Backtesting of .Kupfer LME Cash $/to - AW Indikator 3 (Kupfer LME Cash $/to) - Call Part



Scan time: 2012-07-30 20:53:58

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

53/0.Kupfer LME Cash $/toAW Indikator 3Kupfer LME Cash $/to
Years17.3Start10.05.1995End27.07.2012
TRADESCount#53Yearly#3.1Every119. day
HITSRatio60.38%Wins#32Losses#21
PERFORMProfitf.3.474WinSum143.796LossSum-41.394
Efficiency55.60%AvWin4.494LossAv-1.971
RETURNSum102.403Yearly5.932Daily0.016
Average1.932AvAbs3.48Kurtosis3.76
Median1.244MaxWin15.600MaxLoss-7.117
StdDev4.35Excess0.761/Prof.0.29
INVTIMEDays13.0%Year12.9%560 of4324
FULLYear46.107
LENGTHAverage10.6StdDev7.03Median8.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio47.7%Wins266Losses292
AverageDiff.-0.17Wins2.80Losses-2.88
SumProftf.0.9Wins744.9Losses-842.2
SqrSumProfitf.0.8Wins3973.0Losses4713.0
Extremal Temporary Returns
AverageDiff.1.0Wins3.42Losses-2.44
SumProftf.1.4Wins181.04Losses-129.22

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%
1Long104.04.1997240328.04.19972525122.0005.077167.782-4.61980.45.077
2Long107.07.19991652.512.08.19991678.526.0001.573263.268-3.81215.96.650
3Long120.09.19991793.523.09.19991741-52.500-2.92730.000-2.927-355.43.723
4Long101.11.19991742.505.11.19991740.5-2.000-0.11540.976-0.115-10.53.608
5Long101.08.2000185412.09.20001966112.0006.041306.041-0.75552.49.649
6Long126.09.20001983.511.10.20001931-52.500-2.647110.000-3.252-64.37.003
7Long118.01.2002152130.01.20021502-19.000-1.24981.249-1.545-37.95.753
8Long104.02.2002157906.02.20021578-1.000-0.06320.000-0.443-11.55.690
9Long118.03.2002163221.03.20021632.50.5000.03131.1340.0003.75.721
10Long102.04.2002164724.04.20021589-58.000-3.522160.000-5.829-61.12.199
11Long119.06.2002163703.07.200216381.0000.061101.863-1.3741.62.260
12Long102.12.2002164605.12.20021569-77.000-4.67830.000-4.678-568.0-2.418
13Long111.12.20021597.510.01.2003162628.5001.784172.285-3.59921.7-0.634
14Long103.02.2003172828.02.20031701-27.000-1.562190.000-5.816-22.8-2.196
15Long128.07.20031774.522.08.20031763-11.500-0.648191.437-2.790-9.4-2.844
16Long101.09.2003175910.09.2003177415.0000.85372.7000.00034.5-1.992
17Long117.09.2003178810.10.20031870.582.5004.614174.614-0.67173.12.622
18Long130.10.2003204105.11.2003210160.0002.94042.9400.000178.55.562
19Long114.11.2003209708.12.20032189.592.5004.411164.411-5.91366.99.973
20Long121.01.2004245011.02.20042607157.0006.408156.9180.000111.216.381
21Long126.02.2004294919.03.20043076127.0004.307164.307-3.93471.320.688
22Long101.04.2005339614.04.20053305-91.000-2.68092.974-2.680-81.318.008
23Long116.08.20053807.519.08.20053788.5-19.000-0.49930.079-0.657-60.617.509
24Long119.10.20054131.508.11.20054109.5-22.000-0.532141.162-3.534-9.716.977
25Long129.11.20054379.507.12.20054586206.5004.71564.7150.000214.721.692
26Long120.12.20054585.2516.01.20064753.5168.2503.669163.669-1.06349.525.361
27Long109.08.20067912.514.08.20067630-282.500-3.57031.987-3.570-260.121.791
28Long103.04.2007728513.04.20077800.25515.2507.07369.4060.000257.628.864
29Long127.06.20077359.506.07.20077901.5542.0007.36577.7480.000298.136.228
30Long120.07.20078120.2502.08.20078054.75-65.500-0.80740.471-2.158-22.635.422
31Long117.03.20088359.502.04.20088463.5104.0001.244102.129-6.83128.336.666
32Long116.03.20093687.523.03.20094006.25318.7508.64458.6440.000449.845.310
33Long101.04.20093963.2514.04.20094581.5618.25015.600715.6000.000437.160.910
34Long119.05.20094600.7526.05.20094537.5-63.250-1.37540.000-2.146-71.559.535
35Long108.07.20094849.520.07.20095397.5548.00011.300811.300-0.598343.070.835
36Long125.08.20096285.2528.08.20096490.25205.0003.26233.262-0.394396.074.097
37Long104.09.20096277.511.09.20096289.7512.2500.19552.9910.00010.274.292
38Long120.10.20096443.7527.10.20096561.5117.7501.82753.593-1.52195.176.119
39Long103.11.20096395.2523.11.20096945.25550.0008.600148.6000.000156.684.719
40Long102.12.20097054.7508.12.20096960.25-94.500-1.34040.227-1.907-81.383.380
41Long115.12.20096800.2506.01.20107587.25787.00011.5731311.5730.000191.694.953
42Long120.01.20107445.519.02.20107192.5-253.000-3.398220.000-16.167-41.391.555
43Long102.03.20107358.508.03.20107541182.5002.48042.4800.000150.694.035
44Long112.03.20107469.508.04.20107795325.5004.358176.436-2.26661.198.393
45Long125.10.20108500.509.11.20108844.25343.7504.044114.044-3.24798.2102.436
46Long122.12.20109414.2506.01.20119590.5176.2501.87283.588-1.53845.5104.309
47Long113.01.20119621.518.01.20119739.5118.0001.22631.226-0.32289.3105.535
48Long115.02.201110106.2504.03.20119970.25-136.000-1.346130.000-6.595-28.8104.189
49Long105.04.20119251.2513.04.20119625.25374.0004.04366.1750.000184.1108.232
50Long128.07.20119743.7502.09.20119050.25-693.500-7.117250.852-10.099-72.0101.115
51Long108.02.20128585.7529.02.20128584-1.750-0.020150.824-4.385-0.4101.094
52Long112.03.20128401.2516.03.20128620.25219.0002.60742.6070.000237.4103.701
53Long127.03.2012851102.05.20128400.5-110.500-1.298240.755-5.472-13.1102.403

Generated 30.07.2012 20:54:14