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MyTrendTimer Financial Market Trend Timing report

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December 10th, Bullish Trend (Buy Signal)
USD to CHF
December 10th, Bearish Trend (Sell Signal)
NASDAQ Composite
Standard and Poors 500
Standard and Poors 100
Dow Jones Industrial
Swiss Market Index SMI
 
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December 3rd, 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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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 : Dow Jones Industrial Average analysis of May 13, 2008
Description of this asset/index
The Dow Jones Industrial Average, also called the DJIA, Dow 30, or informally the Dow Jones or The Dow) is one of several stock market indices created by nineteenth century Wall Street Journal editor and Dow Jones and Company co-founder Charles Dow. Dow compiled the index as a way to gauge the performance of the industrial component of America's stock markets. It is the oldest continuing U.S. market index, aside from the Dow Jones Transportation Average, which Dow also created. Today, the average consists of 30 of the largest and most widely held public companies in the United States. The "industrial" portion of the name is largely historical—many of the 30 modern components have little to do with heavy industry. The average is price-weighted. To compensate for the effects of stock splits and other adjustments, it is currently a scaled average, not the actual average of the prices of its component stocks—the sum of the component prices is divided by a divisor, which changes whenever one of the component stocks has a stock split or stock dividend, to generate the value of the index. Since the divisor is currently less than one, the value of the index is higher than the sum of the component prices.
Financial InstrumentValue
Asset NameDow Jones Industrial Average
SymbolDJI
CurrencyUSD
Underlying instrumentDIAMONDS Trust, Series 1 (DIA)
Trend/SignalValue
Current Trend/Signal Bearish (last signal was a Sell)
Strength-0.2
DateMay 13, 2008
Generated Signals Chart
A chart of Dow Jones Industrial Average DJI dated May 13, 2008 to backtest the trend timer model buy and sell signals
Generated Signals
NatureDate (dd.MM.yyyy)# Days previous op.QuoteResult previous op.
Buy11.05.200100010'869.00+0.00
Sell20.07.200107010'600.00-2.47
Buy28.12.200116110'115.00-4.58
Sell05.02.20020399'655.00-4.55
Buy22.02.20020179'985.00+3.42
Sell04.06.20021019'695.00-2.90
Buy07.05.20033378'560.63-11.70
Sell20.07.200444010'149.07+18.56
Buy15.11.200411810'550.24+3.95
Sell18.04.200515310'071.25-4.54
Buy21.06.200506410'599.67+5.25
Sell27.06.200500610'290.78-2.91
Buy18.07.200502110'574.99+2.76
Sell06.10.200508010'287.10-2.72
Buy15.11.200504010'715.00+4.16
Sell18.07.200624410'795.00+0.75
Buy02.08.200601511'160.00+3.38
Sell23.11.200747812'980.88+16.32
Info : Current12.05.200817012'876.31-0.81
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+12.41
Model Buy and Hold+18.47
Model Long Only+13.21
Model Short Only-4.65
Model Long and Short+7.95
Time Weighted Return ofValue (Annualized)
Buy and Hold+1.75
Model Buy and Hold+2.60
Model Long Only+1.86
Model Short Only-0.65
Model Long and Short+1.12
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold-0.74
Model Short vs Model Buy and Hold-3.26
Model Long and Short vs Model Buy and Hold-1.48
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+0.11
Model Short vs Buy and Hold-2.40
Model Long and Short vs Buy and Hold-0.63
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote12'794.70
Standard Deviation191.51
Lowest quote12'302.06
Highest quote13'058.20
Median12'680.13
Max Daily Loose percent-1.59
Max Daily Gain percent2.08
Simple Perf.4.67
Last 5 quotes StatisticsValue
Mean quote12'882.28
Standard Deviation100.31
Lowest quote12'745.88
Highest quote13'020.83
Median12'883.36
Max Daily Loose percent-1.59
Max Daily Gain percent1.02
Simple Perf.-0.72
Previous year StatisticsValue
Mean quote13'165.92
Standard Deviation518.12
Lowest quote12'050.41
Highest quote14'164.53
Median13'107.47
Max Daily Loose percent-3.29
Max Daily Gain percent3.20
Simple Perf.6.43
First quote12'463.15
Last quote13'264.82
Current year StatisticsValue
Mean quote12'507.01
Standard Deviation306.31
Lowest quote11'740.15
Highest quote13'264.82
Median12'502.49
Max Daily Loose percent-2.93
Max Daily Gain percent3.55
Simple Perf.-2.93
First quote13'264.82
Last quote12'876.31
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-11.079-1.23
February-11.879-1.32
March+4.089+0.45
April+17.009+1.89
May+6.259+0.69
June-8.268-1.03
July-3.768-0.47
August+3.068+0.38
September-21.188-2.65
October+24.248+3.03
November+14.658+1.83
December+8.508+1.06
TWR Return by Year for this asset
YearTWR Return.
2000-5.15
2001-8.19
2002-16.37
2003+25.32
2004+3.15
2005-0.61
2006+16.29
2007+6.43
2008-2.93
Year 2005 to 2006 Monthly performance
MonthYearPerformance
January2005-2.72
February2005+2.63
March2005-2.44
April2005-2.96
May2005+2.70
June2005-1.84
July2005+3.56
August2005-1.50
September2005+0.83
October2005-1.22
November2005+4.53
December2005-1.79
January2006+1.91
February2006+1.52
March2006+1.03
April2006+1.91
May2006-2.62
June2006+1.22
July2006-0.60
August2006+1.87
September2006+3.33
October2006+2.95
November2006+0.83
December2006+1.97
Year 2007 to 200n Monthly performance
MonthYearPerformance
January2007+1.27
February2007-2.80
March2007+0.70
April2007+5.74
May2007+4.32
June2007-1.51
July2007-1.57
August2007+1.10
September2007+4.03
October2007+0.25
November2007-4.01
December2007-0.80
January2008-4.63
February2008-3.04
March2008-0.03
April2008+4.54
May2008+0.44
Quotes UsedValue
Link on Quote FileDJX_20080513.csv
Quote File Used/local/java/TrendTimer/quote_data/DJX_20080513.csv
# of Quotes2085
File first date (dd.MM.yyyy)03.01.2000
File first quote11'455.00
File last date (dd.MM.yyyy)12.05.2008
File last quote12'876.31
First data considered (dd.MM.yyyy)19.05.2000
First data considered10'700.00
Min. Quote date (dd.MM.yyyy)09.10.2002
Min. Quote value7'286.27
Max Quote date (dd.MM.yyyy)09.10.2007
Max Quote value14'164.53
Max daily drop date (dd.MM.yyyy)14.04.2000
Max Daily Drop percent-6.07
Max daily gain date (dd.MM.yyyy)24.07.2002
Max daily Gain percent6.35
Signals StatisticsValue
# Generated Signals18
Avg # op. by year2.54
# Days2554
# Days in years7.09
Biggest loose (Long only)-4.55
Min # days uninvested (before Buy Signal)15
Max # days uninvested (before Buy Signal)337
Min # days invested (before Sell Signal)6
Max # days invested (before Sell Signal)478
TechnicalValue
Program NameMyTrendTimer v0.99.98
Java Version1.7.0
OS NameLinux
OS Version2.6.24.4-64.fc8
User Namemarc
Calculation Time (Ms)301
Tech Id538577187-146960
XML output fileDJX_20080513.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/DJX_20080513.xml
# Warnings found6
Generated on (dd.MM.yyyy HH:mm:ss)13.05.2008 19:48:32
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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