Backtesting of .L/E-DAX (TR) EUR - ZigZag 2 (L-DAX)

Call System

Scan time: 2012-07-30 20:55:05

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

27/0.L/E-DAX (TR) EURZigZag 2L-DAX
Years8.3Start28.04.2004End27.07.2012
TRADESCount#27Yearly#3.3Every112. day
HITSRatio81.48%Wins#22Losses#5
PERFORMProfitf.3.751WinSum69.972LossSum-18.655
Efficiency58.56%AvWin3.181LossAv-3.731
RETURNSum51.317Yearly6.206Daily0.017
Average1.901AvAbs3.25Kurtosis4.85
Median2.515MaxWin7.930MaxLoss-8.212
StdDev3.58Excess1.851/Prof.0.27
INVTIMEDays17.8%Year17.6%374 of2097
FULLYear35.335
LENGTHAverage13.9StdDev12.48Median10.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio49.2%Wins184Losses190
AverageDiff.-0.54Wins2.62Losses-3.59
SumProftf.0.7Wins482.5Losses-682.8
SqrSumProfitf.0.4Wins2095.9Losses4843.6
Extremal Temporary Returns
AverageDiff.0.6Wins2.91Losses-2.28
SumProftf.1.3Wins78.66Losses-61.58

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%
1Long106.05.20043892.8128.05.20043906.6513.8400.356160.356-3.8485.90.356
2Long125.04.20054250.2124.05.20054395.1144.8903.409213.797-1.74642.83.765
3Long102.09.20054839.7807.09.20054989.7149.9203.09833.0980.000225.76.862
4Long125.10.20054861.7722.11.20055176.88315.1106.481206.481-1.15784.313.344
5Long126.01.20065552.527.01.20065636.684.1001.51511.5150.000551.714.858
6Long113.03.20065847.1522.03.20065937.5390.3801.54671.5460.00062.616.404
7Long124.05.20065561.4730.06.20065682.85121.3802.183263.924-5.02221.518.586
8Long106.12.20066366.8514.12.20066552.77185.9202.92062.9200.000133.021.507
9Long107.03.20076638.804.04.20077075.23436.4306.574206.574-1.82288.728.080
10Long112.06.20077697.8418.06.20078037.09339.2504.40744.407-0.239267.532.488
11Long129.06.20077967.2210.07.20077930.47-36.750-0.46171.521-0.461-15.332.026
12Long101.08.20077485.7203.09.20077654.05168.3302.249232.308-3.61724.834.275
13Long113.09.20077534.8720.09.20077724.37189.5002.51552.557-0.787130.936.790
14Long125.01.20086750.9512.02.20086949.79198.8402.945123.479-0.34959.639.735
15Long110.07.20094594.5416.07.20094958.87364.3307.93047.9300.000481.447.665
16Long121.08.20095446.6424.08.20095489.3142.6700.78310.7830.00095.148.448
17Long107.09.20095465.8810.09.20095606.5140.6202.57332.5730.000312.451.021
18Long107.10.20095637.1913.10.20095727.3590.1601.59942.5880.00097.152.620
19Long130.10.20095397.9615.12.20095804.88406.9207.538327.565-0.40759.760.159
20Long101.02.20105660.303.03.20105805.57145.2702.566222.566-4.34331.262.725
21Long130.04.20106122.2104.05.20106018.11-104.100-1.70021.199-1.700-154.861.025
22Long107.07.20105998.1928.07.20106184.9186.7103.113153.544-0.20354.064.138
23Long101.03.20117209.7521.04.20117285.475.6501.049371.049-10.3157.665.187
24Long101.06.20117198.1524.06.20117135.85-62.300-0.866171.092-2.094-13.764.321
25Long112.08.20116023.7426.08.20115577.02-446.720-7.416100.672-9.056-192.956.906
26Long109.03.20126888.6314.03.20127069.31180.6802.62332.6230.000238.859.528
27Long103.04.20126971.8620.06.20126399.34-572.520-8.212530.000-14.413-38.351.317

Generated 30.07.2012 20:55:20