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

Calls 109 - Puts 85

Scan time: 2012-07-30 21:01:32

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/-85.SDAX (X)Trend ContinuationSDAX middle time
Years17.5Start27.01.1995End27.07.2012
TRADESCount#194Yearly#11.1Every33. day
HITSRatio54.64%Wins#106Losses#88
PERFORMProfitf.4.344WinSum473.048LossSum-108.886
Efficiency62.69%AvWin4.463LossAv-1.237
RETURNSum364.163Yearly20.758Daily0.057
Average1.877AvAbs2.99Kurtosis13.43
Median0.114MaxWin33.766MaxLoss-5.875
StdDev5.71Excess10.431/Prof.0.23
INVTIMEDays57.5%Year57.2%2548 of4433
FULLYear36.302
LENGTHAverage13.1StdDev19.01Median6.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio86.6%Wins2206Losses342
AverageDiff.6.12Wins7.21Losses-0.89
SumProftf.52.4Wins15907.8Losses-303.5
SqrSumProfitf.393.9Wins240501.7Losses610.6
Extremal Temporary Returns
AverageDiff.0.5Wins0.58Losses-0.08
SumProftf.7.4Wins113.48Losses-15.30

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
2Long126.04.19952222.4806.07.19952377.08154.6006.956477.9010.00035.78.027
3Long112.07.19952396.3317.07.19952393.65-2.680-0.11230.154-0.406-8.17.915
4Long104.08.19952401.3809.08.19952397.25-4.130-0.17230.279-0.273-12.57.743
5Long125.08.19952392.1728.08.19952389.44-2.730-0.11410.000-0.114-13.97.629
6Short-101.09.19952375.8906.09.19952386.76-10.870-0.4583-0.4250.458-33.37.172
7Short-114.09.19952369.1518.09.19952376.35-7.200-0.30420.0000.377-27.76.868
8Short-119.09.19952369.3530.11.19952147.75221.6009.35351-10.9330.00047.316.221
9Short-108.03.19962120.4311.03.19962097.2323.2001.0941-1.0940.000132.817.315
10Short-112.03.19962122.5513.03.19962126.49-3.940-0.18610.0000.186-67.617.129
11Long121.03.19962124.4622.03.19962116.36-8.100-0.38110.000-0.381-138.916.748
12Long103.05.19962139.4116.07.19962259.6120.1905.6184910.4980.00027.722.366
13Short-129.07.19962255.8513.08.19962272.64-16.790-0.74411-0.4150.849-18.121.621
14Short-119.08.19962246.9922.08.19962244.362.6300.1173-0.2780.00014.221.738
15Short-103.09.19962198.8912.09.19962231.4-32.510-1.47870.0001.478-59.820.260
16Long101.10.19962275.3418.10.19962266.89-8.450-0.371120.564-0.506-8.019.889
17Short-125.10.19962223.6927.11.19962211.0112.6800.57023-1.5780.0516.320.459
18Long104.12.19962238.3416.12.19962231.72-6.620-0.29680.186-0.762-9.020.163
19Long117.12.19962234.3419.03.19972535.02300.68013.4576114.9630.00053.333.620
20Long126.03.19972560.8901.04.19972519.49-41.400-1.61720.000-1.617-98.132.004
21Long116.04.19972648.9924.04.19972609.22-39.770-1.50160.000-1.501-68.430.502
22Long113.05.19972757.0829.07.19973188.11431.03015.6345318.6580.00074.046.136
23Long130.07.19973172.2331.07.19973189.6717.4400.55010.5500.000200.346.686
24Short-112.08.19973157.0222.08.1997312730.0200.9518-2.5300.19334.647.637
25Short-128.08.19973038.4309.09.19973048.54-10.110-0.3338-0.9530.597-10.147.304
26Short-118.09.19972984.6926.09.19972991.29-6.600-0.22160.0000.286-10.147.083
27Long120.10.19973000.0921.10.19973002.622.5300.08410.0840.00030.747.167
28Short-129.10.19972800.4428.11.19972774.6125.8300.92222-3.1900.42111.248.089
29Short-103.12.1997273105.12.19972733.32-2.320-0.08520.0000.243-15.548.004
30Long120.01.19982743.7422.01.19982740.81-2.930-0.10720.000-0.187-19.447.898
31Long126.01.19982754.1208.05.19983353.78599.66021.7737123.9720.00078.569.671
32Short-123.06.19983312.9529.06.19983302.0910.8600.3284-0.3280.24319.969.999
33Short-109.07.19983322.6810.07.19983318.24.4800.1351-0.1350.00049.170.133
34Long121.07.19983368.624.07.19983320.66-47.940-1.42330.000-1.423-172.868.710
35Short-106.08.19983218.0520.10.19982614.77603.28018.74753-23.0890.00091.087.457
36Long104.11.19982693.2702.12.19982716.0622.7900.846202.652-0.18111.088.303
37Short-108.12.1998270109.12.19982687.613.4000.4961-0.4960.000180.788.799
38Short-110.12.19982676.1218.12.19982668.147.9800.2986-3.6400.00013.689.098
39Long118.01.19992694.0222.01.19992665.32-28.700-1.06540.367-1.065-97.088.032
40Short-103.02.19992665.7104.02.19992698.85-33.140-1.24310.0001.243-452.886.789
41Short-109.03.19992619.1316.03.19992625.07-5.940-0.2275-1.3080.227-11.886.562
42Short-123.03.19992561.1706.04.19992551.419.7600.3818-1.4720.00010.786.943
43Short-108.04.19992527.2912.04.19992537.42-10.130-0.40120.0000.482-36.586.543
44Short-115.04.19992555.2723.04.19992597.32-42.050-1.6466-0.1061.646-74.984.897
45Long126.04.19992628.3228.05.19992783.97155.6505.922225.9220.00067.490.819
46Long131.05.19992825.1404.06.19992793.39-31.750-1.12430.000-2.018-102.389.695
47Long118.06.19992844.9430.06.19992908.5563.6102.23682.236-0.01767.991.931
48Long101.07.19992933.1926.07.19992925.1-8.090-0.276174.763-0.276-4.091.655
49Short-113.08.19992889.8324.08.19992942.3-52.470-1.8167-0.3691.816-60.189.840
50Long106.09.19992924.8109.09.19992912.29-12.520-0.42830.000-0.428-52.089.411
51Long116.09.19992967.8921.09.19992942.23-25.660-0.86530.000-0.865-63.088.547
52Short-113.10.19992877.4725.10.19992817.9759.5002.0688-2.2030.00062.890.615
53Short-126.10.19992829.6127.10.19992837.04-7.430-0.26310.0000.263-95.690.352
54Long116.11.19992861.9717.11.19992852.16-9.810-0.34310.000-0.343-124.990.009
55Short-130.11.19992811.7220.12.19992842.81-31.090-1.10614-1.7421.106-20.188.904
56Long104.01.20002898.6716.02.20003163.76265.0909.1453111.368-0.71477.598.049
57Long117.02.20003173.3824.02.20003120.33-53.050-1.67250.643-1.908-87.096.377
58Long115.03.20003253.2316.03.20003278.0224.7900.76210.7620.000277.697.139
59Long117.03.20003355.9113.04.20003328.61-27.300-0.813191.879-2.947-11.496.326
60Long119.05.20003387.6323.05.20003363.11-24.520-0.72420.000-1.003-65.995.602
61Short-102.06.20003361.9619.06.20003353.518.4500.25111-0.2510.7655.495.853
62Short-129.06.20003258.4805.07.20003321.58-63.100-1.93640.0001.936-117.693.917
63Long128.07.20003362.204.08.20003370.047.8400.23350.557-0.39512.194.150
64Long109.08.20003398.3717.08.20003392.23-6.140-0.18160.478-0.364-8.293.969
65Long123.08.20003410.6112.09.20003434.6924.0800.706141.6240.00012.994.675
66Long113.09.20003433.8919.09.20003400.42-33.470-0.97540.167-0.975-59.293.700
67Short-122.09.20003348.3624.10.20003270.5677.8002.32421-5.1290.51026.496.024
68Short-121.11.20003147.7612.12.20003146.90.8600.02715-2.6140.0000.596.051
69Long126.01.20013162.9723.02.20013113.5-49.470-1.564202.069-1.564-20.394.487
70Short-128.02.20013173.1301.03.20013150.9522.1800.6991-0.6990.000254.695.186
71Short-106.03.20013147.5508.03.20013173.35-25.800-0.82020.0000.820-149.394.367
72Short-115.03.20013068.5312.04.20012918.58149.9504.88720-6.8450.00065.999.253
73Long107.05.20013014.1230.05.20013058.0943.9701.459172.435-0.38923.1100.712
74Long104.06.20013077.8412.06.20013056.9-20.940-0.68060.184-0.680-31.0100.032
75Short-119.06.20013012.1616.08.20012661.62350.54011.63742-11.6370.00073.1111.669
76Short-117.08.20012643.502.10.20012239.76403.74015.27332-19.0470.067120.9126.942
77Long122.10.20012348.6129.11.20012417.4268.8102.930284.3820.00028.1129.872
78Short-113.12.20012391.9103.01.20022404.02-12.110-0.50610-2.3450.506-8.8129.366
79Long128.01.20022429.4631.01.20022416.16-13.300-0.54730.000-0.623-66.5128.818
80Short-107.02.20022386.5308.02.20022390.8-4.270-0.17910.0000.179-65.2128.639
81Short-111.02.20022394.8612.02.20022404.47-9.610-0.40110.0000.401-146.2128.238
82Long122.03.20022446.7628.03.20022460.5613.8000.56440.757-0.50634.2128.802
83Long102.04.20022448.8604.04.20022467.4318.5700.75820.7580.000138.1129.560
84Long105.04.20022457.3408.04.20022462.495.1500.21010.2100.00038.2129.770
85Long115.05.20022488.117.05.20022477.99-10.110-0.40620.000-0.505-74.0129.364
86Long120.05.20022472.0921.05.20022473.871.7800.07210.0720.00026.2129.436
87Long127.05.20022478.6929.05.20022493.0614.3700.58020.580-0.227105.6130.015
88Long130.05.20022484.5912.06.20022449.66-34.930-1.40690.396-1.406-39.4128.610
89Short-113.06.20022436.6621.08.20022158.78277.88011.40449-13.9510.29660.2140.014
90Short-116.09.20021951.3917.10.20021808.41142.9807.32723-11.9490.00086.1147.341
91Long107.11.20021804.3711.11.20021797.48-6.890-0.38220.000-0.408-34.8146.959
92Short-119.11.20021806.0520.11.20021810.92-4.870-0.27010.0000.270-98.2146.689
93Short-113.12.20021727.6803.01.20031746.53-18.850-1.09110-4.6231.091-18.9145.598
94Short-103.02.20031694.619.02.20031697.76-3.160-0.18612-1.7280.186-4.2145.412
95Long114.04.20031825.626.09.20032442.03616.43033.76611638.2420.00074.5179.178
96Short-116.10.20032487.0917.10.20032481.895.2000.2091-0.2090.00076.2179.387
97Long129.10.20032498.901.12.20032605.62106.7204.271234.2710.00047.1183.657
98Short-129.12.20032580.630.12.20032586.07-5.470-0.21210.0000.212-77.2183.445
99Long116.01.20042737.9912.03.20042918.29180.3006.585409.7490.00042.8190.031
100Short-117.03.20042880.1926.03.20042867.4212.7700.4437-3.0950.00017.9190.474
101Long116.04.20042949.2819.04.20042948.93-0.350-0.01210.000-0.012-1.4190.462
102Long120.04.20042942.8129.04.20042896.88-45.930-1.56170.722-1.561-63.2188.901
103Short-106.05.20042877.0426.05.20042797.9679.0802.74914-4.8850.00050.1191.650
104Long110.06.20042889.8106.07.2004290919.1900.664182.4130.0009.3192.314
105Short-116.07.20042841.9519.07.20042822.9319.0200.6691-0.6690.00081.3192.983
106Short-120.07.20042815.8622.07.20042827.21-11.350-0.40320.0000.871-73.4192.580
107Short-127.07.20042818.7620.08.20042734.7783.9902.98018-4.6480.96845.2195.560
108Long107.09.20042805.2819.10.20042887.5582.2702.933303.296-0.04025.4198.493
109Long126.10.20042887.8517.03.20053563.63675.78023.40110026.0340.00060.0221.893
110Short-112.05.20053454.0217.05.20053437.8416.1800.4683-0.5890.00034.1222.362
111Long102.06.20053618.6406.06.20053640.6622.0200.60920.609-0.04155.4222.970
112Long107.06.20053670.7230.08.20054092.08421.36011.4796011.5810.00049.8234.449
113Long101.09.20054136.2414.10.20054224.5388.2902.135304.7740.00018.1236.584
114Short-131.10.20054080.5115.11.20054132.06-51.550-1.26311-0.7641.263-30.7235.320
115Long121.11.20054140.3122.11.20054151.7111.4000.27510.2750.000100.3235.596
116Long123.11.20054146.1816.05.20065141.82995.64024.01312031.553-0.20250.6259.609
117Short-108.06.20064581.7119.06.20064662.13-80.420-1.7557-3.3671.755-58.1257.854
118Long112.07.20064733.4817.07.20064455.4-278.080-5.87530.000-5.875-428.0251.979
119Long116.08.20064719.825.08.20064719.52-0.280-0.00670.133-0.415-0.2251.973
120Long105.09.20064815.2712.09.20064783.58-31.690-0.65850.000-1.275-34.2251.315
121Long113.09.20064823.0527.09.20064857.5234.4700.715100.724-0.20518.6252.030
122Long128.09.20064878.4929.11.20065203.19324.7006.656437.5720.00039.1258.686
123Long130.11.20065240.5128.02.20075813.79573.28010.9396118.2200.00044.3269.625
124Long103.04.20076241.9610.05.20076415.66173.7002.783243.6540.00027.4272.408
125Long114.05.20076421.915.05.20076420.16-1.740-0.02710.000-0.027-9.9272.381
126Long118.05.20076440.7229.05.20076490.5249.8000.77361.1040.00025.6273.154
127Long104.06.20076511.7905.06.20076465.67-46.120-0.70810.000-0.708-258.0272.446
128Short-108.06.20076240.412.06.20076345.01-104.610-1.67620.0001.802-152.7270.769
129Short-131.07.20076208.5824.08.20075785.78422.8006.81018-11.4240.000103.4277.579
130Long110.10.20075972.6723.10.20075872.08-100.590-1.68490.518-3.309-47.2275.895
131Long125.10.20075941.7331.10.20075922.16-19.570-0.32940.000-1.603-20.0275.566
132Short-108.11.20075596.2504.12.20075211.38384.8706.87718-11.1980.00096.3282.443
133Short-105.12.20075273.1506.12.20075277.39-4.240-0.08010.0000.080-29.3282.363
134Short-111.01.20084751.6205.02.20084573.69177.9303.74517-11.7430.80054.6286.107
135Short-106.02.20084599.0407.02.20084501.597.5402.1211-2.1210.000772.5288.228
136Long119.02.20084732.9703.03.20084602.08-130.890-2.76592.651-2.765-77.5285.463
137Short-114.03.20084414.3117.03.20084253.58160.7303.6411-3.6410.000442.1289.104
138Short-118.03.20084310.8828.03.20084466.41-155.530-3.6086-1.2793.608-131.4285.496
139Long110.04.20084457.9611.04.20084422.82-35.140-0.78810.000-0.788-287.1284.708
140Long113.05.20084763.7926.05.20084696.2-67.590-1.41993.204-1.419-39.8283.289
141Short-111.06.20084593.6522.07.20084196.4397.2508.64829-12.8891.60376.8291.937
142Short-120.08.20084045.0425.08.20084051.87-6.830-0.1693-1.1360.478-12.3291.768
143Short-129.08.20084118.5801.09.20084117.191.3900.0341-0.0340.0004.1291.802
144Short-104.09.20084051.203.11.20082741.421309.78032.33142-39.1410.000196.3324.132
145Short-103.12.20082504.6205.12.20082460.7143.9101.7532-1.7530.000319.3325.885
146Long130.12.20082800.7313.01.20092649.06-151.670-5.41582.089-5.415-140.9320.470
147Short-104.02.20092527.1412.02.20092476.7850.3601.9936-1.9932.34790.7322.463
148Short-113.02.20092500.6623.03.20092341.99158.6706.34526-13.4940.00062.5328.808
149Long103.04.20092498.6215.05.20092784.75286.13011.4522714.475-1.21199.3340.259
150Long118.05.20092804.7119.05.20092878.6473.9302.63612.6360.000960.1342.895
151Long120.05.20092918.8708.06.20092922.13.2300.111131.741-1.8042.1343.006
152Long110.06.20092985.2617.06.20092815.42-169.840-5.68950.520-5.689-296.0337.317
153Short-109.07.20092794.4915.07.20092912.52-118.030-4.22440.0004.224-256.4333.093
154Long121.07.20092961.4123.07.20092994.6133.2001.12121.1210.000204.2334.214
155Long124.07.20092968.3227.07.20092963.41-4.910-0.16510.000-0.165-20.1334.049
156Long103.08.20093053.8922.09.20093456.74402.85013.1913614.5530.00096.1347.240
157Long123.09.20093454.8228.09.20093467.3212.5000.36230.362-0.91926.4347.602
158Long129.09.20093475.5927.10.20093480.855.2600.151204.457-1.4392.0347.753
159Long126.11.20093463.827.11.20093514.2450.4401.45611.4560.000530.4349.209
160Long102.12.20093515.5507.12.20093517.692.1400.06130.061-0.1004.4349.270
161Long129.12.20093539.930.12.20093549.029.1200.25810.2580.00093.8349.528
162Long104.01.20103623.2825.01.20103626.913.6300.100153.734-0.0131.7349.628
163Long129.01.20103668.5102.02.20103701.0332.5200.88620.8860.00080.7350.515
164Short-115.02.20103584.7716.02.20103588.92-4.150-0.11610.0000.116-42.2350.399
165Long108.03.20103770.0529.04.20103972.99202.9405.383369.2740.00038.4355.782
166Short-110.05.20103865.2711.05.20103852.4312.8400.3321-0.3320.000121.0356.114
167Short-121.05.20103723.6328.05.20103811.64-88.010-2.3645-3.1612.364-123.0353.750
168Long123.06.20104001.9328.06.20104001.960.0300.00130.001-1.3550.1353.751
169Long107.07.20103941.5916.07.20103967.9726.3800.66972.0480.00027.1354.420
170Long128.07.20104146.8709.08.20104236.4589.5802.16082.160-0.15465.6356.581
171Long118.08.20104158.8219.08.20104144.59-14.230-0.34210.000-0.342-124.6356.238
172Short-126.08.20104053.3327.08.20104098.17-44.840-1.10610.0001.106-403.0355.132
173Long122.09.20104249.8112.11.20104641.08391.2709.2073712.563-0.16865.8364.339
174Short-124.11.20104685.7925.11.20104756.04-70.250-1.49910.0001.499-546.1362.840
175Long107.12.20104967.8121.01.20115126.09158.2803.186316.3100.00025.8366.026
176Long108.02.20115309.5523.02.20115148.99-160.560-3.024110.829-3.024-73.4363.002
177Short-115.03.20114784.9821.03.20115063.39-278.410-5.81840.0005.818-353.2357.183
178Long113.04.20115201.6925.05.20115356.51154.8202.976285.382-1.44225.8360.160
179Long101.06.20115468.4206.06.20115408.01-60.410-1.10530.000-1.105-80.5359.055
180Short-129.06.20115324.0101.07.20115466.82-142.810-2.68220.0002.682-488.5356.373
181Short-104.08.20114705.1901.09.20114539.52165.6703.52120-9.5460.00045.8359.894
182Short-113.09.20114157.9815.09.20114309.59-151.610-3.64620.0003.646-664.1356.247
183Long124.10.20114519.8910.11.20114431.09-88.800-1.965133.132-1.965-42.1354.283
184Long115.11.20114497.4216.11.20114498.270.8500.01910.0190.0006.9354.302
185Short-123.11.20114178.0430.11.20114421.77-243.730-5.83450.0005.834-303.6348.468
186Short-113.12.20114304.4914.12.20114232.6171.8801.6701-1.6700.000608.3350.138
187Short-115.12.20114253.1516.12.20114233.6819.4700.4581-0.4580.000166.7350.596
188Long122.12.20114305.4928.12.20114356.5751.0801.18631.1860.00072.0351.782
189Long113.01.20124474.0207.03.20124968.11494.09011.0443815.3710.00074.5362.826
190Long112.03.20125073.9521.03.20125169.6795.7201.88672.6950.00076.4364.712
191Long122.03.20125119.923.03.20125138.2418.3400.35810.3580.000130.5365.070
192Long127.03.20125229.2930.03.20125220.98-8.310-0.15930.426-1.045-19.3364.911
193Long102.04.20125218.1411.04.20125046.55-171.590-3.28850.090-3.625-133.1361.623
194Short-129.05.20124878.6218.06.20124754.73123.8902.53914-5.6530.00046.2364.163

Generated 30.07.2012 21:01:47