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



Scan time: 2012-07-30 20:56:28

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

21/0.Nickel LME 3M $/toAW Indikator 3Nickel LME 3M $/to
Years6.9Start20.09.2005End27.07.2012
TRADESCount#21Yearly#3.1Every119. day
HITSRatio57.14%Wins#12Losses#9
PERFORMProfitf.1.531WinSum77.866LossSum-50.853
Efficiency21.15%AvWin6.489LossAv-5.650
RETURNSum27.013Yearly3.933Daily0.011
Average1.286AvAbs6.08Kurtosis4.69
Median1.878MaxWin20.041MaxLoss-21.572
StdDev8.09Excess1.691/Prof.0.65
INVTIMEDays14.2%Year14.5%244 of1719
FULLYear27.181
LENGTHAverage11.6StdDev7.38Median10.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio55.6%Wins135Losses108
AverageDiff.0.13Wins4.35Losses-5.14
SumProftf.1.1Wins587.2Losses-555.2
SqrSumProfitf.0.8Wins4583.0Losses5787.7
Extremal Temporary Returns
AverageDiff.1.7Wins5.60Losses-3.87
SumProftf.1.4Wins117.69Losses-81.32

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%
1Long120.01.200614687.508.03.200614527.5-160.000-1.089325.038-1.089-8.4-1.089
2Long110.05.20062105016.05.200620425-625.000-2.96943.919-3.682-180.3-4.058
3Long124.05.200621997.531.05.200621992.5-5.000-0.02340.864-0.023-1.2-4.081
4Long103.11.200631812.530.11.2006335501737.5005.462196.098-8.51973.71.380
5Long118.12.200634197.522.01.2007365252327.5006.806226.806-8.02770.88.187
6Long106.02.200736402.523.02.200739892.53490.0009.587139.587-4.134205.417.774
7Long109.03.20074240021.03.2007439251525.0003.597810.8430.000119.121.370
8Long120.04.200748847.526.04.200746897.5-1950.000-3.99242.308-3.992-242.317.378
9Long103.05.20074925011.05.200750175925.0001.87853.5480.00085.519.257
10Long123.05.200746997.506.06.200745602.5-1395.000-2.96892.239-2.968-77.216.288
11Long121.05.200912262.505.06.2009147202457.50020.0411020.0410.000486.736.329
12Long125.06.20091545503.07.200916362.5907.5005.87265.8720.000267.442.201
13Long121.10.200918887.527.10.20091897587.5000.46343.3750.00028.142.664
14Long118.03.201022302.507.04.201024637.52335.00010.4701214.281-1.794190.753.134
15Long128.04.201025437.502.06.201019950-5487.500-21.572231.808-21.572-224.531.562
16Long129.09.201023162.511.10.201024502.51340.0005.78577.4040.000175.637.347
17Long118.10.20102372510.11.201024475750.0003.161173.330-3.50950.140.508
18Long105.01.20112471521.01.201125887.51172.5004.744126.626-2.681108.045.252
19Long116.02.201128562.508.03.201126627.5-1935.000-6.775141.751-6.775-123.438.477
20Long126.04.201126262.505.05.201124997.5-1265.000-4.81751.951-4.817-194.933.661
21Long109.02.201221397.529.02.201219975-1422.500-6.648140.000-7.735-121.127.013

Generated 30.07.2012 20:56:43