Backtesting of .TecDAX (X) - Trend Cont KAMA indirect (SDAX for TechDAX) - Call Part



Scan time: 2012-07-30 21:03:04

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

95/0.TecDAX (X)Trend Cont KAMA indirectSDAX for TechDAX
Years14.6Start02.01.1998End27.07.2012
TRADESCount#95Yearly#6.5Every56. day
HITSRatio43.16%Wins#41Losses#54
PERFORMProfitf.1.967WinSum395.741LossSum-201.222
Efficiency32.64%AvWin9.652LossAv-3.726
RETURNSum194.519Yearly13.321Daily0.037
Average2.048AvAbs6.27Kurtosis37.91
Median-0.336MaxWin116.733MaxLoss-29.870
StdDev14.97Excess34.911/Prof.0.51
INVTIMEDays39.3%Year39.0%1456 of3702
FULLYear34.113
LENGTHAverage15.3StdDev22.71Median6.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio78.6%Wins1145Losses311
AverageDiff.9.60Wins13.10Losses-3.28
SumProftf.14.7Wins14995.1Losses-1019.5
SqrSumProfitf.62.8Wins684432.8Losses10906.3
Extremal Temporary Returns
AverageDiff.3.6Wins6.36Losses-2.73
SumProftf.2.3Wins604.10Losses-259.42

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%
1Long120.01.19981029.2922.01.19981037.68.3100.80721.4930.000147.00.807
2Long126.01.19981122.508.05.19982432.831310.330116.73371132.454-1.490421.0117.541
3Long121.07.19982909.3624.07.19983043.3133.9404.60434.604-2.367559.0122.144
4Long104.11.19982686.402.12.19982954.64268.2409.9852012.067-0.906129.9132.129
5Long118.01.19994138.5822.01.19994141.392.8100.06846.8080.0006.2132.197
6Long126.04.19994015.8628.05.19994015.82-0.040-0.001224.545-4.695-0.0132.196
7Long131.05.19994031.8104.06.19993934.37-97.440-2.41730.000-3.386-220.1129.780
8Long118.06.19994128.2630.06.19994295.55167.2904.05284.0520.000123.0133.832
9Long101.07.19994401.8126.07.19994209.95-191.860-4.359174.641-4.359-63.5129.473
10Long106.09.19993975.4509.09.19993937.48-37.970-0.95530.000-2.605-116.0128.518
11Long116.09.19993798.9521.09.19993661.23-137.720-3.62530.038-3.625-264.1124.893
12Long116.11.1999415917.11.19994250.0391.0302.18912.1890.000797.3127.082
13Long104.01.20004977.7416.02.20007378.842401.10048.2373153.719-3.776408.6175.318
14Long117.02.20007563.8924.02.20008317.25753.3609.960511.0390.000518.3185.278
15Long115.03.20008412.4616.03.20008407.62-4.840-0.05810.000-0.058-21.0185.221
16Long117.03.20008702.1313.04.20006752.33-1949.800-22.406194.102-27.451-313.9162.815
17Long119.05.20006489.7223.05.20005960.61-529.110-8.15320.000-8.153-742.4154.662
18Long128.07.20005831.9804.08.20005657.87-174.110-2.98550.790-4.206-155.3151.676
19Long109.08.20005763.5917.08.20005723.42-40.170-0.69760.000-1.746-31.7150.979
20Long123.08.20005619.4712.09.20006103.41483.9408.6121414.6700.000156.8159.591
21Long113.09.20005982.3519.09.20005588.07-394.280-6.59140.503-6.591-400.1153.000
22Long126.01.20012806.6123.02.20011968.27-838.340-29.870201.977-29.870-388.6123.130
23Long107.05.20011884.6730.05.20011704.12-180.550-9.580172.697-9.580-151.7113.550
24Long104.06.20011745.0312.06.20011578.59-166.440-9.53860.499-9.538-434.3104.012
25Long122.10.20011025.8429.11.20011235.23209.39020.4122830.1620.000195.7124.424
26Long128.01.20021174.6531.01.20021156.26-18.390-1.56630.000-3.879-190.1122.858
27Long122.03.20021033.7428.03.20021027.91-5.830-0.56440.000-1.299-34.2122.294
28Long102.04.20021005.804.04.2002965.55-40.250-4.00220.000-4.002-728.8118.293
29Long105.04.2002979.7308.04.2002959.39-20.340-2.07610.000-2.076-378.1116.217
30Long115.05.2002882.9317.05.2002868.3-14.630-1.65720.000-1.657-301.8114.560
31Long120.05.2002853.5421.05.2002835.09-18.450-2.16210.000-2.162-787.4112.398
32Long127.05.2002818.0929.05.2002802.15-15.940-1.94820.000-1.948-354.9110.450
33Long130.05.2002785.4912.06.2002682.14-103.350-13.15792.511-13.157-368.797.292
34Long107.11.2002428.8211.11.2002411.11-17.710-4.13020.000-4.130-376.193.162
35Long114.04.2003359.5326.09.2003485.49125.96035.03511656.2120.00077.3128.197
36Long129.10.2003555.4901.12.2003563.98.4101.514233.959-1.96916.7129.711
37Long116.01.2004598.9712.03.2004600.911.9400.324409.051-1.3662.1130.035
38Long116.04.2004600.2719.04.2004602.892.6200.43610.4360.00053.0130.471
39Long120.04.2004611.4129.04.2004584.98-26.430-4.32370.864-4.323-175.0126.148
40Long110.06.2004572.906.07.2004561.33-11.570-2.020181.051-2.283-28.3124.129
41Long107.09.2004479.2119.10.2004503.5824.3705.085309.610-0.78344.1129.214
42Long126.10.2004492.2617.03.2005532.6140.3508.19710011.1610.00021.0137.411
43Long102.06.2005533.1106.06.2005531.32-1.790-0.33620.137-0.336-30.6137.075
44Long107.06.2005533.6530.08.2005577.3443.6908.1876012.838-0.90535.5145.262
45Long101.09.2005586.4714.10.2005576.8-9.670-1.649307.242-1.649-14.0143.614
46Long121.11.2005583.6822.11.2005587.443.7600.64410.6440.000234.6144.258
47Long123.11.2005587.8616.05.2006703.73115.87019.71012029.504-0.52741.5163.968
48Long112.07.2006640.7617.07.2006591.23-49.530-7.73030.000-7.730-563.1156.238
49Long116.08.2006649.2625.08.2006647.15-2.110-0.32571.736-0.400-13.2155.913
50Long105.09.2006648.8712.09.2006639.89-8.980-1.38450.000-2.537-72.0154.529
51Long113.09.2006645.9427.09.2006655.79.7601.511101.511-2.87339.3156.040
52Long128.09.2006657.629.11.2006697.9340.3306.133438.186-0.76036.0162.173
53Long130.11.2006697.1828.02.2007803.42106.24015.2396124.907-0.53961.7177.412
54Long103.04.2007862.6210.05.2007860.23-2.390-0.277244.170-0.311-2.7177.135
55Long114.05.2007858.3215.05.2007858.480.1600.01910.0190.0006.8177.153
56Long118.05.200786829.05.2007901.1933.1903.82463.8240.000126.6180.977
57Long104.06.2007916.3205.06.2007919.963.6400.39710.3970.000144.7181.374
58Long110.10.20071006.4523.10.2007984.31-22.140-2.20090.937-4.135-61.6179.175
59Long125.10.20071000.1631.10.20071016.6716.5101.65141.651-1.105100.2180.825
60Long119.02.2008818.0903.03.2008768.32-49.770-6.08490.699-6.084-170.5174.742
61Long110.04.2008804.5911.04.2008791.1-13.490-1.67710.000-1.677-610.7173.065
62Long113.05.2008843.8726.05.2008843.11-0.760-0.09095.144-0.090-2.5172.975
63Long130.12.2008508.3113.01.2009479.4-28.910-5.68785.672-5.961-148.0167.287
64Long103.04.2009501.1815.05.2009601.72100.54020.0612725.9110.000174.0187.348
65Long118.05.2009608.4719.05.2009632.8424.3704.00514.0050.0001458.9191.353
66Long120.05.2009639.4908.06.2009635.69-3.800-0.594132.033-3.936-11.4190.759
67Long110.06.2009644.8617.06.2009603.45-41.410-6.42252.363-6.422-334.1184.337
68Long121.07.2009668.1623.07.2009669.691.5300.22920.229-0.61241.7184.566
69Long124.07.2009665.5627.07.2009663.29-2.270-0.34110.000-0.341-41.4184.225
70Long103.08.2009682.1622.09.2009770.6788.51012.9753613.308-1.98994.5197.200
71Long123.09.2009763.8828.09.2009755.49-8.390-1.09830.000-3.291-80.0196.102
72Long129.09.2009752.727.10.2009744.71-7.990-1.062204.958-4.335-13.8195.040
73Long126.11.2009768.927.11.2009782.4313.5301.76011.7600.000641.0196.800
74Long102.12.2009802.507.12.2009814.7712.2701.52931.5290.000111.4198.329
75Long129.12.2009818.2130.12.2009817.58-0.630-0.07710.000-0.077-28.0198.252
76Long104.01.2010834.4625.01.2010808.36-26.100-3.128153.400-3.128-54.3195.124
77Long129.01.2010807.2502.02.2010825.3518.1002.24222.2420.000204.2197.367
78Long108.03.2010828.1729.04.2010805.75-22.420-2.707362.865-3.424-19.3194.659
79Long123.06.2010772.4728.06.2010757.07-15.400-1.99430.000-2.687-145.2192.666
80Long107.07.2010755.0716.07.201077519.9302.63975.0270.000106.8195.305
81Long128.07.2010779.6809.08.2010775.74-3.940-0.50580.213-1.897-15.3194.800
82Long118.08.2010757.4919.08.2010751.45-6.040-0.79710.000-0.797-290.4194.003
83Long122.09.2010773.8212.11.2010782.969.1401.181376.641-0.6228.4195.184
84Long107.12.2010812.3821.01.2011868.6956.3106.931319.5600.00056.1202.115
85Long108.02.2011902.8523.02.2011881-21.850-2.420111.567-2.420-58.8199.695
86Long113.04.2011921.1725.05.2011898.35-22.820-2.477281.512-2.528-21.5197.218
87Long101.06.2011913.1306.06.2011898.44-14.690-1.60930.000-1.609-117.2195.609
88Long124.10.2011709.7610.11.2011682.37-27.390-3.859131.167-5.099-82.7191.750
89Long115.11.2011685.6416.11.2011688.032.3900.34910.3490.000127.0192.099
90Long122.12.2011676.8928.12.2011674.45-2.440-0.36030.659-0.360-21.9191.738
91Long113.01.2012717.8907.03.2012750.7332.8404.5753810.3920.00030.9196.313
92Long112.03.2012765.1121.03.2012784.3819.2702.51974.1130.000101.9198.831
93Long122.03.2012777.823.03.20127879.2001.18311.1830.000430.8200.014
94Long127.03.2012802.6130.03.2012789.87-12.740-1.58730.000-2.545-192.7198.427
95Long102.04.2012797.7211.04.2012766.55-31.170-3.90750.000-4.250-158.1194.519

Generated 30.07.2012 21:03:19