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December 10th, Bullish Trend (Buy Signal)
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Standard and Poors 500
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Standard and Poors 500
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Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
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MyTrendTimer : Russell 2000 analysis of May 7, 2010
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 Bullish (last signal was a Buy)
Strength0.2
DateMay 7, 2010
Generated Signals Chart
A chart of Russell 2000 RUT dated May 7, 2010 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
Buy05.08.2008042721.04+1.85
Sell15.09.2008041689.76-4.34
Buy02.01.2009109505.82-26.67
Sell15.01.2009013462.62-8.54
Buy30.03.2009073415.97-10.08
Sell08.07.2009100479.68+15.32
Buy17.07.2009009519.22+8.24
Sell29.10.2009104580.22+11.75
Buy07.12.2009039603.56+4.02
Sell02.02.2010057614.05+1.74
Buy22.02.2010020632.25+2.96
Info : Current07.05.2010073653.00+3.28
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+31.54
Model Buy and Hold+26.91
Model Long Only+118.26
Model Short Only+41.85
Model Long and Short+209.61
Time Weighted Return ofValue (Annualized)
Buy and Hold+3.14
Model Buy and Hold+2.68
Model Long Only+11.79
Model Short Only+4.17
Model Long and Short+20.90
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+9.11
Model Short vs Model Buy and Hold+1.49
Model Long and Short vs Model Buy and Hold+18.21
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+8.65
Model Short vs Buy and Hold+1.03
Model Long and Short vs Buy and Hold+17.75
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote714.64
Standard Deviation21.64
Lowest quote653.00
Highest quote741.92
Median697.46
Max Daily Loose percent-3.77
Max Daily Gain percent2.46
Simple Perf.-6.67
Last 5 quotes StatisticsValue
Mean quote697.15
Standard Deviation29.60
Lowest quote653.00
Highest quote732.82
Median692.91
Max Daily Loose percent-3.77
Max Daily Gain percent2.26
Simple Perf.-8.88
Previous year StatisticsValue
Mean quote520.71
Standard Deviation71.87
Lowest quote343.26
Highest quote634.07
Median488.67
Max Daily Loose percent-7.03
Max Daily Gain percent8.40
Simple Perf.26.95
First quote499.45
Last quote634.07
Current year StatisticsValue
Mean quote661.71
Standard Deviation41.65
Lowest quote586.49
Highest quote741.92
Median664.20
Max Daily Loose percent-3.77
Max Daily Gain percent2.46
Simple Perf.2.99
First quote634.07
Last quote653.00
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-12.3911-1.13
February-8.8511-0.80
March+18.1911+1.65
April+27.7511+2.52
May+5.4711+0.50
June+7.9310+0.79
July-16.6310-1.66
August+17.7310+1.77
September-20.8410-2.08
October-10.9910-1.10
November+6.3810+0.64
December+30.2510+3.03
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
2008-34.80
2009+26.95
2010+2.99
Year 2006 to 2007 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
Year 2008 to 200n Monthly performance
MonthYearPerformance
January2008-6.88
February2008-3.80
March2008+0.26
April2008+4.10
May2008+4.48
June2008-7.83
July2008+3.60
August2008+3.50
September2008-8.10
October2008-20.90
November2008-11.98
December2008+5.56
January2009-11.20
February2009-12.29
March2009+8.67
April2009+15.33
May2009+2.88
June2009+1.34
July2009+9.53
August2009+2.76
September2009+5.63
October2009-6.87
November2009+3.01
December2009+9.37
January2010-5.05
February2010+4.41
March2010+7.97
April2010+5.59
May2010-8.88
Quotes UsedValue
Link on Quote FileRUS2000_20100507.csv
Quote File Used/local/java/TrendTimer/quote_data/RUS2000_20100507.csv
# of Quotes2585
File first date (dd.MM.yyyy)03.01.2000
File first quote496.42
File last date (dd.MM.yyyy)07.05.2010
File last quote653.00
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)01.12.2008
Max Daily Drop percent-11.85
Max daily gain date (dd.MM.yyyy)13.10.2008
Max daily Gain percent9.27
Signals StatisticsValue
# Generated Signals51
Avg # op. by year5.08
# Days3611
# Days in years10.03
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
TechnicalValue
Program NameMyTrendTimer v0.99.98.2
Java Version1.6.0_17
OS NameLinux
OS Version2.6.32.11-99.fc12.i686.PAE
User Namemarc
Calculation Time (Ms)470
Tech Id524343812-120250
XML output fileRUS2000_20100507.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/RUS2000_20100507.xml
# Warnings found9
Generated on (dd.MM.yyyy HH:mm:ss)07.05.2010 23:08:34
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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