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

Calls 21 - Puts 17

Scan time: 2012-07-30 20:56:58

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

21/-17.Nickel LME 3M $/toAW Indikator 3Nickel LME 3M $/to
Years6.9Start20.09.2005End27.07.2012
TRADESCount#38Yearly#5.5Every66. day
HITSRatio63.16%Wins#24Losses#14
PERFORMProfitf.1.808WinSum152.005LossSum-84.094
Efficiency28.89%AvWin6.334LossAv-6.007
RETURNSum67.911Yearly9.887Daily0.027
Average1.787AvAbs6.19Kurtosis3.76
Median1.769MaxWin20.041MaxLoss-21.572
StdDev7.92Excess0.761/Prof.0.55
INVTIMEDays25.7%Year25.9%442 of1719
FULLYear38.115
LENGTHAverage11.6StdDev7.90Median9.5
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio58.8%Wins258Losses181
AverageDiff.0.76Wins5.14Losses-5.47
SumProftf.1.3Wins1327.1Losses-989.5
SqrSumProfitf.1.1Wins12123.9Losses11486.8
Extremal Temporary Returns
AverageDiff.1.1Wins0.38Losses0.71
SumProftf.-0.5Wins14.44Losses27.07

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
2Long120.01.200614687.508.03.200614527.5-160.000-1.089325.038-1.089-8.411.336
3Long110.05.20062105016.05.200620425-625.000-2.96943.919-3.682-180.38.367
4Long124.05.200621997.531.05.200621992.5-5.000-0.02340.864-0.023-1.28.344
5Long103.11.200631812.530.11.2006335501737.5005.462196.098-8.51973.713.806
6Long118.12.200634197.522.01.2007365252327.5006.806226.806-8.02770.820.612
7Long106.02.200736402.523.02.200739892.53490.0009.587139.587-4.134205.430.199
8Long109.03.20074240021.03.2007439251525.0003.597810.8430.000119.133.796
9Long120.04.200748847.526.04.200746897.5-1950.000-3.99242.308-3.992-242.329.804
10Long103.05.20074925011.05.200750175925.0001.87853.5480.00085.531.682
11Long123.05.200746997.506.06.200745602.5-1395.000-2.96892.239-2.968-77.228.714
12Short-102.08.20073065015.08.2007268253825.00012.4809-15.8240.000349.741.193
13Short-106.11.200731887.507.12.2007265755312.50016.66023-19.6396.789195.857.854
14Short-117.12.20072580016.01.200828150-2350.000-9.109180.00015.552-110.648.745
15Short-106.02.200826702.511.02.200828207.5-1505.000-5.63630.0005.636-410.643.109
16Short-117.07.200820592.530.07.2008183752217.50010.7689-10.9750.000301.753.877
17Short-102.12.20089702.510.12.20089472.5230.0002.3716-5.4110.000107.956.248
18Short-127.01.200911302.526.02.200910212.51090.0009.64422-15.2844.180117.165.892
19Short-103.03.20099727.518.03.20099802.5-75.000-0.77111-1.18247.520-20.165.121
20Long121.05.200912262.505.06.2009147202457.50020.0411020.0410.000486.785.162
21Long125.06.20091545503.07.200916362.5907.5005.87265.8720.000267.491.033
22Long121.10.200918887.527.10.20091897587.5000.46343.3750.00028.191.497
23Short-126.11.200916812.515.01.201018337.5-1525.000-9.07133-5.32313.457-66.182.426
24Short-125.01.20101842501.02.201018137.5287.5001.5605-2.3741.68281.283.986
25Long118.03.201022302.507.04.201024637.52335.00010.4701214.281-1.794190.794.456
26Long128.04.201025437.502.06.201019950-5487.500-21.572231.808-21.572-224.572.884
27Short-120.07.201018862.523.07.201020495-1632.500-8.65530.0008.655-1050.864.229
28Long129.09.201023162.511.10.201024502.51340.0005.78577.4040.000175.670.014
29Long118.10.20102372510.11.201024475750.0003.161173.330-3.50950.173.175
30Long105.01.20112471521.01.201125887.51172.5004.744126.626-2.681108.077.919
31Long116.02.201128562.508.03.201126627.5-1935.000-6.775141.751-6.775-123.471.145
32Long126.04.201126262.505.05.201124997.5-1265.000-4.81751.951-4.817-194.966.328
33Short-106.05.20112444512.05.201123975470.0001.9234-1.9231.503116.768.251
34Short-106.06.201122602.513.06.201122227.5375.0001.6595-1.6591.32786.369.910
35Long109.02.201221397.529.02.201219975-1422.500-6.648140.000-7.735-121.163.262
36Short-113.04.201218457.527.04.201218327.5130.0000.70410-4.9440.00018.363.966
37Short-102.05.201217472.521.05.201216857.5615.0003.52012-3.5200.00067.567.486
38Short-131.05.201216472.508.06.201216402.570.0000.4254-2.3370.18219.367.911

Generated 30.07.2012 20:57:13