Backtesting of American Express (DE) - ZigZag 3 (American Express (DE))

Call System

Scan time: 2012-07-30 21:05:49

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

150/0American Express (DE)ZigZag 3American Express (DE)
Years17.0Start04.08.1995End27.07.2012
TRADESCount#149Yearly#8.8Every41. day
HITSRatio71.23%Wins#104Losses#42
PERFORMProfitf.2.384WinSum365.814LossSum-153.430
Efficiency40.98%AvWin3.517LossAv-3.653
RETURNSum212.385Yearly12.474Daily0.034
Average1.425AvAbs3.48Kurtosis7.61
Median1.664MaxWin18.466MaxLoss-17.943
StdDev4.75Excess4.611/Prof.0.42
INVTIMEDays27.8%Year27.9%1195 of4300
FULLYear44.692
LENGTHAverage8.0StdDev10.35Median5.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio41.0%Wins479Losses690
AverageDiff.-2.02Wins2.48Losses-5.22
SumProftf.0.3Wins1186.6Losses-3604.8
SqrSumProfitf.0.2Wins5847.4Losses38528.5
Extremal Temporary Returns
AverageDiff.0.3Wins3.07Losses-2.79
SumProftf.1.1Wins457.92Losses-415.84

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%
1Long127.09.19957.0436404.10.19957.122160.0791.11541.115-2.54858.01.115
2Long113.10.19956.9904817.10.19957.069410.0791.12921.6130.000102.82.244
3Long125.10.19956.4831102.11.19956.516940.0340.52260.522-5.04423.82.766
4Long110.11.19956.8213713.11.19956.934120.1131.65311.6530.000200.74.419
5Long117.11.19956.8777322.11.19956.76498-0.113-1.63931.639-1.803-119.42.779
6Long124.11.19956.8777328.11.19957.058140.1802.62322.6230.000238.95.402
7Long101.12.19956.9904806.12.19957.024310.0340.48430.484-1.61335.35.886
8Long114.12.19957.159605.01.19966.8584-0.301-4.207130.000-7.874-69.71.679
9Long130.01.19967.3685205.02.19967.595250.2273.07746.1540.000186.84.756
10Long114.02.19967.8219605.03.19967.923990.1021.304141.304-4.34823.86.061
11Long115.03.19967.9353218.03.19968.105380.1702.14312.1430.000260.28.204
12Long115.04.19968.1988130.04.19968.312680.1141.389112.778-2.08333.79.593
13Long109.05.19968.1760414.05.19968.312680.1371.67132.368-1.114121.711.264
14Long121.05.19968.1988124.05.19968.335460.1371.66732.0830.000202.412.931
15Long110.06.19967.9255104.07.19967.83934-0.086-1.087180.575-4.310-16.511.843
16Long126.11.19969.2333528.11.19969.19887-0.034-0.37320.000-0.623-68.011.470
17Long106.12.19969.1413711.12.19969.72780.5866.41536.4150.000467.317.885
18Long107.01.19979.9279814.01.199710.447460.5195.23255.2320.000272.323.118
19Long131.01.199711.6596103.02.199711.775050.1150.99010.9900.000120.224.108
20Long104.03.199712.7563106.03.199713.160350.4043.16723.1670.000576.927.275
21Long121.03.199712.5254209.04.199712.225-0.300-2.398113.226-11.095-48.524.877
22Long116.04.199711.9816628.04.199712.282930.3012.51485.416-2.90176.327.391
23Long130.04.199713.3837605.05.199713.557590.1741.29921.299-2.16494.628.690
24Long106.05.199713.905209.05.199713.20995-0.695-5.00020.000-5.000-607.123.690
25Long113.05.199713.7893303.06.199713.789330.0000.000131.008-2.5210.023.690
26Long109.06.199714.3687210.06.199714.02108-0.348-2.41910.000-2.419-881.321.270
27Long112.06.199714.3687213.06.199714.716350.3482.41912.4190.000881.223.690
28Long119.06.199715.6433620.06.199715.52748-0.116-0.74110.000-0.741-269.822.949
29Long126.06.199715.0639707.07.199716.794781.73111.490711.8750.000380.534.439
30Long114.07.199716.504217.07.199716.50420.0000.00031.056-0.5630.034.439
31Long123.07.199716.7134224.07.199716.852880.1390.83410.8340.000303.935.273
32Long113.08.199717.4340321.08.199718.015150.5813.33363.333-2.667151.838.606
33Long129.08.199716.2717610.09.199716.911010.6393.92985.0000.000119.242.535
34Long118.09.199716.5623224.09.199716.736650.1741.05342.175-0.35163.943.588
35Long130.09.199716.8528806.10.199717.365810.5133.04433.044-0.414184.846.631
36Long116.10.199716.8413405.11.199716.08377-0.758-4.498143.806-10.727-81.942.133
37Long128.01.199817.5979313.02.199818.813181.2156.906126.906-0.266157.249.039
38Long124.02.199818.6963206.03.199819.631130.9355.00085.000-1.875182.154.038
39Long126.03.199820.3322607.04.199822.565772.23410.985810.985-3.218363.865.024
40Long115.04.199822.0622416.04.199821.92171-0.141-0.63710.000-0.637-232.064.387
41Long121.04.199821.8280322.04.199821.47672-0.351-1.60910.000-1.609-586.262.777
42Long124.04.199821.781214.05.199821.945140.1640.753131.183-5.37613.763.530
43Long125.05.199821.5469910.06.199822.36670.8203.804115.435-1.95686.667.334
44Long118.06.199821.9217125.06.199822.835120.9134.16754.1670.000216.871.501
45Long129.07.199823.5853103.08.199823.0338-0.552-2.33830.895-2.338-170.369.162
46Long107.08.199821.1211516.09.199817.36629-3.755-17.778280.222-32.778-161.951.385
47Long127.01.199920.6980802.02.199920.30581-0.392-1.89541.449-3.010-115.149.489
48Long105.02.199920.3058117.02.199921.22880.9234.54584.545-3.977138.054.035
49Long101.03.199922.7286603.03.199923.144010.4151.82723.7560.000332.855.862
50Long108.03.199924.9207710.03.199925.036140.1150.46320.463-0.92684.356.325
51Long129.03.199926.1437308.04.199927.04780.9043.45863.458-4.500140.059.783
52Long122.04.199929.3595826.04.199929.475170.1160.39421.5750.00035.960.177
53Long103.05.199928.5504601.06.199926.12309-2.427-8.502192.024-12.551-106.851.675
54Long117.06.199927.9725130.06.199928.485370.5131.83391.833-2.89351.453.508
55Long114.07.199930.3380820.07.199931.194950.8572.82443.053-0.763171.556.333
56Long126.07.199928.9485512.08.199928.13799-0.811-2.800136.000-8.800-60.053.533
57Long113.08.199929.1801320.08.199930.338081.1583.96854.7620.000206.557.501
58Long106.09.199930.9170514.09.199930.80125-0.116-0.37561.723-3.146-17.157.127
59Long121.09.199930.3380829.09.199929.18013-1.158-3.81763.817-3.817-173.853.310
60Long106.10.199931.0815308.10.199932.009330.9282.98522.9850.000543.756.295
61Long120.10.199930.269729.10.199934.792754.52314.943714.9430.000604.871.237
62Long122.11.199934.560806.12.199935.5350.9742.819106.2420.00073.374.056
63Long121.12.199935.4886129.12.199937.576172.0885.88255.8820.000267.879.938
64Long110.01.200034.6124917.01.200036.470881.8585.36955.3690.000279.485.308
65Long124.01.200036.0062925.01.200035.98306-0.023-0.06510.000-0.065-23.585.243
66Long109.02.200037.6788417.03.200034.84479-2.834-7.522270.000-21.702-74.077.722
67Long108.06.200041.1445912.06.200039.26171-1.883-4.57620.000-4.576-416.773.145
68Long115.06.200039.7498616.06.200039.0525-0.697-1.75410.000-1.754-639.071.391
69Long121.06.200038.7038126.06.200040.447231.7434.50534.5050.000328.275.895
70Long104.07.200038.4248717.07.200042.465044.04010.514910.514-1.846294.686.410
71Long120.07.200042.2555124.07.200044.350822.0954.95924.9590.000451.591.369
72Long128.07.200042.2555104.08.200044.700042.4455.78555.7850.000301.097.154
73Long121.08.200046.0969230.08.200046.23660.1400.30370.455-5.15212.397.457
74Long106.09.200047.0747307.09.200047.214420.1400.29710.2970.000108.197.753
75Long126.09.200047.2144229.09.200048.890671.6763.55033.550-1.331431.1101.304
76Long116.10.200044.7582520.10.200046.506621.7483.90644.2190.000355.7105.210
77Long126.10.200045.8072727.10.200046.087010.2800.61110.6110.000222.4105.821
78Long131.10.200048.2549908.11.200047.55564-0.699-1.44963.188-2.899-66.0104.371
79Long123.11.200042.8700114.12.200043.639290.7691.794146.852-3.58931.1106.166
80Long115.02.200227.5687118.02.200227.14457-0.424-1.53810.000-1.538-186.8104.627
81Long122.02.200226.8618226.02.200228.982492.1217.89527.8950.000718.9112.522
82Long125.03.200232.5169410.04.200233.360970.8442.596103.467-1.08763.0115.118
83Long116.04.200233.2193122.04.200234.423421.2043.62544.051-2.985220.1118.742
84Long103.05.200232.0506114.05.200234.494252.4447.62477.624-0.552252.5126.367
85Long115.05.200234.4234220.05.200233.00682-1.417-4.11530.000-4.115-299.8122.252
86Long127.05.200232.4401808.07.200226.61935-5.821-17.943301.528-21.397-155.6104.308
87Long118.12.200224.9066818.03.200324.03369-0.873-3.505594.226-19.826-14.2100.803
88Long126.06.200326.5906130.06.200326.16173-0.429-1.61320.269-1.613-146.999.190
89Long103.07.200326.2249308.07.200327.944591.7206.55736.5570.000477.7105.748
90Long114.07.200329.0910415.07.200328.87608-0.215-0.73910.000-0.739-269.2105.009
91Long125.07.200328.087919.08.200329.234341.1464.082174.082-3.06159.5109.090
92Long103.09.200330.2374804.09.200329.87922-0.358-1.18510.000-1.185-431.6107.906
93Long116.09.200328.8044314.10.200329.729180.9253.210203.210-2.98541.8111.116
94Long127.10.200329.0110916.01.200429.013120.0020.007541.980-10.6440.0111.123
95Long125.03.200429.8046505.04.200431.318681.5145.08075.0800.000185.0116.203
96Long119.04.200430.1507201.06.200429.68931-0.461-1.530311.961-4.950-13.0114.672
97Long128.10.200430.0032316.11.200431.110981.1083.692134.247-0.36270.8118.365
98Long103.12.200430.1407902.02.200531.070410.9303.084415.925-4.06618.4121.449
99Long130.06.200532.459608.07.200532.824070.3641.12361.123-0.29251.1122.572
100Long115.07.200532.4085826.07.200532.947990.5391.66471.687-0.92255.1124.236
101Long131.08.200532.736608.09.200533.545720.8092.47262.472-2.138112.5126.708
102Long127.09.200534.4641805.10.200540.828396.36418.466520.678-0.761840.8145.174
103Long119.10.200539.0741226.10.200540.240371.1662.98553.762-1.906155.3148.159
104Long101.11.200540.4951802.11.200540.18156-0.314-0.77410.000-0.774-282.1147.384
105Long122.11.200542.3768524.11.200543.229480.8532.01222.0120.000366.4149.396
106Long105.12.200542.8080711.01.200643.711820.9042.111262.134-3.15920.8151.507
107Long120.01.200642.3071510.02.200643.466251.1592.740153.576-2.25247.5154.247
108Long108.03.200644.1145629.05.200641.89103-2.224-5.040551.915-10.285-22.7149.207
109Long130.10.200644.3496808.11.200645.230730.8811.98771.987-5.69280.4151.193
110Long106.12.200644.3793812.12.200644.29028-0.089-0.20140.825-1.115-12.2150.993
111Long128.12.200646.3295712.03.200743.02079-3.309-7.142510.000-10.890-35.6143.851
112Long104.07.200745.5752719.07.200746.981731.4063.086113.086-4.24674.9146.937
113Long127.07.200743.6900110.08.200743.809710.1200.274101.507-5.1607.1147.211
114Long101.07.200916.4915.07.200917.360.8705.276105.700-4.063137.3152.487
115Long128.07.200919.807.08.200923.433.63018.333818.333-1.717667.8170.820
116Long117.08.200922.3824.08.200922.850.4702.10052.100-4.200109.3172.920
117Long107.09.200922.8317.09.200924.191.3605.95785.9570.000217.0178.877
118Long128.09.200922.5712.10.200923.71.1305.007105.007-2.038130.3183.884
119Long126.10.200923.0527.10.200923.40.3501.51811.5180.000553.1185.402
120Long128.10.200924.1529.10.200923.49-0.660-2.73310.000-2.733-995.5182.669
121Long102.11.200923.5503.11.200924.090.5402.29312.2930.000835.2184.962
122Long104.11.200924.3609.11.200924.810.4501.84734.516-0.657134.6186.810
123Long111.11.200926.4116.11.2009270.5902.23432.2340.000162.7189.044
124Long102.12.200927.3416.12.200928.10.7602.780102.853-6.03572.3191.823
125Long107.01.201028.4511.01.201028.850.4001.40622.7770.000128.0193.229
126Long114.01.201028.9218.01.201029.410.4901.69422.0750.000154.3194.924
127Long128.01.201027.4304.02.201027.550.1200.43751.531-2.44322.8195.361
128Long109.02.201026.7315.02.201028.241.5105.64945.6490.000342.9201.010
129Long126.02.201027.9609.03.201029.111.1504.11374.757-0.072136.2205.123
130Long107.04.201032.17509.04.201032.5950.4201.30521.305-1.368237.7206.429
131Long121.04.201034.31526.04.201035.9151.6004.66334.663-0.189339.7211.091
132Long130.04.201035.8131.05.201032.31-3.500-9.774210.000-14.423-114.8201.317
133Long110.06.201031.57517.06.201034.4252.8509.02659.0260.000469.7210.344
134Long129.06.20103430.06.201032.6-1.400-4.11810.000-4.118-1499.9206.226
135Long118.01.201134.59520.01.201133.485-1.110-3.20920.000-3.209-584.4203.017
136Long125.01.201132.9814.02.201134.4251.4454.381144.381-4.66979.8207.399
137Long113.06.201133.3420.06.201133.8450.5051.51552.490-0.19578.8208.914
138Long119.07.201136.5225.08.201133.17-3.350-9.173270.465-17.840-90.3199.740
139Long122.12.201136.29528.12.201136.2950.0000.00030.9780.0000.0199.740
140Long127.01.201238.02507.02.201239.4451.4203.73474.721-1.893123.7203.475
141Long113.02.201239.2620.02.201240.120.8602.19152.5090.000114.0205.665
142Long129.02.201239.901.03.201239.53-0.370-0.92710.000-0.927-337.8204.738
143Long105.03.201239.9713.03.201240.2350.2650.66361.201-1.31334.5205.401
144Long113.04.201243.9118.04.201244.350.4401.00231.002-0.01173.0206.403
145Long126.04.201244.51527.04.201244.9850.4701.05611.0560.000384.6207.459
146Long123.05.201244.20530.05.201245.0650.8601.94551.945-0.068101.2209.404
147Long106.06.201243.39512.06.201244.30.9052.08543.0300.000126.6211.490
148Long119.06.201244.226.06.201244.90.7001.58452.0250.00082.4213.074
149Long117.07.201247.8918.07.201247.56-0.330-0.68910.000-0.689-251.0212.385

Generated 30.07.2012 21:06:05