Backtesting of Michelin (DE) - AW Indikator 2 (Michelin (DE)) - Call Part



Scan time: 2012-07-30 21:10:32

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

34/0Michelin (DE)AW Indikator 2Michelin (DE)
Years17.5Start13.02.1995End27.07.2012
TRADESCount#34Yearly#1.9Every187. day
HITSRatio67.65%Wins#23Losses#11
PERFORMProfitf.2.354WinSum151.518LossSum-64.373
Efficiency40.55%AvWin6.588LossAv-5.852
RETURNSum87.146Yearly4.981Daily0.014
Average2.563AvAbs6.32Kurtosis6.04
Median2.728MaxWin17.649MaxLoss-26.336
StdDev8.06Excess3.041/Prof.0.42
INVTIMEDays10.7%Year10.4%473 of4415
FULLYear48.095
LENGTHAverage13.9StdDev6.57Median13.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio57.6%Wins270Losses199
AverageDiff.0.86Wins5.40Losses-5.29
SumProftf.1.4Wins1459.1Losses-1051.9
SqrSumProfitf.1.1Wins12781.7Losses11219.0
Extremal Temporary Returns
AverageDiff.3.0Wins6.80Losses-3.83
SumProftf.1.8Wins231.25Losses-130.05

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%
1Long120.02.199523.4162124.03.199521.69901-1.717-7.333240.000-11.166-83.5-7.333
2Long125.04.199524.2357702.05.199524.469950.2340.96640.966-1.44950.3-6.367
3Long119.03.199627.0509812.04.199628.095941.0453.863166.924-2.04161.2-2.504
4Long131.07.199626.7554809.08.199627.194070.4391.63974.3220.00066.3-0.865
5Long125.03.199740.0733615.04.199739.23602-0.837-2.090132.985-5.473-38.1-2.954
6Long116.04.199844.0938624.04.199844.697860.6041.37064.9310.00062.4-1.585
7Long111.08.199836.5881524.08.199834.59394-1.994-5.45094.561-5.450-152.7-7.035
8Long125.01.199924.6759603.02.199927.223152.54710.323710.3230.000417.83.287
9Long130.09.199935.8994602.11.199932.74613-3.153-8.784230.450-10.360-97.0-5.496
10Long108.06.200029.0144504.07.200028.19018-0.824-2.841180.852-9.659-39.8-8.337
11Long106.11.200128.0000623.11.200130.732792.7339.7601315.4650.000209.11.423
12Long119.02.200233.2132811.03.200236.576653.36310.1271410.633-1.266184.411.549
13Long128.05.200326.2488417.06.200330.881514.63317.6491417.6490.000321.429.198
14Long101.07.200329.3520211.07.200330.660481.3084.45884.4580.000162.433.656
15Long129.07.200328.980709.09.200331.358922.3788.2063014.826-8.84771.241.862
16Long110.05.200434.2057102.06.200436.296612.0916.113176.748-0.31096.847.975
17Long127.09.200437.9629208.10.200437.30183-0.661-1.74192.910-2.290-57.746.234
18Long124.06.200547.0939720.07.200545.01452-2.079-4.416180.591-6.485-61.941.818
19Long115.12.200542.3409417.01.200645.766463.4268.0902212.1460.00089.349.908
20Long130.01.200646.3791601.03.200647.883051.5043.243229.448-2.36239.453.151
21Long114.09.200651.6098220.09.200652.752471.1432.21442.214-1.015134.455.365
22Long109.11.200660.8462721.11.200663.607682.7614.53886.1820.000137.859.903
23Long117.01.200765.7501501.02.200767.083251.3332.028115.3580.00049.261.931
24Long108.02.200766.892822.02.200778.4526411.56017.2811019.2600.000449.679.212
25Long103.08.200788.7105829.08.200788.32362-0.387-0.436180.545-8.975-6.178.776
26Long118.09.200781.8613908.10.200793.8958412.03414.7011316.2490.000267.793.477
27Long112.05.200857.6957422.05.200856.77671-0.919-1.59386.824-1.593-58.091.884
28Long129.04.200936.9353313.05.200940.14713.2128.696912.2320.000226.2100.579
29Long118.08.200948.4764131.08.200950.904592.4285.00998.581-2.175140.3105.588
30Long123.08.201056.9024709.09.201059.862712.9605.202135.440-1.921111.5110.791
31Long108.11.201056.3810.12.201054.49-1.890-3.352241.100-7.272-38.2107.439
32Long119.07.201163.619.08.201146.85-16.750-26.336231.903-28.939-309.581.102
33Long110.10.201146.93521.10.201148.8751.9404.13398.171-0.969136.985.235
34Long122.02.201254.9721.03.201256.021.0501.910206.003-10.03325.887.146

Generated 30.07.2012 21:10:49