Backtesting of .Merval (Argentinien) - ZigZag 2 (Merval-Argentinien)

Call System

Scan time: 2012-07-30 20:56:11

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

61/0.Merval (Argentinien)ZigZag 2Merval-Argentinien
Years17.0Start27.07.1995End27.07.2012
TRADESCount#61Yearly#3.6Every102. day
HITSRatio75.41%Wins#46Losses#15
PERFORMProfitf.1.886WinSum204.572LossSum-108.476
Efficiency30.80%AvWin4.447LossAv-7.232
RETURNSum96.096Yearly5.637Daily0.015
Average1.575AvAbs5.12Kurtosis8.25
Median2.609MaxWin13.715MaxLoss-26.064
StdDev6.89Excess5.251/Prof.0.53
INVTIMEDays26.8%Year26.5%1131 of4220
FULLYear21.240
LENGTHAverage18.5StdDev15.68Median15.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio38.5%Wins434Losses694
AverageDiff.-2.45Wins2.70Losses-5.68
SumProftf.0.3Wins1171.0Losses-3941.9
SqrSumProfitf.0.1Wins5824.0Losses45679.8
Extremal Temporary Returns
AverageDiff.-1.2Wins3.96Losses-5.12
SumProftf.0.8Wins241.63Losses-312.11

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%
1Long131.08.1995453.8608.09.1995456.562.7000.59560.723-2.56927.10.595
2Long120.09.1995451.0115.11.1995399.19-51.820-11.490400.000-14.022-74.7-10.895
3Long115.01.1996539.6218.01.1996531.38-8.240-1.52730.000-1.527-185.4-12.422
4Long111.04.1996515.2516.04.1996531.9716.7203.24533.2450.000236.4-9.177
5Long106.06.1996600.3527.06.1996615.9715.6202.602152.865-3.33045.1-6.575
6Long116.08.1996525.0904.09.1996516.53-8.560-1.630130.000-6.357-31.3-8.205
7Long118.10.1996569.6530.10.1996570.230.5800.10280.102-2.6893.1-8.103
8Long130.01.1997689.2103.02.1997706.1916.9802.46422.4640.000224.3-5.640
9Long110.03.199774224.04.1997709.78-32.220-4.342330.332-7.527-35.9-9.982
10Long124.07.1997836.1221.08.1997862.0625.9403.102193.630-0.40740.4-6.880
11Long104.09.1997831.8222.10.1997862.5930.7703.699343.699-4.20428.1-3.180
12Long130.10.1997631.2521.11.1997649.918.6502.9541611.856-8.70248.9-0.226
13Long129.05.1998602.0111.06.1998560.78-41.230-6.84982.194-6.849-191.9-7.075
14Long102.03.1999379.7112.03.1999407.9428.2307.43588.190-1.298270.80.360
15Long115.07.1999470.8325.08.1999495.6124.7805.263275.263-2.67846.85.623
16Long129.09.1999530.501.10.1999525.91-4.590-0.86520.735-0.865-157.64.758
17Long120.10.1999523.8325.10.1999546.4922.6604.32634.3260.000315.19.084
18Long107.01.2000522.1217.01.2000567.7445.6208.73768.737-0.655318.317.821
19Long127.03.2000603.2712.05.2000460.13-143.140-23.727310.000-24.182-192.1-5.906
20Long117.05.2001432.4108.06.2001451.418.9904.392154.392-1.03872.7-1.515
21Long116.07.2001323.9625.07.2001330.266.3001.94574.849-1.28778.70.430
22Long114.05.2002384.3426.06.2002334.63-49.710-12.934300.000-30.340-109.6-12.504
23Long118.07.2002381.7420.08.2002383.321.5800.414220.414-10.4024.6-12.090
24Long118.12.2002487.5606.01.2003554.4366.87013.7151213.7150.000262.91.625
25Long106.02.2003559.0513.02.2003582.4823.4304.19154.1910.000218.15.816
26Long114.03.2003560.1815.04.2003591.5531.3705.600215.6000.00065.811.416
27Long102.05.2003658.2529.05.2003674.3416.0902.444193.005-6.19533.013.861
28Long101.07.2003758.5430.07.2003763.384.8400.638200.638-8.5988.014.499
29Long115.08.2003713.6617.09.2003799.9686.30012.0932212.093-5.469133.526.591
30Long117.11.2003913.6225.11.2003985.571.8807.86867.8680.000358.234.459
31Long115.12.2003982.6229.12.20031068.3985.7708.729108.7290.000227.143.188
32Long128.01.20041196.103.03.20041205.739.6300.805251.964-16.5768.443.993
33Long110.03.20041246.1911.03.20041245.28-0.910-0.07310.000-0.073-26.643.920
34Long102.04.20041197.5411.06.2004885.41-312.130-26.064490.135-29.561-137.617.855
35Long117.11.20041272.224.12.20041366.69394.4937.428267.428-8.88573.125.283
36Long112.01.20051342.4207.02.20051432.3789.9506.701186.701-2.28593.931.984
37Long121.03.20051412.4204.05.20051425.713.2800.940300.940-9.6258.032.924
38Long117.06.20051443.9929.07.20051507.5963.6004.404305.013-5.87638.237.328
39Long119.08.20051495.4223.08.20051531.5936.1702.41922.4190.000220.339.747
40Long118.10.20051596.5513.01.20061645.2448.6903.050615.528-6.60512.842.797
41Long110.02.20061695.4806.03.20061813.78118.3006.977167.554-1.857105.949.774
42Long124.05.20061578.7903.07.20061715.97137.1808.689268.689-5.65579.158.463
43Long121.07.20061620.4508.08.20061655.5435.0902.165125.9540.00043.860.628
44Long112.01.20072072.6220.02.20072195.8123.1805.943275.943-2.03055.566.572
45Long107.03.20071994.5917.04.20072193.09198.5009.9522611.672-0.44190.676.524
46Long117.05.20072175.1501.06.20072249.3674.2103.412103.412-0.25382.879.935
47Long115.06.20072216.5820.06.20072230.5914.0100.63220.6320.00046.080.567
48Long101.08.20072163.4920.09.20072106.17-57.320-2.649350.925-17.835-19.377.918
49Long127.03.20082087.9117.04.20082160.7572.8403.489143.597-0.03660.581.407
50Long118.07.20081893.8508.08.20081776.66-117.190-6.188153.752-6.188-107.375.219
51Long119.05.20091533.3921.05.20091560.8527.4601.79121.7910.000326.277.009
52Long125.06.20091580.9621.07.20091652.771.7404.538164.538-6.52363.681.547
53Long124.08.20091780.9309.09.20091874.3393.4005.244125.244-2.094119.486.792
54Long105.11.20092222.8117.11.20092280.857.9902.60973.231-0.15979.289.400
55Long101.12.20092210.1230.12.20092320.73110.6105.005185.005-2.14962.994.405
56Long115.01.20102371.1115.03.20102351.35-19.760-0.833410.725-8.686-5.293.572
57Long121.04.20102423.3111.06.20102281.23-142.080-5.863340.979-14.948-41.987.709
58Long105.07.20102205.0514.07.20102309.87104.8204.75464.7540.000192.492.462
59Long119.11.20103260.803.12.20103422.43161.6304.95795.787-1.588129.097.419
60Long121.12.20103450.5430.12.20103523.5973.0502.11762.2340.00085.799.536
61Long115.02.20113499.3630.06.20113378.97-120.390-3.440891.236-10.985-9.496.096

Generated 30.07.2012 20:56:28