Backtesting of Air Liquide (DE) - ZigZag 3 (Air Liquide (DE))

Call System

Scan time: 2012-07-30 21:05:33

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

115/0Air Liquide (DE)ZigZag 3Air Liquide (DE)
Years17.1Start23.06.1995End27.07.2012
TRADESCount#114Yearly#6.7Every54. day
HITSRatio67.86%Wins#76Losses#36
PERFORMProfitf.2.909WinSum214.113LossSum-73.598
Efficiency49.01%AvWin2.817LossAv-2.044
RETURNSum140.515Yearly8.197Daily0.023
Average1.233AvAbs2.52Kurtosis7.23
Median1.303MaxWin10.794MaxLoss-14.167
StdDev3.29Excess4.231/Prof.0.34
INVTIMEDays35.4%Year35.0%1533 of4333
FULLYear23.435
LENGTHAverage13.4StdDev12.88Median8.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio34.2%Wins508Losses978
AverageDiff.-1.43Wins1.84Losses-3.20
SumProftf.0.3Wins933.2Losses-3128.4
SqrSumProfitf.0.2Wins2848.8Losses18984.7
Extremal Temporary Returns
AverageDiff.-0.4Wins2.43Losses-2.82
SumProftf.0.9Wins277.52Losses-321.37

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%
1Long130.06.199516.0480904.07.199516.269960.2221.38322.3040.000125.91.383
2Long124.07.199516.7876526.07.199517.083460.2961.76221.7620.000320.93.145
3Long101.09.199517.009504.09.199517.379280.3702.17412.1740.000264.05.319
4Long105.09.199517.2683512.09.199517.23137-0.037-0.21451.071-1.156-11.15.104
5Long109.11.199517.6011510.11.199517.601150.0000.00010.0000.0000.05.104
6Long124.11.199517.675115.12.199517.67510.0000.000150.000-4.6030.05.104
7Long107.02.199619.9676801.04.199620.041640.0740.370380.370-8.5192.55.475
8Long109.04.199619.6348912.04.199619.52396-0.111-0.56532.072-0.565-68.64.910
9Long104.06.199620.1325606.08.199619.00574-1.127-5.597441.493-5.597-32.4-0.687
10Long104.10.199619.3773907.11.199619.418720.0410.213241.706-2.7722.3-0.474
11Long110.12.199620.0632630.12.199620.658220.5952.965112.965-4.03654.02.492
12Long130.01.199721.5671831.01.199721.89770.3311.53311.5330.000558.24.024
13Long119.02.199721.9390220.02.199721.64981-0.289-1.31810.000-1.318-480.22.706
14Long125.02.199721.897707.03.199722.39350.4962.26483.019-1.84982.54.970
15Long128.05.199721.7324405.06.199723.151611.4196.53056.5300.000297.311.500
16Long112.06.199723.2354918.06.199723.10966-0.126-0.54241.805-0.542-32.910.959
17Long120.06.199723.0677226.06.199724.074321.0074.36445.0910.000264.915.322
18Long107.07.199723.5710109.07.199724.325950.7553.20323.2030.000583.318.525
19Long123.07.199723.654901.08.199724.325950.6712.83772.837-0.355114.821.362
20Long108.08.199723.2354929.08.199722.98384-0.252-1.083152.166-3.971-18.820.279
21Long114.10.199724.3259518.11.199722.73219-1.594-6.552250.000-16.897-68.213.727
22Long117.02.199823.9065527.02.199824.325950.4191.75481.754-1.75463.915.482
23Long123.03.199826.4230202.04.199829.275042.85210.794810.794-1.587393.226.275
24Long114.04.199828.5200805.05.199828.26845-0.252-0.882141.177-5.294-15.325.393
25Long129.05.199830.3308726.06.199829.43842-0.892-2.942180.560-7.354-38.322.451
26Long117.11.199826.2843124.11.199826.953360.6692.54552.545-1.455132.524.996
27Long107.12.199826.6666110.12.199828.004731.3385.01835.0180.000609.330.014
28Long111.01.199928.2274612.01.199928.601340.3741.32511.3250.000482.531.339
29Long113.01.199927.8535914.01.199928.040530.1870.67110.6710.000244.532.010
30Long121.01.199927.2927801.02.199927.666650.3741.37072.740-4.11045.433.380
31Long123.04.199928.0405327.05.199928.127760.0870.311222.344-3.3333.333.691
32Long119.07.199928.7549417.08.199928.69792-0.057-0.198210.132-5.486-2.533.492
33Long120.09.199928.5078729.10.199927.36755-1.140-4.000290.000-7.333-37.429.492
34Long107.01.200033.2591810.01.200031.83378-1.425-4.28610.000-4.286-520.425.207
35Long114.01.200031.9288117.03.200027.40556-4.523-14.167450.000-21.429-81.911.040
36Long119.04.200027.7476627.04.200027.5576-0.190-0.68542.740-1.370-31.210.355
37Long104.05.200027.557610.05.200029.458131.9016.89746.8970.000418.717.252
38Long122.05.200029.2020705.07.200029.867040.6652.277322.714-7.02018.919.529
39Long125.08.200030.8455906.09.200031.271050.4251.37981.379-2.75941.920.908
40Long112.09.200029.7819527.10.200027.22921-2.553-8.571320.000-10.000-69.412.337
41Long107.12.200031.8028708.12.200032.334690.5321.67211.6720.000609.114.009
42Long118.12.200032.7601419.12.200032.866510.1060.32510.3250.000118.314.333
43Long105.01.200133.185611.01.200133.611060.4251.28242.2440.00077.815.616
44Long119.01.200131.4837705.03.200134.461972.9789.459319.459-3.37876.625.075
45Long116.03.200133.185609.04.200135.312882.1276.410166.410-2.564101.531.485
46Long119.04.200135.3128824.04.200135.10015-0.213-0.60230.000-1.205-43.930.883
47Long125.04.200134.4619718.05.200137.100892.6397.657168.2860.000121.338.540
48Long105.06.200135.5198323.08.200134.32861-1.191-3.354572.134-8.537-15.535.187
49Long122.02.200234.436926.02.200234.41525-0.022-0.06321.258-0.063-5.735.124
50Long114.03.200236.104620.03.200236.321190.2170.60041.6200.00036.435.724
51Long126.03.200236.3861622.04.200237.25250.8662.381172.381-1.66733.438.105
52Long106.06.200236.6502618.06.200238.151121.5014.09584.095-3.313124.342.200
53Long115.07.200233.9038330.07.200235.269921.3664.029115.495-4.76297.846.229
54Long127.03.200331.2958404.04.200332.786121.4904.76266.349-3.175216.850.991
55Long123.04.200333.7299630.04.200333.65545-0.075-0.22150.884-3.535-11.550.770
56Long113.05.200332.6619303.06.200333.370710.7092.170152.662-2.66237.652.940
57Long124.06.200333.6254509.07.200334.517030.8922.652113.788-3.03064.455.592
58Long115.07.200334.0839801.08.200334.771770.6882.018132.990-2.84043.257.610
59Long111.08.200333.3707104.09.200334.236820.8662.595183.435-0.76339.460.205
60Long121.11.200333.7018728.11.200333.880180.1780.52952.0410.00027.560.734
61Long115.12.200334.2877719.12.200334.899140.6111.78341.894-0.446162.462.517
62Long114.01.200435.3067218.02.200435.28124-0.025-0.072250.000-5.014-0.862.445
63Long118.03.200435.5869313.04.200437.217261.6304.581164.581-3.00666.767.026
64Long103.05.200437.5229427.05.200438.050470.5281.406181.406-4.95621.368.432
65Long113.07.200438.4149506.09.200437.74125-0.674-1.754391.493-7.463-11.666.678
66Long124.11.200437.6982516.12.200438.128270.4301.141161.673-1.36918.967.819
67Long118.01.200538.013622.02.200539.504331.4913.922253.922-2.33840.871.741
68Long130.06.200541.1793921.07.200542.472681.2933.141153.141-0.92854.574.881
69Long119.08.200542.3257108.09.200543.530821.2052.847143.403-2.98651.977.728
70Long118.10.200543.9129304.11.200544.4420.5291.205131.740-1.94125.878.933
71Long116.01.200648.8656226.01.200650.438141.5733.21883.278-3.278117.282.151
72Long102.02.200649.350603.02.200649.29182-0.059-0.11910.000-0.119-43.482.032
73Long103.03.200648.9097106.04.200652.407463.4987.151247.151-1.26278.989.184
74Long119.04.200650.4381425.07.200650.3717-0.066-0.132673.730-6.735-0.589.052
75Long107.08.200651.0499321.08.200652.604921.5553.046103.694-0.97279.392.098
76Long114.09.200652.7174124.10.200654.126831.4092.674273.113-1.59424.394.771
77Long102.11.200655.3840508.11.200656.80671.4232.56942.5690.000155.997.340
78Long130.11.200656.5089412.12.200658.659452.1513.80683.806-0.878115.5101.146
79Long112.01.200759.5527416.01.200760.280610.7281.22221.2220.000111.3102.368
80Long130.01.200759.420422.03.200758.89105-0.529-0.891370.835-5.902-6.5101.477
81Long123.04.200761.0746505.06.200761.628560.5540.907291.300-4.1087.7102.384
82Long129.06.200765.5340702.07.200765.04673-0.487-0.74410.000-0.744-90.3101.640
83Long123.07.200766.3327709.08.200765.04673-1.286-1.939130.000-6.633-41.599.702
84Long124.10.200763.8283729.11.200766.332772.5043.924263.924-3.81839.7103.625
85Long121.12.200768.1941528.12.200768.634110.4400.64521.1410.00033.6104.270
86Long102.04.200866.5358307.04.200866.853950.3180.47830.814-0.21434.8104.749
87Long114.04.200864.5729220.05.200865.237750.6651.030253.249-0.65010.4105.778
88Long118.08.200862.9574415.09.200863.872070.9151.453202.458-2.78518.9107.231
89Long103.04.200949.6342406.04.200949.00924-0.625-1.25910.000-1.259-152.9105.972
90Long117.04.200950.8537521.05.200950.69237-0.161-0.317232.229-7.674-3.4105.654
91Long109.06.200952.1217722.07.200955.209593.0885.924315.924-5.75850.2111.579
92Long114.08.200957.3339424.08.200959.229281.8953.30663.306-2.231120.4114.884
93Long109.09.200960.2559210.09.200959.82947-0.426-0.70810.000-0.708-257.8114.177
94Long106.10.200959.9400320.10.200962.735652.7964.664105.402-0.422121.3118.841
95Long126.10.200960.3348926.11.200962.59352.2593.743234.843-4.18844.0122.584
96Long101.12.200961.6774203.12.200963.335841.6582.68922.8170.000489.7125.273
97Long111.01.201064.8363216.02.201064.915290.0790.122260.122-8.4041.2125.395
98Long124.03.201068.7217607.04.201070.688171.9662.86183.9650.00074.4128.256
99Long122.04.201069.5746613.05.201070.504550.9301.337151.771-7.49123.2129.593
100Long129.06.201071.6952914.07.201074.807223.1124.340114.340-3.545105.4133.933
101Long122.07.201073.7612726.07.201075.870462.1092.85922.8710.000260.4136.793
102Long103.08.201076.1297905.08.201076.337250.2070.27320.2730.00049.6137.065
103Long107.10.201078.6625511.10.201079.544260.8821.12121.2530.000102.1138.186
104Long129.10.201080.3308808.12.201082.699412.3692.948283.745-2.78726.8141.135
105Long130.12.201083.0278914.02.201182.24126-0.787-0.947310.000-5.122-7.5140.187
106Long121.04.201183.9701104.05.201183.92689-0.043-0.05172.790-0.051-1.4140.136
107Long110.05.201185.6730201.06.201184.06026-1.613-1.882160.000-3.919-31.2138.253
108Long114.07.201184.0336901.09.201179.80942-4.224-5.027352.803-12.003-37.4133.226
109Long120.10.201180.4293428.10.201184.538484.1095.10965.1090.000232.6138.335
110Long107.11.201179.2780701.12.201182.510473.2324.077184.848-4.88261.9142.413
111Long111.01.201286.6240416.01.201286.637330.0130.01530.087-0.4181.1142.428
112Long101.02.201286.5337110.02.201286.34685-0.187-0.21671.073-0.433-8.7142.212
113Long109.03.201287.6646112.03.201287.03584-0.629-0.71710.000-0.717-130.6141.495
114Long102.04.201290.8217403.04.201289.93172-0.890-0.98010.000-0.980-357.0140.515

Generated 30.07.2012 21:05:49