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

Calls 90 - Puts 69

Scan time: 2012-07-30 21:02:48

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

90/-69.TecDAX (X)AW Indikator 3TecDAX
Years14.2Start12.05.1998End27.07.2012
TRADESCount#158Yearly#11.2Every33. day
HITSRatio61.39%Wins#97Losses#61
PERFORMProfitf.2.389WinSum441.796LossSum-184.928
Efficiency41.05%AvWin4.555LossAv-3.032
RETURNSum256.869Yearly18.028Daily0.049
Average1.626AvAbs3.96Kurtosis3.80
Median1.128MaxWin19.201MaxLoss-11.094
StdDev5.09Excess0.801/Prof.0.42
INVTIMEDays35.3%Year35.2%1276 of3613
FULLYear51.212
LENGTHAverage8.1StdDev6.06Median5.5
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio52.9%Wins675Losses601
AverageDiff.0.38Wins3.83Losses-3.49
SumProftf.1.2Wins2584.6Losses-2100.3
SqrSumProfitf.1.6Wins19553.0Losses12384.7
Extremal Temporary Returns
AverageDiff.-0.8Wins-0.73Losses-0.07
SumProftf.-10.8Wins-115.06Losses-10.61

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-113.05.19982467.6126.05.19982548.39-80.780-3.27480.0003.949-91.7-3.274
2Long127.05.19982463.9423.06.19982623.61159.6706.480177.313-0.79587.43.207
3Long106.07.19982699.5608.07.19982663.42-36.140-1.33920.000-1.339-243.81.868
4Long103.08.19982985.4221.08.19982809.01-176.410-5.909142.701-7.021-119.6-4.041
5Short-121.08.19982809.0103.09.19982411.5397.51014.1519-17.4143.451396.510.110
6Short-111.09.19982589.8123.09.19982454135.8105.2448-8.7643.455159.215.354
7Short-130.09.19982452.3806.10.19982150.03302.35012.3294-14.9720.000748.527.683
8Long120.11.19982855.1725.11.19982879.7524.5800.86131.5420.00062.728.544
9Long116.12.19983120.4923.12.19983343.63223.1407.15157.1510.000372.135.695
10Long105.01.19993559.4908.01.19993962.41402.92011.320311.3200.0001374.447.014
11Long115.01.19993949.7922.01.19994141.39191.6004.851511.9130.000252.451.865
12Long105.02.19994661.3618.02.19994655.27-6.090-0.13192.608-4.914-3.751.735
13Long122.02.19994656.2325.02.19994646.82-9.410-0.20231.693-0.202-24.551.532
14Short-119.03.19994223.0726.03.19993877.79345.2808.1765-10.0970.000425.459.708
15Short-101.04.19993869.9422.04.19993999.91-129.970-3.35813-0.8888.955-61.256.350
16Long122.04.19993999.9129.04.19994091.2791.3602.28452.7070.000118.958.634
17Short-104.05.19994168.112.05.19993910.49257.6106.1816-7.5110.000281.464.815
18Short-126.05.19993965.1217.06.19993965.49-0.370-0.00915-2.9231.682-0.264.805
19Long116.07.19994566.6222.07.19994424-142.620-3.12340.865-3.123-189.661.682
20Long124.08.19994095.9830.08.19994053.49-42.490-1.03740.725-1.037-63.060.645
21Long120.10.19993634.9926.10.19993609.35-25.640-0.70541.132-0.705-42.859.939
22Short-126.10.19993609.3529.10.19993683.94-74.590-2.0673-0.6822.067-250.957.873
23Long107.12.19994665.6216.12.19994928.9263.2805.64378.1100.000228.463.516
24Long122.12.19995183.6628.12.19994984.64-199.020-3.83930.549-3.839-233.159.676
25Long104.01.20004977.7414.01.20005582.59604.85012.151812.151-3.776442.671.828
26Long121.02.20008061.7328.02.20008106.6644.9300.55754.3800.00029.072.385
27Long102.03.20008784.5809.03.20009323.3538.7206.13356.1330.000319.178.517
28Short-113.04.20006752.3319.04.20006693.9258.4100.8654-6.1250.00052.579.382
29Long116.05.20007028.5919.05.20006489.72-538.870-7.66730.000-7.667-930.971.716
30Short-119.05.20006489.7226.05.20005687.07802.65012.3685-13.8650.000643.684.084
31Long114.06.20006577.5311.07.20005847.83-729.700-11.094190.000-11.094-149.772.990
32Short-112.07.20005837.7502.08.20005773.5864.1701.09915-1.09910.10319.174.089
33Short-114.08.20005698.9723.08.20005619.4779.5001.3957-1.3951.12856.575.484
34Short-130.11.20003153.6906.12.20003281.34-127.650-4.0484-3.6284.048-245.771.436
35Short-108.12.20003308.3120.12.20002761.31547.00016.5348-16.5345.478501.987.971
36Short-103.01.20012641.9307.02.20012529.35112.5804.26125-19.89510.55944.392.232
37Short-113.03.20011786.1721.03.20011553.78232.39013.0116-13.0110.000592.4105.242
38Short-130.03.20011512.606.04.20011389.03123.5708.1695-13.4140.000495.9113.412
39Short-124.05.20011897.9104.06.20011745.03152.8808.0557-10.2110.000266.7121.467
40Long104.06.20011745.0308.06.20011696.42-48.610-2.78640.499-2.786-253.7118.681
41Short-108.06.20011696.4214.06.20011519.18177.24010.4484-10.4480.000634.3129.129
42Short-105.07.20011282.2711.07.20011170.85111.4208.6894-8.6890.000527.5137.818
43Short-117.07.20011152.3913.08.20011131.1321.2601.84519-7.47811.16924.9139.663
44Long113.08.20011131.1329.08.20011081.25-49.880-4.410122.360-6.713-100.4135.254
45Short-130.08.20011021.8405.09.2001992.729.1402.8524-2.8521.456173.1138.105
46Long106.11.20011088.6812.11.20011106.3317.6501.62144.8910.00098.4139.726
47Short-130.01.20021129.0901.02.20021152.32-23.230-2.05720.0002.406-374.7137.669
48Short-118.02.2002993.6622.02.2002963.6330.0303.0224-4.4150.000275.2140.691
49Short-123.04.2002884.9102.05.2002843.7341.1804.6546-5.2750.000188.3145.345
50Short-104.07.2002546.5408.07.2002579.76-33.220-6.07820.0007.407-553.5139.267
51Short-112.07.2002535.6417.07.2002561.99-26.350-4.9193-3.8054.919-358.4134.347
52Short-123.07.2002522.2226.07.2002529.45-7.230-1.38430.0001.957-168.1132.963
53Short-102.08.2002519.0408.08.2002493.7325.3104.8764-6.4310.000296.0137.839
54Short-114.08.2002474.7110.09.2002447.6627.0505.69819-5.69810.11876.9143.537
55Long129.10.2002419.2707.11.2002428.829.5502.27879.8190.00092.2145.815
56Short-120.11.2002430.8106.12.2002430.060.7500.17412-0.1744.8174.0145.989
57Short-109.01.2003373.9230.01.2003359.5214.4003.85115-4.9376.35466.8149.840
58Short-105.02.2003354.3312.02.2003350.164.1701.1775-2.5510.00061.2151.017
59Short-121.02.2003345.9603.03.2003337.088.8802.5676-5.0440.00093.5153.584
60Short-107.03.2003327.1514.03.2003333.77-6.620-2.0245-5.3802.024-105.3151.560
61Long116.04.2003369.6125.04.2003378.338.7202.35954.6860.00095.5153.920
62Long115.05.2003397.3816.06.2003431.0133.6308.463229.855-6.46296.3162.383
63Long125.07.2003453.631.07.2003461.47.8001.72041.720-0.432104.4164.102
64Long111.08.2003460.118.08.2003483.6923.5905.12755.1270.000266.8169.229
65Long117.09.2003543.9922.09.2003510.68-33.310-6.12330.000-6.123-446.1163.106
66Short-122.09.2003510.6801.10.2003490.9219.7603.8697-4.9420.000156.6166.975
67Long112.11.2003558.4327.11.2003555.86-2.570-0.460112.460-2.486-11.2166.515
68Long128.01.2004623.130.01.2004615.62-7.480-1.20020.000-1.465-218.6165.315
69Short-104.03.2004648.3818.03.2004583.165.28010.06810-10.9130.740262.0175.383
70Long121.04.2004603.1526.05.2004558.89-44.260-7.338252.245-12.662-76.4168.045
71Long117.06.2004574.7302.07.2004570.87-3.860-0.672110.729-2.594-16.3167.373
72Short-104.08.2004484.0412.08.2004438.9245.1209.3226-9.3221.248424.4176.695
73Short-126.10.2004492.2624.11.2004514.05-21.790-4.427210.0004.843-55.6172.268
74Long124.11.2004514.0503.01.2005529.3815.3302.982262.982-1.05427.2175.250
75Long118.01.2005530.720.01.2005527.89-2.810-0.52920.605-0.529-96.4174.721
76Long123.02.2005534.5707.04.2005531.44-3.130-0.586292.363-2.372-5.1174.135
77Long113.06.2005536.9623.06.2005545.798.8301.64481.644-0.22259.9175.780
78Long130.06.2005548.8420.07.2005586.837.9606.916146.916-0.501126.0182.696
79Long128.07.2005594.8405.08.2005586.48-8.360-1.40561.231-1.405-64.0181.291
80Long112.08.2005586.2314.09.2005599.112.8702.195233.570-1.57324.2183.486
81Long121.09.2005605.6223.09.2005604.81-0.810-0.13420.000-0.793-24.4183.352
82Long118.11.200558225.11.2005584.762.7600.47451.0070.00024.7183.827
83Long125.01.2006658.2807.02.2006697.5239.2405.96196.8530.000167.0189.788
84Long113.02.2006707.4520.02.2006723.115.6502.21252.2120.000115.1192.000
85Short-116.03.2006727.0422.03.2006726.10.9400.1294-0.1910.2427.8192.129
86Short-106.04.2006728.3219.04.2006735.85-7.530-1.0347-1.6641.034-29.0191.095
87Long103.05.2006739.7411.05.2006753.8414.1001.90662.782-0.01486.8193.001
88Short-131.05.2006659.1213.06.2006593.6465.4809.9348-9.9341.667278.4202.936
89Long130.06.2006652.1506.07.2006657.525.3700.82343.1020.00050.0203.759
90Long115.08.2006638.2922.08.2006655.1416.8502.64053.4840.000137.4206.399
91Long131.08.2006647.2906.09.2006643.25-4.040-0.62441.234-0.624-37.9205.775
92Short-107.09.2006634.7613.09.2006645.94-11.180-1.7614-0.3701.761-106.9204.014
93Long127.09.2006655.705.10.2006661.435.7300.87451.1560.00039.8204.887
94Long124.10.2006686.430.10.2006683.71-2.690-0.39240.791-0.392-23.8204.495
95Long106.11.2006692.7406.12.2006700.547.8001.126222.698-1.73413.7205.621
96Short-106.12.2006700.5412.01.2007771.36-70.820-10.109240.00010.972-99.5195.512
97Long112.01.2007771.3622.01.2007796.7425.3803.29063.2900.000119.8198.802
98Long115.02.2007849.2319.02.2007858.188.9501.05421.054-0.22796.0199.856
99Short-114.03.2007789.802.04.2007849.2-59.400-7.521130.0007.794-144.2192.335
100Long102.04.2007849.213.04.2007876.9327.7303.26573.6430.000108.1195.601
101Long126.04.2007892.7621.05.2007872.9-19.860-2.225160.000-3.956-32.4193.376
102Long113.06.2007902.2918.06.2007930.0327.7403.07433.9100.000224.0196.451
103Long129.06.2007932.4706.07.2007968.6136.1403.87654.1110.000201.7200.326
104Short-113.08.2007888.5117.08.2007844.743.8104.9314-6.2360.000449.0205.257
105Long113.09.2007908.0726.09.2007964.2356.1606.18596.185-2.353173.3211.442
106Short-102.01.2008970.5115.01.2008847.36123.15012.6899-12.6890.000355.5224.131
107Short-101.02.2008825.4713.02.2008820.275.2000.6308-7.7801.17819.1224.761
108Long113.02.2008820.2718.02.2008820.320.0500.00630.139-2.3210.4224.767
109Long122.02.2008804.4704.04.2008820.9616.4902.050282.404-13.71118.2226.817
110Long116.04.2008823.623.04.2008847.0423.4402.84652.846-0.913148.1229.663
111Long108.05.2008846.4521.05.2008866.8220.3702.40794.824-1.31867.4232.069
112Short-109.06.2008838.0816.06.2008825.212.8801.5375-3.9880.00080.0233.606
113Short-120.06.2008815.1626.06.2008783.1232.0403.9314-3.9310.065238.6237.537
114Short-111.07.2008704.9917.07.2008723.54-18.550-2.6314-2.2602.631-159.7234.905
115Long131.07.2008766.3604.08.2008747.83-18.530-2.41820.000-2.418-220.2232.487
116Long118.08.2008799.4722.08.2008813.8514.3801.79941.799-1.308163.8234.286
117Short-126.09.2008725.2214.10.2008585.97139.25019.20112-28.7460.000388.6253.487
118Short-116.10.2008526.3529.10.2008485.4840.8707.7659-12.9466.684217.6261.252
119Long113.11.2008504.2402.12.2008476.4-27.840-5.521130.000-14.428-105.8255.731
120Short-102.12.2008476.417.12.200846313.4002.81311-4.7983.32768.3258.544
121Long105.02.2009485.5512.02.2009490.555.0001.03054.8670.00053.6259.573
122Long127.04.2009561.3711.05.2009603.4942.1207.503912.411-2.138195.2267.076
123Long118.05.2009608.4722.05.2009623.8515.3802.52845.0980.000230.2269.604
124Long128.05.2009628.305.06.2009651.4123.1103.67863.8500.000167.5273.282
125Long111.06.2009660.101.07.2009634.49-25.610-3.880140.000-10.561-70.7269.403
126Long110.07.2009611.7227.07.2009663.2951.5708.430119.4770.000180.6277.833
127Long131.07.2009673.1906.08.2009670.8-2.390-0.35541.332-0.683-21.6277.478
128Long124.08.2009707.3426.08.2009703.73-3.610-0.51020.000-0.510-92.9276.967
129Long130.09.2009757.816.10.2009765.858.0501.062124.252-4.97924.2278.030
130Long104.01.2010834.4612.01.2010842.097.6300.91463.3630.00041.6278.944
131Long115.01.2010841.1405.02.2010775.94-65.200-7.751150.000-7.751-134.4271.193
132Short-105.02.2010775.9402.03.2010803.54-27.600-3.55717-0.5675.239-51.8267.636
133Long102.03.2010803.5415.03.2010827.0923.5502.93194.9940.00089.0270.567
134Short-130.03.2010809.8606.04.2010838.34-28.480-3.51730.0003.517-183.0267.050
135Short-118.05.2010768.6811.06.2010764.024.6600.60618-10.1030.0009.2267.656
136Long111.06.2010764.0218.06.2010777.1413.1201.71751.8630.00089.4269.373
137Long122.07.2010783.728.07.2010779.68-4.020-0.51341.202-0.513-31.1268.860
138Short-120.08.2010742.1527.08.2010733.768.3901.1305-3.2490.00058.8269.991
139Long129.09.2010777.9213.10.2010802.2224.3003.124103.124-1.14581.3273.115
140Long122.10.2010809.9428.10.2010822.3412.4001.53141.5310.00092.9274.646
141Long110.11.2010814.5401.12.2010782.94-31.600-3.879150.000-5.651-67.3270.766
142Short-101.12.2010782.9422.12.2010843.69-60.750-7.759150.0007.759-134.6263.007
143Long122.12.2010843.6928.12.2010848.775.0800.60230.882-0.18136.6263.609
144Short-103.06.2011901.615.06.2011881.7819.8202.1988-2.6550.00066.7265.807
145Short-128.07.2011826.7602.08.2011787.5239.2404.7463-4.7460.000345.8270.554
146Short-118.08.2011686.5423.08.2011702.18-15.640-2.27830.0002.278-166.0268.275
147Long109.09.2011701.4720.09.2011696.21-5.260-0.75071.125-2.613-24.8267.526
148Short-120.09.2011696.2126.09.2011660.4735.7405.1344-6.1000.000311.6272.659
149Short-104.10.2011626.2206.10.2011663.86-37.640-6.01120.0006.011-1094.7266.648
150Long107.11.2011689.605.12.2011702.1312.5301.817202.487-7.73623.6268.465
151Long131.01.2012743.8608.02.2012773.6129.7503.99963.9990.000182.1272.465
152Long127.03.2012802.6119.04.2012775.93-26.680-3.324150.000-4.833-52.6269.141
153Short-120.04.2012774.9226.04.2012786.62-11.700-1.5104-2.2301.510-91.7267.631
154Long114.05.2012771.7431.05.2012751.01-20.730-2.686130.000-3.790-57.6264.945
155Short-101.06.2012730.907.06.2012748.88-17.980-2.4604-2.3262.460-149.3262.485
156Short-113.06.2012733.9719.06.2012740.03-6.060-0.8264-1.5140.826-50.1261.659
157Long116.07.2012755.2524.07.2012748.63-6.620-0.87762.669-1.323-39.9260.783
158Short-124.07.2012748.6327.07.2012777.93-29.300-3.91430.0003.914-475.2256.869

Generated 30.07.2012 21:03:04