Trade to Trade) - Series

Cummulative Return (from Day to Day im Market) - Series

Return - Distribution

Intra Trade Return - Distribution

Trade Durations - Distribution

Return versus Trade Duration - Scatter

Every Trade - Series

Every Trade Reverse - Series

Pseude Average Trade - Series

Temporary Maximal Wins and Losses - Distribution

Temporary Maximal Wins and Loss versus Return - Scatter

Executed Trades - Table

NoDirec.#Buy atBuy forSell atSell forReturnReturn%DaysTemp.Win%Temp.Loss%Yearly%Cum.Win%
1Long101.06.19952338.3715.08.19952402.5764.2002.746512.981-0.21413.32.746
2Long128.05.19962208.1929.05.19962208.14-0.050-0.00210.000-0.002-0.82.743
3Long107.06.19962254.5525.07.19962253.85-0.700-0.031344.855-0.209-0.22.712
4Long110.01.19972325.324.04.19972609.22283.92012.2107213.9200.00043.214.922
5Long109.05.19972696.0215.08.19973142.88446.86016.5756821.3460.00061.631.497
6Long106.02.19982858.6209.02.19982911.3152.6901.84311.8430.000223.833.340
7Long110.02.19982924.1603.06.19983349424.84014.5297617.460-0.09847.347.869
8Long101.06.19992789.8402.06.19992768.13-21.710-0.77810.000-0.778-283.547.091
9Long108.06.19992808.5423.07.19992972.28163.7405.830339.413-0.18647.252.921
10Long103.02.20003139.9913.04.20003328.61188.6206.007508.885-1.45431.758.928
11Long105.09.20003465.7419.09.20003400.42-65.320-1.885100.008-1.885-49.057.043
12Long106.06.20013083.508.06.20013071.46-12.040-0.39020.000-0.497-71.156.653
13Long103.12.20012417.6417.12.20012384.08-33.560-1.388100.553-1.448-36.155.264
14Long115.05.20022488.117.05.20022477.99-10.110-0.40620.000-0.505-74.054.858
15Long111.06.20022474.2512.06.20022449.66-24.590-0.99410.000-0.994-362.053.864
16Long126.05.20032014.0202.10.20032425.83411.81020.4479325.309-0.53457.774.311
17Long106.10.20032453.5807.10.20032449.67-3.910-0.15910.000-0.159-58.074.152
18Long117.10.20032481.8921.10.20032502.6920.8000.83820.838-0.02176.374.990
19Long131.10.20032555.3718.11.20032576.6621.2900.833121.9350.00016.975.823
20Long105.12.20032602.6919.12.20032555.55-47.140-1.811100.000-1.811-47.174.012
21Long120.01.20042784.3621.01.20042783.18-1.180-0.04210.000-0.042-15.473.970
22Long123.01.20042814.527.01.20042809.3-5.200-0.18520.000-0.408-16.873.785
23Long128.01.20042823.2416.03.20042849.9326.6900.945346.436-0.0337.274.730
24Long119.10.20042887.5518.04.20053470.78583.23020.19812526.326-0.74140.694.928
25Long128.06.20053763.4417.10.20054224.98461.54012.2647815.1530.00040.2107.192
26Long130.12.20054248.917.05.20065046.74797.84018.7789528.3720.00049.9125.970
27Long127.09.20064857.5201.03.20075708.79851.27017.52510727.5410.00041.2143.495
28Long117.05.20076444.4908.06.20076240.4-204.090-3.167151.484-3.291-52.4140.328
29Long111.05.20092819.6714.05.20092743.63-76.040-2.69730.000-2.951-327.4137.631
30Long115.05.20092784.7518.06.20092814.1429.3901.055247.7580.00011.3138.686
31Long127.08.20093337.429.10.20093430.5293.1202.790458.782-3.49016.1141.476
32Long112.01.20103697.6525.01.20103626.91-70.740-1.91391.648-2.024-53.6139.563
33Long107.04.20103992.506.05.20103796.52-195.980-4.909213.186-4.909-61.7134.655
34Long104.08.20104211.409.08.20104236.4525.0500.59530.595-0.19043.3135.249
35Long122.10.20104651.6624.02.20115088.92437.2609.4008715.090-0.91927.4144.650
36Long126.05.20115362.3516.06.20115314.25-48.100-0.897151.978-0.897-15.6143.753
37Long102.02.20124859.6124.04.20125011.08151.4703.117568.0660.00014.0146.869
38Long130.04.20125201.7804.05.20125093.96-107.820-2.07330.000-2.073-188.7144.797

Generated 30.07.2012 21:00:29