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MyTrendTimer : Russel 2000 of December 6, 2006
Weekly Comment about this asset/index
On Monday, Pfizer stock tumbled on news that they have halted the development of their most important new cholesterol treatment torcetrapib, which was seen as the successor to its blockbuster drug Lipitor. Mergers and Aquisition activity and lower oil prices provide a floor of support. Bank of New York and Mellon Financial have announced a $16.5 bln merger of equals, Station Casinos has received a $4.7 bln buyout offer and LSI Logic has said it will acquire Agere Systems for $4 bln. Stocks surged during Monday, sending the the SP 500 to a fresh six-year high, as investors welcomed a slew of merger news and a slump in oil prices. After selling off in the post-Thanksgiving period, stocks seem to have recharged Monday, at the start of what is often a good month on Wall Street. Oil prices were steadying as the possibility of a further output cut by OPEC producers who meet next week was balanced by milder weather and expected strong fuel stockpiles in the United States. Later, investors will look to the U.S. Institute for Supply Management's non-manufacturing gauge for November for clues on whether growth in the world's largest economy is slowing sufficiently to necessitate interest rate cuts in 2007. The dollar hit session lows against the euro and extended its slide against the yen on Tuesday after key third-quarter U.S. wage inflation data were revised down, lessening the likelihood of a rate rise. The productivity of U.S. workers rose by a weaker-than-expected 0.2 percent in the third quarter, while unit labor costs grew by less than initially thought in encouraging news for the Federal Reserve on wage pressures, government data showed on Tuesday.
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)06.12.2006
Generated Operations Chart
A chart of Russel 2000 RUT dated December 6, 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
Out05.12.2006106797.42+13.06
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+60.63
Model Buy and Hold+54.98
Model Long Only+98.72
Model Short Only+22.01
Model Long and Short+142.46
Time Weighted Return ofValue (Annualized)
Buy and Hold+9.23
Model Buy and Hold+8.37
Model Long Only+15.02
Model Short Only+3.35
Model Long and Short+21.68
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+6.66
Model Short vs Model Buy and Hold-5.02
Model Long and Short vs Model Buy and Hold+13.31
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+5.80
Model Short vs Buy and Hold-5.88
Model Long and Short vs Buy and Hold+12.45
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote781.75
Variance135.01
Standard Deviation11.62
Lowest quote762.06
Highest quote797.42
Median779.74
Max Daily Loose percent-2.55
Max Daily Gain percent1.88
Simple Perf.4.50
Last 5 quotes StatisticsValue
Mean quote786.59
Variance75.41
Standard Deviation8.68
Lowest quote774.82
Highest quote797.42
Median786.12
Max Daily Loose percent-0.63
Max Daily Gain percent1.88
Simple Perf.2.92
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 quote730.94
Variance939.82
Standard Deviation30.66
Lowest quote671.94
Highest quote797.42
Median734.68
Max Daily Loose percent-3.19
Max Daily Gain percent3.82
Simple Perf.18.45
First quote673.22
Last quote797.42
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+26.537+3.79
December+14.477+2.07
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+18.45
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+2.51
December2006+1.44
Quotes UsedValue
Quote File UsedRUS2000_20061206.csv
# of Quotes1732
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)05.12.2006
File last quote797.42
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)05.12.2006
Max Quote value797.42
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 year5.17
# Days2366
# Days in years6.57
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 v0.99.87
Java Version1.6.0-rc
OS NameLinux
OS Version2.6.18-1.2849.fc6
User Namemarc
Calculation Time (Ms)795
Tech Id793324869-120250
XML output fileRUS2000_20061206.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/RUS2000_20061206.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)06.12.2006 17:45:11
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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