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



Scan time: 2012-07-30 21:03:20

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/-70.TecDAX (X)Trend Cont KAMA indirectSDAX for TechDAX
Years14.6Start02.01.1998End27.07.2012
TRADESCount#70Yearly#4.8Every76. day
HITSRatio57.14%Wins#40Losses#30
PERFORMProfitf.2.898WinSum243.911LossSum-84.167
Efficiency48.84%AvWin6.098LossAv-2.806
RETURNSum159.744Yearly10.939Daily0.030
Average2.282AvAbs4.67Kurtosis7.56
Median0.560MaxWin29.726MaxLoss-10.780
StdDev7.44Excess4.561/Prof.0.35
INVTIMEDays18.2%Year18.1%672 of3702
FULLYear60.360
LENGTHAverage9.6StdDev11.88Median5.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio78.9%Wins530Losses142
AverageDiff.8.29Wins11.17Losses-2.45
SumProftf.17.0Wins5918.4Losses-347.6
SqrSumProfitf.73.4Wins111742.7Losses1523.1
Extremal Temporary Returns
AverageDiff.-4.7Wins-6.56Losses1.86
SumProftf.3.5Wins-459.49Losses130.18

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-123.06.19982623.6129.06.19982675.09-51.480-1.96240.0003.528-119.1-1.962
2Short-109.07.19982711.210.07.19982704.846.3600.2351-0.2350.00085.4-1.728
3Short-106.08.19982980.3520.10.19982587.68392.67013.17553-37.0882.87664.011.448
4Short-108.12.19983053.8909.12.19982977.476.4902.5051-2.5050.000912.313.952
5Short-110.12.19983039.6418.12.19983237.78-198.140-6.5196-2.0486.519-296.87.434
6Short-103.02.19994592.6704.02.19994705.75-113.080-2.46210.0002.462-896.94.972
7Short-109.03.1999412616.03.19994195.23-69.230-1.6785-5.3382.793-87.33.294
8Short-123.03.19993968.0506.04.19993835.59132.4603.3388-4.3190.32493.56.632
9Short-108.04.19993859.0212.04.19993960.56-101.540-2.63120.0002.631-239.64.001
10Short-115.04.19994178.1423.04.19994023.84154.3003.6936-5.7650.375168.17.694
11Short-113.08.19994116.0924.08.19994095.9820.1100.4897-1.8400.34116.28.182
12Short-113.10.19993707.8325.10.19993629.6178.2202.1108-3.5950.00064.010.292
13Short-126.10.19993609.3527.10.19993584.7424.6100.6821-0.6820.000248.410.974
14Short-130.11.19994599.2220.12.19994978.79-379.570-8.25314-0.8089.671-150.32.721
15Short-102.06.20006628.3119.06.20006398.23230.0803.47111-3.4711.01374.46.192
16Short-129.06.20005948.5905.07.20006085.18-136.590-2.2964-0.1252.331-139.43.896
17Short-122.09.20005238.3224.10.20004721.5516.8209.86621-19.1993.951112.313.762
18Short-121.11.20003457.1812.12.20003489.55-32.370-0.93615-12.0884.293-16.212.826
19Short-128.02.20011961.1101.03.20011836.28124.8306.3651-6.3650.0002318.619.191
20Short-106.03.20012044.3508.03.20011990.8153.5402.6192-2.6191.137477.021.810
21Short-115.03.20011717.9212.04.20011558.53159.3909.27820-23.7620.000125.231.088
22Short-119.06.20011477.816.08.20011073.66404.14027.34742-27.8510.000171.758.435
23Short-117.08.20011060.6602.10.2001785.91274.75025.90432-35.5297.058205.184.339
24Short-113.12.20011191.5503.01.20021252.77-61.220-5.13810-4.3685.138-89.179.201
25Short-107.02.20021055.8808.02.20021051.834.0500.3841-0.3840.000139.779.585
26Short-111.02.20021091.3312.02.20021076.4714.8601.3621-1.3620.000496.080.946
27Short-113.06.2002676.5321.08.2002510.15166.38024.59349-29.8321.743129.8105.539
28Short-116.09.2002421.8517.10.2002424.15-2.300-0.54523-25.6440.545-6.4104.994
29Short-119.11.2002423.7320.11.2002430.81-7.080-1.67110.0001.671-608.6103.323
30Short-113.12.2002399.6703.01.2003388.3911.2802.82210-10.2610.57549.0106.146
31Short-103.02.2003359.5119.02.2003350.119.4002.61512-4.0810.00059.5108.760
32Short-116.10.2003550.5617.10.2003540.5410.0201.8201-1.8200.000662.9110.580
33Short-129.12.2003540.1430.12.2003541.31-1.170-0.21710.0000.217-78.9110.364
34Short-117.03.2004597.0426.03.2004582.4414.6002.4457-7.4740.00099.0112.809
35Short-106.05.2004571.926.05.2004558.8913.0102.27514-7.8890.52541.4115.084
36Short-116.07.2004521.9219.07.2004513.168.7601.6781-1.6780.000203.8116.762
37Short-120.07.2004513.7822.07.2004512.910.8700.1692-0.1692.53030.8116.932
38Short-127.07.2004502.9220.08.2004468.3534.5706.87418-12.7261.497104.3123.806
39Short-112.05.2005511.5917.05.2005513.47-1.880-0.36730.0000.686-26.8123.438
40Short-131.10.2005568.1515.11.2005579.82-11.670-2.054110.0002.547-49.9121.384
41Short-108.06.2006614.719.06.2006624.62-9.920-1.6147-4.2822.427-53.4119.770
42Short-108.06.2007886.5812.06.2007899.53-12.950-1.46120.0001.593-133.0118.310
43Short-131.07.2007921.3524.08.2007897.5723.7802.58118-9.5780.09839.2120.891
44Short-108.11.20071030.9104.12.2007946.3584.5608.20218-15.2510.000114.9129.093
45Short-105.12.2007979.3706.12.2007978.311.0600.1081-0.1080.00039.4129.201
46Short-111.01.2008872.8105.02.2008794.3578.4608.98917-16.8981.063131.0138.191
47Short-106.02.2008793.9907.02.2008761.2532.7404.1231-4.1230.0001502.0142.314
48Short-114.03.2008731.8317.03.2008694.1737.6605.1461-5.1460.000624.8147.460
49Short-118.03.2008716.2228.03.2008772.17-55.950-7.8126-2.0137.812-284.5139.648
50Short-111.06.2008804.6622.07.2008730.5674.1009.20929-14.3664.63581.8148.857
51Short-120.08.2008796.7525.08.2008809.15-12.400-1.55630.0002.146-113.4147.301
52Short-129.08.2008827.1601.09.2008828.19-1.030-0.12510.0000.125-15.1147.176
53Short-104.09.2008794.3503.11.2008558.22236.13029.72642-42.3160.000180.5176.903
54Short-103.12.2008479.4605.12.2008467.112.3602.5782-2.5781.581469.5179.480
55Short-104.02.2009483.2812.02.2009490.55-7.270-1.50460.0005.359-68.5177.976
56Short-113.02.2009488.7123.03.2009453.6335.0807.17826-17.1000.67170.7185.154
57Short-109.07.2009613.1915.07.2009642.92-29.730-4.8484-0.2404.848-294.3180.306
58Short-115.02.2010789.1216.02.2010799.81-10.690-1.35510.0001.355-493.4178.951
59Short-110.05.2010780.111.05.2010769.9810.1201.2971-1.2970.000472.5180.248
60Short-121.05.2010725.2828.05.2010742.17-16.890-2.3295-4.7242.329-121.2177.920
61Short-126.08.201072527.08.2010733.76-8.760-1.20810.0001.208-440.1176.711
62Short-124.11.2010786.425.11.2010789.6-3.200-0.40710.0000.407-148.2176.304
63Short-115.03.2011867.3121.03.2011897.39-30.080-3.4684-1.4393.468-210.5172.836
64Short-129.06.2011881.9901.07.2011896.64-14.650-1.66120.0001.661-302.5171.175
65Short-104.08.2011724.3801.09.2011754.34-29.960-4.13620-6.1944.463-53.8167.039
66Short-113.09.2011687.5415.09.2011709.36-21.820-3.17420.0003.174-578.0163.866
67Short-123.11.2011636.2530.11.2011704.84-68.590-10.78050.00010.780-561.0153.085
68Short-113.12.2011672.3714.12.2011661.1811.1901.6641-1.6640.000606.2154.750
69Short-115.12.2011667.416.12.2011663.184.2200.6321-0.6320.000230.3155.382
70Short-129.05.2012764.5118.06.2012731.1633.3504.36214-6.6200.00079.4159.744

Generated 30.07.2012 21:03:35