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MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
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August 14th, Bullish Trend (Buy Signal)
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 500
USD to CHF
Standard and Poors 100
Swiss Market Index SMI
August 14th, Bearish Trend (Sell Signal)
None for now.
 
Older reports
 
August 3rd, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
July 23rd, 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
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2007 Archive Page
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2009 Archive Page
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MyTrendTimer : Russell 2000 analysis of November 2, 2007
Weekly Comment about this asset/index
Fears of more writedowns have stoked credit worries and raised investor anxiety. The Dow Jones industrial average plummeted 362 points on Thursday - its fourth-biggest point decline of the year - and kept falling on Friday. Stocks in the financial services sector led declines. Merrill stock sank 8 percent in morning trading on Friday. Citi shares fell about 2 percent and are at their lowest level in more than four years.
Financial InstrumentValue
Asset NameRussell 2000
SymbolRUT
CurrencyUSD
Underlying instrumentiShares Russell 2000 Index (IWM)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strength0.1
DateNovember 2, 2007
Generated Signals Chart
A chart of Russell 2000 RUT dated November 2, 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 : Current01.11.2007042795.18-1.80
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+60.18
Model Buy and Hold+54.54
Model Long Only+86.82
Model Short Only+17.28
Model Long and Short+119.09
Time Weighted Return ofValue (Annualized)
Buy and Hold+8.04
Model Buy and Hold+7.28
Model Long Only+11.59
Model Short Only+2.31
Model Long and Short+15.90
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+4.31
Model Short vs Model Buy and Hold-4.98
Model Long and Short vs Model Buy and Hold+8.62
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+3.56
Model Short vs Buy and Hold-5.73
Model Long and Short vs Buy and Hold+7.87
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote824.32
Standard Deviation14.76
Lowest quote795.18
Highest quote845.72
Median820.45
Max Daily Loose percent-3.97
Max Daily Gain percent1.90
Simple Perf.-4.10
Last 5 quotes StatisticsValue
Mean quote814.76
Standard Deviation12.07
Lowest quote795.18
Highest quote828.02
Median811.60
Max Daily Loose percent-3.97
Max Daily Gain percent1.90
Simple Perf.-1.36
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 quote810.99
Standard Deviation24.46
Lowest quote751.54
Highest quote855.77
Median803.66
Max Daily Loose percent-3.97
Max Daily Gain percent3.97
Simple Perf.0.95
First quote787.66
Last quote795.18
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+16.058+2.01
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+0.95
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
October2007-1.28
Quotes UsedValue
Link on Quote FileRUS2000_20071102.csv
Quote File Used/local/java/TrendTimer/quote_data/RUS2000_20071102.csv
# of Quotes1959
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)01.11.2007
File last quote795.18
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 year4.94
# Days2696
# Days in years7.49
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 v0.99.97.19REF
Java Version1.6.0_02
OS NameLinux
OS Version2.6.22.9-91.fc7
User Namemarc
Calculation Time (Ms)1980
Tech Id675153133-120250
XML output fileRUS2000_20071102.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/RUS2000_20071102.xml
# Warnings found6
Generated on (dd.MM.yyyy HH:mm:ss)02.11.2007 18:03:09
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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