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Standard and Poors 500
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Standard and Poors 500
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MyTrendTimer : Gold Ounce of November 28, 2006
Weekly Comment about this asset/index
Friday saw a fall in the dollar to nearly two-year lows on signs that the European Central Bank would likely continue to raise interest rates next year. Oil stood above $60 on Tuesday after forecasts of a cold spell in the U.S. Northeast buoyed heating oil, and as a weaker dollar and a Saudi warning of possible new output curbs bolstered the market. Consumer confidence fell in November as Americans grew more pessimistic about the job market, a survey showed on Tuesday. The Conference Board said its index of consumer sentiment fell to 102.9 in November from 105.1 in October.
Financial InstrumentValue
Instrument NameGold Ounce
SymbolGC
CurrencyUSD
Underlying instrumentiShares COMEX Gold Trust (IAU)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strenght1.7
Date (dd.MM.yyyy)28.11.2006
Generated Operations Chart
A chart of Gold Ounce GC dated November 28, 2006 to backtest the trend timer model buy and sell signals
Generated Operations
NatureDate (dd.MM.yyyy)# Days previous op.QuoteResult previous op.
Buy23.04.2001000263.40+0.00
Sell24.05.20041127385.70+46.43
Buy07.07.2004044402.00+4.23
Sell03.06.2005331421.90+4.95
Buy06.06.2005003425.60+0.88
Out27.11.2006539639.80+50.33
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+121.77
Model Buy and Hold+142.90
Model Long Only+131.03
Model Short Only-5.14
Model Long and Short+119.15
Time Weighted Return ofValue (Annualized)
Buy and Hold+21.45
Model Buy and Hold+25.17
Model Long Only+23.08
Model Short Only-0.91
Model Long and Short+20.99
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold-2.09
Model Short vs Model Buy and Hold-26.07
Model Long and Short vs Model Buy and Hold-4.18
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+1.63
Model Short vs Buy and Hold-22.35
Model Long and Short vs Buy and Hold-0.46
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote622.71
Variance103.44
Standard Deviation10.17
Lowest quote600.80
Highest quote639.80
Median620.30
Max Daily Loose percent-1.38
Max Daily Gain percent3.16
Simple Perf.5.87
Last 5 quotes StatisticsValue
Mean quote631.72
Variance40.02
Standard Deviation6.33
Lowest quote622.90
Highest quote639.80
Median631.35
Max Daily Loose percent0.00
Max Daily Gain percent1.09
Simple Perf.2.71
Previous year StatisticsValue
Mean quote443.98
Variance733.79
Standard Deviation27.09
Lowest quote412.20
Highest quote537.60
Median474.90
Max Daily Loose percent-3.00
Max Daily Gain percent2.86
Simple Perf.18.55
First quote436.20
Last quote517.10
Current year StatisticsValue
Mean quote600.28
Variance1'616.48
Standard Deviation40.21
Lowest quote514.60
Highest quote713.10
Median613.85
Max Daily Loose percent-5.06
Max Daily Gain percent4.68
Simple Perf.23.73
First quote517.10
Last quote639.80
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+5.307+0.76
February+3.317+0.47
March-0.367-0.05
April+4.937+0.70
May+13.527+1.93
June-6.337-0.90
July-1.917-0.27
August+15.977+2.28
September+20.157+2.88
October-8.667-1.24
November+25.217+3.60
December+17.296+2.88
TWR Return by Year for this asset
YearTWR Return.
2000-5.56
2001+2.29
2002+24.58
2003+19.56
2004+5.08
2005+18.55
2006+23.73
Year 2000 to 2003 Monthly performance
MonthYearPerformance
January2000-1.99
February2000+3.80
March2000-5.79
April2000-0.54
May2000-0.93
June2000+5.95
July2000-4.21
August2000+0.00
September2000-0.90
October2000-3.34
November2000+2.13
December2000+0.72
January2001-2.55
February2001+0.56
March2001-3.48
April2001+2.37
May2001+0.74
June2001+1.83
July2001-1.44
August2001+2.85
September2001+6.45
October2001-4.28
November2001-1.93
December2001+1.68
January2002+1.22
February2002+5.10
March2002+1.96
April2002+2.02
May2002+5.80
June2002-3.92
July2002-3.29
August2002+3.10
September2002+3.68
October2002-1.97
November2002+0.41
December2002+8.84
January2003+5.85
February2003-4.82
March2003-4.00
April2003+0.86
May2003+7.59
June2003-5.10
July2003+2.37
August2003+5.99
September2003+2.56
October2003-0.23
November2003+3.70
December2003+4.27
Year 2004 to 200n Monthly performance
MonthYearPerformance
January2004-3.23
February2004-1.39
March2004+7.78
April2004-9.30
May2004+1.68
June2004-0.36
July2004-0.36
August2004+4.83
September2004+2.12
October2004+1.72
November2004+5.94
December2004-3.28
January2005-3.21
February2005+3.10
March2005-2.00
April2005+1.88
May2005-4.10
June2005+4.41
July2005-1.33
August2005+1.26
September2005+7.98
October2005-0.81
November2005+6.42
December2005+4.34
January2006+9.86
February2006-2.69
March2006+6.01
April2006+8.40
May2006+2.47
June2006-8.47
July2006+6.74
August2006-2.79
September2006-2.86
October2006+0.05
November2006+6.49
Quotes UsedValue
Quote File UsedGC_20061128.csv
# of Quotes1783
File first date (dd.MM.yyyy)03.01.2000
File first quote288.50
File last date (dd.MM.yyyy)27.11.2006
File last quote639.80
First data considered (dd.MM.yyyy)25.08.2000
First data considered273.60
Min. Quote date (dd.MM.yyyy)02.04.2001
Min. Quote value255.30
Max Quote date (dd.MM.yyyy)12.05.2006
Max Quote value713.10
Max daily drop date (dd.MM.yyyy)15.05.2006
Max Daily Drop percent-5.06
Max daily gain date (dd.MM.yyyy)18.05.2001
Max daily Gain percent5.03
Operations StatisticsValue
# Generated operations6
Avg # op. by year1.06
# Days2044
# Days in years5.68
Biggest loose (Long only)+0.00
Min # days uninvested (before Buy operation)3
Max # days uninvested (before Buy operation)44
Min # days invested (before Sell operation)331
Max # days invested (before Sell operation)1127
TechnicalValue
Program NameMyTrendTimer v0.99.86.27
Java Version1.5.0_09
OS NameLinux
OS Version2.6.18-1.2849.fc6
User Nameroot
Calculation Time (Ms)2061
Tech Id766702480-1511630
XML output fileGC_20061128.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/GC_20061128.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)28.11.2006 19:35:58
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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