Backtesting of .Dow Jones Industrial Average - ZigZag 3 (Dow Jones)

Call System

Scan time: 2012-07-30 20:51:13

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.Dow Jones Industrial AverageZigZag 3Dow Jones
Years17.3Start09.05.1995End27.07.2012
TRADESCount#60Yearly#3.5Every103. day
HITSRatio81.67%Wins#49Losses#11
PERFORMProfitf.3.122WinSum100.751LossSum-32.272
Efficiency51.87%AvWin2.056LossAv-2.934
RETURNSum68.478Yearly3.966Daily0.011
Average1.141AvAbs2.20Kurtosis8.27
Median1.378MaxWin5.700MaxLoss-9.632
StdDev2.63Excess5.271/Prof.0.32
INVTIMEDays22.4%Year22.3%971 of4343
FULLYear17.766
LENGTHAverage16.2StdDev21.48Median6.5
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio35.6%Wins345Losses625
AverageDiff.-1.57Wins1.23Losses-3.12
SumProftf.0.2Wins426.0Losses-1952.0
SqrSumProfitf.0.1Wins887.9Losses12022.0
Extremal Temporary Returns
AverageDiff.-0.1Wins1.97Losses-2.04
SumProftf.1.0Wins118.12Losses-122.41

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%
1Long123.05.19954436.407.06.1995446225.6000.577101.100-1.51914.00.577
2Long121.07.19954641.515.09.19954797.6156.1003.363393.454-1.31221.93.940
3Long109.10.19954726.209.11.19954864.2138.0002.920232.920-0.47434.36.860
4Long121.12.19955096.529.01.19965305208.5004.091254.091-1.24838.210.951
5Long122.02.19965608.520.05.19965748.8140.3002.502612.502-3.34310.513.453
6Long105.06.19965697.512.09.19965771.974.4001.306691.306-6.1594.814.759
7Long104.11.19966041.707.11.19966206164.3002.71932.7190.000330.217.478
8Long110.12.19966473.308.01.19976549.576.2001.177191.968-3.16514.818.655
9Long131.01.19976813.113.02.19977022.4209.3003.07293.072-0.97286.121.727
10Long126.02.19976983.217.04.19976658.6-324.600-4.648351.461-8.470-34.617.079
11Long122.05.19977258.128.05.19977357.299.1001.36531.7260.00082.918.444
12Long130.06.19977672.804.07.19977895.81223.0102.90742.9070.000264.721.351
13Long114.07.1997792317.07.19978020.897.8001.23431.4630.000149.922.585
14Long123.07.19978088.430.07.19978254.9166.5002.05952.0590.000107.124.644
15Long116.12.19977976.329.01.19987973-3.300-0.041290.034-4.963-0.324.602
16Long113.04.19989012.322.04.19989176.7164.4001.82471.9150.00073.826.426
17Long130.04.19989063.426.06.19988944.5-118.900-1.312401.637-4.805-8.425.115
18Long102.11.19988706.205.11.19988915.5209.3002.40432.4040.000291.927.519
19Long108.12.1998902807.01.19999537.8509.8005.647205.727-3.68268.633.165
20Long119.01.19999355.223.02.19999544.4189.2002.022242.111-2.50721.035.188
21Long103.03.19999275.908.03.19999727.6451.7004.87034.9610.000354.840.057
22Long126.03.19999822.209.04.199910173.8351.6003.58093.823-0.367100.343.637
23Long121.05.199910829.302.07.199911139.2309.9002.862292.862-3.34624.846.499
24Long115.11.199910760.817.11.199910883.1122.3001.13721.5940.000207.047.635
25Long107.01.200011522.5618.01.200011560.7238.1600.33161.739-0.10011.047.966
26Long115.06.200010714.8213.07.200010788.7173.8900.690190.690-3.1619.048.656
27Long114.11.20019823.6123.11.20019959.71136.1001.38561.5560.00056.150.042
28Long103.12.20019763.9606.12.200110099.14335.1803.43333.5880.000416.853.474
29Long118.12.20019998.3909.01.200210094.0995.7000.957142.614-0.13215.854.431
30Long115.11.20028579.0922.11.20028804.84225.7502.63153.101-1.216136.957.063
31Long102.12.20028862.5704.12.20028737.85-124.720-1.40720.000-1.407-256.355.656
32Long115.04.20038402.3623.04.20038515.66113.3001.34851.348-1.72361.457.004
33Long130.04.20038480.0905.05.20038531.5751.4800.60731.210-0.30544.257.611
34Long123.05.20038601.3828.05.20038793.12191.7402.22922.2290.000162.459.840
35Long121.07.20039096.6928.07.20039266.51169.8201.86752.0650.00097.161.707
36Long111.08.20039217.3513.08.20039271.7654.4100.59021.0060.000107.562.297
37Long128.08.20039374.2103.09.20039568.46194.2502.07232.0720.000125.864.370
38Long116.09.20039567.3419.09.20039644.8277.4800.81030.959-0.22798.365.179
39Long115.01.200410553.8520.01.200410528.66-25.190-0.23920.442-0.239-17.464.941
40Long102.03.200410591.4803.09.200410260.2-331.280-3.1281290.038-7.335-6.261.813
41Long128.02.200510766.2307.03.200510936.86170.6301.58551.6190.00082.563.398
42Long117.05.200611205.6130.06.200611150.22-55.390-0.494310.651-4.457-4.162.904
43Long130.11.200612221.9315.12.200612445.52223.5901.829111.829-0.22744.464.733
44Long112.06.200713295.0118.06.200713612.98317.9702.39242.5910.000145.267.125
45Long117.04.200812620.4921.04.200812825.02204.5301.62121.8130.000147.668.745
46Long114.05.200812898.3806.08.200811656.07-1242.310-9.632581.006-15.008-41.859.114
47Long123.04.20097957.0605.05.20098410.65453.5905.70085.9030.000173.064.814
48Long120.05.20098422.0401.06.20098721.44299.4003.55573.555-1.718107.968.369
49Long121.08.20099505.9624.08.20099509.283.3200.03510.0350.0004.268.404
50Long108.09.20099497.3416.09.20099791.71294.3703.09963.0990.000141.171.504
51Long102.12.200910452.6804.12.200910388.9-63.780-0.61020.000-0.828-111.170.893
52Long111.12.200910471.528.12.200910547.0875.5800.722100.722-1.55915.571.615
53Long130.04.201011008.6103.05.201011151.83143.2201.30111.3010.000158.072.916
54Long128.02.201112226.3405.04.201112393.9167.5601.370261.421-5.01414.374.287
55Long118.04.201112201.5921.04.201112505.99304.4002.49532.4950.000302.976.781
56Long110.05.201112760.3630.06.201112414.34-346.020-2.712360.000-6.764-19.474.070
57Long120.07.201112571.9130.08.201111559.95-1011.960-8.049291.213-14.731-71.566.020
58Long104.11.201111983.2408.12.201111997.714.4600.121231.779-6.2711.366.141
59Long109.03.201212922.0214.03.201213194.1272.0802.10632.1060.000191.768.247
60Long127.03.201213197.7327.04.201213228.3130.5800.232220.506-3.6512.768.478

Generated 30.07.2012 20:51:29