The MyTrendTimer Market Trend Timing Home Page Logo
MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
Signals and News Help/HowTo Principles About
 
July 9th, Bullish Trend (Buy Signal)
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 500
USD to CHF
Standard and Poors 100
July 9th, Bearish Trend (Sell Signal)
Swiss Market Index SMI
 
Older reports
 
July 2nd, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
June 22nd, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
 
Archived reports
 
2005 Archive Page
2006 Archive Page
2007 Archive Page
2008 Archive Page
2009 Archive Page
2010 Archive Page
2011 Archive Page
2012 Archive Page
2013 Archive Page
2014 Archive Page
2015 Archive Page
2016 Archive Page
2017 Archive Page
2018 Archive Page
MyTrendTimer : Swiss Market Index of December 6, 2006
Weekly Comment about this asset/index
Stocks surged during Monday, sending the the SP 500 to a fresh six-year high, as investors welcomed a slew of merger news and a slump in oil prices. After selling off in the post-Thanksgiving period, stocks seem to have recharged Monday, at the start of what is often a good month on Wall Street. Oil prices were steadying as the possibility of a further output cut by OPEC producers who meet next week was balanced by milder weather and expected strong fuel stockpiles in the United States. So far, European companies seem to have weathered the stronger euro, which hit 20-month highs against the dollar and record peaks versus the yen on Monday.
Financial InstrumentValue
Instrument NameSwiss Market Index
SymbolSSMI
CurrencyCHF
Underlying instrumentXMTCH SMI (XMSMI)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strenght2.3
Date (dd.MM.yyyy)06.12.2006
Generated Operations Chart
A chart of Swiss Market Index SSMI dated December 6, 2006 to backtest the trend timer model buy and sell signals
Generated Operations
NatureDate (dd.MM.yyyy)# Days previous op.QuoteResult previous op.
Buy11.03.20020006'496.60+0.00
Sell11.06.20020916'330.30-2.56
Buy13.05.20033364'538.60-28.30
Sell02.07.20044165'606.80+23.54
Buy15.11.20041365'674.30+1.20
Sell26.05.20065567'679.47+35.34
Buy01.08.20060677'944.10+3.45
Out05.12.20061268'452.07+6.39
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+16.29
Model Buy and Hold+30.10
Model Long Only+73.33
Model Short Only+24.94
Model Long and Short+116.56
Time Weighted Return ofValue (Annualized)
Buy and Hold+3.39
Model Buy and Hold+6.27
Model Long Only+15.28
Model Short Only+5.20
Model Long and Short+24.28
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+9.01
Model Short vs Model Buy and Hold-1.07
Model Long and Short vs Model Buy and Hold+18.01
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+11.88
Model Short vs Buy and Hold+1.80
Model Long and Short vs Buy and Hold+20.89
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote8'667.45
Variance19'634.59
Standard Deviation140.12
Lowest quote8'420.33
Highest quote8'835.63
Median8'627.98
Max Daily Loose percent-1.44
Max Daily Gain percent1.27
Simple Perf.-4.34
Last 5 quotes StatisticsValue
Mean quote8'478.08
Variance2'548.56
Standard Deviation50.48
Lowest quote8'420.33
Highest quote8'569.92
Median8'495.12
Max Daily Loose percent-1.00
Max Daily Gain percent1.27
Simple Perf.-0.12
Previous year StatisticsValue
Mean quote6'451.72
Variance330'683.68
Standard Deviation575.05
Lowest quote5'669.60
Highest quote7'619.96
Median6'644.78
Max Daily Loose percent-1.81
Max Daily Gain percent2.35
Simple Perf.33.21
First quote5'693.20
Last quote7'583.93
Current year StatisticsValue
Mean quote8'020.52
Variance147'453.76
Standard Deviation384.00
Lowest quote7'154.86
Highest quote8'835.63
Median7'995.25
Max Daily Loose percent-2.90
Max Daily Gain percent2.56
Simple Perf.11.45
First quote7'583.93
Last quote8'452.07
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-4.837-0.69
February-3.937-0.56
March+1.657+0.24
April+14.297+2.04
May+4.797+0.68
June-6.167-0.88
July-3.047-0.43
August-0.747-0.11
September-15.067-2.15
October+13.827+1.97
November+14.557+2.08
December+4.467+0.64
TWR Return by Year for this asset
YearTWR Return.
2000+11.93
2001-21.11
2002-27.84
2003+18.51
2004+3.74
2005+33.21
2006+11.45
Year 2000 to 2003 Monthly performance
MonthYearPerformance
January2000-5.14
February2000+0.22
March2000+7.50
April2000-0.00
May2000+4.39
June2000+0.10
July2000+3.37
August2000+2.45
September2000-6.16
October2000+3.43
November2000+0.06
December2000+1.92
January2001-0.96
February2001-4.41
March2001-6.93
April2001+2.22
May2001+2.19
June2001-3.30
July2001-5.43
August2001-3.87
September2001-8.63
October2001+1.11
November2001+2.57
December2001+2.90
January2002-2.81
February2002+1.85
March2002+4.76
April2002-1.47
May2002+0.26
June2002-9.05
July2002-13.09
August2002+0.65
September2002-8.56
October2002+3.47
November2002+3.40
December2002-9.51
January2003-4.50
February2003-6.20
March2003-1.51
April2003+11.19
May2003+1.94
June2003+3.95
July2003+5.51
August2003+0.89
September2003-1.57
October2003+3.33
November2003+2.04
December2003+3.20
Year 2004 to 200n Monthly performance
MonthYearPerformance
January2004+4.53
February2004+1.08
March2004-3.10
April2004+2.77
May2004-2.55
June2004-0.14
July2004-1.28
August2004-2.26
September2004+0.80
October2004-1.86
November2004+1.51
December2004+4.57
January2005+1.37
February2005+2.77
March2005-0.03
April2005-0.99
May2005+4.37
June2005+2.05
July2005+5.56
August2005-1.27
September2005+5.86
October2005+2.00
November2005+5.27
December2005+2.38
January2006+2.99
February2006+1.05
March2006+1.66
April2006+0.30
May2006-5.50
June2006+0.63
July2006+3.79
August2006+2.85
September2006+3.16
October2006+1.71
November2006-0.99
December2006-0.38
Quotes UsedValue
Quote File UsedSMI_20061206.csv
# of Quotes1762
File first date (dd.MM.yyyy)04.01.2000
File first quote7'268.10
File last date (dd.MM.yyyy)05.12.2006
File last quote8'452.07
First data considered (dd.MM.yyyy)12.05.2000
First data considered7'736.70
Min. Quote date (dd.MM.yyyy)12.03.2003
Min. Quote value3'675.40
Max Quote date (dd.MM.yyyy)07.11.2006
Max Quote value8'835.63
Max daily drop date (dd.MM.yyyy)11.09.2001
Max Daily Drop percent-7.07
Max daily gain date (dd.MM.yyyy)24.09.2001
Max daily Gain percent6.70
Operations StatisticsValue
# Generated operations8
Avg # op. by year1.67
# Days1728
# Days in years4.80
Biggest loose (Long only)-2.56
Min # days uninvested (before Buy operation)67
Max # days uninvested (before Buy operation)336
Min # days invested (before Sell operation)91
Max # days invested (before Sell operation)556
TechnicalValue
Program NameMyTrendTimer v0.99.87
Java Version1.6.0-rc
OS NameLinux
OS Version2.6.18-1.2849.fc6
User Namemarc
Calculation Time (Ms)651
Tech Id36506022-130900
XML output fileSMI_20061206.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/SMI_20061206.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)06.12.2006 17:45:12
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.
Valid HTML 4.01