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

Calls 76 - Puts 20

Scan time: 2012-07-30 20:55:53

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/-20.MDAX (X)AW Indikator 3MDAX
Years16.2Start04.06.1996End27.07.2012
TRADESCount#96Yearly#5.9Every61. day
HITSRatio69.79%Wins#67Losses#29
PERFORMProfitf.5.229WinSum200.585LossSum-38.358
Efficiency68.18%AvWin2.994LossAv-1.323
RETURNSum162.226Yearly10.021Daily0.028
Average1.690AvAbs2.48Kurtosis2.97
Median1.207MaxWin9.845MaxLoss-4.165
StdDev2.80Excess-0.031/Prof.0.19
INVTIMEDays26.2%Year25.8%1073 of4096
FULLYear38.799
LENGTHAverage11.2StdDev8.42Median9.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio59.3%Wins636Losses437
AverageDiff.0.58Wins2.44Losses-2.11
SumProftf.1.7Wins1548.9Losses-921.8
SqrSumProfitf.1.7Wins6701.9Losses3938.1
Extremal Temporary Returns
AverageDiff.1.0Wins1.28Losses-0.24
SumProftf.5.3Wins122.40Losses-23.26

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
10Short-110.11.19973692.4717.11.19973613.0979.3802.1505-2.9380.000111.921.192
11Short-125.11.19973639.1117.12.19973687.5-48.390-1.330160.0003.968-22.019.862
12Long104.06.19984718.4709.06.19984737.7819.3100.40930.6560.00029.820.271
13Short-114.09.19984048.3223.09.19983812.39235.9305.8287-7.1180.000235.926.099
14Short-117.03.1999376926.04.19993790.03-21.030-0.55826-1.4492.122-5.225.541
15Long120.05.19993933.1115.06.19993894.79-38.320-0.974160.121-2.267-13.624.567
16Long101.07.19994046.5407.07.19994141.9295.3802.35742.3570.000143.126.924
17Short-120.12.19994023.0207.01.20004095.51-72.490-1.80212-0.7002.593-36.525.122
18Long110.01.20004147.5917.01.20004266.55118.9602.86852.868-0.050149.227.990
19Long127.01.20004218.2323.02.20004216.25-1.980-0.047191.618-1.814-0.627.943
20Long116.05.20004541.9108.06.20004575.6433.7300.743170.743-2.85611.828.686
21Long119.06.20004530.3311.07.20004557.3327.0000.596161.005-2.7619.929.282
22Long116.08.20004852.6830.08.20004890.9538.2700.789101.178-0.51020.530.071
23Long115.09.20004828.505.10.20004912.7184.2101.744133.497-2.39331.831.815
24Long116.10.20004753.6223.10.20004796.943.2800.91050.9300.00047.432.725
25Short-104.01.20014649.1911.01.20014526.12123.0702.6475-3.5660.065137.735.372
26Short-122.01.20014643.515.02.20014836.89-193.390-4.165180.0004.456-63.231.207
27Long120.06.20014752.426.06.20014767.8515.4500.32541.5320.00019.731.533
28Long114.08.20014679.3120.08.20014597.3-82.010-1.75340.000-1.753-106.429.780
29Short-130.08.20014531.7513.09.20014085.61446.1409.84510-10.8790.000256.139.625
30Long104.12.20014321.1507.12.20014280.86-40.290-0.93230.000-0.932-113.238.692
31Long118.01.20024353.6425.01.20024405.6552.0101.19551.4380.00062.239.887
32Long118.03.20024447.7725.03.20024447.29-0.480-0.01150.450-0.069-0.639.876
33Long102.04.20024452.7812.04.20024478.7425.9600.58380.597-0.51223.640.459
34Short-103.07.20023846.0218.07.20023643.48202.5405.26611-6.3411.707127.945.725
35Short-115.08.20023382.2302.09.20023391.94-9.710-0.287120.0002.595-5.845.438
36Short-130.09.20022854.111.10.20022858.26-4.160-0.1469-4.1501.410-4.845.293
37Long111.12.20023160.9606.01.20033132.52-28.440-0.900130.000-5.701-12.644.393
38Short-107.02.20032903.9628.02.20032843.460.5602.08515-4.0191.16636.246.478
39Long127.05.20033304.0130.05.20033399.6395.6202.89432.8940.000351.449.372
40Long125.07.20033728.5601.08.20033850.67122.1103.27553.2750.000170.452.647
41Long112.08.20033846.6821.08.20034006.53159.8504.15674.1560.000168.256.803
42Long117.09.20034158.9823.09.20034041.02-117.960-2.83640.991-2.836-172.253.967
43Long130.10.20034342.6105.11.20034332.41-10.200-0.23542.111-0.235-14.353.732
44Long113.11.20034340.7401.12.20034423.4182.6701.905121.905-2.88238.555.636
45Long128.01.20044745.4516.02.20044889.64144.1903.038133.038-0.88258.358.675
46Long101.03.20044937.5404.03.20044929.65-7.890-0.16030.151-0.376-19.458.515
47Long117.06.20044974.6401.07.20045098.3123.6602.486102.740-0.19664.761.001
48Long130.11.20045272.2107.12.20045357.184.8901.61051.7320.00083.862.611
49Long116.12.20045313.5523.12.20045368.0454.4901.02551.0250.00053.463.636
50Long103.01.20055423.2904.03.20055783.2359.9106.636446.809-0.24940.370.273
51Long129.06.20056327.3605.09.20056838.71511.3508.082488.464-0.08043.378.354
52Long130.11.20057087.8907.12.20057165.1677.2701.09051.6330.00056.779.444
53Long115.12.20057176.3222.12.20057278.7102.3801.42751.5490.00074.280.871
54Long120.01.20067668.3601.02.20068164.48496.1206.47086.470-0.634196.487.341
55Long110.02.20068140.2901.03.20068405.68265.3903.260133.804-0.34662.590.601
56Long108.03.20068199.4817.03.20068607.64408.1604.97874.9780.000201.595.579
57Long131.03.20068669.9907.04.20068667.87-2.120-0.02450.649-0.024-1.595.554
58Long103.05.20068828.5810.05.20069100.17271.5903.07653.7010.000160.198.631
59Short-127.07.20067827.6715.08.20067978.07-150.400-1.921130.0001.968-36.896.709
60Long129.08.20068102.2501.09.20068203.26101.0101.24731.2470.000151.497.956
61Long113.09.20068242.3120.09.20068290.9348.6200.59050.590-0.41430.798.546
62Long119.10.20068623.7430.10.20068607.2-16.540-0.19271.515-0.192-6.498.354
63Long106.11.20068801.2508.11.2006883129.7500.33820.3380.00061.698.692
64Long122.11.20068989.3220.12.20069281.58292.2603.251203.583-3.60642.3101.943
65Long112.01.20079523.7406.02.20079926.75403.0104.232174.2320.00061.7106.175
66Long126.04.200710739.917.05.200710872.39132.4901.234141.234-0.34521.4107.409
67Long130.05.200710870.1622.06.200711002.66132.5001.219172.875-1.96719.3108.627
68Long129.06.200711023.9406.07.200711307.19283.2502.56952.5690.000133.7111.197
69Long111.04.20088809.6809.05.20089548738.3208.381199.726-0.153109.0119.578
70Short-128.08.20088574.9509.09.20088068.09506.8605.9118-6.4081.994179.4125.489
71Short-116.10.20085337.7913.11.20085334.43.3900.06420-9.87714.1400.8125.552
72Short-102.12.20085138.7619.01.20094999.88138.8802.70329-3.50114.05620.5128.255
73Short-103.02.20095101.0220.02.20094747.71353.3106.92613-6.9267.298148.4135.181
74Short-112.03.20094409.0401.04.20094531.72-122.680-2.78214-2.0123.208-50.7132.398
75Long119.05.20095856.8522.05.20095812.94-43.910-0.75032.265-0.750-91.0131.649
76Long129.05.20095745.3801.07.20095878.27132.8902.313235.340-4.52925.5133.962
77Long130.07.20096177.9406.08.20096415.88237.9403.85153.8510.000200.4137.813
78Long113.08.20096509.0426.08.20096807.22298.1804.58195.696-2.074128.4142.394
79Long104.09.20096769.7215.09.20097205.99436.2706.44476.4440.000213.4148.839
80Long129.09.20097332.2214.10.20097630.26298.0404.065114.065-4.61198.7152.903
81Long115.12.20097365.3518.12.20097393.7528.4000.38630.8630.00046.8153.289
82Long120.01.20107750.323.02.20107480.13-270.170-3.486240.000-6.544-37.3149.803
83Long101.03.20107543.8509.03.20107826.63282.7803.74864.0990.000170.7153.552
84Long115.04.20108495.0418.05.20108320.75-174.290-2.052231.727-10.103-22.6151.500
85Long103.08.20108568.1903.09.20108507.83-60.360-0.704231.411-6.556-8.3150.795
86Long127.09.20108794.9213.10.20109158.38363.4604.133124.133-1.00394.1154.928
87Long101.11.20109350.2109.12.20109806.02455.8104.875286.106-1.91946.7159.803
88Long116.12.20109935.2720.12.2010997640.7300.41020.410-0.28637.3160.213
89Long104.01.201110178.119.01.201110248.1370.0300.688112.006-2.69416.7160.901
90Long120.05.201110778.0602.06.201110680.39-97.670-0.90690.983-1.927-25.4159.995
91Long114.07.201110796.1427.07.201110643.12-153.020-1.41791.093-2.048-39.7158.577
92Short-103.10.20118163.6106.10.20118398.51-234.900-2.8773-4.6612.877-349.4155.700
93Long101.02.201210128.6615.03.201210726.2597.5405.899315.899-1.30951.2161.599
94Long122.03.201210573.0529.03.201210531.92-41.130-0.38952.347-0.389-20.2161.210
95Long110.04.201210332.7319.04.201210601.98269.2502.60674.0130.000105.5163.816
96Short-114.06.20129931.2518.06.201210089.15-157.900-1.59020.0001.590-144.8162.226

Generated 30.07.2012 20:56:11