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MyTrendTimer : Russel 2000 of January 24, 2007
Weekly Comment about this asset/index
Watch out the signal strength ! Almost zero so reversal could arise soon ! Oil rose one percent toward $53 a barrel on Monday after a drop in temperatures in the world's biggest heating oil market, the U.S. Northeast, and stubborn price support at $50 spurred a fresh round of investor buying. Stocks slumped Monday morning as a rebound in oil prices and a selloff in technology weighed on the broader market at the start of a busy week for company earnings. Stocks were mixed last week, with tech the weakest sector, as investors welcomed a mostly upbeat start to the earnings reporting period but showed caution after last year's big rally and a rebound in oil prices. On Monday, the Dow average recorded its biggest one-day percentage decline since late November. It fell 0.7 percent to end at 12,477.2, the Standard and Poor's 500 Index fell 0.5 percent to 1,422.9 and the Nasdaq Composite Index lost 0.8 percent to 2,431.1. Oil climbed one percent, back above $53 on Tuesday, underpinned by stubborn support at $50 but capped by ample fuel supplies in top consumer the United States. Oil prices hovered near $55 on Wednesday, after jumping by 4.7 percent a day earlier on news that the United States will build its emergency oil reserves and as cold weather took hold of the world's top consumer. Investors regained their optimism about corporate profits after a series of positive earnings reports. In economic news, the Richmond Fed Survey showed a slip in its manufacturing index this month. Meanwhile, the Conference Board said U.S. economic activity is set to increase slightly in the coming months.
Financial InstrumentValue
Instrument NameRussel 2000
SymbolRUT
CurrencyUSD
Underlying instrumentiShares Russell 2000 Index (IWM)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
StrengthClose to zero !
Date (dd.MM.yyyy)24.01.2007
Generated Operations Chart
A chart of Russel 2000 RUT dated January 24, 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
info : Current23.01.2007155785.38+11.35
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+58.21
Model Buy and Hold+52.64
Model Long Only+95.72
Model Short Only+22.01
Model Long and Short+138.80
Time Weighted Return ofValue (Annualized)
Buy and Hold+8.68
Model Buy and Hold+7.85
Model Long Only+14.27
Model Short Only+3.28
Model Long and Short+20.69
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+6.42
Model Short vs Model Buy and Hold-4.57
Model Long and Short vs Model Buy and Hold+12.84
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+5.59
Model Short vs Buy and Hold-5.40
Model Long and Short vs Buy and Hold+12.01
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote785.16
Variance39.93
Standard Deviation6.32
Lowest quote775.87
Highest quote797.73
Median786.80
Max Daily Loose percent-1.78
Max Daily Gain percent2.17
Simple Perf.0.42
Last 5 quotes StatisticsValue
Mean quote784.49
Variance30.10
Standard Deviation5.49
Lowest quote777.96
Highest quote791.48
Median784.72
Max Daily Loose percent-1.34
Max Daily Gain percent0.95
Simple Perf.-0.77
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 quote784.32
Variance36.41
Standard Deviation6.03
Lowest quote775.87
Highest quote794.26
Median785.07
Max Daily Loose percent-1.78
Max Daily Gain percent1.23
Simple Perf.-0.29
First quote787.66
Last quote785.38
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+9.508+1.19
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_20070124.csv
# of Quotes1762
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)23.01.2007
File last quote785.38
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 year5.07
# Days2415
# Days in years6.71
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 v0.99.90.0
Java Version1.6.0-rc
OS NameLinux
OS Version2.6.19-1.2895.fc6
User Namemarc
Calculation Time (Ms)915
Tech Id660200470-120250
XML output fileRUS2000_20070124.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/RUS2000_20070124.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)24.01.2007 18:51:38
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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