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

Calls 95 - Puts 70

Scan time: 2012-07-30 21:03:35

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/-70.TecDAX (X)Trend Cont KAMA indirectSDAX for TechDAX
Years14.6Start02.01.1998End27.07.2012
TRADESCount#165Yearly#11.3Every32. day
HITSRatio49.09%Wins#81Losses#84
PERFORMProfitf.2.241WinSum639.653LossSum-285.389
Efficiency38.34%AvWin7.897LossAv-3.397
RETURNSum354.263Yearly24.260Daily0.067
Average2.147AvAbs5.60Kurtosis47.38
Median-0.058MaxWin116.733MaxLoss-29.870
StdDev12.35Excess44.381/Prof.0.45
INVTIMEDays57.5%Year57.2%2128 of3702
FULLYear42.434
LENGTHAverage12.9StdDev19.10Median5.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio78.7%Wins1675Losses453
AverageDiff.9.19Wins12.49Losses-3.02
SumProftf.15.3Wins20913.4Losses-1367.1
SqrSumProfitf.64.1Wins796175.6Losses12429.4
Extremal Temporary Returns
AverageDiff.0.1Wins0.88Losses-0.78
SumProftf.1.1Wins144.62Losses-129.24

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
3Short-123.06.19982623.6129.06.19982675.09-51.480-1.96240.0003.528-119.1115.578
4Short-109.07.19982711.210.07.19982704.846.3600.2351-0.2350.00085.4115.813
5Long121.07.19982909.3624.07.19983043.3133.9404.60434.604-2.367559.0120.417
6Short-106.08.19982980.3520.10.19982587.68392.67013.17553-37.0882.87664.0133.592
7Long104.11.19982686.402.12.19982954.64268.2409.9852012.067-0.906129.9143.577
8Short-108.12.19983053.8909.12.19982977.476.4902.5051-2.5050.000912.3146.082
9Short-110.12.19983039.6418.12.19983237.78-198.140-6.5196-2.0486.519-296.8139.563
10Long118.01.19994138.5822.01.19994141.392.8100.06846.8080.0006.2139.631
11Short-103.02.19994592.6704.02.19994705.75-113.080-2.46210.0002.462-896.9137.169
12Short-109.03.1999412616.03.19994195.23-69.230-1.6785-5.3382.793-87.3135.491
13Short-123.03.19993968.0506.04.19993835.59132.4603.3388-4.3190.32493.5138.829
14Short-108.04.19993859.0212.04.19993960.56-101.540-2.63120.0002.631-239.6136.198
15Short-115.04.19994178.1423.04.19994023.84154.3003.6936-5.7650.375168.1139.891
16Long126.04.19994015.8628.05.19994015.82-0.040-0.001224.545-4.695-0.0139.890
17Long131.05.19994031.8104.06.19993934.37-97.440-2.41730.000-3.386-220.1137.473
18Long118.06.19994128.2630.06.19994295.55167.2904.05284.0520.000123.0141.526
19Long101.07.19994401.8126.07.19994209.95-191.860-4.359174.641-4.359-63.5137.167
20Short-113.08.19994116.0924.08.19994095.9820.1100.4897-1.8400.34116.2137.655
21Long106.09.19993975.4509.09.19993937.48-37.970-0.95530.000-2.605-116.0136.700
22Long116.09.19993798.9521.09.19993661.23-137.720-3.62530.038-3.625-264.1133.075
23Short-113.10.19993707.8325.10.19993629.6178.2202.1108-3.5950.00064.0135.185
24Short-126.10.19993609.3527.10.19993584.7424.6100.6821-0.6820.000248.4135.867
25Long116.11.1999415917.11.19994250.0391.0302.18912.1890.000797.3138.055
26Short-130.11.19994599.2220.12.19994978.79-379.570-8.25314-0.8089.671-150.3129.802
27Long104.01.20004977.7416.02.20007378.842401.10048.2373153.719-3.776408.6178.039
28Long117.02.20007563.8924.02.20008317.25753.3609.960511.0390.000518.3187.999
29Long115.03.20008412.4616.03.20008407.62-4.840-0.05810.000-0.058-21.0187.942
30Long117.03.20008702.1313.04.20006752.33-1949.800-22.406194.102-27.451-313.9165.536
31Long119.05.20006489.7223.05.20005960.61-529.110-8.15320.000-8.153-742.4157.383
32Short-102.06.20006628.3119.06.20006398.23230.0803.47111-3.4711.01374.4160.854
33Short-129.06.20005948.5905.07.20006085.18-136.590-2.2964-0.1252.331-139.4158.558
34Long128.07.20005831.9804.08.20005657.87-174.110-2.98550.790-4.206-155.3155.572
35Long109.08.20005763.5917.08.20005723.42-40.170-0.69760.000-1.746-31.7154.875
36Long123.08.20005619.4712.09.20006103.41483.9408.6121414.6700.000156.8163.487
37Long113.09.20005982.3519.09.20005588.07-394.280-6.59140.503-6.591-400.1156.896
38Short-122.09.20005238.3224.10.20004721.5516.8209.86621-19.1993.951112.3166.762
39Short-121.11.20003457.1812.12.20003489.55-32.370-0.93615-12.0884.293-16.2165.826
40Long126.01.20012806.6123.02.20011968.27-838.340-29.870201.977-29.870-388.6135.956
41Short-128.02.20011961.1101.03.20011836.28124.8306.3651-6.3650.0002318.6142.321
42Short-106.03.20012044.3508.03.20011990.8153.5402.6192-2.6191.137477.0144.940
43Short-115.03.20011717.9212.04.20011558.53159.3909.27820-23.7620.000125.2154.218
44Long107.05.20011884.6730.05.20011704.12-180.550-9.580172.697-9.580-151.7144.638
45Long104.06.20011745.0312.06.20011578.59-166.440-9.53860.499-9.538-434.3135.100
46Short-119.06.20011477.816.08.20011073.66404.14027.34742-27.8510.000171.7162.448
47Short-117.08.20011060.6602.10.2001785.91274.75025.90432-35.5297.058205.1188.351
48Long122.10.20011025.8429.11.20011235.23209.39020.4122830.1620.000195.7208.763
49Short-113.12.20011191.5503.01.20021252.77-61.220-5.13810-4.3685.138-89.1203.625
50Long128.01.20021174.6531.01.20021156.26-18.390-1.56630.000-3.879-190.1202.060
51Short-107.02.20021055.8808.02.20021051.834.0500.3841-0.3840.000139.7202.443
52Short-111.02.20021091.3312.02.20021076.4714.8601.3621-1.3620.000496.0203.805
53Long122.03.20021033.7428.03.20021027.91-5.830-0.56440.000-1.299-34.2203.241
54Long102.04.20021005.804.04.2002965.55-40.250-4.00220.000-4.002-728.8199.239
55Long105.04.2002979.7308.04.2002959.39-20.340-2.07610.000-2.076-378.1197.163
56Long115.05.2002882.9317.05.2002868.3-14.630-1.65720.000-1.657-301.8195.506
57Long120.05.2002853.5421.05.2002835.09-18.450-2.16210.000-2.162-787.4193.344
58Long127.05.2002818.0929.05.2002802.15-15.940-1.94820.000-1.948-354.9191.396
59Long130.05.2002785.4912.06.2002682.14-103.350-13.15792.511-13.157-368.7178.238
60Short-113.06.2002676.5321.08.2002510.15166.38024.59349-29.8321.743129.8202.832
61Short-116.09.2002421.8517.10.2002424.15-2.300-0.54523-25.6440.545-6.4202.286
62Long107.11.2002428.8211.11.2002411.11-17.710-4.13020.000-4.130-376.1198.156
63Short-119.11.2002423.7320.11.2002430.81-7.080-1.67110.0001.671-608.6196.486
64Short-113.12.2002399.6703.01.2003388.3911.2802.82210-10.2610.57549.0199.308
65Short-103.02.2003359.5119.02.2003350.119.4002.61512-4.0810.00059.5201.923
66Long114.04.2003359.5326.09.2003485.49125.96035.03511656.2120.00077.3236.957
67Short-116.10.2003550.5617.10.2003540.5410.0201.8201-1.8200.000662.9238.777
68Long129.10.2003555.4901.12.2003563.98.4101.514233.959-1.96916.7240.291
69Short-129.12.2003540.1430.12.2003541.31-1.170-0.21710.0000.217-78.9240.075
70Long116.01.2004598.9712.03.2004600.911.9400.324409.051-1.3662.1240.398
71Short-117.03.2004597.0426.03.2004582.4414.6002.4457-7.4740.00099.0242.844
72Long116.04.2004600.2719.04.2004602.892.6200.43610.4360.00053.0243.280
73Long120.04.2004611.4129.04.2004584.98-26.430-4.32370.864-4.323-175.0238.958
74Short-106.05.2004571.926.05.2004558.8913.0102.27514-7.8890.52541.4241.232
75Long110.06.2004572.906.07.2004561.33-11.570-2.020181.051-2.283-28.3239.213
76Short-116.07.2004521.9219.07.2004513.168.7601.6781-1.6780.000203.8240.891
77Short-120.07.2004513.7822.07.2004512.910.8700.1692-0.1692.53030.8241.061
78Short-127.07.2004502.9220.08.2004468.3534.5706.87418-12.7261.497104.3247.934
79Long107.09.2004479.2119.10.2004503.5824.3705.085309.610-0.78344.1253.020
80Long126.10.2004492.2617.03.2005532.6140.3508.19710011.1610.00021.0261.217
81Short-112.05.2005511.5917.05.2005513.47-1.880-0.36730.0000.686-26.8260.849
82Long102.06.2005533.1106.06.2005531.32-1.790-0.33620.137-0.336-30.6260.514
83Long107.06.2005533.6530.08.2005577.3443.6908.1876012.838-0.90535.5268.701
84Long101.09.2005586.4714.10.2005576.8-9.670-1.649307.242-1.649-14.0267.052
85Short-131.10.2005568.1515.11.2005579.82-11.670-2.054110.0002.547-49.9264.998
86Long121.11.2005583.6822.11.2005587.443.7600.64410.6440.000234.6265.642
87Long123.11.2005587.8616.05.2006703.73115.87019.71012029.504-0.52741.5285.352
88Short-108.06.2006614.719.06.2006624.62-9.920-1.6147-4.2822.427-53.4283.739
89Long112.07.2006640.7617.07.2006591.23-49.530-7.73030.000-7.730-563.1276.009
90Long116.08.2006649.2625.08.2006647.15-2.110-0.32571.736-0.400-13.2275.684
91Long105.09.2006648.8712.09.2006639.89-8.980-1.38450.000-2.537-72.0274.300
92Long113.09.2006645.9427.09.2006655.79.7601.511101.511-2.87339.3275.811
93Long128.09.2006657.629.11.2006697.9340.3306.133438.186-0.76036.0281.944
94Long130.11.2006697.1828.02.2007803.42106.24015.2396124.907-0.53961.7297.182
95Long103.04.2007862.6210.05.2007860.23-2.390-0.277244.170-0.311-2.7296.905
96Long114.05.2007858.3215.05.2007858.480.1600.01910.0190.0006.8296.924
97Long118.05.200786829.05.2007901.1933.1903.82463.8240.000126.6300.747
98Long104.06.2007916.3205.06.2007919.963.6400.39710.3970.000144.7301.145
99Short-108.06.2007886.5812.06.2007899.53-12.950-1.46120.0001.593-133.0299.684
100Short-131.07.2007921.3524.08.2007897.5723.7802.58118-9.5780.09839.2302.265
101Long110.10.20071006.4523.10.2007984.31-22.140-2.20090.937-4.135-61.6300.065
102Long125.10.20071000.1631.10.20071016.6716.5101.65141.651-1.105100.2301.716
103Short-108.11.20071030.9104.12.2007946.3584.5608.20218-15.2510.000114.9309.918
104Short-105.12.2007979.3706.12.2007978.311.0600.1081-0.1080.00039.4310.027
105Short-111.01.2008872.8105.02.2008794.3578.4608.98917-16.8981.063131.0319.016
106Short-106.02.2008793.9907.02.2008761.2532.7404.1231-4.1230.0001502.0323.139
107Long119.02.2008818.0903.03.2008768.32-49.770-6.08490.699-6.084-170.5317.056
108Short-114.03.2008731.8317.03.2008694.1737.6605.1461-5.1460.000624.8322.202
109Short-118.03.2008716.2228.03.2008772.17-55.950-7.8126-2.0137.812-284.5314.390
110Long110.04.2008804.5911.04.2008791.1-13.490-1.67710.000-1.677-610.7312.713
111Long113.05.2008843.8726.05.2008843.11-0.760-0.09095.144-0.090-2.5312.623
112Short-111.06.2008804.6622.07.2008730.5674.1009.20929-14.3664.63581.8321.832
113Short-120.08.2008796.7525.08.2008809.15-12.400-1.55630.0002.146-113.4320.276
114Short-129.08.2008827.1601.09.2008828.19-1.030-0.12510.0000.125-15.1320.151
115Short-104.09.2008794.3503.11.2008558.22236.13029.72642-42.3160.000180.5349.877
116Short-103.12.2008479.4605.12.2008467.112.3602.5782-2.5781.581469.5352.455
117Long130.12.2008508.3113.01.2009479.4-28.910-5.68785.672-5.961-148.0346.768
118Short-104.02.2009483.2812.02.2009490.55-7.270-1.50460.0005.359-68.5345.264
119Short-113.02.2009488.7123.03.2009453.6335.0807.17826-17.1000.67170.7352.442
120Long103.04.2009501.1815.05.2009601.72100.54020.0612725.9110.000174.0372.502
121Long118.05.2009608.4719.05.2009632.8424.3704.00514.0050.0001458.9376.507
122Long120.05.2009639.4908.06.2009635.69-3.800-0.594132.033-3.936-11.4375.913
123Long110.06.2009644.8617.06.2009603.45-41.410-6.42252.363-6.422-334.1369.492
124Short-109.07.2009613.1915.07.2009642.92-29.730-4.8484-0.2404.848-294.3364.643
125Long121.07.2009668.1623.07.2009669.691.5300.22920.229-0.61241.7364.872
126Long124.07.2009665.5627.07.2009663.29-2.270-0.34110.000-0.341-41.4364.531
127Long103.08.2009682.1622.09.2009770.6788.51012.9753613.308-1.98994.5377.506
128Long123.09.2009763.8828.09.2009755.49-8.390-1.09830.000-3.291-80.0376.408
129Long129.09.2009752.727.10.2009744.71-7.990-1.062204.958-4.335-13.8375.346
130Long126.11.2009768.927.11.2009782.4313.5301.76011.7600.000641.0377.106
131Long102.12.2009802.507.12.2009814.7712.2701.52931.5290.000111.4378.635
132Long129.12.2009818.2130.12.2009817.58-0.630-0.07710.000-0.077-28.0378.558
133Long104.01.2010834.4625.01.2010808.36-26.100-3.128153.400-3.128-54.3375.430
134Long129.01.2010807.2502.02.2010825.3518.1002.24222.2420.000204.2377.672
135Short-115.02.2010789.1216.02.2010799.81-10.690-1.35510.0001.355-493.4376.318
136Long108.03.2010828.1729.04.2010805.75-22.420-2.707362.865-3.424-19.3373.610
137Short-110.05.2010780.111.05.2010769.9810.1201.2971-1.2970.000472.5374.908
138Short-121.05.2010725.2828.05.2010742.17-16.890-2.3295-4.7242.329-121.2372.579
139Long123.06.2010772.4728.06.2010757.07-15.400-1.99430.000-2.687-145.2370.585
140Long107.07.2010755.0716.07.201077519.9302.63975.0270.000106.8373.225
141Long128.07.2010779.6809.08.2010775.74-3.940-0.50580.213-1.897-15.3372.720
142Long118.08.2010757.4919.08.2010751.45-6.040-0.79710.000-0.797-290.4371.922
143Short-126.08.201072527.08.2010733.76-8.760-1.20810.0001.208-440.1370.714
144Long122.09.2010773.8212.11.2010782.969.1401.181376.641-0.6228.4371.895
145Short-124.11.2010786.425.11.2010789.6-3.200-0.40710.0000.407-148.2371.488
146Long107.12.2010812.3821.01.2011868.6956.3106.931319.5600.00056.1378.420
147Long108.02.2011902.8523.02.2011881-21.850-2.420111.567-2.420-58.8376.000
148Short-115.03.2011867.3121.03.2011897.39-30.080-3.4684-1.4393.468-210.5372.531
149Long113.04.2011921.1725.05.2011898.35-22.820-2.477281.512-2.528-21.5370.054
150Long101.06.2011913.1306.06.2011898.44-14.690-1.60930.000-1.609-117.2368.445
151Short-129.06.2011881.9901.07.2011896.64-14.650-1.66120.0001.661-302.5366.784
152Short-104.08.2011724.3801.09.2011754.34-29.960-4.13620-6.1944.463-53.8362.648
153Short-113.09.2011687.5415.09.2011709.36-21.820-3.17420.0003.174-578.0359.475
154Long124.10.2011709.7610.11.2011682.37-27.390-3.859131.167-5.099-82.7355.616
155Long115.11.2011685.6416.11.2011688.032.3900.34910.3490.000127.0355.964
156Short-123.11.2011636.2530.11.2011704.84-68.590-10.78050.00010.780-561.0345.184
157Short-113.12.2011672.3714.12.2011661.1811.1901.6641-1.6640.000606.2346.848
158Short-115.12.2011667.416.12.2011663.184.2200.6321-0.6320.000230.3347.480
159Long122.12.2011676.8928.12.2011674.45-2.440-0.36030.659-0.360-21.9347.120
160Long113.01.2012717.8907.03.2012750.7332.8404.5753810.3920.00030.9351.694
161Long112.03.2012765.1121.03.2012784.3819.2702.51974.1130.000101.9354.213
162Long122.03.2012777.823.03.20127879.2001.18311.1830.000430.8355.396
163Long127.03.2012802.6130.03.2012789.87-12.740-1.58730.000-2.545-192.7353.809
164Long102.04.2012797.7211.04.2012766.55-31.170-3.90750.000-4.250-158.1349.901
165Short-129.05.2012764.5118.06.2012731.1633.3504.36214-6.6200.00079.4354.263

Generated 30.07.2012 21:03:51