Backtesting of EUR Euro (GBP) Großbritannien - ZigZag Call (Euro in GPB)

Call System

Scan time: 2012-07-30 21:08:32

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

47/0EUR Euro (GBP) GroßbritannienZigZag CallEuro in GPB
Years17.4Start30.03.1995End27.07.2012
TRADESCount#47Yearly#2.7Every135. day
HITSRatio48.94%Wins#23Losses#24
PERFORMProfitf.1.714WinSum47.825LossSum-27.904
Efficiency26.66%AvWin2.079LossAv-1.163
RETURNSum19.921Yearly1.147Daily0.003
Average0.424AvAbs1.59Kurtosis2.73
Median-0.102MaxWin5.629MaxLoss-2.971
StdDev2.07Excess-0.271/Prof.0.58
INVTIMEDays16.8%Year16.6%751 of4469
FULLYear6.904
LENGTHAverage16.0StdDev15.29Median11.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio67.1%Wins503Losses247
AverageDiff.1.00Wins1.78Losses-0.59
SumProftf.6.1Wins895.8Losses-146.7
SqrSumProfitf.17.3Wins2890.1Losses166.6
Extremal Temporary Returns
AverageDiff.0.9Wins1.81Losses-0.90
SumProftf.2.0Wins84.95Losses-42.38

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%
1Long119.04.19950.889721.04.19950.8806-0.009-1.02320.000-1.023-186.3-1.023
2Long117.07.19950.878608.08.19950.8669-0.012-1.332161.002-1.332-22.0-2.354
3Long101.12.19950.883814.12.19950.8791-0.005-0.53290.362-0.532-14.9-2.886
4Long126.05.19970.706303.06.19970.6932-0.013-1.85550.000-1.855-84.4-4.741
5Long125.08.19970.668529.08.19970.67190.0030.50940.7930.00046.3-4.232
6Long129.09.19970.68730.09.19970.6863-0.001-0.10210.000-0.102-37.1-4.334
7Long113.10.19970.686421.10.19970.6725-0.014-2.02560.801-2.025-92.2-6.359
8Long107.07.19980.659229.09.19980.68410.0253.777604.915-0.34916.4-2.582
9Long102.10.19980.701309.10.19980.70250.0010.17152.2240.0008.9-2.411
10Long119.10.19980.708422.10.19980.7009-0.008-1.05930.000-1.214-128.5-3.470
11Long105.01.19990.7106.01.19990.7032-0.007-0.95810.000-0.958-348.9-4.427
12Long112.07.19990.651602.08.19990.65910.0081.151152.7780.00020.0-3.276
13Long106.08.19990.666916.08.19990.6592-0.008-1.15560.030-1.275-42.1-4.431
14Long119.05.20000.602216.06.20000.63610.0345.629206.0280.00073.21.198
15Long128.06.20000.62520.07.20000.6157-0.009-1.488161.040-1.488-24.6-0.290
16Long120.12.20000.614818.01.20010.63930.0243.985184.3920.00050.13.695
17Long119.01.20010.63826.01.20010.6317-0.006-0.98750.219-1.050-51.42.708
18Long110.09.20010.616405.10.20010.61920.0030.454192.7260.0006.63.162
19Long126.04.20020.617417.06.20020.63880.0213.466364.956-0.09724.36.628
20Long124.06.20020.6526.06.20020.6456-0.004-0.67720.000-0.677-123.35.951
21Long105.02.20030.658913.03.20030.67690.0182.732264.8870.00027.68.683
22Long128.03.20030.686503.04.20030.6831-0.003-0.49540.757-0.495-30.18.188
23Long117.04.20030.69225.04.20030.69370.0020.24660.621-0.11611.28.434
24Long120.05.20030.712730.05.20030.71750.0050.67381.5430.00024.59.107
25Long106.08.20030.70522.08.20030.6912-0.014-1.957120.184-1.957-44.67.150
26Long101.10.20030.704714.10.20030.702-0.003-0.38390.830-1.348-10.76.767
27Long124.06.20040.6670424.08.20040.67430.0071.088431.448-1.1906.57.855
28Long123.12.20040.7022507.01.20050.6982-0.004-0.577111.018-0.577-14.07.278
29Long124.02.20050.6911516.03.20050.69630.0050.745141.172-0.67313.68.023
30Long126.09.20050.6785530.12.20050.6880.0091.393691.592-1.0615.39.416
31Long109.02.20060.6881515.03.20060.690750.0030.378240.378-1.1334.09.794
32Long116.04.20070.680121.06.20070.67225-0.008-1.154480.640-1.154-6.48.640
33Long119.10.20070.697204.12.20070.716880.0202.823323.837-0.54622.411.462
34Long106.12.20070.7218818.01.20080.748040.0263.624315.329-1.25530.715.086
35Long105.02.20080.7457525.02.20080.754020.0081.109141.833-0.44920.216.195
36Long109.04.20080.8014521.04.20080.803720.0020.28380.822-1.2248.616.478
37Long109.07.20080.7935111.08.20080.77973-0.014-1.737230.936-1.737-19.214.742
38Long105.11.20080.8134918.11.20080.843890.0303.73795.741-0.081104.718.479
39Long120.01.20090.9278702.02.20090.9003-0.028-2.97191.612-5.028-83.315.507
40Long127.03.20090.9278506.04.20090.90874-0.019-2.06060.000-2.060-75.013.448
41Long110.09.20090.8751201.10.20090.911960.0374.210155.238-0.09973.017.658
42Long107.10.20090.9201616.10.20090.91108-0.009-0.98771.657-0.987-39.916.671
43Long102.09.20100.8333728.10.20100.873750.0404.845406.681-1.33631.521.516
44Long110.02.20110.8449416.02.20110.84294-0.002-0.23740.146-0.979-14.421.279
45Long128.04.20110.8911106.05.20110.874-0.017-1.92060.920-1.920-87.419.359
46Long122.06.20110.8921707.07.20110.899270.0070.796111.304-0.32619.320.155
47Long113.02.20120.836301.03.20120.83434-0.002-0.234131.559-0.676-5.019.921

Generated 30.07.2012 21:08:50