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

Calls 38 - Puts 25

Scan time: 2012-07-30 21:00:44

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/-25.SDAX (X)Trend ContinuationSDAX long time
Years17.4Start10.03.1995End27.07.2012
TRADESCount#63Yearly#3.6Every101. day
HITSRatio55.56%Wins#35Losses#28
PERFORMProfitf.6.079WinSum258.515LossSum-42.527
Efficiency71.99%AvWin7.386LossAv-1.519
RETURNSum215.987Yearly12.393Daily0.034
Average3.428AvAbs4.76Kurtosis3.17
Median0.612MaxWin20.447MaxLoss-5.319
StdDev6.92Excess0.171/Prof.0.16
INVTIMEDays38.7%Year38.5%1704 of4403
FULLYear32.151
LENGTHAverage27.0StdDev32.26Median10.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio91.1%Wins1553Losses151
AverageDiff.7.91Wins8.78Losses-0.98
SumProftf.92.2Wins13634.4Losses-147.8
SqrSumProfitf.625.7Wins198537.3Losses317.3
Extremal Temporary Returns
AverageDiff.1.8Wins1.94Losses-0.13
SumProftf.14.9Wins122.25Losses-8.23

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
2Short-126.09.19952327.527.09.19952304.7122.7900.9791-0.9790.000356.73.725
3Short-128.09.19952289.8202.01.19962123.75166.0707.25364-8.7130.23927.510.977
4Long128.05.19962208.1929.05.19962208.14-0.050-0.00210.000-0.002-0.810.975
5Long107.06.19962254.5525.07.19962253.85-0.700-0.031344.855-0.209-0.210.944
6Short-109.09.19962217.1916.09.19962241.55-24.360-1.09950.0001.099-57.29.845
7Long110.01.19972325.324.04.19972609.22283.92012.2107213.9200.00043.222.055
8Long109.05.19972696.0215.08.19973142.88446.86016.5756821.3460.00061.638.630
9Short-123.09.19972991.3930.09.19973008.55-17.160-0.5745-0.0040.574-29.938.056
10Short-102.10.19973050.1706.10.19973044.245.9300.1941-0.1940.00017.738.251
11Short-129.10.19972800.4408.01.19982777.2923.1500.82746-3.9600.4214.239.077
12Long106.02.19982858.6209.02.19982911.3152.6901.84311.8430.000223.840.921
13Long110.02.19982924.1603.06.19983349424.84014.5297617.460-0.09847.355.449
14Short-106.08.19983218.0510.08.19983204.7213.3300.4142-0.4140.00037.755.864
15Short-112.08.19983128.8309.11.19982731.3397.53012.70563-20.8960.24852.068.569
16Short-122.04.19992586.3423.04.19992597.32-10.980-0.42510.0000.425-154.668.144
17Long101.06.19992789.8402.06.19992768.13-21.710-0.77810.000-0.778-283.567.366
18Long108.06.19992808.5423.07.19992972.28163.7405.830339.413-0.18647.273.196
19Long103.02.20003139.9913.04.20003328.61188.6206.007508.885-1.45431.779.203
20Long105.09.20003465.7419.09.20003400.42-65.320-1.885100.008-1.885-49.077.319
21Short-113.11.20003171.8412.12.20003146.924.9400.78621-3.3530.7769.978.105
22Short-104.04.20012858.509.04.20012909.7-51.200-1.79130.0001.791-130.576.314
23Long106.06.20013083.508.06.20013071.46-12.040-0.39020.000-0.497-71.175.923
24Short-113.07.20012813.7715.10.20012331.15482.62017.15266-23.9460.00066.593.075
25Long103.12.20012417.6417.12.20012384.08-33.560-1.388100.553-1.448-36.191.687
26Long115.05.20022488.117.05.20022477.99-10.110-0.40620.000-0.505-74.091.281
27Long111.06.20022474.2512.06.20022449.66-24.590-0.99410.000-0.994-362.090.287
28Short-122.07.20022223.4518.10.20021821.45402.00018.08064-22.7230.00074.8108.367
29Long126.05.20032014.0202.10.20032425.83411.81020.4479325.309-0.53457.7128.814
30Long106.10.20032453.5807.10.20032449.67-3.910-0.15910.000-0.159-58.0128.655
31Long117.10.20032481.8921.10.20032502.6920.8000.83820.838-0.02176.3129.493
32Long131.10.20032555.3718.11.20032576.6621.2900.833121.9350.00016.9130.326
33Long105.12.20032602.6919.12.20032555.55-47.140-1.811100.000-1.811-47.1128.515
34Long120.01.20042784.3621.01.20042783.18-1.180-0.04210.000-0.042-15.4128.472
35Long123.01.20042814.527.01.20042809.3-5.200-0.18520.000-0.408-16.8128.288
36Long128.01.20042823.2416.03.20042849.9326.6900.945346.436-0.0337.2129.233
37Long119.10.20042887.5518.04.20053470.78583.23020.19812526.326-0.74140.6149.431
38Long128.06.20053763.4417.10.20054224.98461.54012.2647815.1530.00040.2161.695
39Long130.12.20054248.917.05.20065046.74797.84018.7789528.3720.00049.9180.472
40Long127.09.20064857.5201.03.20075708.79851.27017.52510727.5410.00041.2197.997
41Long117.05.20076444.4908.06.20076240.4-204.090-3.167151.484-3.291-52.4194.830
42Short-121.12.20075166.6927.12.20075196.68-29.990-0.58010.0000.580-35.2194.250
43Short-110.01.20084794.628.01.20084403.26391.3408.16212-12.5340.000165.2202.412
44Short-102.07.20084142.5301.09.20084117.1925.3400.61243-3.4632.5093.7203.024
45Short-119.09.20083842.9122.09.20083847.07-4.160-0.10810.0000.108-13.1202.915
46Short-129.09.20083395.7905.11.20082862.41533.38015.70727-27.3950.017154.6218.623
47Short-110.11.20082773.7311.11.20082722.651.1301.8431-1.8430.000671.4220.466
48Short-112.11.20082672.7117.11.20082596.9375.7802.8353-2.8350.000206.6223.301
49Short-118.11.20082576.1625.11.20082513.3162.8502.4405-6.2570.000127.0225.741
50Short-117.03.20092265.0526.03.20092385.53-120.480-5.31970.0005.319-215.3220.422
51Long111.05.20092819.6714.05.20092743.63-76.040-2.69730.000-2.951-327.4217.725
52Long115.05.20092784.7518.06.20092814.1429.3901.055247.7580.00011.3218.780
53Long127.08.20093337.429.10.20093430.5293.1202.790458.782-3.49016.1221.571
54Long112.01.20103697.6525.01.20103626.91-70.740-1.91391.648-2.024-53.6219.658
55Long107.04.20103992.506.05.20103796.52-195.980-4.909213.186-4.909-61.7214.749
56Long104.08.20104211.409.08.20104236.4525.0500.59530.595-0.19043.3215.344
57Long122.10.20104651.6624.02.20115088.92437.2609.4008715.090-0.91927.4224.744
58Long126.05.20115362.3516.06.20115314.25-48.100-0.897151.978-0.897-15.6223.847
59Short-115.09.20114309.5921.09.20114382.23-72.640-1.68640.0003.211-102.3222.161
60Short-123.09.20114196.9827.09.20114318.66-121.680-2.89920.0002.899-264.0219.262
61Short-104.10.20114133.4707.10.20114311.99-178.520-4.31930.0004.319-524.4214.943
62Long102.02.20124859.6124.04.20125011.08151.4703.117568.0660.00014.0218.060
63Long130.04.20125201.7804.05.20125093.96-107.820-2.07330.000-2.073-188.7215.987

Generated 30.07.2012 21:01:00