Backtesting of .Kupfer LME Cash $/to - ZigZag 2 (Kuper)

Call System

Scan time: 2012-07-30 20:54:48

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

32/0.Kupfer LME Cash $/toZigZag 2Kuper
Years17.1Start30.06.1995End27.07.2012
TRADESCount#32Yearly#1.9Every195. day
HITSRatio71.88%Wins#23Losses#9
PERFORMProfitf.2.499WinSum98.979LossSum-39.614
Efficiency43.15%AvWin4.303LossAv-4.402
RETURNSum59.365Yearly3.467Daily0.010
Average1.855AvAbs4.30Kurtosis3.79
Median2.597MaxWin12.155MaxLoss-12.999
StdDev5.12Excess0.791/Prof.0.40
INVTIMEDays17.3%Year17.3%740 of4289
FULLYear20.022
LENGTHAverage23.1StdDev21.96Median16.5
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio39.5%Wins292Losses447
AverageDiff.-1.47Wins3.30Losses-4.60
SumProftf.0.5Wins964.4Losses-2054.9
SqrSumProfitf.0.4Wins5595.2Losses15711.0
Extremal Temporary Returns
AverageDiff.-0.1Wins4.17Losses-4.30
SumProftf.1.0Wins133.32Losses-137.63

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%
1Long122.09.1995292314.11.19953030107.0003.661363.661-6.91125.23.661
2Long107.02.1997250025.04.1997256969.0002.760533.600-8.32013.26.421
3Long116.05.1997254822.05.1997261062.0002.43342.433-1.845147.78.854
4Long115.07.1997259128.07.19972415.5-175.500-6.77390.000-9.765-189.82.080
5Long116.07.1998168910.08.19981617-72.000-4.263173.138-4.796-62.1-2.182
6Long106.08.1999167502.09.19991709.534.5002.060192.060-3.76127.8-0.123
7Long114.10.1999172820.12.1999179163.0003.646473.964-2.54619.83.523
8Long120.03.2000175915.05.2000180950.0002.843372.843-8.64118.86.366
9Long130.11.20001814.504.01.20011762-52.500-2.893224.877-5.236-30.13.472
10Long114.05.2003166324.06.20031683.520.5001.233282.946-0.72211.04.705
11Long101.12.2003209903.12.2003215960.0002.85922.8590.000520.67.563
12Long115.03.2004303918.03.2004305213.0000.42830.6910.00051.97.991
13Long107.05.2004276619.07.20042890124.0004.483505.206-7.66422.412.474
14Long101.11.20042955.501.02.20053243287.5009.7286310.827-0.16938.522.202
15Long125.05.2005324707.06.20053529.5282.5008.70088.700-1.401243.830.902
16Long121.09.20053864.7523.09.20053977.5112.7502.91722.9170.000531.333.820
17Long123.02.2006496621.03.20065257.5291.5005.870175.870-3.33382.239.690
18Long118.05.2006815517.10.20067735-420.000-5.1501053.256-17.716-12.334.539
19Long123.11.20066889.7511.12.20066800.5-89.250-1.295122.304-1.295-26.233.244
20Long124.08.20077307.518.09.20077537.5230.0003.147163.996-0.85545.936.391
21Long116.11.20076825.2521.11.20076535.25-290.000-4.24930.839-4.249-309.532.142
22Long120.05.20088359.504.07.20088660.5301.0003.601327.453-5.25229.135.743
23Long120.05.20094538.7501.06.20094946.75408.0008.98978.989-0.810272.944.732
24Long126.06.20095101.2521.07.20095342.5241.2504.729175.807-5.50468.949.462
25Long125.08.20096285.2501.09.20096240.25-45.000-0.71643.262-0.716-37.348.746
26Long101.10.20096081.523.10.20096639.5558.0009.175169.175-3.712151.957.921
27Long111.02.20106672.2503.03.20107483.25811.00012.1551412.1550.000221.470.076
28Long111.05.20106884.7528.05.20106925.7541.0000.596132.858-6.09312.870.671
29Long102.12.20108711.2508.12.20108881.5170.2501.95443.5840.000118.672.626
30Long101.03.20119907.511.04.20119781.25-126.250-1.274290.633-9.387-11.671.351
31Long119.05.20119006.2506.06.20119097.591.2501.013112.421-1.95120.572.365
32Long130.04.20128529.2528.06.20127420.5-1108.750-12.999400.000-14.984-80.359.365

Generated 30.07.2012 20:55:04