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



Scan time: 2012-07-30 20:56:43

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/-17.Nickel LME 3M $/toAW Indikator 3Nickel LME 3M $/to
Years6.9Start20.09.2005End27.07.2012
TRADESCount#17Yearly#2.5Every147. day
HITSRatio70.59%Wins#12Losses#5
PERFORMProfitf.2.230WinSum74.139LossSum-33.241
Efficiency38.45%AvWin6.178LossAv-6.648
RETURNSum40.898Yearly5.954Daily0.016
Average2.406AvAbs6.26Kurtosis2.11
Median1.659MaxWin16.660MaxLoss-9.109
StdDev7.66Excess-0.891/Prof.0.45
INVTIMEDays11.5%Year11.5%198 of1719
FULLYear51.907
LENGTHAverage11.6StdDev8.48Median9.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio62.8%Wins123Losses73
AverageDiff.1.54Wins6.02Losses-5.95
SumProftf.1.7Wins740.0Losses-434.3
SqrSumProfitf.1.3Wins7540.9Losses5699.0
Extremal Temporary Returns
AverageDiff.0.3Wins-6.07Losses6.38
SumProftf.1.0Wins-103.25Losses108.39

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-129.09.20051342028.10.200511752.51667.50012.42521-12.8541.900156.112.425
2Short-102.08.20073065015.08.2007268253825.00012.4809-15.8240.000349.724.905
3Short-106.11.200731887.507.12.2007265755312.50016.66023-19.6396.789195.841.565
4Short-117.12.20072580016.01.200828150-2350.000-9.109180.00015.552-110.632.457
5Short-106.02.200826702.511.02.200828207.5-1505.000-5.63630.0005.636-410.626.821
6Short-117.07.200820592.530.07.2008183752217.50010.7689-10.9750.000301.737.589
7Short-102.12.20089702.510.12.20089472.5230.0002.3716-5.4110.000107.939.960
8Short-127.01.200911302.526.02.200910212.51090.0009.64422-15.2844.180117.149.603
9Short-103.03.20099727.518.03.20099802.5-75.000-0.77111-1.18247.520-20.148.832
10Short-126.11.200916812.515.01.201018337.5-1525.000-9.07133-5.32313.457-66.139.762
11Short-125.01.20101842501.02.201018137.5287.5001.5605-2.3741.68281.241.322
12Short-120.07.201018862.523.07.201020495-1632.500-8.65530.0008.655-1050.832.667
13Short-106.05.20112444512.05.201123975470.0001.9234-1.9231.503116.734.590
14Short-106.06.201122602.513.06.201122227.5375.0001.6595-1.6591.32786.336.249
15Short-113.04.201218457.527.04.201218327.5130.0000.70410-4.9440.00018.336.954
16Short-102.05.201217472.521.05.201216857.5615.0003.52012-3.5200.00067.540.473
17Short-131.05.201216472.508.06.201216402.570.0000.4254-2.3370.18219.340.898

Generated 30.07.2012 20:56:58