Backtesting of .DAX (X) - ZigZag 3 (DAX(X))

Call System

Scan time: 2012-07-30 20:50:23

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

95/0.DAX (X)ZigZag 3DAX(X)
Years17.3Start09.05.1995End27.07.2012
TRADESCount#95Yearly#5.5Every66. day
HITSRatio77.89%Wins#74Losses#21
PERFORMProfitf.2.668WinSum210.351LossSum-78.840
Efficiency45.63%AvWin2.843LossAv-3.754
RETURNSum131.510Yearly7.617Daily0.021
Average1.384AvAbs3.03Kurtosis12.13
Median1.898MaxWin11.454MaxLoss-20.571
StdDev3.99Excess9.131/Prof.0.37
INVTIMEDays22.1%Year22.2%963 of4364
FULLYear34.363
LENGTHAverage10.1StdDev10.78Median6.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio43.0%Wins414Losses549
AverageDiff.-1.75Wins1.89Losses-4.50
SumProftf.0.3Wins782.0Losses-2468.1
SqrSumProfitf.0.1Wins2639.5Losses22366.8
Extremal Temporary Returns
AverageDiff.0.3Wins2.58Losses-2.26
SumProftf.1.1Wins245.08Losses-214.47

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%
1Long131.05.19952092.1702.06.19952136.2644.0902.10722.1070.000383.82.107
2Long116.06.19952119.7911.07.19952201.982.1103.873173.873-1.69256.45.981
3Long124.07.19952197.4826.07.19952240.8143.3301.97221.9720.000359.17.953
4Long121.12.19952265.0704.01.19962324.3259.2502.61672.832-0.49468.110.568
5Long108.02.19962430.201.03.19962501.2271.0202.922162.922-1.95848.413.491
6Long113.03.19962426.3822.03.19962504.0277.6403.20073.2040.000129.516.691
7Long103.04.19962494.411.04.19962509.7115.3100.61441.4280.00031.917.304
8Long129.10.19962673.6211.11.19962728.3254.7002.04692.476-0.53757.319.350
9Long110.12.1996289109.01.19972892.631.6300.056170.531-3.1580.719.407
10Long126.02.19973237.8728.02.19973259.6421.7700.67221.2000.000122.520.079
11Long118.03.19973291.1918.04.19973344.3953.2001.616214.189-2.30819.621.696
12Long122.05.19973579.4223.05.19973602.1922.7700.63610.6360.000231.722.332
13Long103.06.19973625.7416.06.19973765.11139.3703.84493.8440.000107.726.176
14Long114.07.19974124.1915.07.19974121.13-3.060-0.07410.000-0.074-27.026.101
15Long123.07.19974406.0924.07.19974335.74-70.350-1.59710.000-1.597-581.624.505
16Long108.08.19974354.1526.09.19974080.78-273.370-6.278350.205-12.265-46.718.226
17Long114.10.19974202.3704.11.19973812.45-389.920-9.279150.000-15.114-160.98.948
18Long116.12.19974083.9730.12.19974249.69165.7204.05874.058-1.003105.613.006
19Long114.01.19984190.0820.01.19984307.91117.8302.81242.812-0.996170.715.818
20Long117.02.19984602.418.02.19984628.8326.4300.57410.5740.000209.216.392
21Long109.03.19984780.8311.03.19984832.7651.9301.08621.1210.000197.817.478
22Long121.04.19985388.9422.04.19985360.65-28.290-0.52510.000-0.525-191.216.953
23Long102.06.19985582.7808.06.19985779.09196.3103.51643.5160.000213.520.470
24Long117.06.19985709.3625.06.19985866.63157.2702.75562.755-0.956125.423.224
25Long117.11.19984702.6323.11.19985019.12316.4906.73046.730-0.083408.629.954
26Long107.12.19984713.9605.01.19995253.91539.95011.4541711.454-4.054143.941.409
27Long115.01.19994960.2225.02.19994958.58-1.640-0.033294.649-3.294-0.341.375
28Long126.03.19994775.1707.04.19995052.27277.1005.80365.8030.000192.247.178
29Long123.04.19995195.4227.04.19995347.5152.0802.92722.9270.000266.650.106
30Long112.05.19995248.0216.06.19995381.25133.2302.539222.539-4.76726.452.644
31Long130.06.19995378.5205.07.19995625.62247.1004.59434.5940.000334.757.238
32Long121.09.19995282.7625.10.19995320.437.6400.713242.585-3.0987.657.951
33Long126.11.19995958.0706.12.19996142.19184.1203.09063.090-1.161112.661.041
34Long110.01.20006925.5217.01.20007258.9333.3804.81454.814-0.495250.565.855
35Long121.01.20006992.7504.02.20007444.61451.8606.462106.462-2.619168.172.317
36Long118.02.20007573.7803.03.20007960.03386.2505.100105.1000.000132.777.417
37Long104.09.20007445.5605.09.20007395.07-50.490-0.67810.000-0.678-247.076.739
38Long108.05.20016108.7222.05.20016270.59161.8702.650102.650-0.73368.979.388
39Long114.11.20014953.5316.11.20015062.64109.1102.20322.2030.000401.281.591
40Long103.12.20014988.4406.12.20015271.29282.8505.67035.6700.000688.487.261
41Long119.12.20014984.6928.12.20015160.1175.4103.51943.519-1.014142.490.780
42Long128.03.20025397.2915.05.20025072.39-324.900-6.020310.000-9.738-46.784.760
43Long129.11.20023320.3203.12.20023280.49-39.830-1.20021.803-1.200-109.283.561
44Long130.04.20032942.0406.05.20033066.95124.9104.24634.2460.000257.787.807
45Long114.05.20032926.0303.06.20033026.82100.7903.445144.734-3.52762.791.251
46Long118.06.20033304.1523.06.20033186.39-117.760-3.56430.000-3.564-259.687.687
47Long130.06.20033220.5808.07.20033344.46123.8803.84763.847-2.299175.191.534
48Long115.07.20033384.6918.07.20033366.71-17.980-0.53130.087-1.596-64.591.002
49Long124.07.20033374.8201.08.20033438.8964.0701.89863.350-0.53186.492.901
50Long113.08.20033398.8919.08.20033504.53105.6403.10843.1880.000188.796.009
51Long129.08.20033484.5804.09.20033668.67184.0905.28345.2830.000320.7101.292
52Long116.09.20033564.7510.10.20033471.25-93.500-2.623181.326-8.639-39.898.669
53Long110.12.20033820.9230.12.20033965.16144.2403.775113.7750.00068.8102.444
54Long105.05.20044022.128.05.20043902.72-119.380-2.968170.000-6.656-47.099.476
55Long117.06.20043985.4629.06.20044069.7384.2702.11482.114-1.43264.2101.590
56Long114.10.20043940.4612.11.20044143.35202.8905.149215.149-2.18464.7106.739
57Long125.11.20044160.3517.12.20044182.2721.9200.527161.763-0.8268.7107.266
58Long114.03.20054367.311.04.20054396.0928.7900.659180.764-1.6248.9107.925
59Long130.06.20054586.2812.07.20054653.0366.7501.45581.681-1.22344.2109.381
60Long111.08.20054953.9316.08.20054883.81-70.120-1.41530.000-1.415-103.1107.965
61Long123.08.20054917.7409.09.20055005.9388.1901.793131.793-2.72438.4109.759
62Long121.09.20054875.2229.09.20055021.17145.9502.99463.559-0.538136.3112.752
63Long111.10.20055032.4622.11.20055174.72142.2602.827302.827-4.49924.5115.579
64Long120.01.20065349.0230.01.20065660.03311.0105.81465.814-0.275211.8121.394
65Long107.03.20065739.2827.03.20065912.26172.9803.014144.075-1.14954.9124.408
66Long120.04.20066063.2821.04.20066094.7531.4700.51910.5190.000189.1124.927
67Long108.05.20066127.9809.05.20066140.7212.7400.20810.2080.00075.7125.135
68Long113.09.20065906.1218.09.20065926.3320.2100.34230.5380.00024.9125.477
69Long130.11.20066309.1908.12.20066427.41118.2201.87461.874-1.07985.3127.350
70Long112.01.20076705.1715.01.20076731.7426.5700.39610.3960.00048.1127.747
71Long123.04.20077335.6227.04.20077378.1242.5000.57940.701-0.89052.8128.326
72Long115.05.20077505.3521.05.20077619.31113.9601.51841.518-0.32192.2129.844
73Long112.06.20077678.2618.06.20078036.12357.8604.66144.6610.000282.9134.505
74Long129.06.20078007.3223.08.20077511.96-495.360-6.186391.229-9.207-41.0128.319
75Long114.04.20094557.0116.04.20094609.4652.4501.15121.151-0.158209.6129.470
76Long123.04.20094538.2128.04.20094607.4269.2101.52533.4340.000111.1130.995
77Long118.05.20094851.9621.05.20094900.6748.7101.00433.8540.000121.9131.999
78Long128.05.20094932.8802.06.20095144.06211.1804.28134.2810.000311.9136.280
79Long111.06.20095107.2617.07.20094978.4-128.860-2.523260.000-10.468-25.5133.757
80Long114.08.20095309.1124.08.20095519.75210.6403.96863.968-2.025144.5137.724
81Long107.09.20095463.5111.09.20095624.02160.5102.93842.9380.000267.5140.662
82Long123.09.20095702.0513.10.20095714.3112.2600.215141.424-4.1063.9140.877
83Long121.04.20106230.3827.04.20106159.51-70.870-1.13741.633-1.137-69.1139.740
84Long128.09.20106276.0914.10.20106455.27179.1802.855122.855-2.26165.0142.595
85Long116.11.20106663.2419.11.20106843.55180.3102.70632.7060.000328.6145.301
86Long126.11.20106848.9803.12.20106947.7298.7401.44251.586-2.34375.0146.742
87Long130.12.20106914.1919.01.20117082.76168.5702.438133.316-0.82644.4149.180
88Long109.05.20117410.5222.06.20117278.19-132.330-1.786321.228-4.727-14.8147.395
89Long130.06.20117376.2401.07.20117419.4443.2000.58610.5860.000213.3147.980
90Long114.07.20117214.7401.09.20115730.63-1484.110-20.571351.867-24.131-152.9127.410
91Long120.10.20115766.4828.10.20116346.19579.71010.053610.0530.000457.7137.463
92Long103.11.20116133.1803.01.20126166.5733.3900.544420.544-11.4963.3138.007
93Long111.01.20126152.3413.01.20126143.08-9.260-0.15120.437-0.151-27.4137.857
94Long127.02.20126849.614.03.20127079.42229.8203.355123.355-3.16181.5141.212
95Long127.03.20127078.920.06.20126392.13-686.770-9.702580.000-15.673-41.6131.510

Generated 30.07.2012 20:50:39