Backtesting of FGBL XEUR Future endl - ZigZag Call (Bund Future)

Call System

Scan time: 2012-07-30 21:09:07

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

41/0FGBL XEUR Future endlZigZag CallBund Future
Years17.0Start27.06.1995End31.05.2012
TRADESCount#41Yearly#2.4Every151. day
HITSRatio70.73%Wins#29Losses#12
PERFORMProfitf.3.958WinSum56.795LossSum-14.348
Efficiency60.51%AvWin1.958LossAv-1.196
RETURNSum42.447Yearly2.501Daily0.007
Average1.035AvAbs1.71Kurtosis3.00
Median0.575MaxWin6.767MaxLoss-2.441
StdDev2.05Excess-0.001/Prof.0.25
INVTIMEDays30.9%Year30.8%1326 of4292
FULLYear8.116
LENGTHAverage32.3StdDev36.99Median21.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio82.3%Wins1088Losses234
AverageDiff.1.70Wins2.20Losses-0.57
SumProftf.18.0Wins2388.4Losses-132.9
SqrSumProfitf.65.5Wins8984.9Losses137.2
Extremal Temporary Returns
AverageDiff.1.5Wins2.17Losses-0.70
SumProftf.3.1Wins89.09Losses-28.55

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%
1Long105.10.199567.7680703.11.199568.591390.8231.215211.508-0.07315.31.215
2Long123.02.199669.7405213.03.199668.65822-1.082-1.552130.328-1.800-29.8-0.337
3Long113.09.199672.0819809.12.199674.777282.6953.739604.735-0.13315.73.402
4Long111.12.199674.1614907.03.199775.866111.7052.299573.782-0.5609.75.701
5Long109.04.199775.0062105.08.199776.596891.5912.121803.777-0.4496.57.821
6Long121.08.199777.2294822.09.199778.02910.8001.035221.065-0.57511.88.857
7Long131.10.199778.1126829.04.199881.812593.7004.7371216.312-0.5459.613.593
8Long125.05.199882.681709.06.199883.043420.3620.437100.6240.00010.614.031
9Long111.09.199888.3593514.09.199888.01739-0.342-0.38710.000-0.387-47.013.644
10Long106.01.199990.2926208.01.199990.331290.0390.04320.043-0.1207.813.687
11Long108.12.199984.5633621.12.199983.61705-0.946-1.11990.884-1.608-31.412.568
12Long125.05.200084.2027316.01.200187.039962.8373.3701654.457-0.3035.215.937
13Long107.02.200187.8191830.03.200188.223710.4050.461371.167-0.8143.316.398
14Long118.09.200187.7310115.11.200189.26761.5371.751424.038-0.48911.018.149
15Long103.12.200189.4293507.12.200187.24597-2.183-2.44140.289-2.441-222.315.708
16Long103.09.200291.52811.09.200290.85079-0.677-0.74060.194-0.740-33.714.968
17Long130.10.200291.1219817.03.200394.451273.3293.654936.499-0.4969.618.622
18Long101.04.200395.4483819.06.200398.384552.9363.076544.615-1.64514.421.698
19Long115.07.200396.0235916.07.200396.12370.1000.10410.1040.00038.021.802
20Long128.06.200496.3533130.12.2004102.873626.5206.7671327.8920.00013.328.569
21Long117.01.2005104.0013421.01.2005103.87989-0.121-0.11740.183-0.150-10.628.452
22Long123.06.2005107.8854508.08.2005106.26542-1.620-1.502320.317-1.575-11.926.951
23Long102.11.2006104.937105.12.2006105.64060.7040.670230.755-0.3397.427.621
24Long122.10.2007101.938121.11.2007103.318311.3801.354221.354-0.77416.428.975
25Long101.10.2008103.0336610.10.2008102.77374-0.260-0.25272.018-0.252-10.228.723
26Long123.10.2008104.7544709.12.2008109.445264.6914.478336.468-0.82134.733.201
27Long118.12.2008111.2486620.01.2009112.061090.8120.730181.180-1.1888.133.931
28Long120.03.2009112.365706.04.2009110.11099-2.255-2.007110.000-2.255-43.031.925
29Long103.08.2009110.3542224.08.2009110.989220.6350.575150.740-1.25810.032.500
30Long129.09.2009111.7552301.10.2009112.397550.6420.57520.575-0.107104.733.075
31Long103.11.2009111.53507.12.2009112.984821.4501.300241.736-0.57613.934.375
32Long118.01.2010112.8639710.02.2010113.351320.4870.432171.238-0.2046.834.806
33Long126.02.2010114.3444219.03.2010114.644290.3000.262150.262-0.3324.835.069
34Long120.04.2010114.9700411.05.2010116.980372.0101.749153.3510.00030.336.817
35Long118.05.2010118.8603918.06.2010119.215420.3550.299231.759-0.1333.537.116
36Long125.06.2010120.3168506.09.2010123.34113.0242.514514.337-0.98512.539.629
37Long124.09.2010123.4982128.10.2010121.69484-1.803-1.460240.826-1.628-15.638.169
38Long112.07.2011123.9709914.07.2011123.44243-0.529-0.42620.000-0.426-77.737.743
39Long127.07.2011124.2208508.08.2011128.285944.0653.27283.2720.00099.341.015
40Long120.09.2011133.9102311.10.2011130.77004-3.140-2.345150.726-2.367-40.738.670
41Long105.12.2011130.6922624.01.2012135.62794.9363.777355.6790.00027.542.447

Generated 30.07.2012 21:09:24