Backtesting of .DAX (X) - AW Indikator (DAX) - Call Part



Scan time: 2012-07-30 20:48:59

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

44/0.DAX (X)AW IndikatorDAX
Years17.5Start17.02.1995End27.07.2012
TRADESCount#44Yearly#2.5Every145. day
HITSRatio77.27%Wins#34Losses#10
PERFORMProfitf.4.161WinSum150.458LossSum-36.159
Efficiency61.58%AvWin4.425LossAv-3.616
RETURNSum114.299Yearly6.537Daily0.018
Average2.598AvAbs4.22Kurtosis3.60
Median2.985MaxWin15.822MaxLoss-7.173
StdDev4.55Excess0.601/Prof.0.24
INVTIMEDays11.7%Year11.7%519 of4418
FULLYear55.959
LENGTHAverage11.8StdDev5.84Median10.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio58.2%Wins302Losses217
AverageDiff.0.67Wins3.44Losses-3.20
SumProftf.1.5Wins1039.2Losses-693.9
SqrSumProfitf.1.6Wins5755.8Losses3527.6
Extremal Temporary Returns
AverageDiff.2.0Wins4.13Losses-2.13
SumProftf.1.9Wins181.91Losses-93.87

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%
1Long117.03.19952005.2418.04.19951965.29-39.950-1.992200.000-4.702-23.4-1.992
2Long106.07.19952121.2217.07.19952199.6178.3903.69674.3940.000122.41.703
3Long127.10.19952096.0807.11.19952174.9778.8903.76474.1940.000124.65.467
4Long110.05.19962468.7824.05.19962542.2473.4602.97694.1320.00077.48.442
5Long104.06.19962546.2512.06.19962568.8822.6300.88950.8890.00040.59.331
6Long124.07.19962447.812.08.19962528.1880.3803.284133.6910.00063.012.615
7Long129.01.19972999.221.02.19973184.09184.8906.165179.2340.00097.618.780
8Long123.05.19973602.1902.06.19973605.623.4300.09552.004-1.5093.518.875
9Long112.08.19974363.0910.09.19974050.14-312.950-7.173210.000-10.476-90.111.702
10Long122.06.19985654.7502.07.19985904.1249.3504.41084.6050.000160.616.112
11Long118.11.19984698.7226.11.19985051.63352.9107.51167.5110.000342.023.623
12Long111.12.19984536.205.01.19995253.91717.71015.8221315.822-0.294230.539.444
13Long109.03.19994758.4619.03.19995099.48341.0207.16787.167-0.779261.046.611
14Long129.11.19995888.8822.12.19996492.53603.65010.2511710.2510.000162.356.862
15Long112.01.20006912.8111.02.20007611.55698.74010.1082211.522-1.492122.766.970
16Long111.04.20007442.6602.05.20007555.92113.2601.522121.522-3.82526.468.491
17Long107.12.20006566.0814.12.20006469.95-96.130-1.46453.296-1.464-76.267.027
18Long114.05.20016064.6825.05.20016223.57158.8902.62093.5320.00086.869.647
19Long107.11.20014860.6613.11.20014946.9786.3101.77642.734-0.829107.871.423
20Long119.05.20032850.6802.06.20033064.56213.8807.503107.503-0.977195.278.926
21Long101.07.20033146.5511.07.20033326.51179.9605.71986.2900.000208.384.645
22Long128.07.20033417.7705.08.20033438.3620.5900.60262.051-0.36527.485.247
23Long118.09.20033612.0214.10.20033538.13-73.890-2.046180.000-9.835-28.783.202
24Long126.11.20033712.9801.12.20033821.2108.2202.91532.9150.000212.386.116
25Long122.03.20043729.2308.04.20044013.53284.3007.624138.564-0.085173.693.740
26Long101.10.20043994.9608.10.20044015.5420.5800.51551.3690.00026.894.255
27Long120.01.20054220.4311.02.20054387.8167.3703.966163.966-0.44165.798.221
28Long126.01.20076690.3409.02.20076911.11220.7703.300103.3660.00085.9101.521
29Long117.05.20077499.529.05.20077781.04281.5403.75473.7540.000114.0105.275
30Long102.08.20077534.1328.08.20077430.24-103.890-1.379180.953-3.505-19.3103.896
31Long117.09.20077479.8526.09.20077804.15324.3004.33674.3360.000175.5108.231
32Long112.11.20077806.8407.12.20077994.07187.2302.398192.398-3.77734.9110.630
33Long110.09.20086210.3229.09.20085807.08-403.240-6.493130.396-6.493-124.5104.137
34Long120.11.20084220.202.12.20084531.79311.5907.383810.645-2.199224.1111.520
35Long124.04.20094674.3208.05.20094913.9239.5805.12595.125-1.431133.4116.645
36Long126.06.20094776.4703.07.20094708.21-68.260-1.42952.700-1.429-74.4115.216
37Long130.09.20095675.1619.10.20095852.56177.4003.126133.154-3.65259.9118.342
38Long119.08.20106075.1308.09.20106164.4489.3101.470141.470-2.89126.8119.812
39Long110.01.20116857.0621.01.20117062.42205.3602.99594.1770.00099.2122.807
40Long102.03.20117181.1229.03.20116934.44-246.680-3.435190.624-9.292-48.1119.372
41Long112.05.20117443.9503.06.20117109.03-334.920-4.499160.000-4.968-74.5114.873
42Long115.11.20115933.1407.12.20115994.7361.5901.038162.915-8.51217.2115.911
43Long115.02.20126757.9421.03.20127071.32313.3804.637255.917-1.84749.7120.548
44Long128.03.20126998.804.05.20126561.47-437.330-6.249240.827-6.798-61.5114.299

Generated 30.07.2012 20:49:15