The MyTrendTimer Market Trend Timing Home Page Logo
MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
Signals and News Help/HowTo Principles About
 
October 15th, Bullish Trend (Buy Signal)
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 500
Standard and Poors 100
Swiss Market Index SMI
USD to CHF
October 15th, Bearish Trend (Sell Signal)
None for now.
 
Older reports
 
October 12th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
October 1st, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
 
Archived reports
 
2005 Archive Page
2006 Archive Page
2007 Archive Page
2008 Archive Page
2009 Archive Page
2010 Archive Page
2011 Archive Page
2012 Archive Page
2013 Archive Page
2014 Archive Page
2015 Archive Page
2016 Archive Page
2017 Archive Page
2018 Archive Page
MyTrendTimer : Russell 2000 of March 21, 2007
Weekly Comment about this asset/index
A rebound happen after our sell signal...
Financial InstrumentValue
Asset NameRussell 2000
SymbolRUT
CurrencyUSD
Underlying instrumentiShares Russell 2000 Index (IWM)
Trend/SignalValue
Current Trend/Signal Bearish (last signal was a Sell)
Strength-0.2
Date (dd.MM.yyyy)21.03.2007
Generated Signals Chart
A chart of Russell 2000 RUT dated March 21, 2007 to backtest the trend timer model buy and sell signals
Generated Signals
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
Sell05.03.2007196760.06+7.76
Info : Current20.03.2007015793.60+4.41
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+59.86
Model Buy and Hold+54.23
Model Long Only+89.41
Model Short Only+18.57
Model Long and Short+124.59
Time Weighted Return ofValue (Annualized)
Buy and Hold+8.72
Model Buy and Hold+7.90
Model Long Only+13.03
Model Short Only+2.71
Model Long and Short+18.15
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+5.12
Model Short vs Model Buy and Hold-5.20
Model Long and Short vs Model Buy and Hold+10.25
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+4.30
Model Short vs Buy and Hold-6.02
Model Long and Short vs Buy and Hold+9.43
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote792.55
Variance448.83
Standard Deviation21.19
Lowest quote760.06
Highest quote829.44
Median794.75
Max Daily Loose percent-3.77
Max Daily Gain percent2.48
Simple Perf.-3.94
Last 5 quotes StatisticsValue
Mean quote781.30
Variance75.21
Standard Deviation8.67
Lowest quote769.12
Highest quote793.60
Median781.36
Max Daily Loose percent-0.62
Max Daily Gain percent1.06
Simple Perf.3.18
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 quote794.56
Variance284.07
Standard Deviation16.85
Lowest quote760.06
Highest quote829.44
Median794.75
Max Daily Loose percent-3.77
Max Daily Gain percent2.48
Simple Perf.0.75
First quote787.66
Last quote793.60
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+11.598+1.45
February+3.478+0.43
March-0.428-0.05
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+0.75
Year 2004 to 2005 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
Year 2006 to 200n Monthly performance
MonthYearPerformance
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+1.61
February2007-0.88
March2007+0.04
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/RUS2000_20070321.csv
# of Quotes1801
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)20.03.2007
File last quote793.60
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)22.02.2007
Max Quote value829.44
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
Signals StatisticsValue
# Generated Signals34
Avg # op. by year4.95
# Days2471
# Days in years6.86
Biggest loose (Long only)-4.72
Min # days uninvested (before Buy Signal)9
Max # days uninvested (before Buy Signal)163
Min # days invested (before Sell Signal)2
Max # days invested (before Sell Signal)355
TechnicalValue
Program NameMyTrendTimer v0.99.90.53
Java Version1.6.0
OS NameLinux
OS Version2.6.18-1.2869.fc6
User Namemarc
Calculation Time (Ms)843
Tech Id643315216-120250
XML output fileRUS2000_20070321.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/RUS2000_20070321.xml
# Warnings found15
Generated on (dd.MM.yyyy HH:mm:ss)21.03.2007 19:34:04
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.
Valid HTML 4.01