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MyTrendTimer : Russel 2000 of December 19, 2006
Weekly Comment about this asset/index
Oil gained almost a dollar on Thursday after a delegate said OPEC had agreed to cut output by 500,000 barrels per day from February. On Friday, CPI data showed consumer prices were unexpectedly flat in November, boosting optimism that economic growth is neither too fast nor too slow. Consumer prices were unexpectedly flat in November on a drop in energy costs, a government report showed on Friday. On Friday, the Dow set a fresh record high - marking the 20th record the index has set since October - and the SP 500 closed at a six-year peak. The blue-chip Dow Jones industrial average gunned for a fresh record high Monday, but came up shy as investors prepared for the week's heavy-hitting economic reports. A wave of mergers in sectors ranging from healthcare to real estate helped stocks advance early on, but the rally lost steam around midday - even as crude prices sank. The Federal Reserve's decision last week to leave interest rates unchanged, as well as encouraging readings on retail prices, have helped underpin the market's recent rally, but any disappointing economic news could spark jitters. Only one economic report was released Monday. The Commerce Department said the U.S. current account deficit widened to $225.6 billion in the third quarter - its second biggest ever. So far in 2006, the Dow is up about 16 percent, the SP 500 has gained 14 percent and the Nasdaq has jumped 10 percent. Oil steadied at $62 a barrel on Tuesday as continued weather delays to U.S. crude shipments could hit inventory levels, balancing mild temperatures in the world's top consumer that are cutting into heating fuel demand.
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)19.12.2006
Generated Operations Chart
A chart of Russel 2000 RUT dated December 19, 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
Out18.12.2006119782.02+10.87
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+57.53
Model Buy and Hold+51.98
Model Long Only+94.88
Model Short Only+22.01
Model Long and Short+137.78
Time Weighted Return ofValue (Annualized)
Buy and Hold+8.71
Model Buy and Hold+7.87
Model Long Only+14.36
Model Short Only+3.33
Model Long and Short+20.85
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+6.49
Model Short vs Model Buy and Hold-4.54
Model Long and Short vs Model Buy and Hold+12.98
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+5.65
Model Short vs Buy and Hold-5.37
Model Long and Short vs Buy and Hold+12.14
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote788.96
Variance45.74
Standard Deviation6.76
Lowest quote772.10
Highest quote797.42
Median784.76
Max Daily Loose percent-2.55
Max Daily Gain percent1.88
Simple Perf.-0.82
Last 5 quotes StatisticsValue
Mean quote789.86
Variance20.45
Standard Deviation4.52
Lowest quote782.02
Highest quote794.22
Median788.12
Max Daily Loose percent-1.35
Max Daily Gain percent0.69
Simple Perf.-1.39
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 quote733.15
Variance1'034.33
Standard Deviation32.16
Lowest quote671.94
Highest quote797.42
Median734.68
Max Daily Loose percent-3.19
Max Daily Gain percent3.82
Simple Perf.16.16
First quote673.22
Last quote782.02
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+12.267+1.75
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+16.16
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
December2006-0.52
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/RUS2000_20061219.csv
# of Quotes1741
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)18.12.2006
File last quote782.02
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 year5.15
# Days2379
# Days in years6.61
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 v0.99.88
Java Version1.6.0-rc
OS NameLinux
OS Version2.6.18-1.2849.fc6
User Namemarc
Calculation Time (Ms)910
Tech Id170742711-120250
XML output fileRUS2000_20061219.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/RUS2000_20061219.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)19.12.2006 17:46:21
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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