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November 12th, Bullish Trend (Buy Signal)
Swiss Market Index SMI
Dow Jones Industrial
Standard and Poors 100
USD to CHF
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NASDAQ Composite
Standard and Poors 500
 
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November 6th, 2018
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Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
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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 February 19, 2008
Weekly Comment about this asset/index
US Investors returning from the holiday weekend also took a cue from big rallies in Europe and Asia. U.S. financial markets were closed Monday for the Presidents Day holiday. Oil futures shot higher Tuesday, rising above $99 for the first time since early January as investors bet that crude prices will keep climbing despite evidence of plentiful supplies and falling demand
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-0.3
DateFebruary 19, 2008
Generated Signals Chart
A chart of Russell 2000 RUT dated February 19, 2008 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 : Current15.02.2008102701.52-11.25
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+41.32
Model Buy and Hold+36.34
Model Long Only+85.70
Model Short Only+26.58
Model Long and Short+135.07
Time Weighted Return ofValue (Annualized)
Buy and Hold+5.31
Model Buy and Hold+4.67
Model Long Only+11.01
Model Short Only+3.42
Model Long and Short+17.35
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+6.34
Model Short vs Model Buy and Hold-1.25
Model Long and Short vs Model Buy and Hold+12.68
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+5.70
Model Short vs Buy and Hold-1.89
Model Long and Short vs Buy and Hold+12.05
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote700.01
Standard Deviation14.92
Lowest quote671.57
Highest quote730.50
Median701.04
Max Daily Loose percent-3.02
Max Daily Gain percent3.26
Simple Perf.3.08
Last 5 quotes StatisticsValue
Mean quote705.49
Standard Deviation8.51
Lowest quote698.93
Highest quote721.93
Median710.43
Max Daily Loose percent-2.30
Max Daily Gain percent2.33
Simple Perf.0.37
Previous year StatisticsValue
Mean quote804.42
Standard Deviation27.90
Lowest quote735.07
Highest quote855.77
Median795.42
Max Daily Loose percent-3.97
Max Daily Gain percent3.97
Simple Perf.-2.75
First quote787.66
Last quote766.03
Current year StatisticsValue
Mean quote707.94
Standard Deviation20.48
Lowest quote671.57
Highest quote766.03
Median718.80
Max Daily Loose percent-3.14
Max Daily Gain percent3.26
Simple Perf.-8.42
First quote766.03
Last quote701.52
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+3.919+0.43
February+1.769+0.20
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+12.828+1.60
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
2007-2.75
2008-8.42
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
December2007-0.23
January2008-6.88
February2008-1.65
Quotes UsedValue
Link on Quote FileRUS2000_20080219.csv
Quote File Used/local/java/TrendTimer/quote_data/RUS2000_20080219.csv
# of Quotes2031
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)15.02.2008
File last quote701.52
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 year4.88
# Days2802
# Days in years7.78
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 Version2.6.23.15-137.fc8
User Namemarc
Calculation Time (Ms)294
Tech Id324087224-120250
XML output fileRUS2000_20080219.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/RUS2000_20080219.xml
# Warnings found6
Generated on (dd.MM.yyyy HH:mm:ss)19.02.2008 20:43:19
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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