Backtesting of .Zink LME 15M $/to - AW Indikator 3 (Zink LME 15M $/to) - Call Part



Scan time: 2012-07-30 21:04:35

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

20/0.Zink LME 15M $/toAW Indikator 3Zink LME 15M $/to
Years6.6Start22.09.2005End20.04.2012
TRADESCount#20Yearly#3.0Every120. day
HITSRatio70.00%Wins#14Losses#6
PERFORMProfitf.2.590WinSum76.201LossSum-29.424
Efficiency44.71%AvWin5.443LossAv-4.904
RETURNSum46.776Yearly7.093Daily0.019
Average2.339AvAbs5.23Kurtosis2.49
Median2.636MaxWin11.841MaxLoss-10.536
StdDev5.93Excess-0.511/Prof.0.39
INVTIMEDays12.9%Year12.9%213 of1654
FULLYear55.140
LENGTHAverage10.7StdDev5.54Median10.5
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio64.2%Wins136Losses76
AverageDiff.1.44Wins5.06Losses-5.02
SumProftf.1.8Wins687.6Losses-381.5
SqrSumProfitf.2.0Wins6255.7Losses3128.0
Extremal Temporary Returns
AverageDiff.4.7Wins7.57Losses-2.87
SumProftf.2.6Wins151.45Losses-57.47

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%
1Long127.10.20051430.503.11.20051465.535.0002.44753.4950.000127.32.447
2Long109.05.20062870.516.05.20062892.522.0000.76659.580-1.84639.93.213
3Long125.05.20062890.502.06.20062962.572.0002.49159.0640.000113.45.704
4Long104.09.20063070.511.09.20062934.5-136.000-4.42953.094-4.429-230.51.275
5Long105.10.20062930.525.10.20063277.5347.00011.8411411.8410.000215.713.116
6Long120.02.20091152.512.03.20091280.5128.00011.1061441.2150.000212.924.222
7Long120.05.20091539.505.06.20091655.5116.0007.535117.535-1.754171.531.757
8Long108.07.20091615.530.07.20091759.5144.0008.9141611.452-3.095147.640.671
9Long121.09.20091929.528.09.20091902.5-27.000-1.39952.902-1.399-72.839.271
10Long101.10.20091977.515.10.20092032.555.0002.781107.686-2.88272.442.053
11Long121.10.20092174.529.10.20092270.596.0004.41569.7950.000201.046.467
12Long109.11.20092257.523.11.20092339.582.0003.632103.632-2.96894.550.100
13Long117.12.20092462.506.01.20102712.5250.00010.1521110.1520.000184.960.252
14Long119.08.20102190.508.09.20102252.562.0002.830132.830-7.35051.563.082
15Long120.09.20102244.511.10.20102377.5133.0005.926146.015-1.203102.869.008
16Long108.11.20102529.515.11.20102367.5-162.000-6.40452.095-6.404-333.362.604
17Long122.12.20102345.521.01.20112377.532.0001.364196.822-1.19416.663.968
18Long104.03.20112552.529.03.20112394.5-158.000-6.190170.000-8.893-93.957.778
19Long112.09.20112230.514.10.20111995.5-235.000-10.536242.242-13.495-119.947.242
20Long113.03.20122147.519.03.20122137.5-10.000-0.46640.000-0.559-28.346.776

Generated 30.07.2012 21:04:50