Backtesting of .Euro STOXX Small-Index Per - ParSAR (.Euro STOXX Small-Index Per)

Call System

Scan time: 2012-07-30 20:51:46

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

74/0.Euro STOXX Small-Index PerParSAR.Euro STOXX Small-Index Per
Years12.2Start02.06.2000End27.07.2012
TRADESCount#74Yearly#6.1Every60. day
HITSRatio70.27%Wins#52Losses#22
PERFORMProfitf.1.792WinSum110.809LossSum-61.828
Efficiency28.54%AvWin2.131LossAv-2.810
RETURNSum48.981Yearly4.020Daily0.011
Average0.662AvAbs2.32Kurtosis4.73
Median1.812MaxWin3.849MaxLoss-9.248
StdDev2.56Excess1.731/Prof.0.56
INVTIMEDays19.7%Year19.5%611 of3097
FULLYear20.602
LENGTHAverage8.3StdDev5.26Median7.5
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio52.7%Wins322Losses289
AverageDiff.-0.14Wins1.14Losses-1.58
SumProftf.0.8Wins368.2Losses-455.6
SqrSumProfitf.0.5Wins650.1Losses1376.6
Extremal Temporary Returns
AverageDiff.0.2Wins1.72Losses-1.53
SumProftf.1.1Wins127.52Losses-112.89

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%
1Long110.08.2000190.1528.08.2000194.674.5202.377122.3770.00048.12.377
2Long125.10.2000177.7606.11.2000181.84.0402.27382.273-0.37769.04.650
3Long115.01.2001170.4322.01.2001172.62.1701.27351.807-0.58766.35.923
4Long102.04.2001161.5519.04.2001164.452.9001.795111.832-2.86038.57.718
5Long131.07.2001155.820.08.2001152.84-2.960-1.900140.956-1.900-34.65.818
6Long101.10.2001124.8105.10.2001127.482.6702.13942.1950.000194.87.958
7Long106.12.2001148.7117.12.2001145.22-3.490-2.34770.000-3.813-77.75.611
8Long107.01.2002149.1731.01.2002148.73-0.440-0.295170.000-2.132-4.55.316
9Long118.04.2002157.1106.05.2002154.3-2.810-1.789110.178-1.789-36.23.527
10Long116.05.2002156.6131.05.2002152.23-4.380-2.797110.000-2.880-67.90.730
11Long110.07.2002136.6112.07.2002133.95-2.660-1.94720.000-1.947-354.6-1.217
12Long120.08.2002124.9323.08.2002127.512.5802.06532.1290.000250.70.848
13Long116.10.2002109.7918.10.2002113.783.9903.63423.6340.000661.94.483
14Long117.03.2003107.4620.03.2003109.171.7101.59132.1220.000193.26.074
15Long129.05.2003124.3103.06.2003126.812.5002.01132.0920.000146.58.085
16Long108.07.2003132.3616.07.2003134.782.4201.82861.828-0.88483.29.913
17Long109.10.2003145.7830.10.2003148.963.1802.181152.181-0.54237.812.095
18Long127.11.2003153.2823.12.2003152.71-0.570-0.372181.429-0.568-5.211.723
19Long105.01.2004157.1215.01.2004161.364.2402.69982.699-0.09598.314.421
20Long111.02.2004165.5519.02.2004169.934.3802.64662.6460.000120.517.067
21Long105.04.2004173.0430.04.2004169.09-3.950-2.283170.688-2.283-33.314.784
22Long107.06.2004168.5130.06.2004171.222.7101.608171.608-1.18125.516.393
23Long123.08.2004164.6303.09.2004168.193.5602.16292.1620.00071.618.555
24Long104.10.2004174.2610.11.2004177.943.6802.112272.112-1.91120.820.667
25Long117.01.2005190.9701.02.2005195.674.7002.461112.461-0.30959.823.128
26Long108.03.2005203.0917.03.2005198.79-4.300-2.11770.000-2.117-85.721.011
27Long107.04.2005203.2519.04.2005197.49-5.760-2.83480.713-3.538-86.018.177
28Long119.05.2005202.2627.05.2005205.83.5401.75061.7850.00079.719.927
29Long130.06.2005216.5512.07.2005221.044.4902.07382.073-0.16662.922.000
30Long102.09.2005227.5408.09.2005231.924.3801.92541.9250.000116.923.925
31Long104.11.2005229.8124.11.2005234.54.6902.041142.0800.00037.225.966
32Long126.01.2006257.0502.02.2006262.215.1602.00752.4550.000104.527.974
33Long115.03.2006278.8304.04.2006282.083.2501.166141.5420.00022.329.139
34Long121.04.2006286.3809.05.2006292.275.8902.057112.057-1.03741.631.196
35Long123.06.2006258.8403.07.2006268.119.2703.58163.581-0.680130.534.777
36Long131.07.2006267.0417.08.2006274.97.8602.943132.943-0.15763.137.721
37Long128.09.2006286.4706.10.2006291.565.0901.77761.9300.00080.939.497
38Long123.11.2006311.3528.11.2006301.79-9.560-3.07030.000-3.070-223.736.427
39Long108.12.2006313.314.12.2006319.726.4202.04942.0490.000124.438.476
40Long122.03.2007341.5604.04.2007349.417.8502.29892.298-1.11564.440.774
41Long121.05.2007360.2701.06.2007369.228.9502.48482.4840.00082.343.259
42Long105.07.2007360.9425.07.2007344.97-15.970-4.425140.388-4.425-80.638.834
43Long128.08.2007321.8203.09.2007333.8512.0303.73843.7380.000226.942.572
44Long102.10.2007337.0710.10.2007343.696.6201.96461.9640.00089.444.536
45Long104.12.2007316.806.12.2007322.135.3301.68222.0300.000306.446.219
46Long130.01.2008281.9504.02.2008292.2610.3103.65733.657-0.117266.449.875
47Long102.04.2008293.0825.04.2008291.5-1.580-0.539170.000-4.538-8.549.336
48Long118.07.2008252.322.07.2008253.911.6100.63821.6730.00058.149.974
49Long103.09.2008259.5708.09.2008254.16-5.410-2.08430.000-5.062-151.847.890
50Long103.11.2008185.9905.11.2008192.136.1403.30125.4680.000601.251.191
51Long105.01.2009178.607.01.2009181.032.4301.36121.5450.000247.852.552
52Long117.03.2009147.824.03.2009151.844.0402.73353.369-0.677142.255.285
53Long121.05.2009196.1702.06.2009203.727.5503.84983.849-0.647116.859.134
54Long117.07.2009195.222.07.2009199.464.2602.18232.1880.000159.061.316
55Long109.09.2009232.5314.09.2009236.343.8101.63831.7980.000119.462.955
56Long113.11.2009244.9717.11.2009246.821.8500.75521.5920.00068.863.710
57Long122.02.2010247.704.03.2010252.484.7801.93081.930-3.35570.365.640
58Long127.04.2010268.2628.04.2010262.45-5.810-2.16610.000-2.166-788.963.474
59Long104.06.2010240.8811.06.20102476.1202.54152.541-2.524132.266.015
60Long114.07.2010252.0427.07.2010256.714.6701.85391.853-3.41651.967.868
61Long106.09.2010254.814.09.2010259.714.9101.92761.927-1.16287.769.795
62Long105.11.2010277.412.11.2010272.7-4.700-1.69450.995-1.694-88.268.100
63Long103.12.2010280.1314.12.2010284.694.5601.62871.7600.00053.969.728
64Long113.01.2011291.4907.02.2011298.076.5802.257172.257-1.57532.971.985
65Long110.03.2011292.6816.03.2011280.74-11.940-4.08040.000-4.080-297.267.906
66Long125.03.2011296.3505.04.2011302.676.3202.13372.352-0.03470.670.039
67Long103.05.2011300.9724.05.2011293.76-7.210-2.396150.512-2.731-41.667.643
68Long101.07.2011295.7415.07.2011279.66-16.080-5.437100.450-5.437-141.562.206
69Long131.08.2011251.0812.09.2011227.86-23.220-9.24880.151-9.248-280.752.958
70Long113.10.2011235.0325.10.2011238.563.5301.50282.298-2.18345.654.460
71Long105.12.2011233.6604.01.2012234.961.3000.556211.631-7.0576.855.016
72Long120.02.2012265.0907.03.2012253.6-11.490-4.334120.000-5.296-98.750.682
73Long116.03.2012264.8130.03.2012255.08-9.730-3.674100.038-4.618-95.647.007
74Long108.06.2012229.9721.06.2012234.514.5401.97492.239-2.91355.348.981

Generated 30.07.2012 20:52:02