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

Call System

Scan time: 2012-07-30 21:05:18

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

22/0.Zinn LME Cash $/toZigZag 2Zinn
Years6.9Start22.08.2005End27.07.2012
TRADESCount#22Yearly#3.2Every115. day
HITSRatio77.27%Wins#17Losses#5
PERFORMProfitf.2.747WinSum101.838LossSum-37.078
Efficiency46.96%AvWin5.990LossAv-7.416
RETURNSum64.760Yearly9.320Daily0.026
Average2.944AvAbs6.27Kurtosis4.86
Median3.926MaxWin15.637MaxLoss-18.034
StdDev7.62Excess1.861/Prof.0.36
INVTIMEDays30.0%Year30.1%523 of1744
FULLYear30.997
LENGTHAverage23.8StdDev21.23Median15.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio52.4%Wins272Losses247
AverageDiff.-0.69Wins3.23Losses-5.01
SumProftf.0.7Wins879.1Losses-1238.3
SqrSumProfitf.0.4Wins5444.2Losses12149.9
Extremal Temporary Returns
AverageDiff.1.7Wins6.08Losses-4.37
SumProftf.1.4Wins133.80Losses-96.05

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%
1Long124.05.2006829531.08.20069060765.0009.222699.222-7.92633.99.222
2Long122.11.200610012.529.11.200610372.5360.0003.59653.845-0.150187.112.818
3Long111.01.200710647.524.01.200712312.51665.00015.637915.755-1.362438.128.455
4Long112.02.20071272513.02.200712697.5-27.500-0.21610.000-0.216-78.728.239
5Long104.04.20071422018.04.200714397.5177.5001.24883.358-0.40432.529.488
6Long102.05.200714137.519.07.200715542.51405.0009.938539.938-2.72346.439.426
7Long103.08.200716262.509.08.200716687.5425.0002.61342.613-0.615158.742.039
8Long121.08.200714112.524.08.200714262.5150.0001.06334.1280.000129.143.102
9Long112.09.200715057.504.10.200715702.5645.0004.284164.566-2.05970.947.385
10Long126.11.20071662522.02.200817332.5707.5004.256604.812-5.48917.651.641
11Long127.03.20082039511.04.200820702.5307.5001.508112.415-3.02836.653.149
12Long104.06.200821287.523.06.200823222.51935.0009.090139.090-0.540174.362.239
13Long115.08.200818662.510.09.200818407.5-255.000-1.3661716.544-1.366-19.160.872
14Long115.07.200913367.504.08.2009147751407.50010.5291415.298-1.459191.871.402
15Long121.08.200914397.523.09.200915175777.5005.400227.258-2.50059.676.802
16Long108.10.200915302.509.10.200915075-227.500-1.48710.000-1.487-541.575.315
17Long104.02.20101661531.03.201018352.51737.50010.4573910.457-10.09670.585.773
18Long111.05.201017412.522.07.201018392.5980.0005.628515.628-9.10328.591.401
19Long105.11.201026397.524.01.201127702.51305.0004.944534.944-9.31922.596.344
20Long117.03.201129287.522.03.201129997.5710.0002.42432.6030.000176.698.769
21Long110.05.201130047.528.06.201125247.5-4800.000-15.975340.000-18.171-118.882.794
22Long127.04.201222402.522.06.201218362.5-4040.000-18.034371.328-18.034-117.364.760

Generated 30.07.2012 21:05:33