MyTrendTimer Financial Market Trend Timing RUS2000

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 3000Â® 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 Instrument	Value
Asset Name	Russell 2000
Symbol	RUT
Currency	USD
Underlying instrument	iShares Russell 2000 Index (IWM)

Trend/Signal	Value
Current Trend/Signal	Bullish (last signal was a Buy)
Strength	0.6
Date	January 18, 2010

Generated Signals Chart

Generated Signals
Nature	Date (dd.MM.yyyy)	# Days previous op.	Quote	Result previous op.
Buy	08.06.2000	000	514.54	+0.00
Sell	31.07.2000	053	500.64	-2.70
Buy	24.08.2000	024	523.30	+4.53
Sell	26.09.2000	033	509.89	-2.56
Buy	12.01.2001	108	485.75	-4.73
Sell	27.02.2001	046	478.75	-1.44
Buy	25.04.2001	056	472.74	-1.26
Sell	06.07.2001	072	483.26	+2.23
Buy	02.11.2001	119	433.07	-10.39
Sell	05.02.2002	095	468.82	+8.26
Buy	05.03.2002	028	487.59	+4.00
Sell	22.05.2002	077	493.91	+1.30
Buy	01.11.2002	163	383.45	-22.36
Sell	23.01.2003	083	383.68	+0.06
Buy	27.03.2003	063	369.50	-3.70
Sell	16.03.2004	355	566.64	+53.35
Buy	01.04.2004	015	595.32	+5.06
Sell	29.04.2004	028	567.25	-4.72
Buy	25.06.2004	057	587.70	+3.61
Sell	12.07.2004	017	562.24	-4.33
Buy	03.09.2004	053	556.24	-1.07
Sell	11.01.2005	130	611.53	+9.94
Buy	07.02.2005	027	636.62	+4.10
Sell	18.03.2005	039	622.57	-2.21
Buy	24.05.2005	066	612.95	-1.55
Sell	24.08.2005	092	655.01	+6.86
Buy	02.09.2005	009	663.33	+1.27
Sell	22.09.2005	020	651.05	-1.85
Buy	03.10.2005	011	670.55	+3.00
Sell	05.10.2005	002	644.98	-3.81
Buy	08.11.2005	034	656.23	+1.74
Sell	17.05.2006	189	725.85	+10.61
Buy	21.08.2006	096	705.33	-2.83
Sell	05.03.2007	196	760.06	+7.76
Buy	26.03.2007	020	808.94	+6.43
Sell	25.07.2007	121	812.50	+0.44
Buy	20.09.2007	057	809.76	-0.34
Sell	05.11.2007	046	790.44	-2.39
Buy	03.04.2008	149	713.57	-9.72
Sell	24.06.2008	082	707.92	-0.79
Buy	05.08.2008	042	721.04	+1.85
Sell	15.09.2008	041	689.76	-4.34
Buy	02.01.2009	109	505.82	-26.67
Sell	15.01.2009	013	462.62	-8.54
Buy	30.03.2009	073	415.97	-10.08
Sell	08.07.2009	100	479.68	+15.32
Buy	17.07.2009	009	519.22	+8.24
Sell	29.10.2009	104	580.22	+11.75
Buy	07.12.2009	039	603.56	+4.02
Info : Current	15.01.2010	039	637.96	+5.70

Return and result of the differents strategies

Time Weighted Return of	Value (over the Period)
Buy and Hold	+28.51
Model Buy and Hold	+23.99
Model Long Only	+119.55
Model Short Only	+43.53
Model Long and Short	+215.12

Time Weighted Return of	Value (Annualized)
Buy and Hold	+2.93
Model Buy and Hold	+2.47
Model Long Only	+12.30
Model Short Only	+4.48
Model Long and Short	+22.13

Model OverPerf vs Model Buy and Hold	Value (Annualized)
Model Long vs Model Buy and Hold	+9.83
Model Short vs Model Buy and Hold	+2.01
Model Long and Short vs Model Buy and Hold	+19.66

Model OverPerf vs Buy and Hold	Value (Annualized)
Model Long vs Buy and Hold	+9.36
Model Short vs Buy and Hold	+1.54
Model Long and Short vs Buy and Hold	+19.19

Various statistical indicators for this asset

Last 20 quotes Statistics	Value
Mean quote	629.76
Standard Deviation	13.97
Lowest quote	604.25
Highest quote	646.43
Median	625.34
Max Daily Loose percent	-1.32
Max Daily Gain percent	1.32
Simple Perf.	4.62

Last 5 quotes Statistics	Value
Mean quote	642.00
Standard Deviation	4.27
Lowest quote	635.50
Highest quote	646.43
Median	640.96
Max Daily Loose percent	-1.32
Max Daily Gain percent	1.27
Simple Perf.	-1.02

Previous year Statistics	Value
Mean quote	520.71
Standard Deviation	71.87
Lowest quote	343.26
Highest quote	634.07
Median	488.67
Max Daily Loose percent	-7.03
Max Daily Gain percent	8.40
Simple Perf.	26.95
First quote	499.45
Last quote	634.07

Current year Statistics	Value
Mean quote	640.42
Standard Deviation	3.98
Lowest quote	634.07
Highest quote	646.43
Median	640.25
Max Daily Loose percent	-1.32
Max Daily Gain percent	1.27
Simple Perf.	0.61
First quote	634.07
Last quote	637.96

Seasonal Return by Month for this asset
Month	Cumulated TWR Return.	#Month	Average TWR Return
January	-7.16	11	-0.65
February	-12.70	10	-1.27
March	+9.47	10	+0.95
April	+20.98	10	+2.10
May	+15.75	10	+1.57
June	+7.93	10	+0.79
July	-16.63	10	-1.66
August	+17.73	10	+1.77
September	-20.84	10	-2.08
October	-10.99	10	-1.10
November	+6.38	10	+0.64
December	+30.25	10	+3.03

TWR Return by Year for this asset
Year	TWR 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	-34.80
2009	+26.95
2010	+0.61

Year 2006 to 2007 Monthly performance
Month	Year	Performance
January	2006	+8.91
February	2006	-0.35
March	2006	+4.72
April	2006	-0.08
May	2006	-5.69
June	2006	+0.51
July	2006	-3.33
August	2006	+2.85
September	2006	+0.70
October	2006	+5.69
November	2006	+2.51
December	2006	+0.20
January	2007	+1.61
February	2007	-0.88
March	2007	+0.93
April	2007	+1.73
May	2007	+4.00
June	2007	-1.59
July	2007	-6.91
August	2007	+2.16
September	2007	+1.59
October	2007	+2.80
November	2007	-7.28
December	2007	-0.23

Year 2008 to 200n Monthly performance
Month	Year	Performance
January	2008	-6.88
February	2008	-3.80
March	2008	+0.26
April	2008	+4.10
May	2008	+4.48
June	2008	-7.83
July	2008	+3.60
August	2008	+3.50
September	2008	-8.10
October	2008	-20.90
November	2008	-11.98
December	2008	+5.56
January	2009	-11.20
February	2009	-12.29
March	2009	+8.67
April	2009	+15.33
May	2009	+2.88
June	2009	+1.34
July	2009	+9.53
August	2009	+2.76
September	2009	+5.63
October	2009	-6.87
November	2009	+3.01
December	2009	+9.37
January	2010	+0.61

Quotes Used	Value
Link on Quote File	RUS2000_20100118.csv
Quote File Used	/local/java/TrendTimer/quote_data/RUS2000_20100118.csv
# of Quotes	2509
File first date (dd.MM.yyyy)	03.01.2000
File first quote	496.42
File last date (dd.MM.yyyy)	15.01.2010
File last quote	637.96
First data considered (dd.MM.yyyy)	08.02.2000
First data considered	537.49
Min. Quote date (dd.MM.yyyy)	09.10.2002
Min. Quote value	327.04
Max Quote date (dd.MM.yyyy)	13.07.2007
Max Quote value	855.77
Max daily drop date (dd.MM.yyyy)	01.12.2008
Max Daily Drop percent	-11.85
Max daily gain date (dd.MM.yyyy)	13.10.2008
Max daily Gain percent	9.27

Signals Statistics	Value
# Generated Signals	49
Avg # op. by year	5.04
# Days	3500
# Days in years	9.72
Biggest loose (Long only)	-8.54
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

Technical	Value
Program Name	MyTrendTimer v0.99.98.2
Java Version	1.6.0_0
OS Name	Linux
OS Version	2.6.31.5-127.fc12.i686
User Name	marc
Calculation Time (Ms)	675
Tech Id	165301377-120250
XML output file	RUS2000_20100118.xml
Web Root	http://www.MyTrendTimer.com/
Complete Xml URL	http://www.MyTrendTimer.com/xml/RUS2000_20100118.xml
# Warnings found	7
Generated on (dd.MM.yyyy HH:mm:ss)	18.01.2010 18:09:21

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.