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



Scan time: 2012-07-30 21:01:16

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/-85.SDAX (X)Trend ContinuationSDAX middle time
Years17.5Start27.01.1995End27.07.2012
TRADESCount#85Yearly#4.8Every75. day
HITSRatio52.94%Wins#45Losses#40
PERFORMProfitf.3.451WinSum180.696LossSum-52.355
Efficiency55.31%AvWin4.015LossAv-1.309
RETURNSum128.341Yearly7.316Daily0.020
Average1.510AvAbs2.73Kurtosis16.80
Median0.117MaxWin32.331MaxLoss-5.834
StdDev5.23Excess13.801/Prof.0.29
INVTIMEDays19.0%Year18.8%844 of4433
FULLYear38.828
LENGTHAverage9.9StdDev12.13Median5.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio82.9%Wins700Losses144
AverageDiff.4.86Wins6.05Losses-0.93
SumProftf.31.5Wins4232.4Losses-134.5
SqrSumProfitf.204.6Wins56801.7Losses277.6
Extremal Temporary Returns
AverageDiff.-2.7Wins-3.42Losses0.74
SumProftf.4.6Wins-291.08Losses62.91

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-110.03.19952253.1113.04.19952228.9824.1301.07124-3.0910.63711.81.071
2Short-101.09.19952375.8906.09.19952386.76-10.870-0.4583-0.4250.458-33.30.613
3Short-114.09.19952369.1518.09.19952376.35-7.200-0.30420.0000.377-27.70.310
4Short-119.09.19952369.3530.11.19952147.75221.6009.35351-10.9330.00047.39.662
5Short-108.03.19962120.4311.03.19962097.2323.2001.0941-1.0940.000132.810.756
6Short-112.03.19962122.5513.03.19962126.49-3.940-0.18610.0000.186-67.610.571
7Short-129.07.19962255.8513.08.19962272.64-16.790-0.74411-0.4150.849-18.19.827
8Short-119.08.19962246.9922.08.19962244.362.6300.1173-0.2780.00014.29.944
9Short-103.09.19962198.8912.09.19962231.4-32.510-1.47870.0001.478-59.88.465
10Short-125.10.19962223.6927.11.19962211.0112.6800.57023-1.5780.0516.39.035
11Short-112.08.19973157.0222.08.1997312730.0200.9518-2.5300.19334.69.986
12Short-128.08.19973038.4309.09.19973048.54-10.110-0.3338-0.9530.597-10.19.653
13Short-118.09.19972984.6926.09.19972991.29-6.600-0.22160.0000.286-10.19.432
14Short-129.10.19972800.4428.11.19972774.6125.8300.92222-3.1900.42111.210.355
15Short-103.12.1997273105.12.19972733.32-2.320-0.08520.0000.243-15.510.270
16Short-123.06.19983312.9529.06.19983302.0910.8600.3284-0.3280.24319.910.598
17Short-109.07.19983322.6810.07.19983318.24.4800.1351-0.1350.00049.110.732
18Short-106.08.19983218.0520.10.19982614.77603.28018.74753-23.0890.00091.029.479
19Short-108.12.1998270109.12.19982687.613.4000.4961-0.4960.000180.729.975
20Short-110.12.19982676.1218.12.19982668.147.9800.2986-3.6400.00013.630.273
21Short-103.02.19992665.7104.02.19992698.85-33.140-1.24310.0001.243-452.829.030
22Short-109.03.19992619.1316.03.19992625.07-5.940-0.2275-1.3080.227-11.828.803
23Short-123.03.19992561.1706.04.19992551.419.7600.3818-1.4720.00010.729.185
24Short-108.04.19992527.2912.04.19992537.42-10.130-0.40120.0000.482-36.528.784
25Short-115.04.19992555.2723.04.19992597.32-42.050-1.6466-0.1061.646-74.927.138
26Short-113.08.19992889.8324.08.19992942.3-52.470-1.8167-0.3691.816-60.125.322
27Short-113.10.19992877.4725.10.19992817.9759.5002.0688-2.2030.00062.827.390
28Short-126.10.19992829.6127.10.19992837.04-7.430-0.26310.0000.263-95.627.128
29Short-130.11.19992811.7220.12.19992842.81-31.090-1.10614-1.7421.106-20.126.022
30Short-102.06.20003361.9619.06.20003353.518.4500.25111-0.2510.7655.426.273
31Short-129.06.20003258.4805.07.20003321.58-63.100-1.93640.0001.936-117.624.337
32Short-122.09.20003348.3624.10.20003270.5677.8002.32421-5.1290.51026.426.660
33Short-121.11.20003147.7612.12.20003146.90.8600.02715-2.6140.0000.526.688
34Short-128.02.20013173.1301.03.20013150.9522.1800.6991-0.6990.000254.627.387
35Short-106.03.20013147.5508.03.20013173.35-25.800-0.82020.0000.820-149.326.567
36Short-115.03.20013068.5312.04.20012918.58149.9504.88720-6.8450.00065.931.454
37Short-119.06.20013012.1616.08.20012661.62350.54011.63742-11.6370.00073.143.091
38Short-117.08.20012643.502.10.20012239.76403.74015.27332-19.0470.067120.958.364
39Short-113.12.20012391.9103.01.20022404.02-12.110-0.50610-2.3450.506-8.857.858
40Short-107.02.20022386.5308.02.20022390.8-4.270-0.17910.0000.179-65.257.679
41Short-111.02.20022394.8612.02.20022404.47-9.610-0.40110.0000.401-146.257.278
42Short-113.06.20022436.6621.08.20022158.78277.88011.40449-13.9510.29660.268.682
43Short-116.09.20021951.3917.10.20021808.41142.9807.32723-11.9490.00086.176.009
44Short-119.11.20021806.0520.11.20021810.92-4.870-0.27010.0000.270-98.275.739
45Short-113.12.20021727.6803.01.20031746.53-18.850-1.09110-4.6231.091-18.974.648
46Short-103.02.20031694.619.02.20031697.76-3.160-0.18612-1.7280.186-4.274.462
47Short-116.10.20032487.0917.10.20032481.895.2000.2091-0.2090.00076.274.671
48Short-129.12.20032580.630.12.20032586.07-5.470-0.21210.0000.212-77.274.459
49Short-117.03.20042880.1926.03.20042867.4212.7700.4437-3.0950.00017.974.902
50Short-106.05.20042877.0426.05.20042797.9679.0802.74914-4.8850.00050.177.651
51Short-116.07.20042841.9519.07.20042822.9319.0200.6691-0.6690.00081.378.320
52Short-120.07.20042815.8622.07.20042827.21-11.350-0.40320.0000.871-73.477.917
53Short-127.07.20042818.7620.08.20042734.7783.9902.98018-4.6480.96845.280.897
54Short-112.05.20053454.0217.05.20053437.8416.1800.4683-0.5890.00034.181.365
55Short-131.10.20054080.5115.11.20054132.06-51.550-1.26311-0.7641.263-30.780.102
56Short-108.06.20064581.7119.06.20064662.13-80.420-1.7557-3.3671.755-58.178.346
57Short-108.06.20076240.412.06.20076345.01-104.610-1.67620.0001.802-152.776.670
58Short-131.07.20076208.5824.08.20075785.78422.8006.81018-11.4240.000103.483.480
59Short-108.11.20075596.2504.12.20075211.38384.8706.87718-11.1980.00096.390.357
60Short-105.12.20075273.1506.12.20075277.39-4.240-0.08010.0000.080-29.390.277
61Short-111.01.20084751.6205.02.20084573.69177.9303.74517-11.7430.80054.694.022
62Short-106.02.20084599.0407.02.20084501.597.5402.1211-2.1210.000772.596.142
63Short-114.03.20084414.3117.03.20084253.58160.7303.6411-3.6410.000442.199.784
64Short-118.03.20084310.8828.03.20084466.41-155.530-3.6086-1.2793.608-131.496.176
65Short-111.06.20084593.6522.07.20084196.4397.2508.64829-12.8891.60376.8104.824
66Short-120.08.20084045.0425.08.20084051.87-6.830-0.1693-1.1360.478-12.3104.655
67Short-129.08.20084118.5801.09.20084117.191.3900.0341-0.0340.0004.1104.688
68Short-104.09.20084051.203.11.20082741.421309.78032.33142-39.1410.000196.3137.019
69Short-103.12.20082504.6205.12.20082460.7143.9101.7532-1.7530.000319.3138.772
70Short-104.02.20092527.1412.02.20092476.7850.3601.9936-1.9932.34790.7140.765
71Short-113.02.20092500.6623.03.20092341.99158.6706.34526-13.4940.00062.5147.110
72Short-109.07.20092794.4915.07.20092912.52-118.030-4.22440.0004.224-256.4142.886
73Short-115.02.20103584.7716.02.20103588.92-4.150-0.11610.0000.116-42.2142.771
74Short-110.05.20103865.2711.05.20103852.4312.8400.3321-0.3320.000121.0143.103
75Short-121.05.20103723.6328.05.20103811.64-88.010-2.3645-3.1612.364-123.0140.739
76Short-126.08.20104053.3327.08.20104098.17-44.840-1.10610.0001.106-403.0139.633
77Short-124.11.20104685.7925.11.20104756.04-70.250-1.49910.0001.499-546.1138.134
78Short-115.03.20114784.9821.03.20115063.39-278.410-5.81840.0005.818-353.2132.315
79Short-129.06.20115324.0101.07.20115466.82-142.810-2.68220.0002.682-488.5129.633
80Short-104.08.20114705.1901.09.20114539.52165.6703.52120-9.5460.00045.8133.154
81Short-113.09.20114157.9815.09.20114309.59-151.610-3.64620.0003.646-664.1129.508
82Short-123.11.20114178.0430.11.20114421.77-243.730-5.83450.0005.834-303.6123.674
83Short-113.12.20114304.4914.12.20114232.6171.8801.6701-1.6700.000608.3125.344
84Short-115.12.20114253.1516.12.20114233.6819.4700.4581-0.4580.000166.7125.802
85Short-129.05.20124878.6218.06.20124754.73123.8902.53914-5.6530.00046.2128.341

Generated 30.07.2012 21:01:31