Backtesting of .Hang Seng (Hongkong) - ZigZag 2 (Hang Seng)

Call System

Scan time: 2012-07-30 20:53:07

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

50/0.Hang Seng (Hongkong)ZigZag 2Hang Seng
Years17.0Start09.08.1995End27.07.2012
TRADESCount#49Yearly#2.9Every124. day
HITSRatio81.63%Wins#40Losses#9
PERFORMProfitf.4.767WinSum165.130LossSum-34.640
Efficiency65.65%AvWin4.128LossAv-3.849
RETURNSum130.490Yearly7.670Daily0.021
Average2.663AvAbs4.06Kurtosis4.05
Median3.389MaxWin9.647MaxLoss-8.977
StdDev3.74Excess1.051/Prof.0.21
INVTIMEDays27.3%Year27.4%1143 of4188
FULLYear28.042
LENGTHAverage23.3StdDev23.46Median13.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio43.9%Wins502Losses641
AverageDiff.-1.30Wins2.35Losses-4.15
SumProftf.0.4Wins1177.7Losses-2659.5
SqrSumProfitf.0.2Wins4392.7Losses19834.9
Extremal Temporary Returns
AverageDiff.-0.1Wins4.03Losses-4.13
SumProftf.1.0Wins197.63Losses-202.28

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%
1Long123.08.19959132.605.10.19959888755.4008.271308.841-0.81470.18.271
2Long123.11.19959505.702.01.199610204.9699.2007.356257.356-0.17867.015.627
3Long105.03.199611454.103.06.199611059.8-394.300-3.442610.000-10.517-14.112.185
4Long122.07.199610798.316.08.199611176377.7003.498193.552-1.96751.015.682
5Long111.12.199613189.616.01.199713830.7641.1004.861234.861-3.21249.220.543
6Long105.02.199713660.509.05.199713930.8270.3001.979631.979-11.7517.822.522
7Long116.09.199714411.203.10.199715128716.8004.974104.974-2.198106.627.496
8Long127.10.199710498.204.11.199710780.8282.6002.69267.210-13.700122.630.188
9Long112.11.19979607.920.11.199710050.7442.8004.60968.4500.000209.834.796
10Long128.01.19999360.9608.03.199910263.99903.0309.647249.647-3.04190.144.443
11Long114.05.199912855.5225.05.199912346.91-508.610-3.95670.000-4.538-131.040.487
12Long129.07.199913117.8425.08.199913479.13361.2902.754193.934-5.18437.243.241
13Long107.09.199913396.0910.09.199913855.93459.8403.43333.433-0.295416.846.673
14Long122.09.199913187.6201.11.199913322.11134.4901.020261.020-7.9889.347.693
15Long121.12.199916248.7428.12.199916928.29679.5504.18244.182-0.347217.651.875
16Long127.01.200015917.8110.02.200016845.17927.3605.82685.826-2.422151.657.701
17Long124.02.200017058.6603.03.200017285.24226.5801.32861.328-1.26160.559.030
18Long120.03.200017234.4628.03.200018301.691067.2306.19266.192-0.200281.965.222
19Long110.04.200016850.7407.06.200015900.06-950.680-5.642370.000-18.563-35.459.580
20Long116.11.200015298.3527.12.200014748.36-549.990-3.595272.114-8.589-31.955.985
21Long102.04.200210878.0425.04.200211409.29531.2504.884164.884-2.15980.960.869
22Long104.04.20038822.4511.04.20038645.65-176.800-2.00451.584-2.230-121.758.865
23Long129.10.200312130.5104.11.200312440.72310.2102.55742.5570.000155.261.422
24Long114.11.200312203.5312.12.200312594.42390.8903.203203.203-2.98141.764.625
25Long122.12.200312487.9905.01.200413005.33517.3404.14374.143-0.540107.868.768
26Long110.02.200413515.6617.02.200413815.44299.7802.21852.3370.000115.470.986
27Long125.03.200412520.2108.06.200412344.16-176.050-1.406494.086-12.400-6.969.580
28Long129.10.200413054.6604.11.200413369.09314.4302.40942.6270.000146.271.988
29Long120.01.200513543.5909.06.200513898.31354.7202.619924.812-1.3916.974.608
30Long102.09.200515221.8906.01.200615344.44122.5500.805851.375-6.6092.375.413
31Long130.05.200615857.8927.07.200616916.771058.8806.677416.677-3.93241.982.090
32Long107.12.200618846.4428.12.200619999.41152.9606.118136.118-0.687106.188.208
33Long116.01.200720032.9123.01.200720770.62737.7103.68253.7000.000191.691.890
34Long105.02.200720469.4108.05.200720706.35236.9401.158602.087-8.8434.693.048
35Long104.06.200720729.5918.06.200721582.89853.3004.116104.116-1.063107.197.164
36Long101.08.200722455.3602.08.200722443.25-12.110-0.05410.000-0.054-19.697.110
37Long121.08.200722196.6324.08.200722921.89725.2603.26733.4330.000396.7100.377
38Long108.10.200727770.2912.10.200728655.17884.8803.18644.6990.000290.2103.564
39Long108.11.200728760.2206.12.200729558.92798.7002.777202.777-9.34336.1106.341
40Long120.12.200727017.0928.02.200824591.7-2425.390-8.977454.115-19.467-46.797.364
41Long107.03.200822501.328.03.200823285.9784.6003.487134.095-6.29663.5100.851
42Long118.05.200917022.9129.05.2009181711148.0906.74486.744-0.184223.3107.595
43Long121.08.200920199.0217.09.200921768.511569.4907.770197.770-3.352104.8115.365
44Long130.09.200920955.2516.10.200921929.9974.6504.651114.981-2.767105.9120.016
45Long102.11.200921620.1912.11.200922397.57777.3803.59684.658-1.758131.0123.612
46Long101.12.200922113.1502.03.201020882.99-1230.160-5.563611.993-11.587-22.3118.049
47Long103.12.201023320.5206.04.201124285.05964.5304.136844.713-4.44312.2122.185
48Long116.04.201220610.6402.05.201221309.08698.4403.389113.389-0.23477.1125.574
49Long123.05.201218786.1904.07.201219709.75923.5604.916295.053-3.19742.6130.490

Generated 30.07.2012 20:53:23