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Dow Jones Industrial
Standard and Poors 100
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MyTrendTimer : Russell 2000 analysis of July 11, 2008
Description of this asset/index
The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000 Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000 is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.
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-0.6
DateJuly 11, 2008
Generated Signals Chart
A chart of Russell 2000 RUT dated July 11, 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
Buy03.04.2008149713.57-9.72
Sell24.06.2008082707.92-0.79
Info : Current10.07.2008016670.44-5.29
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+35.05
Model Buy and Hold+30.30
Model Long Only+84.23
Model Short Only+29.28
Model Long and Short+138.17
Time Weighted Return ofValue (Annualized)
Buy and Hold+4.28
Model Buy and Hold+3.70
Model Long Only+10.29
Model Short Only+3.58
Model Long and Short+16.88
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+6.59
Model Short vs Model Buy and Hold-0.13
Model Long and Short vs Model Buy and Hold+13.18
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+6.01
Model Short vs Buy and Hold-0.71
Model Long and Short vs Buy and Hold+12.60
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote713.31
Standard Deviation24.44
Lowest quote663.75
Highest quote740.74
Median702.24
Max Daily Loose percent-2.78
Max Daily Gain percent1.91
Simple Perf.-9.45
Last 5 quotes StatisticsValue
Mean quote680.99
Standard Deviation13.89
Lowest quote663.75
Highest quote698.14
Median680.95
Max Daily Loose percent-2.78
Max Daily Gain percent1.01
Simple Perf.-3.97
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 quote709.37
Standard Deviation23.88
Lowest quote643.97
Highest quote766.03
Median705.00
Max Daily Loose percent-3.14
Max Daily Gain percent4.83
Simple Perf.-12.48
First quote766.03
Last quote670.44
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+3.919+0.43
February-0.479-0.05
March+0.739+0.08
April+4.909+0.54
May+12.519+1.39
June+6.519+0.72
July-28.589-3.18
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
2008-12.48
Year 2005 to 2006 Monthly performance
MonthYearPerformance
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
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
Year 2007 to 200n Monthly performance
MonthYearPerformance
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
February2008-3.80
March2008+0.26
April2008+4.10
May2008+4.48
June2008-7.83
July2008-2.79
Quotes UsedValue
Link on Quote FileRUS2000_20080711.csv
Quote File Used/local/java/TrendTimer/quote_data/RUS2000_20080711.csv
# of Quotes2128
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)10.07.2008
File last quote670.44
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 Signals40
Avg # op. by year4.89
# Days2947
# Days in years8.19
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 v0.99.98.1
Java Version1.7.0
OS NameLinux
OS Version2.6.25.9-40.fc8PAE
User Namemarc
Calculation Time (Ms)299
Tech Id908725181-120250
XML output fileRUS2000_20080711.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/RUS2000_20080711.xml
# Warnings found5
Generated on (dd.MM.yyyy HH:mm:ss)11.07.2008 19:30:41
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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