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MyTrendTimer : DJ Stoxx 50 of December 29, 2006
Weekly Comment about this asset/index
Diplomatic efforts to persuade North Korea to scrap its nuclear weapons ended with no deal on Friday after a week of six-party talks, Interfax news agency reported, quoting a source close to the Russian delegation. Oil prices hovered below $63 a barrel on Friday after falling from a three-month high in the previous session on unusually warm weather in the United States Northeast. Treasury bond prices slumped, boosting yields, while the dollar fell. Oil dipped and gold surged. The dollar steadied against the euro and yen after a series of surprisingly strong U.S. data painted a more robust picture of the economy. Friday, the last trading day of 2006, the oil held above $60 a barrel after rising on a steeper-than-expected fall in U.S. crude stocks.
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)
Strenght1.7
Date (dd.MM.yyyy)29.12.2006
Generated Operations Chart
A chart of DJ Stoxx 50 STOXX50 dated December 29, 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
Out28.12.20061423'714.74+8.57
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-21.55
Model Buy and Hold+1.94
Model Long Only+48.24
Model Short Only+31.23
Model Long and Short+94.54
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.44
Model Buy and Hold+0.40
Model Long Only+9.93
Model Short Only+6.43
Model Long and Short+19.46
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+9.53
Model Short vs Model Buy and Hold+6.03
Model Long and Short vs Model Buy and Hold+19.06
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+14.36
Model Short vs Buy and Hold+10.86
Model Long and Short vs Buy and Hold+23.89
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote3'658.12
Variance2'665.72
Standard Deviation51.63
Lowest quote3'566.38
Highest quote3'731.90
Median3'649.14
Max Daily Loose percent-0.99
Max Daily Gain percent1.14
Simple Perf.3.43
Last 5 quotes StatisticsValue
Mean quote3'699.49
Variance238.08
Standard Deviation15.43
Lowest quote3'675.32
Highest quote3'717.40
Median3'696.36
Max Daily Loose percent-0.52
Max Daily Gain percent1.14
Simple Perf.0.55
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 quote3'498.42
Variance15'510.79
Standard Deviation124.54
Lowest quote3'204.35
Highest quote3'739.41
Median3'471.88
Max Daily Loose percent-2.94
Max Daily Gain percent2.13
Simple Perf.10.92
First quote3'349.10
Last quote3'714.74
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+2.497+0.36
December+2.877+0.41
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+10.92
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
November2006-1.83
December2006+3.13
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/DJSTOXX_20061229.csv
# of Quotes1747
File first date (dd.MM.yyyy)03.01.2000
File first quote4'735.00
File last date (dd.MM.yyyy)28.12.2006
File last quote3'714.74
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 year1.65
# Days1749
# Days in years4.86
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 v0.99.88.3
Java Version1.6.0-rc
OS NameLinux
OS Version2.6.18-1.2849.fc6
User Namemarc
Calculation Time (Ms)736
Tech Id318033451-129970
XML output fileDJSTOXX_20061229.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/DJSTOXX_20061229.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)29.12.2006 18:38:53
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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