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



Scan time: 2012-07-30 20:46:48

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

40/0.Blei LME 15M $/toAW Indikator 3Blei LME 15M $/t
Years6.6Start19.09.2005End20.04.2012
TRADESCount#40Yearly#6.1Every60. day
HITSRatio67.50%Wins#27Losses#13
PERFORMProfitf.2.200WinSum174.371LossSum-79.273
Efficiency37.64%AvWin6.458LossAv-6.098
RETURNSum95.098Yearly14.403Daily0.040
Average2.377AvAbs6.32Kurtosis3.55
Median2.649MaxWin18.803MaxLoss-19.405
StdDev7.80Excess0.551/Prof.0.45
INVTIMEDays27.5%Year27.3%455 of1657
FULLYear52.804
LENGTHAverage11.4StdDev7.59Median10.5
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio52.1%Wins236Losses217
AverageDiff.-0.20Wins4.59Losses-5.41
SumProftf.0.9Wins1082.4Losses-1173.9
SqrSumProfitf.1.0Wins11257.0Losses11530.1
Extremal Temporary Returns
AverageDiff.1.9Wins6.05Losses-4.12
SumProftf.1.5Wins241.95Losses-164.87

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%
1Long118.10.2005934.510.11.2005917.5-17.000-1.819170.000-5.778-28.8-1.819
2Long118.11.2005924.523.11.2005897.5-27.000-2.92030.324-2.920-212.8-4.740
3Long128.11.2005930.502.12.2005950.520.0002.14942.3640.000195.7-2.590
4Long120.12.20051005.527.01.20061192.5187.00018.5982527.350-4.078178.316.007
5Long103.02.20061274.524.02.20061107.5-167.000-13.103150.000-13.260-227.32.904
6Long121.04.20061197.526.04.20061155.5-42.000-3.50730.000-3.507-255.5-0.603
7Long121.08.20061135.531.08.20061170.535.0003.08273.082-0.264112.32.479
8Long125.09.20061232.525.10.20061367.5135.00010.9532210.9530.000133.013.433
9Long107.03.20071527.527.03.20071609.582.0005.368146.416-1.637102.918.801
10Long125.04.20071777.509.05.20071850.573.0004.10794.388-0.169106.922.908
11Long123.05.20071855.504.06.20072060.5205.00011.048711.1560.000335.433.956
12Long112.06.20072079.528.06.20072470.5391.00018.8031219.716-1.154428.152.759
13Long106.08.20072915.530.08.20072852.5-63.000-2.161170.583-12.691-32.850.598
14Long106.09.20072647.519.09.20072964.5317.00011.974911.9740.000335.562.571
15Long104.10.20073290.519.11.20073005.5-285.000-8.661326.747-8.661-68.653.910
16Long105.02.20091194.511.02.20091175.5-19.000-1.59140.921-1.591-96.652.319
17Long117.02.20091135.510.03.20091285.5150.00013.2101542.272-9.247240.665.529
18Long123.06.20091665.501.07.20091710.545.0002.70264.3230.000123.068.231
19Long108.07.20091672.523.07.20091747.575.0004.484114.484-3.288108.972.716
20Long114.08.20091912.528.08.20092099.5187.0009.778109.778-5.752254.482.493
21Long117.09.20092237.515.10.20092177.5-60.000-2.682204.469-5.006-34.979.812
22Long121.10.20092280.523.10.20092440.5160.0007.01627.1040.0001277.886.828
23Long102.11.20092287.523.11.20092412.5125.0005.464156.995-0.52594.892.292
24Long103.12.20092482.507.12.20092382.5-100.000-4.02820.000-4.028-366.888.264
25Long129.12.20092432.505.01.20102517.585.0003.49443.7000.000181.891.758
26Long119.01.20102432.522.02.20102325.5-107.000-4.399240.000-19.322-47.187.360
27Long104.03.20102217.506.04.20102267.550.0002.255214.059-7.35125.789.615
28Long106.07.20101827.529.07.20102062.5235.00012.8591712.859-0.657203.6102.474
29Long124.09.20102304.519.10.20102397.593.0004.036165.554-3.21158.8106.509
30Long122.10.20102495.527.10.20102519.524.0000.96232.4840.00070.1107.471
31Long104.11.20102465.509.11.20102529.564.0002.59632.596-0.527189.1110.067
32Long122.12.20102385.506.01.20112592.5207.0008.67788.677-1.090210.7118.744
33Long101.04.20112607.506.04.20112715.5108.0004.14234.1420.000301.7122.886
34Long108.06.20112520.514.06.20112574.554.0002.14242.3800.000130.1125.028
35Long128.07.20112720.517.08.20112434.5-286.000-10.513140.000-14.446-191.5114.516
36Long112.09.20112437.505.10.20111964.5-473.000-19.405170.328-19.405-307.395.111
37Long115.11.20112079.521.11.20112094.515.0000.72140.769-0.67343.895.832
38Long129.11.20112095.501.12.20112155.560.0002.86322.863-0.859521.598.695
39Long109.02.20122255.501.03.20122275.520.0000.887154.079-7.00515.499.582
40Long112.03.20122185.510.04.20122087.5-98.000-4.484192.059-6.772-56.395.098

Generated 30.07.2012 20:47:04