Backtesting of .Dow Jones Industrial Average - AW Indikator 3 (Dow Jones)

Call System

Scan time: 2012-07-30 20:50:39

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

77/0.Dow Jones Industrial AverageAW Indikator 3Dow Jones
Years17.3Start09.05.1995End27.07.2012
TRADESCount#77Yearly#4.5Every82. day
HITSRatio66.23%Wins#51Losses#26
PERFORMProfitf.2.000WinSum79.427LossSum-39.714
Efficiency33.61%AvWin1.557LossAv-1.527
RETURNSum39.713Yearly2.300Daily0.006
Average0.516AvAbs1.53Kurtosis4.89
Median0.512MaxWin7.684MaxLoss-5.439
StdDev2.05Excess1.891/Prof.0.50
INVTIMEDays15.8%Year15.8%687 of4343
FULLYear14.538
LENGTHAverage8.9StdDev5.42Median7.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio54.9%Wins377Losses310
AverageDiff.0.05Wins1.31Losses-1.47
SumProftf.1.1Wins492.2Losses-454.7
SqrSumProfitf.0.8Wins1186.6Losses1413.4
Extremal Temporary Returns
AverageDiff.0.3Wins1.42Losses-1.15
SumProftf.1.2Wins109.59Losses-88.21

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%
1Long124.05.19954438.207.06.1995446223.8000.53691.059-1.55914.00.536
2Long114.06.19954491.122.06.19954589.698.5002.19362.1930.00099.92.729
3Long103.07.19954585.112.07.19954727.3142.2003.10163.1010.000125.55.831
4Long103.08.19954701.401.09.19954647.5-53.900-1.146210.000-2.569-14.44.684
5Long126.09.19954765.618.10.19954777.511.9000.250160.636-0.9404.14.934
6Long125.10.19954753.706.11.1995481460.3001.26881.513-1.05038.56.203
7Long114.12.19955182.229.12.19955117.1-65.100-1.256100.000-2.372-30.54.946
8Long123.02.19965630.508.03.19965470.5-160.000-2.842100.211-2.842-73.92.105
9Long113.03.19965568.721.03.19965626.958.2001.04562.0630.00047.63.150
10Long127.03.19965626.909.04.19965560.4-66.500-1.18281.116-1.182-35.91.968
11Long102.07.19965720.408.07.19965550.8-169.600-2.96530.000-2.965-180.0-0.997
12Long130.09.19965882.209.10.19965930.648.4000.82371.8820.00033.3-0.174
13Long114.10.1996601022.11.19966471.8461.8007.684297.684-0.62171.87.510
14Long110.12.19966473.302.01.19976442.5-30.800-0.476151.353-3.165-7.57.034
15Long106.01.19976567.216.01.19976765.4198.2003.01883.018-0.270109.910.052
16Long125.06.1997769010.07.19977886.8196.8002.559113.541-0.46462.112.611
17Long114.07.1997792318.07.19977890.5-32.500-0.41041.463-0.410-37.412.201
18Long123.07.19978088.401.08.19978194105.6001.30672.0590.00052.813.507
19Long107.08.1997818809.09.19977851.9-336.100-4.105220.000-6.908-45.39.402
20Long115.10.1997805805.11.19977692.6-365.400-4.535150.030-11.129-78.74.867
21Long114.01.19987784.721.01.19987794.49.7000.12541.136-1.1936.54.992
22Long128.01.19987915.502.02.19988107.8192.3002.42932.429-0.114177.07.421
23Long126.02.19988490.705.03.19988444.3-46.400-0.54651.108-0.546-28.46.875
24Long109.03.19988567.113.03.19988602.535.4000.41341.2690.00037.67.288
25Long102.04.19988986.608.04.19988891.5-95.100-1.05840.519-1.058-77.16.230
26Long114.04.19989110.217.04.19989167.557.3000.62930.629-0.36976.46.859
27Long121.01.19999264.102.02.19999274.110.0000.10881.022-1.5483.36.967
28Long112.02.19999274.918.02.19999298.623.7000.25630.256-0.85615.57.222
29Long105.03.19999736.111.03.19999897.4161.3001.65741.657-0.434100.68.879
30Long116.06.19991078522.06.199910721.6-63.400-0.58840.655-0.588-35.78.291
31Long129.06.199910815.409.07.199911193.7378.3003.49873.4980.000127.411.789
32Long110.01.200011572.213.01.200011582.4310.2300.08830.088-0.52810.711.877
33Long115.06.200010714.8211.07.200010727.1912.3700.115170.115-3.1611.611.993
34Long105.09.200011260.6111.09.200011195.49-65.120-0.57840.444-0.578-35.111.414
35Long114.02.200110795.4112.03.200110208.25-587.160-5.439170.886-5.439-76.25.975
36Long127.07.200110416.707.08.200110458.742.0000.40371.291-0.14813.46.379
37Long118.12.20019998.3924.12.200110035.3436.9500.37040.721-0.13222.46.748
38Long125.02.200210145.7128.02.200210106.13-39.580-0.39030.000-0.390-47.46.358
39Long129.08.20039415.8208.09.20039586.29170.4701.81051.8280.00065.98.168
40Long116.09.20039567.3423.09.20039576.048.7000.09150.959-0.3344.78.259
41Long113.11.20039837.9404.12.20039930.8292.8800.944140.944-2.22116.49.203
42Long116.01.200410600.5117.02.200410714.88114.3701.079201.294-1.24712.310.282
43Long123.02.200410609.6204.03.200410588-21.620-0.20480.646-0.408-7.410.079
44Long125.02.200510841.609.03.200510805.62-35.980-0.33280.913-0.695-10.19.747
45Long129.07.200510640.9116.08.200510513.45-127.460-1.198120.533-1.198-24.28.549
46Long123.12.200510883.2713.01.200610959.8776.6000.704131.472-1.52312.29.253
47Long109.02.200610883.3522.02.200611137.17253.8202.33282.3320.00065.311.585
48Long128.02.200610993.4122.03.200611317.43324.0202.947162.947-0.31748.814.532
49Long129.08.200611369.9407.09.200611331.44-38.500-0.33960.874-0.339-13.714.194
50Long113.09.200611543.3220.09.200611613.1969.8700.60550.605-0.13831.514.799
51Long126.09.200611669.3902.10.200611670.350.9600.00840.4200.0000.514.807
52Long107.11.200612156.7722.11.200612326.95170.1801.400111.528-0.44034.016.207
53Long130.11.200612221.9322.12.200612343.22121.2900.992162.041-0.22716.417.200
54Long128.12.200612501.5219.01.200712565.5364.0100.512130.648-0.8288.517.712
55Long125.01.200712502.5606.02.200712666.31163.7501.31081.369-0.12439.819.021
56Long114.02.200712741.8622.02.200712686.02-55.840-0.43850.351-0.438-20.018.583
57Long115.05.200713383.8423.05.200713525.65141.8101.06061.2900.00048.219.643
58Long131.05.200713627.6406.06.200713465.67-161.970-1.18940.357-1.189-72.218.454
59Long128.06.200713422.2806.07.200713611.68189.4001.41151.411-0.10264.219.865
60Long119.05.20098474.8505.06.20098763.13288.2803.402123.402-2.33172.923.267
61Long113.08.20099398.1901.09.20099310.6-87.590-0.932131.941-2.797-17.922.335
62Long108.09.20099497.3415.09.20099683.41186.0701.95951.9590.000101.924.294
63Long129.09.20099742.219.10.200910092.19349.9903.593143.593-2.61365.427.886
64Long103.12.200910366.1516.12.200910441.1274.9700.72391.301-0.77320.328.610
65Long123.12.200910466.4431.12.200910428.05-38.390-0.36750.784-0.367-16.728.243
66Long102.03.201010405.9826.03.201010850.36444.3804.270184.640-0.08967.632.513
67Long123.04.201011204.2828.04.201011045.27-159.010-1.41930.007-1.895-103.431.094
68Long106.10.201010967.6518.10.201011143.69176.0401.60581.605-0.17448.732.699
69Long122.10.201011132.5609.11.201011346.75214.1901.924122.798-0.16738.934.623
70Long113.01.201111731.921.01.201111871.84139.9401.19351.1930.00054.335.816
71Long102.02.201112041.9711.02.201112273.26231.2901.92171.9210.00077.737.737
72Long110.05.201112760.3602.06.201112248.55-511.810-4.011160.000-4.011-63.533.726
73Long119.12.201111766.2623.12.201112294527.7404.48544.4850.000408.438.211
74Long103.02.201212862.2313.02.201212874.0411.8100.09260.219-0.4743.338.303
75Long115.02.201212780.9524.02.201212982.95202.0001.58061.5940.00064.039.883
76Long105.03.201212962.8120.03.201213170.19207.3801.600112.237-1.57141.641.483
77Long127.03.201213197.7319.04.201212964.1-233.630-1.770160.506-3.651-28.039.713

Generated 30.07.2012 20:50:56