Backtesting of .FTSE MIB - ZigZag 2 (FTSE MIB)

Call System

Scan time: 2012-07-30 20:52:19

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

12/0.FTSE MIBZigZag 2FTSE MIB
Years8.3Start28.04.2004End27.07.2012
TRADESCount#12Yearly#1.5Every251. day
HITSRatio58.33%Wins#7Losses#5
PERFORMProfitf.1.296WinSum32.632LossSum-25.174
Efficiency13.13%AvWin4.662LossAv-5.035
RETURNSum7.458Yearly0.902Daily0.002
Average0.621AvAbs4.73Kurtosis2.50
Median2.112MaxWin7.942MaxLoss-11.236
StdDev5.75Excess-0.501/Prof.0.77
INVTIMEDays10.9%Year11.0%229 of2100
FULLYear8.182
LENGTHAverage19.1StdDev11.82Median14.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio52.0%Wins119Losses110
AverageDiff.-0.05Wins2.94Losses-3.29
SumProftf.1.0Wins350.0Losses-361.5
SqrSumProfitf.0.8Wins1541.7Losses1907.3
Extremal Temporary Returns
AverageDiff.-0.1Wins3.32Losses-3.41
SumProftf.1.0Wins39.88Losses-40.93

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%
1Long125.08.20042680508.09.200427610805.0003.003103.2120.00078.13.003
2Long120.05.20053167614.06.200532663987.0003.116163.116-0.45545.46.119
3Long102.11.20053293715.12.2005350212084.0006.327316.3270.00053.612.446
4Long129.05.20063659227.06.200635393-1199.000-3.277210.003-4.761-41.29.170
5Long113.03.20074027717.04.2007434763199.0007.942237.942-2.45182.717.112
6Long109.08.20074005623.08.200739709-347.000-0.86690.000-5.330-22.516.246
7Long115.07.20091913031.07.200920575.521445.5207.556128.8270.000172.023.802
8Long110.11.200923013.6608.01.201023811.13797.4703.465393.465-4.74221.427.267
9Long104.02.201021404.8211.02.201021076.45-328.370-1.53450.000-2.751-79.825.733
10Long103.12.201020120.816.12.201020366.62245.8201.22292.921-0.94734.226.955
11Long126.04.201121932.7823.06.201119468.31-2464.470-11.236422.212-11.236-70.615.719
12Long126.04.201214509.9615.05.201213311.36-1198.600-8.261121.853-8.261-158.47.458

Generated 30.07.2012 20:52:35