The MyTrendTimer Market Trend Timing Home Page Logo
MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
Signals and News Help/HowTo Principles About
 
November 12th, Bullish Trend (Buy Signal)
Swiss Market Index SMI
Dow Jones Industrial
Standard and Poors 100
USD to CHF
November 12th, Bearish Trend (Sell Signal)
NASDAQ Composite
Standard and Poors 500
 
Older reports
 
November 6th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
October 29th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
 
Archived reports
 
2005 Archive Page
2006 Archive Page
2007 Archive Page
2008 Archive Page
2009 Archive Page
2010 Archive Page
2011 Archive Page
2012 Archive Page
2013 Archive Page
2014 Archive Page
2015 Archive Page
2016 Archive Page
2017 Archive Page
2018 Archive Page
MyTrendTimer : DJ Stoxx 50 analysis of February 28, 2008
Weekly Comment about this asset/index
Stocks gained in Europe, led by financial companies, on speculation bond insurers will avoid a cut in their credit ratings and limit further losses related to subprime-mortgage defaults. U.S. index futures advanced. UBS AG and BNP Paribas SA led banks higher in Europe. Shareholders in UBS backed a 13 billion Swiss franc ($11.94 billion) capital injection from Singapore and an unidentified Middle East investor but heaped scorn on the bank's chairman, Marcel Ospel, over subprime losses.
Financial InstrumentValue
Asset NameDJ Stoxx 50
SymbolSTOXX50
CurrencyEUR
Underlying instrumentiShares DJ STOXX 50 (EUN)
Trend/SignalValue
Current Trend/Signal Bearish (last signal was a Sell)
Strength-6.3
DateFebruary 28, 2008
Generated Signals Chart
A chart of DJ Stoxx 50 STOXX50 dated February 28, 2008 to backtest the trend timer model buy and sell signals
Generated Signals
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
Sell16.03.20072203'565.40+4.21
Buy02.04.20070163'713.02+4.14
Sell06.08.20071263'694.03-0.51
Buy05.10.20070603'903.72+5.68
Sell09.11.20070353'673.35-5.90
Info : Current28.02.20081113'239.58-11.81
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-31.58
Model Buy and Hold-11.10
Model Long Only+33.20
Model Short Only+33.26
Model Long and Short+77.50
Time Weighted Return ofValue (Annualized)
Buy and Hold-5.23
Model Buy and Hold-1.84
Model Long Only+5.50
Model Short Only+5.50
Model Long and Short+12.83
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+7.33
Model Short vs Model Buy and Hold+7.34
Model Long and Short vs Model Buy and Hold+14.66
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+10.72
Model Short vs Buy and Hold+10.73
Model Long and Short vs Buy and Hold+18.05
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote3'231.24
Standard Deviation48.21
Lowest quote3'137.83
Highest quote3'308.61
Median3'223.22
Max Daily Loose percent-2.98
Max Daily Gain percent3.48
Simple Perf.0.06
Last 5 quotes StatisticsValue
Mean quote3'253.89
Standard Deviation44.20
Lowest quote3'197.71
Highest quote3'308.61
Median3'253.16
Max Daily Loose percent-1.86
Max Daily Gain percent1.59
Simple Perf.1.31
Previous year StatisticsValue
Mean quote3'790.72
Standard Deviation106.28
Lowest quote3'504.87
Highest quote3'998.93
Median3'751.90
Max Daily Loose percent-3.28
Max Daily Gain percent2.67
Simple Perf.-0.36
First quote3'697.22
Last quote3'683.79
Current year StatisticsValue
Mean quote3'339.02
Standard Deviation173.42
Lowest quote3'110.54
Highest quote3'683.79
Median3'397.17
Max Daily Loose percent-6.34
Max Daily Gain percent4.80
Simple Perf.-12.06
First quote3'683.79
Last quote3'239.58
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-19.259-2.14
February-3.419-0.38
March-0.928-0.12
April+20.018+2.50
May-9.018-1.13
June-7.298-0.91
July-10.058-1.26
August-5.848-0.73
September-21.818-2.73
October+32.738+4.09
November-1.018-0.13
December+0.518+0.06
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+10.39
2007-0.36
2008-12.06
Year 2004 to 2005 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
Year 2006 to 200n Monthly performance
MonthYearPerformance
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+2.64
January2007+1.72
February2007-2.55
March2007+1.19
April2007+4.03
May2007+1.94
June2007+0.35
July2007-3.87
August2007-0.76
September2007+1.45
October2007+1.70
November2007-3.41
December2007-1.84
January2008-12.03
February2008-0.04
Quotes UsedValue
Link on Quote FileDJSTOXX_20080228.csv
Quote File Used/local/java/TrendTimer/quote_data/DJSTOXX_20080228.csv
# of Quotes2042
File first date (dd.MM.yyyy)03.01.2000
File first quote4'735.00
File last date (dd.MM.yyyy)28.02.2008
File last quote3'239.58
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
Signals StatisticsValue
# Generated Signals12
Avg # op. by year1.99
# Days2175
# Days in years6.04
Biggest loose (Long only)-5.90
Min # days uninvested (before Buy Signal)16
Max # days uninvested (before Buy Signal)411
Min # days invested (before Sell Signal)35
Max # days invested (before Sell Signal)616
TechnicalValue
Program NameMyTrendTimer v0.99.98
Java Version1.7.0
OS NameLinux
OS Version2.6.23.14-115.fc8
User Namemarc
Calculation Time (Ms)485
Tech Id504098225-129970
XML output fileDJSTOXX_20080228.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/DJSTOXX_20080228.xml
# Warnings found16
Generated on (dd.MM.yyyy HH:mm:ss)28.02.2008 18:22:00
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.
Valid HTML 4.01