Backtesting of .MDAX (X) - AW Indikator 3 (MDAX) - Call Part



Scan time: 2012-07-30 20:55:20

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

76/0.MDAX (X)AW Indikator 3MDAX
Years16.2Start04.06.1996End27.07.2012
TRADESCount#76Yearly#4.7Every78. day
HITSRatio75.00%Wins#57Losses#19
PERFORMProfitf.7.520WinSum157.160LossSum-20.900
Efficiency76.96%AvWin2.757LossAv-1.100
RETURNSum136.260Yearly8.417Daily0.023
Average1.793AvAbs2.33Kurtosis2.99
Median1.226MaxWin8.381MaxLoss-3.486
StdDev2.50Excess-0.011/Prof.0.13
INVTIMEDays20.1%Year19.8%825 of4096
FULLYear42.530
LENGTHAverage10.9StdDev8.75Median8.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio66.3%Wins547Losses278
AverageDiff.0.98Wins2.38Losses-1.77
SumProftf.2.6Wins1304.2Losses-492.2
SqrSumProfitf.3.3Wins5421.1Losses1620.7
Extremal Temporary Returns
AverageDiff.1.4Wins2.59Losses-1.19
SumProftf.2.2Wins196.95Losses-90.47

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%
1Long122.08.19962825.9112.09.19962849.4223.5100.832150.832-1.76314.40.832
2Long125.09.19962898.7410.10.19962988.5189.7703.097103.6000.00075.23.929
3Long115.10.19963010.6511.11.19962916.37-94.280-3.132190.000-3.921-42.20.797
4Long129.01.19973140.4814.02.19973308.78168.3005.359125.3590.000122.06.156
5Long125.02.19973324.8310.03.19973518.61193.7805.82895.828-0.024163.311.985
6Long125.04.19973551.1209.05.19973632.3181.1902.28682.286-0.43559.514.271
7Long105.06.19973859.0117.06.19973892.0333.0200.85681.2340.00026.015.127
8Long102.07.19973939.9611.07.19974050.62110.6602.80973.1440.000113.717.935
9Long123.07.19974077.5114.08.19974122.6445.1301.107162.941-0.55518.319.042
10Long104.06.19984718.4709.06.19984737.7819.3100.40930.6560.00029.819.451
11Long120.05.19993933.1115.06.19993894.79-38.320-0.974160.121-2.267-13.618.477
12Long101.07.19994046.5407.07.19994141.9295.3802.35742.3570.000143.120.834
13Long110.01.20004147.5917.01.20004266.55118.9602.86852.868-0.050149.223.702
14Long127.01.20004218.2323.02.20004216.25-1.980-0.047191.618-1.814-0.623.655
15Long116.05.20004541.9108.06.20004575.6433.7300.743170.743-2.85611.824.398
16Long119.06.20004530.3311.07.20004557.3327.0000.596161.005-2.7619.924.994
17Long116.08.20004852.6830.08.20004890.9538.2700.789101.178-0.51020.525.783
18Long115.09.20004828.505.10.20004912.7184.2101.744133.497-2.39331.827.527
19Long116.10.20004753.6223.10.20004796.943.2800.91050.9300.00047.428.437
20Long120.06.20014752.426.06.20014767.8515.4500.32541.5320.00019.728.762
21Long114.08.20014679.3120.08.20014597.3-82.010-1.75340.000-1.753-106.427.010
22Long104.12.20014321.1507.12.20014280.86-40.290-0.93230.000-0.932-113.226.077
23Long118.01.20024353.6425.01.20024405.6552.0101.19551.4380.00062.227.272
24Long118.03.20024447.7725.03.20024447.29-0.480-0.01150.450-0.069-0.627.261
25Long102.04.20024452.7812.04.20024478.7425.9600.58380.597-0.51223.627.844
26Long111.12.20023160.9606.01.20033132.52-28.440-0.900130.000-5.701-12.626.944
27Long127.05.20033304.0130.05.20033399.6395.6202.89432.8940.000351.429.838
28Long125.07.20033728.5601.08.20033850.67122.1103.27553.2750.000170.433.113
29Long112.08.20033846.6821.08.20034006.53159.8504.15674.1560.000168.237.269
30Long117.09.20034158.9823.09.20034041.02-117.960-2.83640.991-2.836-172.234.433
31Long130.10.20034342.6105.11.20034332.41-10.200-0.23542.111-0.235-14.334.198
32Long113.11.20034340.7401.12.20034423.4182.6701.905121.905-2.88238.536.102
33Long128.01.20044745.4516.02.20044889.64144.1903.038133.038-0.88258.339.141
34Long101.03.20044937.5404.03.20044929.65-7.890-0.16030.151-0.376-19.438.981
35Long117.06.20044974.6401.07.20045098.3123.6602.486102.740-0.19664.741.467
36Long130.11.20045272.2107.12.20045357.184.8901.61051.7320.00083.843.077
37Long116.12.20045313.5523.12.20045368.0454.4901.02551.0250.00053.444.102
38Long103.01.20055423.2904.03.20055783.2359.9106.636446.809-0.24940.350.739
39Long129.06.20056327.3605.09.20056838.71511.3508.082488.464-0.08043.358.820
40Long130.11.20057087.8907.12.20057165.1677.2701.09051.6330.00056.759.910
41Long115.12.20057176.3222.12.20057278.7102.3801.42751.5490.00074.261.337
42Long120.01.20067668.3601.02.20068164.48496.1206.47086.470-0.634196.467.807
43Long110.02.20068140.2901.03.20068405.68265.3903.260133.804-0.34662.571.067
44Long108.03.20068199.4817.03.20068607.64408.1604.97874.9780.000201.576.045
45Long131.03.20068669.9907.04.20068667.87-2.120-0.02450.649-0.024-1.576.020
46Long103.05.20068828.5810.05.20069100.17271.5903.07653.7010.000160.179.097
47Long129.08.20068102.2501.09.20068203.26101.0101.24731.2470.000151.480.343
48Long113.09.20068242.3120.09.20068290.9348.6200.59050.590-0.41430.780.933
49Long119.10.20068623.7430.10.20068607.2-16.540-0.19271.515-0.192-6.480.741
50Long106.11.20068801.2508.11.2006883129.7500.33820.3380.00061.681.079
51Long122.11.20068989.3220.12.20069281.58292.2603.251203.583-3.60642.384.331
52Long112.01.20079523.7406.02.20079926.75403.0104.232174.2320.00061.788.562
53Long126.04.200710739.917.05.200710872.39132.4901.234141.234-0.34521.489.796
54Long130.05.200710870.1622.06.200711002.66132.5001.219172.875-1.96719.391.015
55Long129.06.200711023.9406.07.200711307.19283.2502.56952.5690.000133.793.584
56Long111.04.20088809.6809.05.20089548738.3208.381199.726-0.153109.0101.965
57Long119.05.20095856.8522.05.20095812.94-43.910-0.75032.265-0.750-91.0101.215
58Long129.05.20095745.3801.07.20095878.27132.8902.313235.340-4.52925.5103.528
59Long130.07.20096177.9406.08.20096415.88237.9403.85153.8510.000200.4107.380
60Long113.08.20096509.0426.08.20096807.22298.1804.58195.696-2.074128.4111.961
61Long104.09.20096769.7215.09.20097205.99436.2706.44476.4440.000213.4118.405
62Long129.09.20097332.2214.10.20097630.26298.0404.065114.065-4.61198.7122.470
63Long115.12.20097365.3518.12.20097393.7528.4000.38630.8630.00046.8122.856
64Long120.01.20107750.323.02.20107480.13-270.170-3.486240.000-6.544-37.3119.370
65Long101.03.20107543.8509.03.20107826.63282.7803.74864.0990.000170.7123.118
66Long115.04.20108495.0418.05.20108320.75-174.290-2.052231.727-10.103-22.6121.066
67Long103.08.20108568.1903.09.20108507.83-60.360-0.704231.411-6.556-8.3120.362
68Long127.09.20108794.9213.10.20109158.38363.4604.133124.133-1.00394.1124.495
69Long101.11.20109350.2109.12.20109806.02455.8104.875286.106-1.91946.7129.369
70Long116.12.20109935.2720.12.2010997640.7300.41020.410-0.28637.3129.779
71Long104.01.201110178.119.01.201110248.1370.0300.688112.006-2.69416.7130.467
72Long120.05.201110778.0602.06.201110680.39-97.670-0.90690.983-1.927-25.4129.561
73Long114.07.201110796.1427.07.201110643.12-153.020-1.41791.093-2.048-39.7128.144
74Long101.02.201210128.6615.03.201210726.2597.5405.899315.899-1.30951.2134.043
75Long122.03.201210573.0529.03.201210531.92-41.130-0.38952.347-0.389-20.2133.654
76Long110.04.201210332.7319.04.201210601.98269.2502.60674.0130.000105.5136.260

Generated 30.07.2012 20:55:37