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

Calls 20 - Puts 8

Scan time: 2012-07-30 21:05:04

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/-8.Zink LME 15M $/toAW Indikator 3Zink LME 15M $/to
Years6.6Start22.09.2005End20.04.2012
TRADESCount#28Yearly#4.2Every86. day
HITSRatio71.43%Wins#20Losses#8
PERFORMProfitf.3.184WinSum108.184LossSum-33.976
Efficiency52.57%AvWin5.409LossAv-4.247
RETURNSum74.208Yearly11.253Daily0.031
Average2.650AvAbs5.04Kurtosis2.64
Median2.636MaxWin11.841MaxLoss-10.536
StdDev5.51Excess-0.361/Prof.0.31
INVTIMEDays18.3%Year18.3%303 of1654
FULLYear61.433
LENGTHAverage10.8StdDev5.42Median10.5
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio66.6%Wins201Losses101
AverageDiff.1.88Wins5.05Losses-4.41
SumProftf.2.3Wins1014.9Losses-445.9
SqrSumProfitf.2.6Wins8738.6Losses3379.6
Extremal Temporary Returns
AverageDiff.2.4Wins3.54Losses-1.16
SumProftf.3.1Wins99.15Losses-32.38

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
6Short-103.04.20072995.505.04.20073090.5-95.000-3.17120.0003.171-577.69.944
7Short-111.07.20073185.515.08.20073017.5168.0005.27420-5.5888.94754.915.218
8Short-131.08.20072885.514.09.20072715.5170.0005.89210-9.1840.000153.321.110
9Short-127.06.20082004.510.07.20081977.527.0001.3479-8.0820.00037.722.457
10Short-129.07.20081920.520.08.20081735.5185.0009.63316-13.8511.927159.532.090
11Short-105.11.20081255.517.11.20081230.525.0001.9918-4.4602.38960.434.081
12Short-124.11.20081274.511.12.20081174.5100.0007.84613-7.8464.943168.141.927
13Long120.02.20091152.512.03.20091280.5128.00011.1061441.2150.000212.953.033
14Long120.05.20091539.505.06.20091655.5116.0007.535117.535-1.754171.560.568
15Long108.07.20091615.530.07.20091759.5144.0008.9141611.452-3.095147.669.482
16Long121.09.20091929.528.09.20091902.5-27.000-1.39952.902-1.399-72.868.083
17Long101.10.20091977.515.10.20092032.555.0002.781107.686-2.88272.470.864
18Long121.10.20092174.529.10.20092270.596.0004.41569.7950.000201.075.279
19Long109.11.20092257.523.11.20092339.582.0003.632103.632-2.96894.578.911
20Long117.12.20092462.506.01.20102712.5250.00010.1521110.1520.000184.989.063
21Short-121.06.20101884.507.07.20101910.5-26.000-1.38012-3.2903.715-31.487.684
22Long119.08.20102190.508.09.20102252.562.0002.830132.830-7.35051.590.514
23Long120.09.20102244.511.10.20102377.5133.0005.926146.015-1.203102.896.440
24Long108.11.20102529.515.11.20102367.5-162.000-6.40452.095-6.404-333.390.035
25Long122.12.20102345.521.01.20112377.532.0001.364196.822-1.19416.691.400
26Long104.03.20112552.529.03.20112394.5-158.000-6.190170.000-8.893-93.985.210
27Long112.09.20112230.514.10.20111995.5-235.000-10.536242.242-13.495-119.974.674
28Long113.03.20122147.519.03.20122137.5-10.000-0.46640.000-0.559-28.374.208

Generated 30.07.2012 21:05:18