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



Scan time: 2012-07-30 20:58:42

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

0/-61.S&P 500AW Indikator 3S&P 500
Years17.3Start09.05.1995End27.07.2012
TRADESCount#61Yearly#3.5Every103. day
HITSRatio65.57%Wins#40Losses#21
PERFORMProfitf.1.900WinSum119.131LossSum-62.713
Efficiency31.20%AvWin2.978LossAv-2.986
RETURNSum56.419Yearly3.268Daily0.009
Average0.925AvAbs2.96Kurtosis6.65
Median1.137MaxWin15.842MaxLoss-12.857
StdDev4.14Excess3.651/Prof.0.53
INVTIMEDays12.5%Year12.3%543 of4339
FULLYear26.483
LENGTHAverage8.9StdDev6.37Median7.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio48.3%Wins262Losses281
AverageDiff.-0.25Wins2.73Losses-3.03
SumProftf.0.8Wins715.3Losses-851.8
SqrSumProfitf.0.9Wins4675.4Losses5095.7
Extremal Temporary Returns
AverageDiff.-0.9Wins-2.85Losses1.92
SumProftf.1.5Wins-173.79Losses116.83

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-111.08.1995555.1115.08.1995558.57-3.460-0.62320.0000.834-56.8-0.623
2Short-122.04.1996647.8909.05.1996645.442.4500.37813-1.4861.0338.1-0.245
3Short-128.06.1996670.6318.07.1996643.5627.0704.03713-6.3020.78373.53.791
4Short-113.03.1997789.5619.03.1997785.773.7900.4804-0.4800.77929.14.271
5Short-131.03.1997757.1203.04.1997750.326.8000.8983-0.9260.333109.05.170
6Short-114.04.1997743.7321.05.1997839.35-95.620-12.857270.00013.197-126.6-7.687
7Short-110.11.1997921.1314.11.1997928.35-7.220-0.7844-1.6470.784-71.4-8.471
8Short-122.01.1998963.0428.01.1998977.46-14.420-1.4974-0.6321.497-90.9-9.968
9Short-107.05.19981095.1412.05.19981115.79-20.650-1.88630.0001.886-137.4-11.854
10Short-111.09.19981009.0605.10.1998988.5620.5002.03216-2.2475.65230.8-9.822
11Short-110.06.19991302.8216.06.19991330.41-27.590-2.1184-0.7052.118-128.6-11.940
12Short-127.10.19991296.7103.12.19991433.3-136.590-10.534260.00010.534-103.7-22.474
13Short-111.07.20001480.8826.07.20001452.4228.4601.92211-1.9221.99946.7-20.552
14Short-105.10.20001436.2816.10.20001374.6261.6604.2937-7.4150.000142.2-16.259
15Short-126.10.20001364.4430.10.20001398.66-34.220-2.50820.0002.508-228.4-18.767
16Short-103.01.20011347.5612.01.20011318.5529.0102.1537-3.8370.00087.1-16.614
17Short-113.03.20011197.6605.04.20011151.4446.2203.85917-7.8830.00063.9-12.755
18Short-108.06.20011264.9620.06.20011223.1441.8203.3068-4.4690.000100.4-9.449
19Short-126.06.20011216.7626.07.20011202.9313.8301.13721-3.7071.64013.8-8.312
20Short-129.08.20011148.5605.09.20011131.7516.8101.4644-1.7000.00076.2-6.849
21Short-126.12.20011149.3716.01.20021127.5721.8001.89714-1.8972.01332.9-4.952
22Short-130.01.20021113.5701.02.20021122.2-8.630-0.77520.0001.493-141.1-5.727
23Short-119.02.20021083.3422.02.20021089.84-6.500-0.6003-0.2211.351-72.8-6.327
24Short-123.04.20021100.9601.05.20021086.4614.5001.3176-3.2250.00060.0-5.010
25Short-107.05.20021049.4904.06.20021040.698.8000.83919-0.8395.44110.9-4.171
26Short-124.06.2002992.7226.06.2002973.5319.1901.9332-1.9330.000352.1-2.238
27Short-113.09.2002889.8119.09.2002843.3246.4905.2254-5.2250.145317.22.986
28Short-120.11.2002914.1509.12.200289222.1502.42312-2.4232.70446.55.409
29Short-130.12.2002879.3902.01.2003909.03-29.640-3.37120.0003.371-409.22.039
30Short-125.02.2003838.5714.03.2003833.275.3000.63213-4.5120.30813.52.671
31Short-130.07.2003987.505.08.2003965.4522.0502.2334-2.2330.284135.64.904
32Short-104.03.20041154.8715.03.20041104.4950.3804.3627-4.3620.172144.59.266
33Short-110.05.20041087.1212.05.20041097.28-10.160-0.93520.0000.935-170.28.332
34Short-118.05.20041091.4917.06.20041132.05-40.560-3.71620-0.2574.644-45.14.616
35Short-105.08.20041080.711.08.20041075.794.9100.4544-1.5480.00027.65.070
36Short-104.04.20051176.1220.04.20051137.538.6203.28412-3.2841.27774.88.354
37Short-116.08.20051219.3423.08.20051217.591.7500.1445-0.1440.1967.58.497
38Short-105.10.20051196.3910.10.20051187.339.0600.7573-0.7570.00055.29.254
39Short-101.02.20061282.4609.02.20061263.7818.6801.4576-2.1580.00066.310.711
40Short-131.05.20061270.0912.06.20061236.433.6902.6538-2.6531.42780.513.364
41Short-122.06.20061245.620.07.20061249.13-3.530-0.28319-0.8922.776-3.713.080
42Short-124.07.20061260.9111.08.20061266.74-5.830-0.462140.0001.535-9.412.618
43Short-114.03.20071387.1730.03.20071420.86-33.690-2.42912-0.0163.628-55.310.189
44Short-121.06.20071522.1927.06.20071506.3415.8501.0414-1.9250.00063.211.230
45Short-102.11.20071509.6514.11.20071470.5839.0702.5888-4.6680.70378.613.818
46Short-128.12.20071478.4908.01.20081390.1988.3005.9726-5.9720.000197.819.791
47Short-119.02.20081348.7806.03.20081304.3444.4403.29512-3.2952.41075.023.085
48Short-120.06.20081317.9325.06.20081321.97-4.040-0.3073-0.2760.307-22.322.779
49Short-103.09.20081274.9809.09.20081224.5150.4703.9584-3.9580.000240.326.737
50Short-124.09.20081185.8714.10.2008998.01187.86015.84214-24.1722.311288.542.579
51Short-116.10.2008946.4329.10.2008930.0916.3401.7269-10.3034.11848.444.305
52Short-102.12.2008848.8117.12.2008904.42-55.610-6.55211-0.4237.584-159.137.754
53Short-102.02.2009825.4425.02.2009764.960.5407.33416-9.9475.385116.245.088
54Short-102.07.2009896.4210.07.2009879.1317.2901.9295-1.9290.25787.847.017
55Short-117.05.20101136.9424.05.20101073.6563.2905.5675-5.7480.000289.752.584
56Short-102.06.20101098.3828.06.20101074.5723.8102.16818-4.3621.74230.454.751
57Short-103.06.20111300.1610.06.20111270.9829.1802.2445-2.2440.000116.856.996
58Short-126.07.20111331.9404.08.20111200.07131.8709.9017-9.9010.000400.766.896
59Short-119.08.20111123.5324.08.20111177.6-54.070-4.81330.0004.813-350.662.084
60Short-119.04.20121376.9226.04.20121399.98-23.060-1.6755-0.7251.675-87.160.409
61Short-101.06.20121278.0428.06.20121329.04-51.000-3.990190.0006.255-53.856.419

Generated 30.07.2012 20:58:58