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MyTrendTimer : Russel 2000 of January 5, 2007
Weekly Comment about this asset/index
US stock markets were closed on Tuesday to observe the national day of mourning for former President Gerald Ford. Oil prices deepened losses on Wednesday as mild weather conditions were projected to persist in the United States, undermining heating oil demand. The Dow Jones industrial average hit an intraday record high. The Institute for Supply Management said its manufacturing index for December rose to 51.4 from a November reading of 49.5. A reading above 50 indicates growth in the sector. As a reminder, Tuersday marked the second-to-last trading day of the classic year-end Santa Claus rally which, according to the Stock Trader's Almanac, has resulted in an average return of 1.5% for the SP500 since 1950. In fact, an influx of new fund inflows that typically hit the market on the first day of trading for the month/quarter/year,as evidenced by the biggest volume in several weeks, provided an additional floor of market support. Oil was little changed above $58 on Thursday, one day after a commodities sell-off and warm weather knocked prices 4 percent lower, with dealers pausing ahead of U.S. data expected to showing rising fuel stocks. December Fed minutes show central bank still worried about inflation but also about a slowdown. Oil prices held below $56 on Friday after falling nearly 9 percent over the past two days to its lowest close in 18 months, as traders fret over growing U.S. fuel stocks and mild weather.
Financial InstrumentValue
Instrument NameRussel 2000
SymbolRUT
CurrencyUSD
Underlying instrumentiShares Russell 2000 Index (IWM)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strenght0.1
Date (dd.MM.yyyy)05.01.2007
Generated Operations Chart
A chart of Russel 2000 RUT dated January 5, 2007 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
Out04.01.2007136789.95+12.00
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+59.13
Model Buy and Hold+53.53
Model Long Only+96.86
Model Short Only+22.01
Model Long and Short+140.19
Time Weighted Return ofValue (Annualized)
Buy and Hold+8.88
Model Buy and Hold+8.04
Model Long Only+14.55
Model Short Only+3.31
Model Long and Short+21.06
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+6.51
Model Short vs Model Buy and Hold-4.73
Model Long and Short vs Model Buy and Hold+13.02
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+5.67
Model Short vs Buy and Hold-5.58
Model Long and Short vs Buy and Hold+12.18
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote789.67
Variance31.16
Standard Deviation5.58
Lowest quote780.82
Highest quote797.73
Median789.28
Max Daily Loose percent-1.35
Max Daily Gain percent2.17
Simple Perf.1.12
Last 5 quotes StatisticsValue
Mean quote789.68
Variance35.12
Standard Deviation5.93
Lowest quote780.82
Highest quote797.73
Median789.28
Max Daily Loose percent-0.86
Max Daily Gain percent2.17
Simple Perf.1.17
Previous year StatisticsValue
Mean quote734.66
Variance1'086.04
Standard Deviation32.96
Lowest quote671.94
Highest quote797.73
Median734.83
Max Daily Loose percent-3.19
Max Daily Gain percent3.82
Simple Perf.17.00
First quote673.22
Last quote787.66
Current year StatisticsValue
Mean quote788.34
Variance1.95
Standard Deviation1.40
Lowest quote787.42
Highest quote789.95
Median788.68
Max Daily Loose percent-0.03
Max Daily Gain percent0.32
Simple Perf.0.29
First quote787.66
Last quote789.95
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+10.148+1.27
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+13.077+1.87
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+17.00
2007+0.29
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+0.20
January2007+0.29
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/RUS2000_20070105.csv
# of Quotes1750
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)04.01.2007
File last quote789.95
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 year5.11
# Days2396
# Days in years6.66
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 v0.99.88.5
Java Version1.6.0-rc
OS NameLinux
OS Version2.6.18-1.2869.fc6
User Namemarc
Calculation Time (Ms)707
Tech Id639538989-120250
XML output fileRUS2000_20070105.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/RUS2000_20070105.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)05.01.2007 18:35:52
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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