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



Scan time: 2012-07-30 21:10:49

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/-18Michelin (DE)AW Indikator 2Michelin (DE)
Years17.5Start13.02.1995End27.07.2012
TRADESCount#18Yearly#1.0Every354. day
HITSRatio66.67%Wins#12Losses#6
PERFORMProfitf.1.934WinSum66.102LossSum-34.177
Efficiency32.16%AvWin5.508LossAv-5.696
RETURNSum31.924Yearly1.825Daily0.005
Average1.774AvAbs5.52Kurtosis3.29
Median1.381MaxWin19.095MaxLoss-12.980
StdDev7.37Excess0.291/Prof.0.52
INVTIMEDays4.6%Year4.5%202 of4415
FULLYear40.376
LENGTHAverage11.2StdDev7.82Median7.5
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio53.8%Wins107Losses92
AverageDiff.0.06Wins5.12Losses-5.83
SumProftf.1.0Wins548.4Losses-536.8
SqrSumProfitf.1.3Wins5829.7Losses4659.2
Extremal Temporary Returns
AverageDiff.-3.5Wins-6.21Losses2.69
SumProftf.2.3Wins-111.69Losses48.46

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-110.11.199736.1207117.11.199737.04691-0.926-2.5645-1.3383.456-133.4-2.564
2Short-124.08.199834.5939407.09.199830.117084.47712.94110-12.9410.000336.710.377
3Short-107.12.199931.7758715.12.199930.724761.0513.3086-4.0710.000150.613.685
4Short-123.10.200025.552528.11.200027.3659-1.813-7.09726-1.61311.935-71.86.588
5Short-108.08.200233.4487223.08.200233.019890.4291.28211-3.8461.28231.17.870
6Short-107.02.200323.8858114.02.200323.242570.6432.6935-3.5910.251140.110.563
7Short-110.11.200540.7256514.12.200542.46162-1.736-4.263240.0005.972-45.76.301
8Short-108.08.200643.4398511.08.200645.22049-1.781-4.09930.0004.099-497.72.201
9Short-103.04.200779.0239716.05.200789.28135-10.257-12.980280.00015.508-110.0-10.779
10Short-103.09.200791.4870214.09.200785.063486.4247.0219-10.0560.000232.5-3.757
11Short-107.12.200776.163427.12.200775.998940.1640.21611-6.0210.9653.9-3.541
12Short-129.07.200843.2814807.08.200842.168971.1132.5707-8.3370.000104.0-0.971
13Short-121.10.200842.5559330.10.200834.429778.12619.0957-24.1420.000772.818.124
14Short-117.02.200929.4766827.02.200925.945673.53111.9798-17.1970.000436.330.103
15Short-120.05.201052.7910231.05.201052.558840.2320.4407-7.0920.00014.630.543
16Short-113.12.201054.9617.01.201153.271.6903.07523-3.7300.54632.033.618
17Short-115.06.20116322.06.201165-2.000-3.1755-0.4443.175-165.230.443
18Short-112.12.201145.9221.12.201145.240.6801.4817-7.2741.27459.931.924

Generated 30.07.2012 21:11:06