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MyTrendTimer : Russel 2000 of December 29, 2006
Weekly Comment about this asset/index
The US Commerce Dept. showed that the U.S. economy grew at a slower pace (2.0%) than previously estimated (2.2%), marking the weakest quarter since Q4 of last year when the economy expanded at a 1.8% annual rate. Fortunately for the bulls, the dated nature of the report and the forward-thinking of the market have so far left investors more interested in the current strength of the economy and a focus on forecasts for 2007. Diplomatic efforts to persuade North Korea to scrap its nuclear weapons ended with no deal on Friday after a week of six-party talks, Interfax news agency reported, quoting a source close to the Russian delegation. Major gauges decline after regional manufacturing index posts surprise drop, GDP growth slower than expected. U.S. stocks extended losses in thin trading on Friday as investors, concerned about the economy following several weak data points throughout the week, locked in profits ahead of the Christmas holiday weekend. Homebuilding, one of the most battered sectors of the U.S. economy in recent months, showed surprising strength in November, according to a government report Wednesday. New homes sold at an annual pace of 1.05 million, up from the revised annual rate of 1.01 million in October. Economists surveyed by Briefing.com had forecast that home sales would rebound to a 1.02 million pace. Stocks rallied Wednesday, with the Dow Jones industrial average closing above 12,500 for the first time, on falling oil prices, a surprisingly bullish report on home sales and a fresh burst of end-of-year buying. Since bottoming in mid-July, stocks have been on a tear. Year-to-date, the Dow is up nearly 16 percent as of Tuesday's close, the Nasdaq is up 9.4 percent and the SP 500 is up 13.5 percent. The Russell 2000 is up 17.1 percent. Friday, the last trading day of 2006, the oil held above $60 a barrel after rising on a steeper-than-expected fall in U.S. crude stocks.
Financial InstrumentValue
Instrument NameRussel 2000
SymbolRUT
CurrencyUSD
Underlying instrumentiShares Russell 2000 Index (IWM)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strenght0.2
Date (dd.MM.yyyy)29.12.2006
Generated Operations Chart
A chart of Russel 2000 RUT dated December 29, 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
Out28.12.2006129794.48+12.64
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+60.04
Model Buy and Hold+54.41
Model Long Only+97.99
Model Short Only+22.01
Model Long and Short+141.57
Time Weighted Return ofValue (Annualized)
Buy and Hold+9.05
Model Buy and Hold+8.20
Model Long Only+14.77
Model Short Only+3.32
Model Long and Short+21.33
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+6.57
Model Short vs Model Buy and Hold-4.88
Model Long and Short vs Model Buy and Hold+13.13
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+5.72
Model Short vs Buy and Hold-5.73
Model Long and Short vs Buy and Hold+12.29
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote788.72
Variance42.92
Standard Deviation6.55
Lowest quote774.82
Highest quote797.73
Median786.28
Max Daily Loose percent-1.35
Max Daily Gain percent2.17
Simple Perf.2.54
Last 5 quotes StatisticsValue
Mean quote787.26
Variance50.35
Standard Deviation7.10
Lowest quote780.82
Highest quote797.73
Median789.28
Max Daily Loose percent-0.41
Max Daily Gain percent2.17
Simple Perf.1.58
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 quote734.45
Variance1'079.10
Standard Deviation32.85
Lowest quote671.94
Highest quote797.73
Median734.83
Max Daily Loose percent-3.19
Max Daily Gain percent3.82
Simple Perf.18.01
First quote673.22
Last quote794.48
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+14.057+2.01
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+18.01
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+1.06
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/RUS2000_20061229.csv
# of Quotes1747
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)28.12.2006
File last quote794.48
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)27.12.2006
Max Quote value797.73
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 year5.12
# Days2389
# Days in years6.64
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 v0.99.88.3
Java Version1.6.0-rc
OS NameLinux
OS Version2.6.18-1.2849.fc6
User Namemarc
Calculation Time (Ms)725
Tech Id503112627-120250
XML output fileRUS2000_20061229.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/RUS2000_20061229.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)29.12.2006 18:38:57
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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