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MyTrendTimer : Russel 2000 of October 11, 2006
Weekly Comment about this asset/index
On Monday, North Korea conducted an underground nuclear test on Monday, flying in the face of a warning from the U.N. Security Council and risking fresh sanctions. Oil climbed back above $60 a barrel on Monday as OPEC moved closer to cementing a deal to cut 1 million barrels per day of output and after North Korea did its first nuclear test. On Tuesday, Oil prices were down in early trading. U.S. light crude was down 41 cents to $59.55 a barrel in electronic trading, while Brent crude trading in London is 34 cents lower at $60.20. On Wednesday, stocks had risen across the board for four out of five sessions after a surprisingly strong quarter on Wall Street. The Dow Jones Industrial average setting a closing record, as the earnings reporting period got underway with Alcoa after the bell. In economic news, wholesale inventories jumped 1.1 percent in August, the Commerce Department said. Wall Street analysts were expecting inventories to rise 0.6 percent after climbing 0.8 percent in July. The Federal Reserve will release the minutes from their Sept. 20 meeting. September's retail sales report is due out on Friday.
Financial InstrumentValue
Instrument NameRussel 2000
SymbolRUT
CurrencyUSD
Underlying instrumentiShares Russell 2000 Index (IWM)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strenght0.3
Date (dd.MM.yyyy)11.10.2006
Generated Operations Chart
A chart image to backtest the model buy and sell signals
Generated Operations
NatureDate (dd.MM.yyyy)# Days previous op.QuoteResult previous op.
Buy08.06.2000000514.54+0.00
Sell31.07.2000053500.64-2.70
Buy24.08.2000024523.30+4.53
Sell26.09.2000033509.89-2.56
Buy12.01.2001108485.75-4.73
Sell27.02.2001046478.75-1.44
Buy25.04.2001056472.74-1.26
Sell06.07.2001072483.26+2.23
Buy02.11.2001119433.07-10.39
Sell05.02.2002095468.82+8.26
Buy05.03.2002028487.59+4.00
Sell22.05.2002077493.91+1.30
Buy01.11.2002163383.45-22.36
Sell23.01.2003083383.68+0.06
Buy27.03.2003063369.50-3.70
Sell16.03.2004355566.64+53.35
Buy01.04.2004015595.32+5.06
Sell29.04.2004028567.25-4.72
Buy25.06.2004057587.70+3.61
Sell12.07.2004017562.24-4.33
Buy03.09.2004053556.24-1.07
Sell11.01.2005130611.53+9.94
Buy07.02.2005027636.62+4.10
Sell18.03.2005039622.57-2.21
Buy24.05.2005066612.95-1.55
Sell24.08.2005092655.01+6.86
Buy02.09.2005009663.33+1.27
Sell22.09.2005020651.05-1.85
Buy03.10.2005011670.55+3.00
Sell05.10.2005002644.98-3.81
Buy08.11.2005034656.23+1.74
Sell17.05.2006189725.85+10.61
Buy21.08.2006096705.33-2.83
Out10.10.2006050745.88+5.75
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+50.25
Model Buy and Hold+44.96
Model Long Only+85.88
Model Short Only+22.01
Model Long and Short+126.79
Time Weighted Return ofValue (Annualized)
Buy and Hold+7.83
Model Buy and Hold+7.01
Model Long Only+13.38
Model Short Only+3.43
Model Long and Short+19.76
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+6.38
Model Short vs Model Buy and Hold-3.58
Model Long and Short vs Model Buy and Hold+12.75
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+5.55
Model Short vs Buy and Hold-4.40
Model Long and Short vs Buy and Hold+11.93
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote730.38
Variance62.98
Standard Deviation7.94
Lowest quote718.35
Highest quote745.88
Median732.11
Max Daily Loose percent-1.17
Max Daily Gain percent2.10
Simple Perf.2.95
Last 5 quotes StatisticsValue
Mean quote737.53
Variance107.93
Standard Deviation10.39
Lowest quote718.35
Highest quote745.88
Median732.11
Max Daily Loose percent-0.44
Max Daily Gain percent2.10
Simple Perf.3.83
Previous year StatisticsValue
Mean quote641.00
Variance816.73
Standard Deviation28.58
Lowest quote575.02
Highest quote690.57
Median632.80
Max Daily Loose percent-2.84
Max Daily Gain percent2.40
Simple Perf.3.32
First quote651.57
Last quote673.22
Current year StatisticsValue
Mean quote722.69
Variance673.37
Standard Deviation25.95
Lowest quote671.94
Highest quote781.83
Median726.89
Max Daily Loose percent-3.19
Max Daily Gain percent3.82
Simple Perf.10.79
First quote673.22
Last quote745.88
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+9.827+1.40
February+4.387+0.63
March-0.467-0.07
April-0.957-0.14
May+3.547+0.51
June+17.437+2.49
July-21.087-3.01
August+8.367+1.19
September-19.737-2.82
October+14.337+2.05
November+23.436+3.90
December+12.856+2.14
TWR Return by Year for this asset
YearTWR Return.
2000-2.60
2001+1.03
2002-21.58
2003+45.37
2004+17.00
2005+3.32
2006+10.79
Year 2000 to 2003 Monthly performance
MonthYearPerformance
January2000-0.04
February2000+16.42
March2000-6.20
April2000-6.58
May2000-5.94
June2000+8.62
July2000-3.21
August2000+7.44
September2000-3.07
October2000-4.54
November2000-10.40
December2000+8.43
January2001+5.13
February2001-6.68
March2001-5.03
April2001+7.72
May2001+2.30
June2001+3.25
July2001-5.43
August2001-3.35
September2001-13.59
October2001+5.75
November2001+7.62
December2001+6.02
January2002-1.11
February2002-2.84
March2002+7.90
April2002+0.83
May2002-4.54
June2002-5.09
July2002-15.18
August2002-0.37
September2002-7.34
October2002+3.10
November2002+8.80
December2002-5.73
January2003-2.85
February2003-3.13
March2003+1.12
April2003+9.37
May2003+10.62
June2003+1.67
July2003+6.17
August2003+4.50
September2003-1.96
October2003+8.31
November2003+3.46
December2003+1.90
Year 2004 to 200n Monthly performance
MonthYearPerformance
January2004+4.28
February2004+0.83
March2004+0.81
April2004-5.17
May2004+1.51
June2004+4.09
July2004-6.80
August2004-0.61
September2004+4.56
October2004+1.89
November2004+8.56
December2004+2.81
January2005-4.23
February2005+1.61
March2005-2.99
April2005-5.80
May2005+6.44
June2005+3.72
July2005+6.27
August2005-1.95
September2005+0.19
October2005-3.17
November2005+4.74
December2005-0.60
January2006+8.91
February2006-0.35
March2006+4.72
April2006-0.08
May2006-5.69
June2006+0.51
July2006-3.33
August2006+2.85
September2006+0.70
October2006+2.80
Quotes UsedValue
Quote File UsedRUS2000_20061011.csv
# of Quotes1693
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)10.10.2006
File last quote745.88
First data considered (dd.MM.yyyy)08.02.2000
First data considered537.49
Min. Quote date (dd.MM.yyyy)09.10.2002
Min. Quote value327.04
Max Quote date (dd.MM.yyyy)05.05.2006
Max Quote value781.83
Max daily drop date (dd.MM.yyyy)04.04.2000
Max Daily Drop percent-6.96
Max daily gain date (dd.MM.yyyy)18.04.2000
Max daily Gain percent8.70
Operations StatisticsValue
# Generated operations34
Avg # op. by year5.30
# Days2310
# Days in years6.42
Biggest loose (Long only)-4.72
TechnicalValue
Program NameMyTrendTimer v0.99.83.1
Java Version1.5.0_06
OS NameLinux
OS Version2.6.16-1.2133_FC5
Calculation Time (Ms)2165
Tech Id320828319-120250
XML output fileRUS2000_20061011.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/RUS2000_20061011.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)11.10.2006 18:10:37
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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