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September 17th, Bullish Trend (Buy Signal)
NASDAQ Composite
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NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
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MyTrendTimer : Nasdaq Composite Index of November 21, 2006
Weekly Comment about this asset/index
Stocks bolted out of the blocks Thursday, pushing the Dow industrials further into record territory, on solid economic news and more merger announcements. Consumer prices fell in October, led by a drop in gasoline prices, the government said Thursday in a report showing less inflationary pressure than Wall Street expected. The Consumer Price Index (CPI) sank 0.5 percent from September, matching the 0.5 percent fall seen that month. The so called core CPI, which strips out volatile food and energy prices, edged up 0.1 percent - less than Wall Street forecasts. Oil slipped under $56 on Friday to its lowest level in a year, deepening a $2.50 rout in the previous session driven by fund selling and pressure from high fuel inventories in the United States, the leading oil consumer. Trading on Wall Street likely to be thin in week leading to Thanksgiving day, but investors will focus on retail sales Friday. U.S. blue chips ended lower on Monday as investors sold stocks after a series of record-high closes and a drop in oil prices hit energy shares. Merger and acquisition activity worldwide surged on Monday with a focus on real estate, mining, media and exchanges sectors as demand by private equity funds and the push for industry consolidation gathered pace. The surge is being driven by profitable companies which have large amounts of cash for investment, and by the flood of money into private equity funds that also needs to be put to work.
Financial InstrumentValue
Instrument NameNasdaq Composite Index
SymbolIXIC
CurrencyUSD
Underlying instrumentNASDAQ 100 Trust Shares (QQQQ)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strenght3.6
Date (dd.MM.yyyy)21.11.2006
Generated Operations Chart
A chart of Nasdaq Composite Index IXIC dated November 21, 2006 to backtest the trend timer model buy and sell signals
Generated Operations
NatureDate (dd.MM.yyyy)# Days previous op.QuoteResult previous op.
Buy03.12.20010001'904.90+0.00
Sell13.02.20020721'859.16-2.40
Buy22.11.20022821'468.74-21.00
Sell03.02.20030731'323.79-9.87
Buy03.04.20030581'396.58+5.50
Sell06.05.20043991'937.74+38.75
Buy24.06.20040492'015.57+4.02
Sell09.07.20040151'946.33-3.44
Buy20.10.20041031'932.97-0.69
Sell21.03.20051522'007.51+3.86
Buy01.06.20050712'087.86+4.00
Sell14.10.20051352'064.83-1.10
Buy04.11.20050212'169.43+5.07
Sell22.05.20061982'172.86+0.16
Buy15.09.20061162'235.59+2.89
Out20.11.20060662'452.72+9.71
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-40.63
Model Buy and Hold+28.76
Model Long Only+33.02
Model Short Only+3.21
Model Long and Short+37.29
Time Weighted Return ofValue (Annualized)
Buy and Hold-8.08
Model Buy and Hold+5.72
Model Long Only+6.57
Model Short Only+0.64
Model Long and Short+7.42
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+0.85
Model Short vs Model Buy and Hold-5.08
Model Long and Short vs Model Buy and Hold+1.70
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+14.65
Model Short vs Buy and Hold+8.72
Model Long and Short vs Buy and Hold+15.50
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote2'382.68
Variance1'604.93
Standard Deviation40.06
Lowest quote2'330.79
Highest quote2'452.72
Median2'391.75
Max Daily Loose percent-1.37
Max Daily Gain percent1.51
Simple Perf.4.12
Last 5 quotes StatisticsValue
Mean quote2'437.90
Variance295.40
Standard Deviation17.19
Lowest quote2'406.38
Highest quote2'452.72
Median2'429.55
Max Daily Loose percent-0.13
Max Daily Gain percent1.01
Simple Perf.1.93
Previous year StatisticsValue
Mean quote2'099.62
Variance7'417.31
Standard Deviation86.12
Lowest quote1'904.18
Highest quote2'273.37
Median2'088.78
Max Daily Loose percent-2.06
Max Daily Gain percent2.54
Simple Perf.1.37
First quote2'175.44
Last quote2'205.32
Current year StatisticsValue
Mean quote2'242.75
Variance9'984.18
Standard Deviation99.92
Lowest quote2'020.39
Highest quote2'452.72
Median2'236.55
Max Daily Loose percent-2.35
Max Daily Gain percent2.96
Simple Perf.11.22
First quote2'205.32
Last quote2'452.72
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+7.337+1.05
February-18.917-2.70
March-12.637-1.80
April-10.917-1.56
May-4.277-0.61
June+12.357+1.76
July-18.477-2.64
August+2.897+0.41
September-31.957-4.56
October+36.477+5.21
November+15.127+2.16
December-9.146-1.52
TWR Return by Year for this asset
YearTWR Return.
2000-40.20
2001-21.05
2002-31.53
2003+50.01
2004+8.59
2005+1.37
2006+11.22
Year 2000 to 2003 Monthly performance
MonthYearPerformance
January2000-4.62
February2000+19.19
March2000-2.64
April2000-15.57
May2000-11.91
June2000+16.62
July2000-5.02
August2000+11.66
September2000-12.68
October2000-8.25
November2000-22.90
December2000-4.90
January2001+12.23
February2001-22.39
March2001-14.48
April2001+15.00
May2001-0.27
June2001+2.37
July2001-6.17
August2001-10.94
September2001-16.98
October2001+12.77
November2001+14.22
December2001+1.03
January2002-0.84
February2002-10.47
March2002+6.58
April2002-8.51
May2002-4.29
June2002-9.44
July2002-9.22
August2002-1.01
September2002-10.86
October2002+13.45
November2002+11.21
December2002-9.69
January2003-1.09
February2003+1.26
March2003+0.27
April2003+9.18
May2003+8.99
June2003+1.68
July2003+6.92
August2003+4.35
September2003-1.30
October2003+8.13
November2003+1.45
December2003+2.20
Year 2004 to 200n Monthly performance
MonthYearPerformance
January2004+3.13
February2004-1.76
March2004-1.75
April2004-3.71
May2004+3.47
June2004+3.07
July2004-7.83
August2004-2.61
September2004+3.20
October2004+4.12
November2004+6.17
December2004+3.75
January2005-5.20
February2005-0.52
March2005-2.56
April2005-3.88
May2005+7.63
June2005-0.54
July2005+6.22
August2005-1.50
September2005-0.02
October2005-1.46
November2005+5.31
December2005-1.23
January2006+4.56
February2006-1.06
March2006+2.56
April2006-0.74
May2006-6.19
June2006-0.31
July2006-3.71
August2006+4.41
September2006+3.42
October2006+4.79
November2006+3.63
Quotes UsedValue
Quote File UsedNASDAQ_20061121.csv
# of Quotes1719
File first date (dd.MM.yyyy)03.01.2000
File first quote4'131.15
File last date (dd.MM.yyyy)20.11.2006
File last quote2'452.72
First data considered (dd.MM.yyyy)16.05.2000
First data considered3'717.57
Min. Quote date (dd.MM.yyyy)09.10.2002
Min. Quote value1'114.11
Max Quote date (dd.MM.yyyy)10.03.2000
Max Quote value5'048.62
Max daily drop date (dd.MM.yyyy)14.04.2000
Max Daily Drop percent-9.67
Max daily gain date (dd.MM.yyyy)03.01.2001
Max daily Gain percent14.17
Operations StatisticsValue
# Generated operations16
Avg # op. by year3.18
# Days1810
# Days in years5.03
Biggest loose (Long only)-9.87
Min # days uninvested (before Buy operation)21
Max # days uninvested (before Buy operation)282
Min # days invested (before Sell operation)15
Max # days invested (before Sell operation)399
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)2093
Tech Id414210369-130930
XML output fileNASDAQ_20061121.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/NASDAQ_20061121.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)21.11.2006 19:13:14
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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