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Standard and Poors 500
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MyTrendTimer : Russell 2000 analysis of October 3, 2007
Weekly Comment about this asset/index
Technology companies and big manufacturers, climbed on Monday to help propel the Dow to its 33rd record-high finish for 2007 ! The market has rallied on the expectation of more rate cuts from Bernanke. But some economists think that because the market has bounced back, no more cuts are needed : since the Federal Reserve cut two key interest rates by a half of a percentage point two weeks ago, the Dow Jones Industrial Average has gained 5 percent. The Dow hit a new all-time high Monday as fears of a credit crunch-induced recession appear to be waning.
Financial InstrumentValue
Asset NameRussell 2000
SymbolRUT
CurrencyUSD
Underlying instrumentiShares Russell 2000 Index (IWM)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strength0.2
DateOctober 3, 2007
Generated Signals Chart
A chart of Russell 2000 RUT dated October 3, 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
Buy20.09.2007057809.76-0.34
Info : Current02.10.2007012831.97+2.74
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+67.59
Model Buy and Hold+61.69
Model Long Only+95.46
Model Short Only+17.28
Model Long and Short+129.23
Time Weighted Return ofValue (Annualized)
Buy and Hold+9.13
Model Buy and Hold+8.33
Model Long Only+12.89
Model Short Only+2.33
Model Long and Short+17.45
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+4.56
Model Short vs Model Buy and Hold-6.00
Model Long and Short vs Model Buy and Hold+9.12
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+3.76
Model Short vs Buy and Hold-6.79
Model Long and Short vs Buy and Hold+8.32
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote798.59
Standard Deviation17.67
Lowest quote769.81
Highest quote831.97
Median800.89
Max Daily Loose percent-2.16
Max Daily Gain percent3.97
Simple Perf.3.91
Last 5 quotes StatisticsValue
Mean quote814.72
Standard Deviation11.43
Lowest quote803.00
Highest quote831.97
Median817.48
Max Daily Loose percent-1.05
Max Daily Gain percent2.39
Simple Perf.3.61
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 quote809.44
Standard Deviation24.93
Lowest quote751.54
Highest quote855.77
Median803.66
Max Daily Loose percent-3.77
Max Daily Gain percent3.97
Simple Perf.5.63
First quote787.66
Last quote831.97
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+10.708+1.34
September-18.458-2.31
October+21.418+2.68
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+5.63
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+2.16
September2007+1.59
October2007+3.29
Quotes UsedValue
Link on Quote FileRUS2000_20071003.csv
Quote File Used/local/java/TrendTimer/quote_data/RUS2000_20071003.csv
# of Quotes1937
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)02.10.2007
File last quote831.97
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 Signals37
Avg # op. by year5.00
# Days2666
# Days in years7.41
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 v0.99.97.1
Java Version1.6.0_02
OS NameLinux
OS Version2.6.21-1.3194.fc7
User Namemarc
Calculation Time (Ms)1710
Tech Id168687747-120250
XML output fileRUS2000_20071003.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/RUS2000_20071003.xml
# Warnings found5
Generated on (dd.MM.yyyy HH:mm:ss)03.10.2007 18:47:07
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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