Backtesting of .IBEX (Spanien) - ZigZag 3 (IBEX (Spanien))

Call System

Scan time: 2012-07-30 20:53:24

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

57/0.IBEX (Spanien)ZigZag 3IBEX (Spanien)
Years17.0Start28.08.1995End27.07.2012
TRADESCount#57Yearly#3.4Every108. day
HITSRatio68.42%Wins#39Losses#18
PERFORMProfitf.1.996WinSum125.797LossSum-63.038
Efficiency33.41%AvWin3.226LossAv-3.502
RETURNSum62.759Yearly3.700Daily0.010
Average1.101AvAbs3.30Kurtosis8.82
Median1.993MaxWin7.459MaxLoss-16.997
StdDev4.31Excess5.821/Prof.0.50
INVTIMEDays25.3%Year25.1%1081 of4278
FULLYear14.739
LENGTHAverage19.0StdDev16.26Median14.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio37.2%Wins402Losses679
AverageDiff.-1.62Wins1.95Losses-3.73
SumProftf.0.3Wins785.4Losses-2531.9
SqrSumProfitf.0.1Wins2573.4Losses18114.7
Extremal Temporary Returns
AverageDiff.-0.6Wins2.61Losses-3.19
SumProftf.0.8Wins148.63Losses-181.86

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%
1Long105.09.19953455.4911.09.19953513.5358.0401.68041.6800.000102.01.680
2Long127.09.19953361.1201.11.19953277.33-83.790-2.493250.365-5.115-25.9-0.813
3Long131.01.19963734.4902.02.19963727.37-7.120-0.19120.440-0.191-34.7-1.004
4Long112.02.19963691.516.02.19963790.0598.5502.67042.6700.000243.11.666
5Long107.03.19963755.2221.03.19963810.1254.9001.462101.462-1.84838.03.128
6Long113.05.19964062.8521.05.19964155.1592.3002.27262.2720.000103.45.399
7Long119.07.19964055.117.09.19964083.5628.4600.702421.851-3.0264.36.101
8Long117.12.19964733.2719.12.19964908.85175.5803.70923.7090.000675.69.811
9Long106.01.19975141.1423.01.19975450.74309.6006.022137.2990.000129.015.833
10Long129.01.19975279.9914.02.19975499.27219.2804.153124.153-0.44294.519.986
11Long126.02.19975311.3610.03.19975620.74309.3805.82585.825-0.704176.825.811
12Long126.03.19975520.6828.04.19975757.31236.6304.286215.100-4.36148.830.097
13Long104.06.19976411.423.06.19976801.95390.5506.091136.0910.000116.836.188
14Long123.07.19976958.9209.09.19976797.31-161.610-2.322330.000-6.130-17.633.866
15Long116.09.19976879.8603.10.19977239.09359.2305.221136.5700.000111.939.088
16Long108.10.19976986.3820.11.19976766.41-219.970-3.149300.000-13.405-26.735.939
17Long109.03.19989269.5311.03.19989262.1-7.430-0.08020.000-0.084-14.635.859
18Long121.04.199810429.426.05.199810378-51.400-0.493240.000-8.436-5.135.366
19Long102.06.199810079.526.06.199810109.530.0000.298181.992-4.8244.535.664
20Long131.07.199810493.708.09.19988710.1-1783.600-16.997270.015-21.484-158.718.667
21Long108.03.19999861.407.04.199910027.7166.3001.686193.575-2.05121.220.353
22Long122.04.19999794.810.05.199910172.7377.9003.858123.8580.00078.124.211
23Long120.05.199910151.206.07.199910474.4323.2003.184333.984-1.57924.727.395
24Long119.07.199910190.903.11.19999936.9-254.000-2.492750.000-10.305-8.524.903
25Long117.01.200011285.604.02.200011580.1294.5002.610142.610-3.99252.827.512
26Long124.02.200012352.406.03.200012816.5464.1003.75773.7570.000124.431.269
27Long121.03.200012308.303.05.200011667.9-640.400-5.203280.000-8.864-45.126.066
28Long115.05.200011009.311.08.200011094.685.3000.775631.920-6.2573.226.841
29Long123.06.20036919.724.06.20036871.4-48.300-0.69810.000-0.698-254.226.143
30Long108.07.20036965.718.08.20037170.7205.0002.943282.943-2.01726.129.086
31Long118.09.20037195.731.10.20037129.5-66.200-0.920310.000-6.839-7.828.166
32Long124.11.20037243.802.12.20037348.7104.9001.44861.774-0.22665.929.614
33Long109.02.20048135.210.02.20048171.936.7000.45110.4510.000164.330.066
34Long118.03.20047820.414.04.20048352531.6006.798167.978-1.18495.236.863
35Long126.04.20048362.927.05.20047965.4-397.500-4.753230.000-8.263-55.832.110
36Long127.01.20059125.301.02.20059257131.7001.44331.4430.000105.133.553
37Long125.02.20059439.719.05.20059400.1-39.600-0.420571.125-4.819-1.933.134
38Long131.08.200510008.906.09.200510373.2364.3003.64043.6400.000221.036.774
39Long118.10.200510529.927.12.200510772.7242.8002.306482.306-1.91212.039.079
40Long120.01.200610740.930.01.200611038297.1002.76662.766-0.701100.841.845
41Long120.04.200611782.608.05.200612067.7285.1002.420102.4200.00049.044.265
42Long122.05.200610950.223.06.200611274.2324.0002.959244.243-1.39433.747.224
43Long130.11.200613849.315.12.200614387.6538.3003.887113.887-1.36394.451.111
44Long129.12.200614146.525.01.200714537.3390.8002.763182.787-0.21537.353.873
45Long107.03.200713912.723.03.200714545.7633.0004.550124.550-2.230110.558.423
46Long123.04.200714987.124.04.200714578.7-408.400-2.72510.000-2.725-992.655.698
47Long127.04.200714403.624.05.200715094.9691.3004.799185.695-0.20164.760.498
48Long112.06.200714764.318.07.200715058.6294.3001.993263.304-0.55920.262.491
49Long131.07.200714802.428.09.200714576.5-225.900-1.526421.363-7.270-9.460.965
50Long130.11.200715759.904.02.200813515.7-2244.200-14.240410.829-22.242-78.646.725
51Long110.07.20099344.917.07.200910041.9697.0007.45957.4590.000388.154.183
52Long119.08.200910695.524.08.200911303.8608.3005.68735.6870.000414.359.871
53Long104.09.200911222.716.09.200911746.9524.2004.67184.6710.000141.864.542
54Long130.09.200911756.101.10.200911518.2-237.900-2.02410.000-2.024-737.162.518
55Long107.10.200911721.417.11.200911959.4238.0002.030292.265-4.08718.064.549
56Long124.11.200911905.223.12.200911967.562.3000.523211.067-3.0576.665.072
57Long121.04.201110584.101.06.201110339.3-244.800-2.313272.785-4.737-20.562.759

Generated 30.07.2012 20:53:41