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



Scan time: 2012-07-30 21:00:29

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

0/-25.SDAX (X)Trend ContinuationSDAX long time
Years17.4Start10.03.1995End27.07.2012
TRADESCount#25Yearly#1.4Every254. day
HITSRatio60.00%Wins#15Losses#10
PERFORMProfitf.4.787WinSum89.990LossSum-18.799
Efficiency66.05%AvWin5.999LossAv-1.880
RETURNSum71.191Yearly4.085Daily0.011
Average2.848AvAbs4.31Kurtosis3.39
Median0.612MaxWin18.080MaxLoss-5.319
StdDev6.42Excess0.391/Prof.0.21
INVTIMEDays10.2%Year10.3%451 of4403
FULLYear39.529
LENGTHAverage18.0StdDev23.53Median5.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio86.9%Wins392Losses59
AverageDiff.6.74Wins7.91Losses-1.08
SumProftf.48.6Wins3101.6Losses-63.8
SqrSumProfitf.273.3Wins42919.4Losses157.0
Extremal Temporary Returns
AverageDiff.-4.6Wins-5.58Losses0.98
SumProftf.5.7Wins-139.51Losses24.53

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%
1Short-126.09.19952327.527.09.19952304.7122.7900.9791-0.9790.000356.70.979
2Short-128.09.19952289.8202.01.19962123.75166.0707.25364-8.7130.23927.58.232
3Short-109.09.19962217.1916.09.19962241.55-24.360-1.09950.0001.099-57.27.133
4Short-123.09.19972991.3930.09.19973008.55-17.160-0.5745-0.0040.574-29.96.559
5Short-102.10.19973050.1706.10.19973044.245.9300.1941-0.1940.00017.76.754
6Short-129.10.19972800.4408.01.19982777.2923.1500.82746-3.9600.4214.27.580
7Short-106.08.19983218.0510.08.19983204.7213.3300.4142-0.4140.00037.77.995
8Short-112.08.19983128.8309.11.19982731.3397.53012.70563-20.8960.24852.020.700
9Short-122.04.19992586.3423.04.19992597.32-10.980-0.42510.0000.425-154.620.276
10Short-113.11.20003171.8412.12.20003146.924.9400.78621-3.3530.7769.921.062
11Short-104.04.20012858.509.04.20012909.7-51.200-1.79130.0001.791-130.519.271
12Short-113.07.20012813.7715.10.20012331.15482.62017.15266-23.9460.00066.536.423
13Short-122.07.20022223.4518.10.20021821.45402.00018.08064-22.7230.00074.854.503
14Short-121.12.20075166.6927.12.20075196.68-29.990-0.58010.0000.580-35.253.922
15Short-110.01.20084794.628.01.20084403.26391.3408.16212-12.5340.000165.262.084
16Short-102.07.20084142.5301.09.20084117.1925.3400.61243-3.4632.5093.762.696
17Short-119.09.20083842.9122.09.20083847.07-4.160-0.10810.0000.108-13.162.588
18Short-129.09.20083395.7905.11.20082862.41533.38015.70727-27.3950.017154.678.295
19Short-110.11.20082773.7311.11.20082722.651.1301.8431-1.8430.000671.480.138
20Short-112.11.20082672.7117.11.20082596.9375.7802.8353-2.8350.000206.682.974
21Short-118.11.20082576.1625.11.20082513.3162.8502.4405-6.2570.000127.085.413
22Short-117.03.20092265.0526.03.20092385.53-120.480-5.31970.0005.319-215.380.094
23Short-115.09.20114309.5921.09.20114382.23-72.640-1.68640.0003.211-102.378.409
24Short-123.09.20114196.9827.09.20114318.66-121.680-2.89920.0002.899-264.075.509
25Short-104.10.20114133.4707.10.20114311.99-178.520-4.31930.0004.319-524.471.191

Generated 30.07.2012 21:00:44