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

Calls 53 - Puts 42

Scan time: 2012-07-30 20:54:31

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/-42.Kupfer LME Cash $/toAW Indikator 3Kupfer LME Cash $/to
Years17.3Start10.05.1995End27.07.2012
TRADESCount#95Yearly#5.5Every66. day
HITSRatio52.63%Wins#50Losses#45
PERFORMProfitf.1.653WinSum225.575LossSum-136.458
Efficiency24.68%AvWin4.512LossAv-3.032
RETURNSum89.117Yearly5.162Daily0.014
Average0.938AvAbs3.80Kurtosis7.83
Median0.195MaxWin26.309MaxLoss-16.526
StdDev5.45Excess4.831/Prof.0.60
INVTIMEDays24.9%Year24.9%1078 of4324
FULLYear20.755
LENGTHAverage11.3StdDev7.54Median9.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio44.7%Wins480Losses594
AverageDiff.-0.63Wins3.21Losses-3.73
SumProftf.0.7Wins1541.5Losses-2215.7
SqrSumProfitf.0.7Wins12344.4Losses18283.3
Extremal Temporary Returns
AverageDiff.1.2Wins0.61Losses0.64
SumProftf.-1.0Wins58.21Losses60.43

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-116.05.1995275625.05.19952864-108.000-3.9197-0.7983.919-158.6-3.919
2Short-131.10.1995283221.11.19952983-151.000-5.332150.0006.992-92.5-9.251
3Short-101.03.19962554.519.03.19962558-3.500-0.13712-0.0981.899-2.8-9.388
4Short-108.07.1996198317.07.1996195528.0001.4127-5.6980.35357.1-7.976
5Short-124.09.1996188621.10.19961976-90.000-4.772190.0005.779-64.4-12.748
6Long104.04.1997240328.04.19972525122.0005.077167.782-4.61980.4-7.671
7Short-113.08.1997229121.08.1997220982.0003.5796-6.5470.175163.0-4.091
8Short-129.08.1997215017.09.19972037.5112.5005.23313-5.2331.302100.31.141
9Short-126.09.19972053.509.10.19972055-1.500-0.0739-0.6824.602-2.01.068
10Short-120.10.1997209030.10.19971976.5113.5005.4318-6.0770.526197.86.499
11Short-102.12.1997180805.01.19981694.5113.5006.27819-6.2780.27767.312.776
12Short-121.01.1998169306.02.19981686.56.5000.38412-0.6793.4268.713.160
13Short-103.04.1998169709.04.19981740-43.000-2.5344-0.1182.534-184.610.626
14Short-125.06.19981641.529.06.1998162120.5001.2492-1.2490.000113.711.875
15Short-130.09.19981634.506.10.1998157757.5003.5184-3.5180.000213.615.393
16Short-125.11.19981563.508.12.19981485.578.0004.9899-4.9890.128139.820.382
17Short-123.12.19981443.521.01.19991447.5-4.000-0.27716-2.4942.251-3.520.105
18Short-103.03.19991381.509.04.19991400-18.500-1.33923-1.9913.619-13.518.766
19Long107.07.19991652.512.08.19991678.526.0001.573263.268-3.81215.920.339
20Long120.09.19991793.523.09.19991741-52.500-2.92730.000-2.927-355.417.412
21Long101.11.19991742.505.11.19991740.5-2.000-0.11540.976-0.115-10.517.297
22Short-117.04.2000160719.04.20001672-65.000-4.04520.0004.045-736.713.252
23Long101.08.2000185412.09.20001966112.0006.041306.041-0.75552.419.293
24Long126.09.20001983.511.10.20001931-52.500-2.647110.000-3.252-64.316.646
25Short-122.11.2000177019.12.20001852-82.000-4.63319-0.6217.514-62.512.014
26Short-121.02.2001175827.02.2001174315.0000.8534-2.0480.00051.812.867
27Short-109.04.2001163227.04.20011670-38.000-2.328120.0003.339-47.110.538
28Short-127.06.2001157930.07.20011468111.0007.03023-8.2960.00077.617.568
29Short-107.08.2001144413.08.2001143410.0000.6934-1.0390.06942.018.261
30Short-119.09.20011411.511.10.20011378.533.0002.33816-2.4091.09838.720.599
31Short-119.10.20011355.524.10.20011360.5-5.000-0.3693-0.9960.369-26.920.230
32Short-131.10.2001136307.11.2001131944.0003.2285-3.2280.000168.023.458
33Long118.01.2002152130.01.20021502-19.000-1.24981.249-1.545-37.922.209
34Long104.02.2002157906.02.20021578-1.000-0.06320.000-0.443-11.522.145
35Long118.03.2002163221.03.20021632.50.5000.03131.1340.0003.722.176
36Long102.04.2002164724.04.20021589-58.000-3.522160.000-5.829-61.118.655
37Long119.06.2002163703.07.200216381.0000.061101.863-1.3741.618.716
38Short-114.08.2002146510.09.20021513.5-48.500-3.31118-0.1373.311-44.715.405
39Long102.12.2002164605.12.20021569-77.000-4.67830.000-4.678-568.010.727
40Long111.12.20021597.510.01.2003162628.5001.784172.285-3.59921.712.511
41Long103.02.2003172828.02.20031701-27.000-1.562190.000-5.816-22.810.949
42Short-106.05.2003158318.06.20031680-97.000-6.128300.0008.149-51.94.821
43Long128.07.20031774.522.08.20031763-11.500-0.648191.437-2.790-9.44.173
44Long101.09.2003175910.09.2003177415.0000.85372.7000.00034.55.026
45Long117.09.2003178810.10.20031870.582.5004.614174.614-0.67173.19.640
46Long130.10.2003204105.11.2003210160.0002.94042.9400.000178.512.580
47Long114.11.2003209708.12.20032189.592.5004.411164.411-5.91366.916.991
48Long121.01.2004245011.02.20042607157.0006.408156.9180.000111.223.399
49Long126.02.2004294919.03.20043076127.0004.307164.307-3.93471.327.705
50Long101.04.2005339614.04.20053305-91.000-2.68092.974-2.680-81.325.026
51Long116.08.20053807.519.08.20053788.5-19.000-0.49930.079-0.657-60.624.527
52Long119.10.20054131.508.11.20054109.5-22.000-0.532141.162-3.534-9.723.994
53Long129.11.20054379.507.12.20054586206.5004.71564.7150.000214.728.709
54Long120.12.20054585.2516.01.20064753.5168.2503.669163.669-1.06349.532.379
55Short-104.08.2006775509.08.20067912.5-157.500-2.03130.0002.031-148.030.348
56Long109.08.20067912.514.08.20067630-282.500-3.57031.987-3.570-260.126.777
57Short-125.08.20067540.518.09.20067399.5141.0001.87015-1.8705.76228.428.647
58Short-116.10.20067589.526.10.20067469.75119.7501.5788-1.7661.91757.530.225
59Short-117.01.20075547.508.02.20075225.25322.2505.80916-5.8094.99896.236.034
60Long103.04.2007728513.04.20077800.25515.2507.07369.4060.000257.643.107
61Long127.06.20077359.506.07.20077901.5542.0007.36577.7480.000298.150.471
62Long120.07.20078120.2502.08.20078054.75-65.500-0.80740.471-2.158-22.649.665
63Short-105.12.20076550.520.12.20076561-10.500-0.16011-4.2483.988-3.949.505
64Short-129.01.20087170.512.03.20088355.5-1185.000-16.52631-0.08023.848-143.332.979
65Long117.03.20088359.502.04.20088463.5104.0001.244102.129-6.83128.334.223
66Short-125.07.20088159.531.07.20088260.25-100.750-1.2354-1.3111.235-75.032.988
67Short-104.11.20084230.509.12.20083117.51113.00026.30925-27.8990.000273.859.297
68Short-116.12.20083020.2527.01.20093330.25-310.000-10.26427-8.36912.251-89.049.033
69Short-103.03.20093477.516.03.20093687.5-210.000-6.03990.00042.380-183.342.994
70Long116.03.20093687.523.03.20094006.25318.7508.64458.6440.000449.851.638
71Long101.04.20093963.2514.04.20094581.5618.25015.600715.6000.000437.167.238
72Long119.05.20094600.7526.05.20094537.5-63.250-1.37540.000-2.146-71.565.863
73Long108.07.20094849.520.07.20095397.5548.00011.300811.300-0.598343.077.163
74Long125.08.20096285.2528.08.20096490.25205.0003.26233.262-0.394396.080.425
75Long104.09.20096277.511.09.20096289.7512.2500.19552.9910.00010.280.620
76Long120.10.20096443.7527.10.20096561.5117.7501.82753.593-1.52195.182.447
77Long103.11.20096395.2523.11.20096945.25550.0008.600148.6000.000156.691.047
78Long102.12.20097054.7508.12.20096960.25-94.500-1.34040.227-1.907-81.389.708
79Long115.12.20096800.2506.01.20107587.25787.00011.5731311.5730.000191.6101.281
80Long120.01.20107445.519.02.20107192.5-253.000-3.398220.000-16.167-41.397.883
81Long102.03.20107358.508.03.20107541182.5002.48042.4800.000150.6100.363
82Long112.03.20107469.508.04.20107795325.5004.358176.436-2.26661.1104.721
83Short-118.06.20106315.2507.07.20106544.75-229.500-3.634130.0007.636-69.7101.087
84Short-114.07.20106694.2522.07.20106920.25-226.000-3.3766-2.6963.376-153.797.710
85Short-123.08.2010724527.08.20107286.5-41.500-0.5734-2.4640.573-52.297.138
86Long125.10.20108500.509.11.20108844.25343.7504.044114.044-3.24798.2101.182
87Long122.12.20109414.2506.01.20119590.5176.2501.87283.588-1.53845.5103.054
88Long113.01.20119621.518.01.20119739.5118.0001.22631.226-0.32289.3104.280
89Long115.02.201110106.2504.03.20119970.25-136.000-1.346130.000-6.595-28.8102.934
90Long105.04.20119251.2513.04.20119625.25374.0004.04366.1750.000184.1106.977
91Long128.07.20119743.7502.09.20119050.25-693.500-7.117250.852-10.099-72.099.860
92Short-130.12.20117553.7506.02.20128462.5-908.750-12.03025-1.10213.980-115.387.829
93Long108.02.20128585.7529.02.20128584-1.750-0.020150.824-4.385-0.487.809
94Long112.03.20128401.2516.03.20128620.25219.0002.60742.6070.000237.490.416
95Long127.03.2012851102.05.20128400.5-110.500-1.298240.755-5.472-13.189.117

Generated 30.07.2012 20:54:48