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MyTrendTimer : Russell 2000 analysis of December 28, 2007
Weekly Comment about this asset/index
Stocks tanked Thursday, after gaining some momentum earlier in the week, as political turmoil in Pakistan turned deadly and downbeat economic reports took the wind out of Wall Street's sails. Wall Street had seen signs of recovery earlier in the week, rallying in a shortened session on Monday, then ending slightly higher in Wednesday's session. But Thursday's session was hit with bad news early on and could not shake the negative sentiment. Oil prices rose Thursday, putting crude within striking distance of its all-time high, after the assassination of former Pakistan Prime Minister Benazir Bhutto and a larger-than-expected decline in U.S. crude inventories.
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-0.1
DateDecember 28, 2007
Generated Signals Chart
A chart of Russell 2000 RUT dated December 28, 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
Sell05.11.2007046790.44-2.39
Info : Current27.12.2007052773.51-2.14
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+55.82
Model Buy and Hold+50.33
Model Long Only+85.70
Model Short Only+19.05
Model Long and Short+121.08
Time Weighted Return ofValue (Annualized)
Buy and Hold+7.30
Model Buy and Hold+6.58
Model Long Only+11.21
Model Short Only+2.49
Model Long and Short+15.84
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+4.63
Model Short vs Model Buy and Hold-4.09
Model Long and Short vs Model Buy and Hold+9.25
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+3.91
Model Short vs Buy and Hold-4.81
Model Long and Short vs Buy and Hold+8.54
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote770.19
Standard Deviation15.34
Lowest quote739.06
Highest quote797.03
Median768.05
Max Daily Loose percent-3.15
Max Daily Gain percent2.78
Simple Perf.0.45
Last 5 quotes StatisticsValue
Mean quote779.03
Standard Deviation16.06
Lowest quote756.13
Highest quote797.03
Median776.58
Max Daily Loose percent-2.95
Max Daily Gain percent2.35
Simple Perf.2.30
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 quote804.71
Standard Deviation27.82
Lowest quote735.07
Highest quote855.77
Median795.42
Max Daily Loose percent-3.97
Max Daily Gain percent3.97
Simple Perf.-1.80
First quote787.66
Last quote773.51
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+20.848+2.60
November+17.328+2.17
December+13.928+1.74
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
2007-1.80
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+2.80
November2007-7.28
December2007+0.75
Quotes UsedValue
Link on Quote FileRUS2000_20071228.csv
Quote File Used/local/java/TrendTimer/quote_data/RUS2000_20071228.csv
# of Quotes1997
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)27.12.2007
File last quote773.51
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 Signals38
Avg # op. by year4.97
# Days2752
# Days in years7.64
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 v0.99.98
Java Version1.7.0
OS NameLinux
OS Version2.6.23.1-49.fc8PAE
User Namemarc
Calculation Time (Ms)493
Tech Id665987632-120250
XML output fileRUS2000_20071228.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/RUS2000_20071228.xml
# Warnings found5
Generated on (dd.MM.yyyy HH:mm:ss)28.12.2007 20:13:11
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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