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September 17th, Bullish Trend (Buy Signal)
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MyTrendTimer : Russel 2000 of October 31, 2006
Weekly Comment about this asset/index
Last Wednesday the Federal Reserve opted to keep a key short-term interest rate unchanged at 5.25 percent, as it has for the last two meetings, after raising it 17 times in a row over a more than two-year period. The US housing market's problems had been in focus all week, a government report Thursday on new home sales that saw the biggest monthly loss in September in more than 35 years. A report showed economic growth in the third quarter slowed far more than expected, due largely to the slowing housing market. Republicans could lose control of Congress over his policies in Iraq. Strong earnings, low oil prices and the likelihood that the Federal Reserve is done raising rates for now should all keep equities buoyant. Top White House economist Edward Lazear predicted on Monday that lackluster growth in U.S. gross domestic product during the third quarter would prove short-lived. In economic news, September personal income rose 0.5 percent, according to a government report released in the morning. That was more than what Wall Street economists were expecting and up from the prior month. Personal spending rose a smaller-than-expected 0.1 percent in the month.
Financial InstrumentValue
Instrument NameRussel 2000
SymbolRUT
CurrencyUSD
Underlying instrumentiShares Russell 2000 Index (IWM)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strenght0.5
Date (dd.MM.yyyy)31.10.2006
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
Out30.10.2006070770.36+9.22
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+55.18
Model Buy and Hold+49.72
Model Long Only+91.98
Model Short Only+22.01
Model Long and Short+134.24
Time Weighted Return ofValue (Annualized)
Buy and Hold+8.53
Model Buy and Hold+7.68
Model Long Only+14.21
Model Short Only+3.40
Model Long and Short+20.74
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+6.53
Model Short vs Model Buy and Hold-4.28
Model Long and Short vs Model Buy and Hold+13.06
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+5.68
Model Short vs Buy and Hold-5.13
Model Long and Short vs Buy and Hold+12.21
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote754.19
Variance278.08
Standard Deviation16.68
Lowest quote718.35
Highest quote776.04
Median747.19
Max Daily Loose percent-1.31
Max Daily Gain percent2.10
Simple Perf.7.17
Last 5 quotes StatisticsValue
Mean quote767.56
Variance25.10
Standard Deviation5.01
Lowest quote762.43
Highest quote776.04
Median769.23
Max Daily Loose percent-1.31
Max Daily Gain percent1.16
Simple Perf.0.90
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 quote725.42
Variance737.78
Standard Deviation27.16
Lowest quote671.94
Highest quote781.83
Median726.89
Max Daily Loose percent-3.19
Max Daily Gain percent3.82
Simple Perf.14.43
First quote673.22
Last quote770.36
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+18.087+2.58
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+14.43
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+6.17
Quotes UsedValue
Quote File UsedRUS2000_20061031.csv
# of Quotes1707
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)30.10.2006
File last quote770.36
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 year5.25
# Days2330
# Days in years6.47
Biggest loose (Long only)-4.72
TechnicalValue
Program NameMyTrendTimer v0.99.84.02
Java Version1.5.0_09
OS NameLinux
OS Version2.6.18-1.2200.fc5
Calculation Time (Ms)2124
Tech Id115310106-120250
XML output fileRUS2000_20061031.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/RUS2000_20061031.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)31.10.2006 18:20:35
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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