Backtesting of .S&P 500 - AW Indikator 3 (S&P 500) - Call Part



Scan time: 2012-07-30 20:58:27

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

109/0.S&P 500AW Indikator 3S&P 500
Years17.3Start09.05.1995End27.07.2012
TRADESCount#108Yearly#6.3Every58. day
HITSRatio72.22%Wins#78Losses#30
PERFORMProfitf.3.215WinSum144.233LossSum-44.866
Efficiency52.83%AvWin1.849LossAv-1.496
RETURNSum99.366Yearly5.755Daily0.016
Average0.920AvAbs1.74Kurtosis3.69
Median0.751MaxWin6.986MaxLoss-5.924
StdDev2.04Excess0.691/Prof.0.31
INVTIMEDays23.5%Year23.8%1019 of4339
FULLYear24.178
LENGTHAverage9.4StdDev6.67Median7.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio60.3%Wins614Losses405
AverageDiff.0.27Wins1.49Losses-1.57
SumProftf.1.4Wins915.6Losses-637.1
SqrSumProfitf.1.2Wins2338.1Losses1877.8
Extremal Temporary Returns
AverageDiff.0.7Wins1.85Losses-1.14
SumProftf.1.6Wins200.20Losses-123.05

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%
1Long124.05.1995528.6130.05.1995523.58-5.030-0.95230.000-0.952-57.8-0.952
2Long102.06.1995532.5121.06.1995543.9811.4702.154132.387-0.85841.31.202
3Long103.07.1995547.0912.07.1995560.8913.8002.52262.5220.000102.13.725
4Long126.07.1995561.6131.07.1995562.060.4500.08030.6430.0005.83.805
5Long108.08.1995560.3911.08.1995555.11-5.280-0.94230.000-0.942-114.42.863
6Long129.09.1995584.4118.10.1995587.443.0300.518130.518-1.1799.93.381
7Long131.10.1995581.506.11.1995588.466.9601.19741.5600.00072.74.578
8Long123.02.1996659.0821.03.1996649.19-9.890-1.501190.000-3.881-20.23.078
9Long102.04.1996655.2609.04.1996642.19-13.070-1.99540.095-1.995-121.11.083
10Long103.06.1996667.6827.06.1996668.550.8700.130181.612-0.8572.01.213
11Long128.08.1996664.8118.09.1996681.4716.6602.506142.884-2.31243.53.719
12Long101.10.1996689.0804.10.1996701.4612.3801.79731.7970.000218.15.516
13Long115.10.1996702.5713.11.1996731.1328.5604.065214.170-0.75651.19.581
14Long106.01.1997747.6517.01.1997776.1728.5203.81593.8150.000126.313.396
15Long131.01.1997786.1606.02.1997780.15-6.010-0.76440.394-1.002-46.412.631
16Long110.02.1997785.4313.03.1997789.564.1300.526223.9290.0006.213.157
17Long121.05.1997839.3519.06.1997897.9958.6406.986206.986-0.44087.820.143
18Long126.06.1997883.6818.07.1997915.331.6203.578155.9870.00059.223.721
19Long124.07.1997940.329.07.1997942.291.9900.21230.212-0.40915.423.933
20Long130.09.1997947.2809.10.1997970.6223.3402.46473.7830.00099.726.397
21Long114.11.1997928.3521.11.1997963.0934.7403.74253.7420.000194.730.139
22Long117.12.1997965.5406.01.1998966.581.0400.108121.194-3.4012.030.247
23Long114.01.1998957.9422.01.1998963.045.1000.53252.157-0.75324.230.779
24Long129.01.1998985.4903.02.1998100620.5102.08132.081-0.529151.632.860
25Long110.03.19981064.2524.03.19981105.6541.4003.890103.8900.000101.236.750
26Long102.04.19981120.0106.05.19981104.92-15.090-1.347230.940-3.116-14.935.403
27Long118.06.19981106.3724.06.19981132.8826.5102.39642.396-0.517145.537.799
28Long117.11.19981139.3225.11.19981186.8747.5504.17464.2910.000190.041.973
29Long107.12.19981187.728.12.19981225.4937.7903.182143.439-3.91555.245.155
30Long120.01.19991256.6202.02.19991261.995.3700.42791.832-2.50112.045.582
31Long126.03.19991282.812.04.19991358.6375.8305.911105.9110.000134.651.493
32Long122.04.19991358.8228.04.19991350.91-7.910-0.58240.293-0.582-35.350.911
33Long105.05.19991347.3117.05.19991339.49-7.820-0.58081.503-1.133-17.650.331
34Long117.06.19991339.923.06.19991333.06-6.840-0.51040.679-0.510-31.049.820
35Long130.06.19991372.7107.07.19991395.8623.1501.68641.6860.00087.851.507
36Long105.04.20001487.3726.04.20001460.99-26.380-1.774141.948-8.795-30.849.733
37Long130.10.20001398.6603.11.20001426.6928.0302.00442.1980.000182.551.737
38Long112.01.20011318.5517.01.20011329.4710.9200.82820.8280.00060.352.565
39Long127.04.20011253.0503.05.20011248.58-4.470-0.35741.148-0.357-21.752.209
40Long110.05.20011255.1823.05.20011289.0533.8702.69894.593-0.75875.654.907
41Long127.07.20011205.8202.08.20011220.7514.9301.23841.238-0.10875.256.145
42Long124.10.20011085.208.11.20011118.5533.3503.073113.101-2.34174.659.218
43Long119.03.20021170.2923.04.20021100.96-69.330-5.924240.000-5.924-63.553.294
44Long131.03.2003848.1809.04.2003865.9917.8102.10073.8580.00095.655.394
45Long115.04.2003890.8128.04.2003914.8424.0302.69883.167-1.22475.658.091
46Long113.05.2003942.330.05.2003963.5921.2902.259122.259-2.39548.460.351
47Long127.08.2003996.808.09.20031031.6534.8503.49673.4960.000106.163.847
48Long117.09.20031025.9509.10.20031038.7512.8001.248161.330-2.92420.765.095
49Long113.11.20031058.4102.12.20031066.628.2100.776121.106-2.33914.965.870
50Long116.01.20041139.8313.02.20041145.815.9800.525191.573-1.1686.866.395
51Long123.02.20041140.9903.03.20041151.0310.0400.88071.313-0.16735.667.275
52Long120.04.20041118.1510.05.20041087.12-31.030-2.775142.008-2.775-50.564.500
53Long117.06.20041132.0504.08.20041098.63-33.420-2.952331.061-4.238-22.461.548
54Long122.09.20041113.5606.10.20041142.0528.4902.558102.558-0.90266.664.106
55Long129.11.20041178.5716.12.20041203.2124.6402.091132.304-0.40344.866.197
56Long123.12.20041210.1329.12.20041213.453.3200.27430.282-0.43116.766.471
57Long116.03.20051188.0704.04.20051176.12-11.950-1.006120.180-1.912-20.465.465
58Long118.05.20051185.5624.05.20051194.078.5100.71840.7180.00043.666.183
59Long110.06.20051198.1121.06.20051213.6115.5001.29471.5730.00042.867.477
60Long128.07.20051243.7216.08.20051219.34-24.380-1.960130.106-1.960-37.665.517
61Long120.09.20051221.3404.10.20051214.47-6.870-0.562100.612-0.912-14.664.954
62Long105.12.20051262.0916.12.20051267.325.2300.41490.844-0.49513.765.368
63Long123.12.20051268.6628.12.20051258.17-10.490-0.82720.000-0.955-60.264.542
64Long120.01.20061261.4901.02.20061282.4620.9701.66281.8800.00050.566.204
65Long128.04.20061310.6111.05.20061305.92-4.690-0.35891.156-0.414-10.065.846
66Long129.08.20061304.2807.09.20061294.02-10.260-0.78760.688-0.787-31.865.059
67Long113.09.20061318.0718.09.20061321.183.1100.23630.236-0.13617.265.295
68Long126.09.20061336.3430.10.20061377.9341.5903.112243.947-0.37633.368.408
69Long108.11.20061385.7221.11.20061402.8117.0901.23391.233-0.53334.669.641
70Long130.11.20061400.6318.01.20071426.3725.7401.838312.233-0.28013.771.479
71Long115.02.20071456.8122.02.20071456.38-0.430-0.03040.197-0.087-1.571.449
72Long104.04.20071439.3712.04.20071447.88.4300.58650.627-0.03526.772.035
73Long104.05.20071505.6209.05.20071512.586.9600.46230.4620.00033.772.497
74Long117.05.20071512.7506.06.20071517.384.6300.306131.747-0.3465.672.803
75Long128.06.20071505.7106.07.20071530.4424.7301.64251.642-0.15774.874.446
76Long113.07.20071552.519.07.20071553.080.5800.03740.037-0.4082.374.483
77Long112.09.20071471.5618.09.20071519.7848.2203.27743.2770.000198.977.760
78Long127.09.20071531.3831.10.20071549.3818.0001.175242.205-2.00812.678.935
79Long102.04.20081367.5308.04.20081365.54-1.990-0.14640.366-0.146-8.878.790
80Long117.04.20081365.5623.04.20081379.9314.3701.05241.8140.00063.979.842
81Long114.05.20081408.6621.05.20081390.71-17.950-1.27451.276-1.274-66.378.568
82Long125.08.20081266.8403.09.20081274.988.1400.64362.6710.00026.079.210
83Long117.12.2008904.4207.01.2009906.652.2300.247133.348-4.5624.379.457
84Long103.04.2009842.529.04.2009873.6431.1403.696173.696-3.19951.883.153
85Long120.05.2009903.4705.06.2009940.0936.6204.053114.568-1.82392.387.206
86Long114.08.20091004.0926.08.20091028.1224.0302.39382.393-2.42672.689.599
87Long108.09.20091025.3914.09.20091049.3423.9502.33642.3360.000141.891.935
88Long129.09.20091060.6114.10.20091092.0231.4102.962112.962-3.33871.994.897
89Long125.11.20091110.6317.12.20091096.08-14.550-1.310150.313-1.723-21.793.586
90Long122.12.20091118.0230.12.20091126.428.4000.75150.8730.00034.294.338
91Long106.01.20101137.1413.01.20101145.688.5400.75150.865-0.08139.195.089
92Long131.03.20101169.4319.04.20101197.5228.0902.402123.6120.00046.097.491
93Long123.04.20101217.2827.04.20101183.71-33.570-2.75820.000-2.758-251.194.733
94Long104.08.20101127.2409.09.20101104.18-23.060-2.046250.049-7.099-20.792.687
95Long107.10.20101158.0615.10.20101176.1918.1301.56661.7300.00071.394.253
96Long122.10.20101183.0828.10.20101183.780.7000.05940.216-0.0533.694.312
97Long103.11.20101197.9609.11.20101213.415.4401.28942.3280.00078.295.601
98Long113.01.20111283.7631.01.20111286.122.3600.184111.229-0.5783.795.785
99Long102.02.20111304.0308.02.20111324.5720.5401.57541.5750.00095.697.360
100Long110.05.20111357.1602.06.20111312.94-44.220-3.258160.000-3.258-51.694.102
101Long119.07.20111326.7326.07.20111331.945.2100.39351.379-0.06720.494.494
102Long109.09.20111154.2320.09.20111202.0947.8604.14675.3520.000137.398.641
103Long108.11.20111275.9210.11.20111239.7-36.220-2.83920.000-3.670-517.095.802
104Long103.02.20121344.908.02.20121349.965.0600.37630.376-0.04227.496.178
105Long117.02.20121361.2315.03.20121402.641.3703.039183.039-1.31342.699.217
106Long127.03.20121412.5219.04.20121376.92-35.600-2.520160.462-3.818-39.996.697
107Long128.06.20121329.0405.07.20121367.5838.5402.90043.3840.000150.999.597
108Long116.07.20121353.6423.07.20121350.52-3.120-0.23051.690-0.230-12.099.366

Generated 30.07.2012 20:58:42