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MyTrendTimer : DJ Stoxx 50 analysis of January 13, 2009
Description of this asset/index
The Dow Jones EURO STOXX 50 Index, Europe's leading Blue-chip index for the Eurozone, provides a Blue-chip representation of supersector leaders in the Eurozone. The index covers 50 stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. The Dow Jones EURO STOXX 50 Index is licensed to financial institutions to serve as underlying for a wide range of investment products such as Exchange Traded Funds (ETF), Futures and Options, and structured products worldwide.
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-10.3
DateJanuary 12, 2009
Generated Signals Chart
A chart of DJ Stoxx 50 STOXX50 dated January 12, 2009 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 : Current12.01.20094302'129.18-42.04
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-55.03
Model Buy and Hold-41.57
Model Long Only+33.20
Model Short Only+56.13
Model Long and Short+107.97
Time Weighted Return ofValue (Annualized)
Buy and Hold-7.94
Model Buy and Hold-6.00
Model Long Only+4.79
Model Short Only+8.10
Model Long and Short+15.58
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+10.79
Model Short vs Model Buy and Hold+14.10
Model Long and Short vs Model Buy and Hold+21.59
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+12.74
Model Short vs Buy and Hold+16.05
Model Long and Short vs Buy and Hold+23.53
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote2'110.90
Standard Deviation60.74
Lowest quote2'015.16
Highest quote2'216.62
Median2'115.89
Max Daily Loose percent-2.90
Max Daily Gain percent3.78
Simple Perf.-0.49
Last 5 quotes StatisticsValue
Mean quote2'173.95
Standard Deviation29.14
Lowest quote2'129.18
Highest quote2'216.62
Median2'172.90
Max Daily Loose percent-1.47
Max Daily Gain percent1.53
Simple Perf.-2.48
Previous year StatisticsValue
Mean quote2'861.02
Standard Deviation432.75
Lowest quote1'894.31
Highest quote3'683.79
Median2'789.05
Max Daily Loose percent-8.09
Max Daily Gain percent10.04
Simple Perf.-43.93
First quote3'683.79
Last quote2'065.46
Current year StatisticsValue
Mean quote2'156.59
Standard Deviation45.56
Lowest quote2'065.46
Highest quote2'216.62
Median2'141.04
Max Daily Loose percent-1.47
Max Daily Gain percent3.78
Simple Perf.3.09
First quote2'065.46
Last quote2'129.18
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-16.7610-1.68
February-4.929-0.55
March-6.369-0.71
April+28.909+3.21
May-10.569-1.17
June-15.329-1.70
July-10.839-1.20
August-4.729-0.52
September-29.359-3.26
October+17.379+1.93
November-8.269-0.92
December-3.859-0.43
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
2008-43.93
2009+3.09
Year 2006 to 2007 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
Year 2008 to 200n Monthly performance
MonthYearPerformance
January2008-12.03
February2008-1.60
March2008-5.49
April2008+7.41
May2008-1.70
June2008-8.66
July2008-0.86
August2008+1.19
September2008-9.64
October2008-11.57
November2008-7.32
December2008-4.33
January2009+3.09
Quotes UsedValue
Link on Quote FileDJSTOXX_20090112.csv
Quote File Used/local/java/TrendTimer/quote_data/DJSTOXX_20090112.csv
# of Quotes2254
File first date (dd.MM.yyyy)03.01.2000
File first quote4'735.00
File last date (dd.MM.yyyy)12.01.2009
File last quote2'129.18
First data considered (dd.MM.yyyy)25.05.2000
First data considered4'825.00
Min. Quote date (dd.MM.yyyy)21.11.2008
Min. Quote value1'894.31
Max Quote date (dd.MM.yyyy)04.09.2000
Max Quote value5'198.00
Max daily drop date (dd.MM.yyyy)13.10.2008
Max Daily Drop percent-8.09
Max daily gain date (dd.MM.yyyy)29.10.2008
Max daily Gain percent10.04
Signals StatisticsValue
# Generated Signals12
Avg # op. by year1.73
# Days2494
# Days in years6.93
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 v0.99.98.2
Java Version1.6.0_0
OS NameLinux
OS Version2.6.27.9-159.fc10.i686
User Namemarc
Calculation Time (Ms)337
Tech Id671441870-129970
XML output fileDJSTOXX_20090112.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/DJSTOXX_20090112.xml
# Warnings found20
Generated on (dd.MM.yyyy HH:mm:ss)13.01.2009 10:48:48
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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