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MyTrendTimer Financial Market Trend Timing report

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October 12th, Bullish Trend (Buy Signal)
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 500
Standard and Poors 100
Swiss Market Index SMI
USD to CHF
October 12th, Bearish Trend (Sell Signal)
None for now.
 
Older reports
 
October 1st, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
September 17th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
 
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MyTrendTimer : DJ Stoxx 50 of November 21, 2006
Weekly Comment about this asset/index
Oil slipped under $56 on Friday to its lowest level in a year, deepening a $2.50 rout in the previous session driven by fund selling and pressure from high fuel inventories in the United States, the leading oil consumer. Merger and acquisition activity worldwide surged on Monday with a focus on real estate, mining, media and exchanges sectors as demand by private equity funds and the push for industry consolidation gathered pace. The surge is being driven by profitable companies which have large amounts of cash for investment, and by the flood of money into private equity funds that also needs to be put to work.
Financial InstrumentValue
Instrument NameDJ Stoxx 50
SymbolSTOXX50
CurrencyEUR
Underlying instrumentiShares DJ STOXX 50 (EUN)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strenght2.9
Date (dd.MM.yyyy)21.11.2006
Generated Operations Chart
A chart of DJ Stoxx 50 STOXX50 dated November 21, 2006 to backtest the trend timer model buy and sell signals
Generated Operations
NatureDate (dd.MM.yyyy)# Days previous op.QuoteResult previous op.
Buy14.03.20020003'644.00+0.00
Sell24.04.20020403'545.00-2.72
Buy09.06.20034112'375.02-33.00
Sell08.07.20043952'656.29+11.84
Buy20.09.20040742'705.50+1.85
Sell29.05.20066163'395.11+25.49
Buy08.08.20060713'421.50+0.78
Out20.11.20061043'703.42+8.24
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-21.79
Model Buy and Hold+1.63
Model Long Only+47.79
Model Short Only+31.23
Model Long and Short+93.95
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.58
Model Buy and Hold+0.34
Model Long Only+10.05
Model Short Only+6.57
Model Long and Short+19.77
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+9.71
Model Short vs Model Buy and Hold+6.23
Model Long and Short vs Model Buy and Hold+19.42
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+14.64
Model Short vs Buy and Hold+11.16
Model Long and Short vs Buy and Hold+24.35
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote3'700.63
Variance370.32
Standard Deviation19.24
Lowest quote3'669.15
Highest quote3'739.41
Median3'704.28
Max Daily Loose percent-0.82
Max Daily Gain percent1.12
Simple Perf.0.03
Last 5 quotes StatisticsValue
Mean quote3'704.62
Variance136.03
Standard Deviation11.66
Lowest quote3'689.96
Highest quote3'720.50
Median3'705.23
Max Daily Loose percent-0.82
Max Daily Gain percent0.56
Simple Perf.-0.06
Previous year StatisticsValue
Mean quote3'049.28
Variance32'001.71
Standard Deviation178.89
Lowest quote2'763.16
Highest quote3'370.84
Median3'067.00
Max Daily Loose percent-1.86
Max Daily Gain percent2.24
Simple Perf.20.70
First quote2'774.77
Last quote3'349.10
Current year StatisticsValue
Mean quote3'480.08
Variance13'716.43
Standard Deviation117.12
Lowest quote3'204.35
Highest quote3'739.41
Median3'471.88
Max Daily Loose percent-2.94
Max Daily Gain percent2.13
Simple Perf.10.58
First quote3'349.10
Last quote3'703.42
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-9.767-1.39
February-0.857-0.12
March-2.097-0.30
April+15.367+2.19
May-10.747-1.53
June-7.627-1.09
July-6.437-0.92
August-5.127-0.73
September-22.937-3.28
October+30.517+4.36
November+5.377+0.77
December-0.256-0.04
TWR Return by Year for this asset
YearTWR Return.
2000-3.55
2001-18.57
2002-35.60
2003+11.08
2004+4.30
2005+20.70
2006+10.58
Year 2000 to 2003 Monthly performance
MonthYearPerformance
January2000-4.75
February2000+8.49
March2000+3.27
April2000+1.07
May2000-3.09
June2000-2.24
July2000+0.60
August2000+3.23
September2000-4.50
October2000+3.83
November2000-7.17
December2000-1.25
January2001-0.18
February2001-10.20
March2001-2.69
April2001+7.96
May2001-1.16
June2001-4.45
July2001-3.42
August2001-7.39
September2001-8.67
October2001+4.49
November2001+3.03
December2001+4.12
January2002-3.85
February2002-0.42
March2002+3.57
April2002-5.02
May2002-4.34
June2002-8.77
July2002-10.40
August2002-1.13
September2002-14.62
October2002+10.55
November2002+4.07
December2002-9.96
January2003-6.85
February2003-2.94
March2003-3.07
April2003+10.47
May2003-0.13
June2003+3.45
July2003+3.28
August2003+0.22
September2003-3.74
October2003+6.32
November2003+1.15
December2003+3.63
Year 2004 to 200n Monthly performance
MonthYearPerformance
January2004+1.35
February2004+1.94
March2004-3.10
April2004+1.67
May2004-1.42
June2004+0.69
July2004-1.39
August2004-1.14
September2004+1.85
October2004+0.88
November2004+1.69
December2004+1.36
January2005+1.60
February2005+2.60
March2005-0.92
April2005-1.70
May2005+4.16
June2005+3.47
July2005+3.39
August2005-0.80
September2005+4.72
October2005-1.82
November2005+1.96
December2005+2.59
January2006+2.90
February2006+0.68
March2006+1.09
April2006+0.83
May2006-5.01
June2006+0.59
July2006+2.08
August2006+2.14
September2006+0.80
October2006+3.33
November2006+0.93
Quotes UsedValue
Quote File UsedDJSTOXX_20061121.csv
# of Quotes1721
File first date (dd.MM.yyyy)03.01.2000
File first quote4'735.00
File last date (dd.MM.yyyy)20.11.2006
File last quote3'703.42
First data considered (dd.MM.yyyy)25.05.2000
First data considered4'825.00
Min. Quote date (dd.MM.yyyy)12.03.2003
Min. Quote value1'909.05
Max Quote date (dd.MM.yyyy)04.09.2000
Max Quote value5'198.00
Max daily drop date (dd.MM.yyyy)22.07.2002
Max Daily Drop percent-7.32
Max daily gain date (dd.MM.yyyy)11.10.2002
Max daily Gain percent9.21
Operations StatisticsValue
# Generated operations8
Avg # op. by year1.68
# Days1711
# Days in years4.75
Biggest loose (Long only)-2.72
Min # days uninvested (before Buy operation)71
Max # days uninvested (before Buy operation)411
Min # days invested (before Sell operation)40
Max # days invested (before Sell operation)616
TechnicalValue
Program NameMyTrendTimer v0.99.86.27
Java Version1.5.0_09
OS NameLinux
OS Version2.6.18-1.2849.fc6
User Nameroot
Calculation Time (Ms)2077
Tech Id913569686-129970
XML output fileDJSTOXX_20061121.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/DJSTOXX_20061121.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)21.11.2006 19:13:31
Disclaimer
All information provided "as is" for informational purposes only, not intended for trading purposes or advice. Prior to execution of any security trade, you are advised to consult your authorized financial advisor to verify the accuracy of all information. Neither MyTrendTimer nor anyone is liable for any informational errors, incompleteness, or delays, or for any actions taken in reliance on information contained herein. You can freely redistribute the information found herein as long as this disclaimer is included unmodified. Past performance does not guarantee future results. Some indexes, benchmarks or brand names may be trademarks or registered trademarks of their respective owners.
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