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MyTrendTimer :
DJ Stoxx 50
of
January 5, 2007 |
Weekly Comment about this asset/index |
Oil prices deepened losses on Wednesday as mild weather conditions were projected to persist in the United States, undermining heating oil demand.
As a reminder, Tuersday marked the second-to-last trading day of the classic year-end Santa Claus rally which, according to the Stock Trader's Almanac, has resulted in an average return of 1.5% for the SP500 since 1950.
In fact, an influx of new fund inflows that typically hit the market on the first day of trading for the month/quarter/year,as evidenced by the biggest volume in several weeks, provided an additional floor of market support.
Oil was little changed above $58 on Thursday, one day after a commodities sell-off and warm weather knocked prices 4 percent lower, with dealers pausing ahead of U.S. data expected to showing rising fuel stocks.
Oil prices held below $56 on Friday after falling nearly 9 percent over the past two days to its lowest close in 18 months, as traders fret over growing U.S. fuel stocks and mild weather. |
|
Financial Instrument | Value |
Instrument Name | DJ Stoxx 50 |
Symbol | STOXX50 |
Currency | EUR |
Underlying instrument | iShares DJ STOXX 50 (EUN) |
|
Trend/Signal | Value |
Current Trend/Signal |
Bullish (last signal was a Buy)
|
Strenght | 1.8 |
Date (dd.MM.yyyy) | 05.01.2007 |
|
Generated Operations Chart |
 |
|
Generated Operations |
Nature | Date (dd.MM.yyyy) | # Days previous op. | Quote | Result previous op. |
Buy | 14.03.2002 | 000 | 3'644.00 | +0.00 |
Sell | 24.04.2002 | 040 | 3'545.00 | -2.72 |
Buy | 09.06.2003 | 411 | 2'375.02 | -33.00 |
Sell | 08.07.2004 | 395 | 2'656.29 | +11.84 |
Buy | 20.09.2004 | 074 | 2'705.50 | +1.85 |
Sell | 29.05.2006 | 616 | 3'395.11 | +25.49 |
Buy | 08.08.2006 | 071 | 3'421.50 | +0.78 |
Out | 04.01.2007 | 149 | 3'759.55 | +9.88 |
|
Return and result of the differents strategies |
Time Weighted Return of | Value (over the Period) |
Buy and Hold | -20.60 |
Model Buy and Hold | +3.17 |
Model Long Only | +50.03 |
Model Short Only | +31.23 |
Model Long and Short | +96.88 |
|
Time Weighted Return of | Value (Annualized) |
Buy and Hold | -4.22 |
Model Buy and Hold | +0.65 |
Model Long Only | +10.26 |
Model Short Only | +6.40 |
Model Long and Short | +19.86 |
|
Model OverPerf vs Model Buy and Hold | Value (Annualized) |
Model Long vs Model Buy and Hold | +9.61 |
Model Short vs Model Buy and Hold | +5.75 |
Model Long and Short vs Model Buy and Hold | +19.21 |
|
Model OverPerf vs Buy and Hold | Value (Annualized) |
Model Long vs Buy and Hold | +14.48 |
Model Short vs Buy and Hold | +10.63 |
Model Long and Short vs Buy and Hold | +24.09 |
|
|
Various statistical indicators for this asset |
Last 20 quotes Statistics | Value |
Mean quote | 3'676.73 |
Variance | 2'966.74 |
Standard Deviation | 54.47 |
Lowest quote | 3'566.38 |
Highest quote | 3'759.55 |
Median | 3'662.96 |
Max Daily Loose percent | -0.73 |
Max Daily Gain percent | 1.63 |
Simple Perf. | 5.42 |
|
Last 5 quotes Statistics | Value |
Mean quote | 3'720.27 |
Variance | 1'102.29 |
Standard Deviation | 33.20 |
Lowest quote | 3'675.32 |
Highest quote | 3'759.55 |
Median | 3'717.44 |
Max Daily Loose percent | -0.47 |
Max Daily Gain percent | 1.63 |
Simple Perf. | 2.29 |
|
Previous year Statistics | Value |
Mean quote | 3'499.20 |
Variance | 15'604.70 |
Standard Deviation | 124.92 |
Lowest quote | 3'204.35 |
Highest quote | 3'739.41 |
Median | 3'471.88 |
Max Daily Loose percent | -2.94 |
Max Daily Gain percent | 2.13 |
Simple Perf. | 10.39 |
First quote | 3'349.10 |
Last quote | 3'697.22 |
|
Current year Statistics | Value |
Mean quote | 3'738.05 |
Variance | 1'251.69 |
Standard Deviation | 35.38 |
Lowest quote | 3'697.22 |
Highest quote | 3'759.55 |
Median | 3'728.39 |
Max Daily Loose percent | 0.00 |
Max Daily Gain percent | 1.63 |
Simple Perf. | 1.69 |
First quote | 3'697.22 |
Last quote | 3'759.55 |
|
Seasonal Return by Month for this asset |
Month | Cumulated TWR Return. | #Month | Average TWR Return |
January | -8.24 | 8 | -1.03 |
February | -0.85 | 7 | -0.12 |
March | -2.09 | 7 | -0.30 |
April | +15.36 | 7 | +2.19 |
May | -10.74 | 7 | -1.53 |
June | -7.62 | 7 | -1.09 |
July | -6.43 | 7 | -0.92 |
August | -5.12 | 7 | -0.73 |
September | -22.93 | 7 | -3.28 |
October | +30.51 | 7 | +4.36 |
November | +2.49 | 7 | +0.36 |
December | +2.39 | 7 | +0.34 |
|
TWR Return by Year for this asset |
Year | TWR Return. |
2000 | -3.55 |
2001 | -18.57 |
2002 | -35.60 |
2003 | +11.08 |
2004 | +4.30 |
2005 | +20.70 |
2006 | +10.39 |
2007 | +1.69 |
|
Year 2000 to 2003 Monthly performance |
Month | Year | Performance |
January | 2000 | -4.75 |
February | 2000 | +8.49 |
March | 2000 | +3.27 |
April | 2000 | +1.07 |
May | 2000 | -3.09 |
June | 2000 | -2.24 |
July | 2000 | +0.60 |
August | 2000 | +3.23 |
September | 2000 | -4.50 |
October | 2000 | +3.83 |
November | 2000 | -7.17 |
December | 2000 | -1.25 |
January | 2001 | -0.18 |
February | 2001 | -10.20 |
March | 2001 | -2.69 |
April | 2001 | +7.96 |
May | 2001 | -1.16 |
June | 2001 | -4.45 |
July | 2001 | -3.42 |
August | 2001 | -7.39 |
September | 2001 | -8.67 |
October | 2001 | +4.49 |
November | 2001 | +3.03 |
December | 2001 | +4.12 |
January | 2002 | -3.85 |
February | 2002 | -0.42 |
March | 2002 | +3.57 |
April | 2002 | -5.02 |
May | 2002 | -4.34 |
June | 2002 | -8.77 |
July | 2002 | -10.40 |
August | 2002 | -1.13 |
September | 2002 | -14.62 |
October | 2002 | +10.55 |
November | 2002 | +4.07 |
December | 2002 | -9.96 |
January | 2003 | -6.85 |
February | 2003 | -2.94 |
March | 2003 | -3.07 |
April | 2003 | +10.47 |
May | 2003 | -0.13 |
June | 2003 | +3.45 |
July | 2003 | +3.28 |
August | 2003 | +0.22 |
September | 2003 | -3.74 |
October | 2003 | +6.32 |
November | 2003 | +1.15 |
December | 2003 | +3.63 |
|
Year 2004 to 200n Monthly performance |
Month | Year | Performance |
January | 2004 | +1.35 |
February | 2004 | +1.94 |
March | 2004 | -3.10 |
April | 2004 | +1.67 |
May | 2004 | -1.42 |
June | 2004 | +0.69 |
July | 2004 | -1.39 |
August | 2004 | -1.14 |
September | 2004 | +1.85 |
October | 2004 | +0.88 |
November | 2004 | +1.69 |
December | 2004 | +1.36 |
January | 2005 | +1.60 |
February | 2005 | +2.60 |
March | 2005 | -0.92 |
April | 2005 | -1.70 |
May | 2005 | +4.16 |
June | 2005 | +3.47 |
July | 2005 | +3.39 |
August | 2005 | -0.80 |
September | 2005 | +4.72 |
October | 2005 | -1.82 |
November | 2005 | +1.96 |
December | 2005 | +2.59 |
January | 2006 | +2.90 |
February | 2006 | +0.68 |
March | 2006 | +1.09 |
April | 2006 | +0.83 |
May | 2006 | -5.01 |
June | 2006 | +0.59 |
July | 2006 | +2.08 |
August | 2006 | +2.14 |
September | 2006 | +0.80 |
October | 2006 | +3.33 |
November | 2006 | -1.83 |
December | 2006 | +2.64 |
January | 2007 | +1.69 |
|
Quotes Used | Value |
Quote File Used | /local/java/TrendTimer/data/DJSTOXX_20070105.csv |
# of Quotes | 1750 |
File first date (dd.MM.yyyy) | 03.01.2000 |
File first quote | 4'735.00 |
File last date (dd.MM.yyyy) | 04.01.2007 |
File last quote | 3'759.55 |
First data considered (dd.MM.yyyy) | 25.05.2000 |
First data considered | 4'825.00 |
Min. Quote date (dd.MM.yyyy) | 12.03.2003 |
Min. Quote value | 1'909.05 |
Max Quote date (dd.MM.yyyy) | 04.09.2000 |
Max Quote value | 5'198.00 |
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 percent | 9.21 |
|
Operations Statistics | Value |
# Generated operations | 8 |
Avg # op. by year | 1.64 |
# Days | 1756 |
# Days in years | 4.88 |
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 |
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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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