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MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
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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
 
 
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MyTrendTimer : Nasdaq Composite Index analysis of June 5, 2017
Description of this asset/index
The NASDAQ (acronym of National Association of Securities Dealers Automated Quotation System) is an American stock exchange. It is the largest electronic screen-based equity securities trading market in the United States. With approximately 3,200 companies, it lists more companies and has more trades per day than any other U.S. market.[1] It was founded in 1971 by the National Association of Securities Dealers (NASD), who divested themselves of it in a series of sales in 2000 and 2001. It is owned and operated by the NASDAQ OMX Group, the stock of which was listed on its own stock exchange in 2002, and is monitored by the Securities and Exchange Commission (SEC).
Financial InstrumentValue
Asset NameNasdaq Composite Index
SymbolIXIC
CurrencyUSD
Underlying instrumentNASDAQ 100 Trust Shares (QQQQ)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strength3.3
DateJune 5, 2017
Generated Signals Chart
A chart of Nasdaq Composite Index IXIC dated June 5, 2017 to backtest the trend timer model buy and sell signals
Generated Signals
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
Sell28.08.20073472'500.64+11.86
Buy31.08.20070032'596.36+3.83
Sell19.12.20071102'601.01+0.18
Buy24.12.20070052'713.50+4.32
Sell03.01.20080102'602.68-4.08
Buy13.05.20081302'495.12-4.13
Sell27.06.20080452'315.63-7.19
Buy22.04.20092991'646.12-28.91
Sell04.06.20104082'219.17+34.81
Buy22.09.20101102'334.55+5.20
Sell16.06.20112672'623.70+12.39
Buy06.07.20110202'834.02+8.02
Sell05.08.20110302'532.41-10.64
Buy08.11.20110952'727.49+7.70
Sell21.11.20110132'523.14-7.49
Buy10.01.20120502'702.50+7.11
Sell04.06.20121452'760.01+2.13
Buy05.07.20120312'976.12+7.83
Sell12.11.20121302'904.26-2.41
Buy02.01.20130513'112.26+7.16
Sell09.05.20144914'071.87+30.83
Buy23.05.20140144'185.81+2.80
Sell17.10.20141474'258.44+1.74
Buy24.10.20140074'483.72+5.29
Sell25.08.20153054'506.49+0.51
Buy02.11.20150695'127.15+13.77
Sell08.01.20160674'643.63-9.43
Buy04.04.20160864'891.80+5.34
Info : Current02.06.20174246'305.80+28.91
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+52.64
Model Buy and Hold+231.03
Model Long Only+135.77
Model Short Only-40.40
Model Long and Short+40.52
Time Weighted Return ofValue (Annualized)
Buy and Hold+3.35
Model Buy and Hold+14.71
Model Long Only+8.65
Model Short Only-2.57
Model Long and Short+2.58
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold-6.07
Model Short vs Model Buy and Hold-17.29
Model Long and Short vs Model Buy and Hold-12.13
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+5.29
Model Short vs Buy and Hold-5.93
Model Long and Short vs Buy and Hold-0.77
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote6'144.78
Standard Deviation67.85
Lowest quote6'011.24
Highest quote6'305.80
Median6'158.52
Max Daily Loose percent-2.57
Max Daily Gain percent0.94
Simple Perf.3.79
Last 5 quotes StatisticsValue
Mean quote6'228.30
Standard Deviation41.78
Lowest quote6'198.52
Highest quote6'305.80
Median6'252.16
Max Daily Loose percent-0.11
Max Daily Gain percent0.94
Simple Perf.1.62
Previous year StatisticsValue
Mean quote4'988.15
Standard Deviation297.56
Lowest quote4'266.84
Highest quote5'487.44
Median4'877.14
Max Daily Loose percent-4.12
Max Daily Gain percent2.89
Simple Perf.7.50
First quote5'007.41
Last quote5'383.12
Current year StatisticsValue
Mean quote5'855.36
Standard Deviation207.14
Lowest quote5'383.12
Highest quote6'305.80
Median5'844.46
Max Daily Loose percent-2.57
Max Daily Gain percent1.35
Simple Perf.17.14
First quote5'383.12
Last quote6'305.80
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-7.5818-0.42
February-7.4418-0.41
March+17.3518+0.96
April+16.5718+0.92
May+4.4918+0.25
June+0.3818+0.02
July+7.4217+0.44
August-3.0917-0.18
September-28.7617-1.69
October+47.9617+2.82
November+8.6317+0.51
December+4.3217+0.25
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+9.52
2007+9.81
2008-40.54
2009+43.89
2010+16.91
2011-1.80
2012+15.91
2013+38.32
2014+13.40
2015+5.73
2016+7.50
2017+17.14
Year 2011 to 2012 Monthly performance
MonthYearPerformance
January2011+1.78
February2011+3.04
March2011-0.04
April2011+3.32
May2011-1.33
June2011-2.18
July2011-0.62
August2011-6.42
September2011-6.36
October2011+11.14
November2011-2.39
December2011-0.58
January2012+8.01
February2012+5.44
March2012+4.20
April2012-1.46
May2012-7.19
June2012+3.81
July2012+0.15
August2012+4.34
September2012+1.61
October2012-4.46
November2012+1.11
December2012+0.31
Year 2013 to 201n Monthly performance
MonthYearPerformance
January2013+4.06
February2013+0.57
March2013+3.40
April2013+1.88
May2013+3.82
June2013-1.52
July2013+6.56
August2013-1.01
September2013+5.06
October2013+3.93
November2013+3.58
December2013+2.87
January2014-1.74
February2014+4.98
March2014-2.53
April2014-2.01
May2014+3.11
June2014+3.90
July2014-0.87
August2014+4.82
September2014-1.90
October2014+3.06
November2014+3.47
December2014-1.16
January2015-2.13
February2015+7.08
March2015-1.26
April2015+0.83
May2015+2.60
June2015-1.64
July2015+2.84
August2015-6.86
September2015-3.27
October2015+9.38
November2015+1.09
December2015-1.98
January2016-7.86
February2016-1.21
March2016+6.84
April2016-1.94
May2016+3.62
June2016-2.13
July2016+6.60
August2016+0.99
September2016+1.89
October2016-2.31
November2016+2.59
December2016+1.12
January2017+4.30
February2017+3.75
March2017+1.48
April2017+2.30
May2017+2.50
June2017+1.73
Quotes UsedValue
Link on Quote FileNASDAQ_20170605.csv
Quote File Used/local/java/TrendTimer/quote_data/NASDAQ_20170605.csv
# of Quotes4324
File first date (dd.MM.yyyy)03.01.2000
File first quote4'131.15
File last date (dd.MM.yyyy)02.06.2017
File last quote6'305.80
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)02.06.2017
Max Quote value6'305.80
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
Signals StatisticsValue
# Generated Signals43
Avg # op. by year2.74
# Days5653
# Days in years15.70
Biggest loose (Long only)-10.64
Min # days uninvested (before Buy Signal)3
Max # days uninvested (before Buy Signal)299
Min # days invested (before Sell Signal)10
Max # days invested (before Sell Signal)491
TechnicalValue
Program NameMyTrendTimer v0.99.98.3
Java Version1.8.0_77
OS NameLinux
OS Version4.0.4-301.fc22.x86_64
User Namemarc
Calculation Time (Ms)603
Tech Id801667642-130930
XML output fileNASDAQ_20170605.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/NASDAQ_20170605.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)05.06.2017 20:06:25
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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