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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
 
 
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MyTrendTimer : Russell 2000 analysis of August 22, 2007
Weekly Comment about this asset/index
Stocks continue to shake, led by losses in financial companies, as worries about spillover from the subprime mortgage market lingered despite the Federal Reserve's surprise discount rate cut on last Friday. The U.S. central bank's emergency move to stabilize credit markets followed sharp declines in world stock markets in recent weeks as problems in the risky U.S. subprime mortgage sector spread to other markets. The Fed took this dramatic step to combat the squeeze on liquidity last week. When banks became unwilling to lend funds, even to creditworthy investors, the Fed cut its discount rate by half a percentage point to 5.75 percent and extended its loan period to 30 days, from one day previously. The mytrendtimer.com signal is getting even lower again this week. Trend timing show its limits : how whould you modelize a central bank/fed surprise rate cut ?
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-0.5
DateAugust 22, 2007
Generated Signals Chart
A chart of Russell 2000 RUT dated August 22, 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
Buy26.03.2007020808.94+6.43
Sell25.07.2007121812.50+0.44
Info : Current21.08.2007027788.38-2.97
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+58.81
Model Buy and Hold+53.22
Model Long Only+90.24
Model Short Only+19.46
Model Long and Short+127.27
Time Weighted Return ofValue (Annualized)
Buy and Hold+8.07
Model Buy and Hold+7.30
Model Long Only+12.38
Model Short Only+2.67
Model Long and Short+17.46
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+5.08
Model Short vs Model Buy and Hold-4.63
Model Long and Short vs Model Buy and Hold+10.16
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+4.31
Model Short vs Buy and Hold-5.40
Model Long and Short vs Buy and Hold+9.39
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote781.22
Standard Deviation15.49
Lowest quote751.54
Highest quote812.50
Median782.02
Max Daily Loose percent-3.64
Max Daily Gain percent2.85
Simple Perf.-2.89
Last 5 quotes StatisticsValue
Mean quote774.18
Standard Deviation15.41
Lowest quote751.54
Highest quote788.38
Median769.96
Max Daily Loose percent-1.49
Max Daily Gain percent2.30
Simple Perf.3.34
Previous year StatisticsValue
Mean quote734.66
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 quote811.91
Standard Deviation25.43
Lowest quote751.54
Highest quote855.77
Median803.66
Max Daily Loose percent-3.77
Max Daily Gain percent2.85
Simple Perf.0.09
First quote787.66
Last quote788.38
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+11.598+1.45
February+3.478+0.43
March+0.478+0.06
April+0.778+0.10
May+7.688+0.96
June+15.568+1.95
July-26.538-3.32
August+10.078+1.26
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+0.09
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+0.93
April2007+1.73
May2007+4.00
June2007-1.59
July2007-6.91
August2007+1.58
Quotes UsedValue
Quote File Used/local/java/TrendTimer/quote_data/RUS2000_20070822.csv
# of Quotes1908
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)21.08.2007
File last quote788.38
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)13.07.2007
Max Quote value855.77
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 Signals36
Avg # op. by year4.94
# Days2624
# Days in years7.29
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 Server v0.99.96
Java Version1.6.0_02
OS NameLinux
OS Version2.6.21-1.3194.fc7
User Namemarc
Calculation Time (Ms)2770
Tech Id659397888-120250
XML output fileRUS2000_20070822.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/RUS2000_20070822.xml
# Warnings found5
Generated on (dd.MM.yyyy HH:mm:ss)22.08.2007 20:23:24
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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