Backtesting of Bayer NA - ZigZag 3 (Bayer NA)

Call System

Scan time: 2012-07-30 21:06:21

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

109/0Bayer NAZigZag 3Bayer NA
Years17.1Start23.06.1995End27.07.2012
TRADESCount#108Yearly#6.4Every57. day
HITSRatio72.22%Wins#78Losses#30
PERFORMProfitf.2.180WinSum318.423LossSum-146.091
Efficiency37.18%AvWin4.082LossAv-4.870
RETURNSum172.332Yearly10.053Daily0.028
Average1.596AvAbs4.29Kurtosis8.73
Median1.913MaxWin13.310MaxLoss-26.222
StdDev5.59Excess5.731/Prof.0.46
INVTIMEDays38.3%Year38.2%1660 of4334
FULLYear26.342
LENGTHAverage15.4StdDev16.78Median10.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio29.9%Wins494Losses1159
AverageDiff.-3.34Wins2.59Losses-5.90
SumProftf.0.2Wins1281.3Losses-6833.6
SqrSumProfitf.0.1Wins5712.9Losses74453.3
Extremal Temporary Returns
AverageDiff.-0.6Wins3.46Losses-4.10
SumProftf.0.8Wins373.82Losses-443.12

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%
1Long130.06.199510.2955610.07.199510.729530.4344.21564.2150.000153.54.215
2Long114.08.199511.1455417.08.199511.483740.3383.03433.0340.000368.47.250
3Long115.09.199511.5795129.11.199511.28621-0.293-2.533520.233-7.728-12.34.717
4Long108.02.199613.2136409.02.199613.13881-0.075-0.56610.000-0.566-206.34.150
5Long113.02.199613.1687429.02.199613.423140.2541.932122.386-2.72744.06.082
6Long113.03.199613.7972518.03.199614.740010.9436.83336.8330.000497.812.915
7Long103.04.199615.1679910.04.199615.530140.3622.38832.3880.000144.915.303
8Long123.04.199615.670824.04.199615.54809-0.123-0.78310.000-0.783-285.214.520
9Long103.07.199616.5431826.08.199616.50619-0.037-0.224380.000-8.492-1.514.296
10Long114.10.199617.9325525.11.199618.477830.5453.041303.041-2.07926.417.337
11Long106.12.199618.6380409.12.199619.423620.7864.21514.2150.000511.821.552
12Long110.12.199619.8856902.01.199719.02926-0.856-4.307120.000-7.204-68.217.245
13Long126.02.199721.2565628.02.199721.94970.6933.26123.4780.000593.920.506
14Long116.06.199721.3480623.06.199721.616490.2681.25753.0470.00065.421.763
15Long123.07.199724.5534224.07.199723.90606-0.647-2.63710.000-2.637-960.419.127
16Long108.08.199724.2060513.08.199723.93762-0.268-1.10931.370-1.109-80.818.018
17Long120.01.199820.7638228.01.199821.679670.9164.41164.411-2.509200.822.428
18Long118.02.199822.8955210.03.199825.942953.04713.3101413.3100.000242.435.739
19Long120.03.199825.9587625.03.199826.77350.8153.13933.139-0.547228.638.877
20Long131.03.199826.7166806.04.199826.85880.1420.53241.064-0.88738.839.409
21Long115.04.199825.9587614.05.199826.01330.0550.210200.730-6.7032.639.619
22Long117.06.199828.2282722.06.199828.583940.3561.26032.7490.00091.840.879
23Long108.07.199830.5563719.08.199825.67382-4.883-15.979300.000-23.280-138.624.900
24Long119.01.199920.9012603.03.199919.98426-0.917-4.387311.815-9.228-37.220.513
25Long130.03.199921.7550112.04.199923.905222.1509.88479.8840.000300.030.397
26Long127.04.199925.5178707.06.199925.764640.2470.967260.967-8.5918.631.364
27Long101.07.199926.4098902.07.199926.809940.4001.51511.5150.000551.832.879
28Long120.07.199926.3905305.08.199926.745410.3551.345121.467-3.66730.634.223
29Long106.09.199926.3905301.11.199925.26135-1.129-4.279401.100-12.469-27.829.945
30Long126.11.199926.8099430.11.199927.10030.2901.08321.0830.00098.631.028
31Long114.12.199926.7776716.12.199929.552232.77510.361210.3610.0001887.141.389
32Long128.12.199929.6167503.01.200029.29413-0.323-1.08932.397-1.089-66.140.300
33Long110.01.200030.6491510.02.200028.45531-2.194-7.158230.000-16.463-84.133.142
34Long128.03.200029.745830.03.200030.391050.6452.16922.3860.000395.135.311
35Long111.04.200029.1005602.05.200029.419970.3191.098121.098-5.21119.036.409
36Long124.05.200028.8222813.07.200028.65625-0.166-0.576360.115-10.945-4.235.833
37Long110.08.200029.58616.08.200031.013831.4284.82645.0500.000293.040.659
38Long106.09.200031.0802405.10.200030.01767-1.063-3.419200.000-11.859-42.937.240
39Long115.11.200034.0023206.12.200035.895021.8935.566155.566-5.66496.642.806
40Long114.12.200034.8324502.01.200137.854143.0228.675108.6750.000166.351.481
41Long128.02.200135.131330.07.200131.97965-3.152-8.9711050.095-16.601-21.642.510
42Long104.12.200124.4787610.01.200225.504411.0264.190226.844-3.63141.246.700
43Long122.01.200224.2052505.03.200225.948851.7447.203307.627-6.21562.553.904
44Long126.03.200226.8035608.07.200223.20477-3.599-13.427712.168-19.442-47.540.477
45Long110.12.200215.7736318.02.200311.63744-4.136-26.222450.933-33.111-136.414.255
46Long108.05.200312.5143209.05.200312.42556-0.089-0.70910.000-0.709-258.413.546
47Long113.05.200312.351616.05.200313.498011.1469.28139.2810.0001126.922.827
48Long123.05.200312.4255605.06.200313.549781.1249.048910.119-1.190253.531.875
49Long118.06.200315.1621423.06.200314.77015-0.392-2.58530.000-2.829-188.329.289
50Long103.07.200314.4964908.07.200315.206520.7104.89836.1220.000356.834.187
51Long115.07.200315.1621401.08.200315.384030.2221.463133.024-6.34131.435.651
52Long112.08.200314.2524104.09.200315.014220.7625.345175.864-2.02484.740.996
53Long116.09.200314.7923319.09.200315.384030.5924.00034.650-1.250485.744.996
54Long129.09.200313.9343829.10.200314.762750.8285.945225.945-3.92872.250.941
55Long124.11.200316.7153402.12.200317.085150.3702.21262.655-0.752100.753.153
56Long110.12.200316.4786605.01.200417.721221.2437.540137.540-0.449105.660.694
57Long128.01.200418.342505.04.200415.56893-2.774-15.121480.000-22.339-82.245.573
58Long117.06.200417.303414.09.200416.60007-0.703-4.065633.584-13.243-16.641.508
59Long119.10.200416.8874512.11.200418.165541.2787.568187.568-2.597114.949.076
60Long126.11.200418.2638507.12.200418.430230.1660.91172.070-1.15930.249.987
61Long125.02.200521.4819303.03.200521.33662-0.145-0.67640.902-1.165-41.149.311
62Long119.05.200522.1450320.05.200522.474940.3301.49011.4900.000542.650.800
63Long122.06.200523.4811623.06.200523.42343-0.058-0.24610.000-0.246-89.650.555
64Long101.07.200522.9368121.07.200524.256441.3205.753145.753-3.092104.856.308
65Long119.08.200523.868808.09.200525.262661.3945.840145.840-2.211106.462.148
66Long127.09.200524.7265605.10.200525.064710.3381.36854.0690.00062.363.515
67Long111.10.200524.9327514.11.200526.730751.7987.211247.211-7.84077.370.727
68Long112.12.200527.9431622.12.200529.21331.2704.54584.545-0.354165.675.272
69Long120.01.200628.3060615.02.200628.734930.4291.515182.040-2.15621.276.787
70Long124.05.200628.6111926.05.200630.473461.8626.50926.5090.0001185.483.296
71Long107.08.200631.6416115.08.200633.817072.1756.87566.8750.000313.090.171
72Long105.09.200632.2680129.09.200633.944051.6765.194185.194-0.63078.895.365
73Long119.10.200633.8847907.11.200633.977910.0930.275131.849-2.0235.395.640
74Long112.01.200736.6358717.01.200736.881350.2450.67030.670-1.15548.896.310
75Long130.01.200736.8136301.02.200738.472741.6594.50724.5070.000820.8100.817
76Long122.02.200737.7447621.03.200738.328840.5841.547191.547-6.36921.7102.365
77Long116.04.200742.0618426.04.200743.509331.4473.44183.441-1.268125.4105.806
78Long115.05.200743.2596422.05.200746.117152.8586.60556.605-1.237343.7112.411
79Long130.05.200745.2365904.06.200747.066771.8304.04634.0460.000294.7116.457
80Long112.06.200746.2293715.06.200748.56892.3405.06135.0610.000614.5121.518
81Long129.06.200748.1804209.08.200745.40061-2.780-5.770292.491-9.658-51.3115.748
82Long117.09.200748.7588319.10.200751.970283.2116.586236.586-2.44375.0122.335
83Long125.10.200750.0019707.12.200750.304120.3020.604310.639-8.3225.1122.939
84Long121.01.200847.3602913.02.200849.898372.5385.359175.359-5.77884.9128.298
85Long122.05.200848.6236330.05.200850.516911.8933.89463.894-0.637177.3132.192
86Long101.08.200848.5528516.09.200849.472950.9201.895321.895-4.82915.0134.087
87Long115.01.200937.7947924.03.200934.32673-3.468-9.176482.996-23.010-49.9124.911
88Long127.05.200936.2441905.06.200938.007721.7644.86676.437-1.445196.9129.777
89Long110.06.200937.6586930.07.200940.000882.3426.220366.220-12.73245.3135.996
90Long113.08.200939.3303710.09.200942.159362.8297.193207.543-2.42993.6143.189
91Long123.09.200943.2799401.10.200942.21447-1.065-2.46262.929-2.483-112.1140.727
92Long106.10.200943.5830415.10.200944.767911.1852.71972.719-0.822110.0143.446
93Long126.10.200944.2719210.11.200945.741531.4703.320113.320-3.11280.6146.765
94Long101.12.200948.0194214.12.200949.62681.6073.34793.921-0.68993.8150.113
95Long112.01.201049.0481504.03.201047.33973-1.708-3.483372.884-12.566-24.9146.629
96Long129.03.201046.2007826.04.201048.037791.8373.976183.976-1.98851.7150.606
97Long106.10.201050.210413.10.201051.827351.6173.22053.2200.000167.6153.826
98Long122.10.201051.90310.11.201052.460890.5581.075131.858-2.05920.6154.901
99Long102.12.201053.8130708.12.201055.221991.4092.61843.3210.000158.9157.519
100Long117.12.201053.3686519.01.201152.60273-0.766-1.435210.744-3.898-15.8156.084
101Long102.03.201152.8674904.03.201153.283550.4160.78722.4680.000143.3156.871
102Long119.05.201156.1636620.06.201155.67866-0.485-0.864220.000-5.095-9.8156.007
103Long114.11.201145.5808415.11.201146.065840.4851.06411.0640.000387.6157.071
104Long113.12.201144.4139102.01.201248.946784.53310.2061310.206-2.354185.9167.277
105Long127.01.201251.8131610.02.201252.584320.7711.488103.529-0.84438.7168.766
106Long101.03.201254.7765527.04.201253.77161-1.005-1.835390.000-10.962-11.9166.931
107Long118.05.201250.5713.06.201251.50.9301.839182.668-4.96725.8168.770
108Long116.07.201257.5519.07.201259.62.0503.56233.5620.000432.5172.332

Generated 30.07.2012 21:06:37