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



Scan time: 2012-07-30 21:01:00

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

109/0.SDAX (X)Trend ContinuationSDAX middle time
Years17.5Start27.01.1995End27.07.2012
TRADESCount#109Yearly#6.2Every59. day
HITSRatio55.96%Wins#61Losses#48
PERFORMProfitf.5.172WinSum292.352LossSum-56.531
Efficiency67.79%AvWin4.793LossAv-1.178
RETURNSum235.821Yearly13.443Daily0.037
Average2.163AvAbs3.19Kurtosis11.57
Median0.111MaxWin33.766MaxLoss-5.875
StdDev6.05Excess8.571/Prof.0.19
INVTIMEDays38.4%Year38.3%1704 of4433
FULLYear35.060
LENGTHAverage15.6StdDev22.68Median6.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio88.4%Wins1506Losses198
AverageDiff.6.75Wins7.75Losses-0.85
SumProftf.69.1Wins11675.4Losses-169.0
SqrSumProfitf.551.7Wins183700.0Losses333.0
Extremal Temporary Returns
AverageDiff.3.0Wins3.71Losses-0.72
SumProftf.5.2Wins404.56Losses-78.20

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%
1Long126.04.19952222.4806.07.19952377.08154.6006.956477.9010.00035.76.956
2Long112.07.19952396.3317.07.19952393.65-2.680-0.11230.154-0.406-8.16.844
3Long104.08.19952401.3809.08.19952397.25-4.130-0.17230.279-0.273-12.56.672
4Long125.08.19952392.1728.08.19952389.44-2.730-0.11410.000-0.114-13.96.558
5Long121.03.19962124.4622.03.19962116.36-8.100-0.38110.000-0.381-138.96.177
6Long103.05.19962139.4116.07.19962259.6120.1905.6184910.4980.00027.711.795
7Long101.10.19962275.3418.10.19962266.89-8.450-0.371120.564-0.506-8.011.424
8Long104.12.19962238.3416.12.19962231.72-6.620-0.29680.186-0.762-9.011.128
9Long117.12.19962234.3419.03.19972535.02300.68013.4576114.9630.00053.324.585
10Long126.03.19972560.8901.04.19972519.49-41.400-1.61720.000-1.617-98.122.968
11Long116.04.19972648.9924.04.19972609.22-39.770-1.50160.000-1.501-68.421.467
12Long113.05.19972757.0829.07.19973188.11431.03015.6345318.6580.00074.037.101
13Long130.07.19973172.2331.07.19973189.6717.4400.55010.5500.000200.337.650
14Long120.10.19973000.0921.10.19973002.622.5300.08410.0840.00030.737.735
15Long120.01.19982743.7422.01.19982740.81-2.930-0.10720.000-0.187-19.437.628
16Long126.01.19982754.1208.05.19983353.78599.66021.7737123.9720.00078.559.401
17Long121.07.19983368.624.07.19983320.66-47.940-1.42330.000-1.423-172.857.978
18Long104.11.19982693.2702.12.19982716.0622.7900.846202.652-0.18111.058.824
19Long118.01.19992694.0222.01.19992665.32-28.700-1.06540.367-1.065-97.057.759
20Long126.04.19992628.3228.05.19992783.97155.6505.922225.9220.00067.463.681
21Long131.05.19992825.1404.06.19992793.39-31.750-1.12430.000-2.018-102.362.557
22Long118.06.19992844.9430.06.19992908.5563.6102.23682.236-0.01767.964.793
23Long101.07.19992933.1926.07.19992925.1-8.090-0.276174.763-0.276-4.064.517
24Long106.09.19992924.8109.09.19992912.29-12.520-0.42830.000-0.428-52.064.089
25Long116.09.19992967.8921.09.19992942.23-25.660-0.86530.000-0.865-63.063.224
26Long116.11.19992861.9717.11.19992852.16-9.810-0.34310.000-0.343-124.962.882
27Long104.01.20002898.6716.02.20003163.76265.0909.1453111.368-0.71477.572.027
28Long117.02.20003173.3824.02.20003120.33-53.050-1.67250.643-1.908-87.070.355
29Long115.03.20003253.2316.03.20003278.0224.7900.76210.7620.000277.671.117
30Long117.03.20003355.9113.04.20003328.61-27.300-0.813191.879-2.947-11.470.304
31Long119.05.20003387.6323.05.20003363.11-24.520-0.72420.000-1.003-65.969.580
32Long128.07.20003362.204.08.20003370.047.8400.23350.557-0.39512.169.813
33Long109.08.20003398.3717.08.20003392.23-6.140-0.18160.478-0.364-8.269.632
34Long123.08.20003410.6112.09.20003434.6924.0800.706141.6240.00012.970.338
35Long113.09.20003433.8919.09.20003400.42-33.470-0.97540.167-0.975-59.269.364
36Long126.01.20013162.9723.02.20013113.5-49.470-1.564202.069-1.564-20.367.800
37Long107.05.20013014.1230.05.20013058.0943.9701.459172.435-0.38923.169.259
38Long104.06.20013077.8412.06.20013056.9-20.940-0.68060.184-0.680-31.068.578
39Long122.10.20012348.6129.11.20012417.4268.8102.930284.3820.00028.171.508
40Long128.01.20022429.4631.01.20022416.16-13.300-0.54730.000-0.623-66.570.961
41Long122.03.20022446.7628.03.20022460.5613.8000.56440.757-0.50634.271.525
42Long102.04.20022448.8604.04.20022467.4318.5700.75820.7580.000138.172.283
43Long105.04.20022457.3408.04.20022462.495.1500.21010.2100.00038.272.492
44Long115.05.20022488.117.05.20022477.99-10.110-0.40620.000-0.505-74.072.086
45Long120.05.20022472.0921.05.20022473.871.7800.07210.0720.00026.272.158
46Long127.05.20022478.6929.05.20022493.0614.3700.58020.580-0.227105.672.738
47Long130.05.20022484.5912.06.20022449.66-34.930-1.40690.396-1.406-39.471.332
48Long107.11.20021804.3711.11.20021797.48-6.890-0.38220.000-0.408-34.870.950
49Long114.04.20031825.626.09.20032442.03616.43033.76611638.2420.00074.5104.716
50Long129.10.20032498.901.12.20032605.62106.7204.271234.2710.00047.1108.987
51Long116.01.20042737.9912.03.20042918.29180.3006.585409.7490.00042.8115.572
52Long116.04.20042949.2819.04.20042948.93-0.350-0.01210.000-0.012-1.4115.560
53Long120.04.20042942.8129.04.20042896.88-45.930-1.56170.722-1.561-63.2113.999
54Long110.06.20042889.8106.07.2004290919.1900.664182.4130.0009.3114.663
55Long107.09.20042805.2819.10.20042887.5582.2702.933303.296-0.04025.4117.596
56Long126.10.20042887.8517.03.20053563.63675.78023.40110026.0340.00060.0140.997
57Long102.06.20053618.6406.06.20053640.6622.0200.60920.609-0.04155.4141.605
58Long107.06.20053670.7230.08.20054092.08421.36011.4796011.5810.00049.8153.084
59Long101.09.20054136.2414.10.20054224.5388.2902.135304.7740.00018.1155.219
60Long121.11.20054140.3122.11.20054151.7111.4000.27510.2750.000100.3155.494
61Long123.11.20054146.1816.05.20065141.82995.64024.01312031.553-0.20250.6179.508
62Long112.07.20064733.4817.07.20064455.4-278.080-5.87530.000-5.875-428.0173.633
63Long116.08.20064719.825.08.20064719.52-0.280-0.00670.133-0.415-0.2173.627
64Long105.09.20064815.2712.09.20064783.58-31.690-0.65850.000-1.275-34.2172.969
65Long113.09.20064823.0527.09.20064857.5234.4700.715100.724-0.20518.6173.683
66Long128.09.20064878.4929.11.20065203.19324.7006.656437.5720.00039.1180.339
67Long130.11.20065240.5128.02.20075813.79573.28010.9396118.2200.00044.3191.279
68Long103.04.20076241.9610.05.20076415.66173.7002.783243.6540.00027.4194.061
69Long114.05.20076421.915.05.20076420.16-1.740-0.02710.000-0.027-9.9194.034
70Long118.05.20076440.7229.05.20076490.5249.8000.77361.1040.00025.6194.807
71Long104.06.20076511.7905.06.20076465.67-46.120-0.70810.000-0.708-258.0194.099
72Long110.10.20075972.6723.10.20075872.08-100.590-1.68490.518-3.309-47.2192.415
73Long125.10.20075941.7331.10.20075922.16-19.570-0.32940.000-1.603-20.0192.086
74Long119.02.20084732.9703.03.20084602.08-130.890-2.76592.651-2.765-77.5189.320
75Long110.04.20084457.9611.04.20084422.82-35.140-0.78810.000-0.788-287.1188.532
76Long113.05.20084763.7926.05.20084696.2-67.590-1.41993.204-1.419-39.8187.113
77Long130.12.20082800.7313.01.20092649.06-151.670-5.41582.089-5.415-140.9181.698
78Long103.04.20092498.6215.05.20092784.75286.13011.4522714.475-1.21199.3193.149
79Long118.05.20092804.7119.05.20092878.6473.9302.63612.6360.000960.1195.785
80Long120.05.20092918.8708.06.20092922.13.2300.111131.741-1.8042.1195.896
81Long110.06.20092985.2617.06.20092815.42-169.840-5.68950.520-5.689-296.0190.207
82Long121.07.20092961.4123.07.20092994.6133.2001.12121.1210.000204.2191.328
83Long124.07.20092968.3227.07.20092963.41-4.910-0.16510.000-0.165-20.1191.162
84Long103.08.20093053.8922.09.20093456.74402.85013.1913614.5530.00096.1204.354
85Long123.09.20093454.8228.09.20093467.3212.5000.36230.362-0.91926.4204.715
86Long129.09.20093475.5927.10.20093480.855.2600.151204.457-1.4392.0204.867
87Long126.11.20093463.827.11.20093514.2450.4401.45611.4560.000530.4206.323
88Long102.12.20093515.5507.12.20093517.692.1400.06130.061-0.1004.4206.384
89Long129.12.20093539.930.12.20093549.029.1200.25810.2580.00093.8206.641
90Long104.01.20103623.2825.01.20103626.913.6300.100153.734-0.0131.7206.742
91Long129.01.20103668.5102.02.20103701.0332.5200.88620.8860.00080.7207.628
92Long108.03.20103770.0529.04.20103972.99202.9405.383369.2740.00038.4213.011
93Long123.06.20104001.9328.06.20104001.960.0300.00130.001-1.3550.1213.012
94Long107.07.20103941.5916.07.20103967.9726.3800.66972.0480.00027.1213.681
95Long128.07.20104146.8709.08.20104236.4589.5802.16082.160-0.15465.6215.841
96Long118.08.20104158.8219.08.20104144.59-14.230-0.34210.000-0.342-124.6215.499
97Long122.09.20104249.8112.11.20104641.08391.2709.2073712.563-0.16865.8224.706
98Long107.12.20104967.8121.01.20115126.09158.2803.186316.3100.00025.8227.892
99Long108.02.20115309.5523.02.20115148.99-160.560-3.024110.829-3.024-73.4224.868
100Long113.04.20115201.6925.05.20115356.51154.8202.976285.382-1.44225.8227.844
101Long101.06.20115468.4206.06.20115408.01-60.410-1.10530.000-1.105-80.5226.740
102Long124.10.20114519.8910.11.20114431.09-88.800-1.965133.132-1.965-42.1224.775
103Long115.11.20114497.4216.11.20114498.270.8500.01910.0190.0006.9224.794
104Long122.12.20114305.4928.12.20114356.5751.0801.18631.1860.00072.0225.980
105Long113.01.20124474.0207.03.20124968.11494.09011.0443815.3710.00074.5237.024
106Long112.03.20125073.9521.03.20125169.6795.7201.88672.6950.00076.4238.910
107Long122.03.20125119.923.03.20125138.2418.3400.35810.3580.000130.5239.268
108Long127.03.20125229.2930.03.20125220.98-8.310-0.15930.426-1.045-19.3239.110
109Long102.04.20125218.1411.04.20125046.55-171.590-3.28850.090-3.625-133.1235.821

Generated 30.07.2012 21:01:16