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MyTrendTimer : Russel 2000 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. Stocks were looking for direction as reports of a strong start to the holiday shopping season and a rebound in the dollar were balanced by higher oil prices on concerns of a new OPEC production cut. The National Retail Federation reported Sunday that many Americans hit stores over the long holiday weekend, and that spending rose to $360.15, up 18.9 percent from the start of last year's holiday shopping period. 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. The pace of existing home sales rose modestly in October hitting a 6.24 million-unit annual rate, according to a report form the National Association of Realtors on Tuesday that marked an unexpected rise from economists' expectations. 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 NameRussel 2000
SymbolRUT
CurrencyUSD
Underlying instrumentiShares Russell 2000 Index (IWM)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strenght0.4
Date (dd.MM.yyyy)28.11.2006
Generated Operations Chart
A chart of Russel 2000 RUT 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.
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
Out27.11.2006098772.10+9.47
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+55.53
Model Buy and Hold+50.06
Model Long Only+92.41
Model Short Only+22.01
Model Long and Short+134.76
Time Weighted Return ofValue (Annualized)
Buy and Hold+8.48
Model Buy and Hold+7.64
Model Long Only+14.11
Model Short Only+3.36
Model Long and Short+20.57
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+6.47
Model Short vs Model Buy and Hold-4.28
Model Long and Short vs Model Buy and Hold+12.93
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+5.63
Model Short vs Buy and Hold-5.12
Model Long and Short vs Buy and Hold+12.10
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote774.06
Variance213.24
Standard Deviation14.60
Lowest quote750.13
Highest quote792.91
Median771.52
Max Daily Loose percent-2.55
Max Daily Gain percent1.64
Simple Perf.0.82
Last 5 quotes StatisticsValue
Mean quote788.09
Variance63.93
Standard Deviation8.00
Lowest quote772.10
Highest quote792.91
Median782.51
Max Daily Loose percent-2.55
Max Daily Gain percent0.27
Simple Perf.-2.08
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 quote729.49
Variance879.55
Standard Deviation29.66
Lowest quote671.94
Highest quote792.91
Median732.42
Max Daily Loose percent-3.19
Max Daily Gain percent3.82
Simple Perf.14.69
First quote673.22
Last quote772.10
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+17.547+2.51
November+24.277+3.47
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+14.69
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+5.69
November2006+0.69
Quotes UsedValue
Quote File UsedRUS2000_20061128.csv
# of Quotes1726
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)27.11.2006
File last quote772.10
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)22.11.2006
Max Quote value792.91
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 year5.19
# Days2358
# Days in years6.55
Biggest loose (Long only)-4.72
Min # days uninvested (before Buy operation)9
Max # days uninvested (before Buy operation)163
Min # days invested (before Sell operation)2
Max # days invested (before Sell operation)355
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)2098
Tech Id888486203-120250
XML output fileRUS2000_20061128.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/RUS2000_20061128.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)28.11.2006 19:35:39
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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