Backtesting of LVMH (DE) - DeMark-PullBack-Call Max Dur True Range (Default with check BandPos)

Call System

Scan time: 2012-07-30 21:09:25

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

48/0LVMH (DE)DeMark-PullBack-Call Max Dur True RangeDefault with check BandPos
Years17.5Start23.02.1995End27.07.2012
TRADESCount#48Yearly#2.7Every133. day
HITSRatio72.92%Wins#35Losses#13
PERFORMProfitf.3.150WinSum112.672LossSum-35.765
Efficiency52.16%AvWin3.219LossAv-2.751
RETURNSum76.907Yearly4.403Daily0.012
Average1.602AvAbs3.07Kurtosis9.59
Median1.528MaxWin20.000MaxLoss-8.389
StdDev4.17Excess6.591/Prof.0.32
INVTIMEDays6.3%Year6.2%278 of4407
FULLYear71.281
LENGTHAverage5.8StdDev3.62Median5.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio52.3%Wins145Losses132
AverageDiff.-0.02Wins2.19Losses-2.45
SumProftf.1.0Wins316.8Losses-322.8
SqrSumProfitf.1.1Wins1837.8Losses1686.3
Extremal Temporary Returns
AverageDiff.0.9Wins2.72Losses-1.78
SumProftf.1.5Wins130.35Losses-85.55

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%
1Long130.06.199519.5107407.07.199520.061550.5512.82352.823-0.994146.92.823
2Long127.09.199520.7131904.10.199520.945930.2331.12441.124-1.12458.53.947
3Long113.03.199625.4397315.03.199625.806490.3671.44221.4420.000262.65.388
4Long123.04.199630.0438524.04.199630.199930.1560.52010.5200.000189.25.908
5Long109.05.199628.7952714.05.199629.497590.7022.43932.439-3.117177.78.347
6Long116.10.199626.8254221.10.199627.219920.3941.47131.4710.000107.19.818
7Long122.11.199629.1134826.11.199630.099720.9863.38823.5230.000308.513.205
8Long123.01.199734.9894728.01.199734.55359-0.436-1.24631.925-1.246-90.811.959
9Long108.08.199736.2458627.08.199733.20537-3.040-8.389120.000-10.486-160.83.571
10Long109.03.199829.8207310.03.199829.941470.1210.40510.4050.000147.53.976
11Long107.01.200068.8403317.01.200082.608413.76820.000620.0000.000728.523.976
12Long115.02.200072.2376502.03.200068.48272-3.755-5.198120.000-10.891-118.318.778
13Long109.08.200085.8292617.08.200084.03179-1.797-2.09461.571-2.094-95.416.684
14Long115.11.200072.3482228.11.200072.797590.4490.62191.863-3.72717.417.305
15Long113.11.200238.4919818.11.200240.566392.0745.38935.389-0.359392.622.694
16Long130.04.200335.9425314.05.200337.109731.1673.24793.247-1.13484.525.941
17Long130.06.200340.9403508.07.200343.100042.1605.27565.505-2.523240.231.216
18Long119.04.200456.973605.05.200456.36098-0.613-1.075121.820-3.060-24.530.141
19Long108.07.200456.0675621.07.200456.305740.2380.42590.425-2.80411.930.566
20Long126.11.200451.351614.12.200452.210590.8591.673121.673-1.40333.932.239
21Long128.02.200553.598407.03.200555.512631.9143.57153.571-0.357185.835.810
22Long126.09.200566.2615329.09.200566.01935-0.242-0.36530.658-0.731-44.435.445
23Long120.01.200672.7070707.02.200672.31826-0.389-0.535121.203-2.139-10.834.910
24Long111.04.200677.1783620.04.200681.358054.1805.41655.416-0.819219.240.326
25Long112.06.200670.4587228.06.200672.130451.6722.373123.768-2.72254.042.698
26Long111.09.200676.604821.09.200678.915732.3113.01783.0170.000109.945.715
27Long130.11.200676.9981512.12.200677.350060.3520.45780.842-2.10713.946.172
28Long108.01.200777.5475124.01.200777.3007-0.247-0.318121.337-1.082-7.245.854
29Long112.06.200784.4915.06.200787.052.5603.03033.030-0.189367.948.884
30Long113.05.200873.8916.05.200877.353.4604.68334.6830.000568.653.566
31Long128.05.200874.0106.06.200872.85-1.160-1.56771.392-1.567-63.451.999
32Long126.06.200866.7614.07.200861.6-5.160-7.729120.000-8.778-156.444.270
33Long109.09.200871.6222.09.200868-3.620-5.05490.000-9.341-141.639.215
34Long111.03.200947.7712.03.200949.41.6303.41213.4120.0001242.942.627
35Long118.05.200959.9420.05.200960.890.9501.58521.7520.000288.744.212
36Long127.05.200959.403.06.200960.981.5802.66052.660-1.296138.446.872
37Long119.11.200972.6626.11.200971.1-1.560-2.14751.830-2.147-111.744.725
38Long126.01.201079.5403.02.201081.21.6602.08762.087-1.54695.046.812
39Long109.02.201076.9519.02.201079.452.5003.24983.249-0.715118.350.061
40Long117.08.201093.7619.08.201094.831.0701.14121.5250.000207.851.202
41Long117.03.2011103.5521.03.2011109.15.5505.36025.3600.000488.156.562
42Long114.04.2011111.0420.04.2011117.796.7506.07946.079-1.072369.062.641
43Long114.07.2011124.221.07.2011128.744.5403.65553.655-1.578190.266.296
44Long123.08.2011110.3931.08.2011118.057.6606.93966.9390.000315.973.235
45Long114.02.2012124.76416.02.2012126.061.2961.03921.1370.000189.274.274
46Long129.02.2012127.03502.03.2012129.552.5151.98021.9800.000360.676.254
47Long108.03.2012129.79309.03.2012129.733-0.060-0.04610.000-0.046-16.876.208
48Long122.03.2012129.09103.04.2012129.9940.9030.70082.608-2.36021.276.907

Generated 30.07.2012 21:09:41