Backtesting of .Zink LME 15M $/to - AW Indikator 2 (Zink)

Calls 13 - Puts 5

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

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

13/-5.Zink LME 15M $/toAW Indikator 2Zink
Years6.8Start06.07.2005End20.04.2012
TRADESCount#18Yearly#2.6Every138. day
HITSRatio66.67%Wins#12Losses#6
PERFORMProfitf.4.161WinSum65.409LossSum-15.719
Efficiency62.01%AvWin5.451LossAv-2.620
RETURNSum49.691Yearly7.298Daily0.020
Average2.761AvAbs4.45Kurtosis2.93
Median2.241MaxWin12.318MaxLoss-9.603
StdDev5.35Excess-0.071/Prof.0.24
INVTIMEDays9.2%Year8.9%157 of1709
FULLYear81.900
LENGTHAverage8.7StdDev3.88Median8.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio67.7%Wins105Losses50
AverageDiff.1.92Wins4.55Losses-3.52
SumProftf.2.7Wins478.1Losses-176.2
SqrSumProfitf.1.4Wins3179.0Losses2207.2
Extremal Temporary Returns
AverageDiff.4.5Wins2.73Losses1.74
SumProftf.-1.6Wins49.17Losses31.24

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%
1Long115.03.20062167.505.04.20062434.5267.00012.3181512.318-0.554224.312.318
2Long109.05.20062870.516.05.20062892.522.0000.76659.580-1.84639.913.085
3Long125.05.20062890.502.06.20062962.572.0002.49159.0640.000113.415.576
4Long121.09.20063010.527.09.20063005.5-5.000-0.16640.000-2.491-10.115.410
5Long129.05.20073247.522.06.20073184.5-63.000-1.940183.387-2.402-29.413.470
6Short-125.06.20073120.503.07.20073192.5-72.000-2.3076-2.5642.307-105.111.162
7Long113.02.20082350.527.02.20082605.5255.00010.8491010.849-1.191282.322.011
8Long102.04.20082312.514.04.20082305.5-7.000-0.30383.805-0.303-9.221.708
9Short-122.05.20082239.510.06.20081990.5249.00011.11912-11.1190.000213.232.827
10Short-105.11.20081255.517.11.20081230.525.0001.9918-4.4602.38960.434.818
11Short-124.11.20081274.511.12.20081174.5100.0007.84613-7.8464.943168.142.664
12Long102.02.20091169.512.02.20091210.541.0003.50687.5250.000127.746.170
13Short-103.03.20091197.519.03.20091312.5-115.000-9.603120.00035.908-233.236.567
14Long119.03.20091312.531.03.20091395.583.0006.32486.705-0.229192.042.891
15Long121.09.20091929.528.09.20091902.5-27.000-1.39952.902-1.399-72.841.491
16Long109.11.20092257.523.11.20092339.582.0003.632103.632-2.96894.545.124
17Long115.07.20112415.525.07.20112520.5105.0004.34765.1750.000158.349.471
18Long117.08.20112270.523.08.20112275.55.0000.22040.220-0.92513.449.691

Generated 30.07.2012 21:04:35