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



Scan time: 2012-07-30 20:47:04

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

0/-24.Blei LME 15M $/toAW Indikator 3Blei LME 15M $/t
Years6.6Start19.09.2005End20.04.2012
TRADESCount#23Yearly#3.6Every100. day
HITSRatio52.17%Wins#12Losses#11
PERFORMProfitf.1.464WinSum57.445LossSum-39.227
Efficiency19.04%AvWin4.787LossAv-3.566
RETURNSum18.218Yearly2.759Daily0.008
Average0.792AvAbs4.16Kurtosis2.65
Median0.181MaxWin11.792MaxLoss-7.839
StdDev5.46Excess-0.351/Prof.0.68
INVTIMEDays15.1%Year15.0%251 of1657
FULLYear18.433
LENGTHAverage10.9StdDev7.47Median11.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio42.2%Wins105Losses144
AverageDiff.-0.40Wins4.71Losses-4.13
SumProftf.0.8Wins495.1Losses-594.7
SqrSumProfitf.1.0Wins3869.0Losses3972.6
Extremal Temporary Returns
AverageDiff.-0.8Wins-4.61Losses3.77
SumProftf.1.2Wins-105.98Losses86.79

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-124.02.20061107.501.03.20061100.57.0000.6323-0.6320.72246.00.632
2Short-109.03.20061102.513.03.20061100.52.0000.1812-0.1810.45416.50.813
3Short-122.03.20061125.507.04.20061170.5-45.000-3.99812-0.0894.620-97.1-3.185
4Short-109.06.20061029.521.07.20061042.5-13.000-1.26330-8.74210.782-11.0-4.448
5Short-103.01.20071415.510.01.20071370.545.0003.1795-6.9230.000165.4-1.268
6Short-117.01.20071325.512.02.20071407.5-82.000-6.18618-1.7357.846-86.7-7.455
7Short-119.11.20073005.526.11.20072930.575.0002.4955-7.2530.000129.9-4.959
8Short-104.12.20072712.510.12.20072497.5215.0007.9264-7.9260.295481.22.967
9Short-102.01.20082465.523.01.20082487.5-22.000-0.89215-0.8525.678-15.52.075
10Short-102.04.20082792.521.04.20082807.5-15.000-0.537130.0004.906-10.31.537
11Short-109.06.20081967.509.07.20081735.5232.00011.79222-18.3991.169143.213.329
12Short-117.12.20081015.524.12.2008907.5108.00010.6355-10.6350.000553.423.964
13Short-108.05.20091477.528.05.20091442.535.0002.36913-6.0913.92643.126.333
14Short-101.07.20091710.508.07.20091672.538.0002.2225-2.3382.455115.628.555
15Short-121.12.20092387.529.12.20092432.5-45.000-1.8854-1.6751.885-85.826.670
16Short-103.06.20101724.510.06.20101710.514.0000.8125-5.4510.00042.227.482
17Short-109.11.20102529.519.11.20102240.5289.00011.4258-12.8091.305416.238.907
18Short-101.12.20102232.521.12.20102407.5-175.000-7.839140.0008.063-142.831.068
19Short-109.03.20112515.515.03.20112420.595.0003.7774-5.7640.000275.134.845
20Short-119.08.20112364.509.09.20112470.5-106.000-4.48314-0.9309.135-77.830.362
21Short-105.10.20111964.524.10.20112027.5-63.000-3.20713-3.8186.007-61.527.155
22Short-131.10.20112054.515.11.20112079.5-25.000-1.21711-1.8012.677-29.525.938
23Short-130.12.20112072.507.02.20122232.5-160.000-7.72026-1.93014.861-72.118.218

Generated 30.07.2012 20:47:22