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MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
Signals and News Help/HowTo Principles About
 
October 15th, Bullish Trend (Buy Signal)
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 500
Standard and Poors 100
Swiss Market Index SMI
USD to CHF
October 15th, Bearish Trend (Sell Signal)
None for now.
 
Older reports
 
October 12th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
October 1st, 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 March 6, 2007
Weekly Comment about this asset/index
The slide continue... Performance for year 2007 is now negative. Signal strength is still getting lower but current signal is still "buy", at least for now. Have we bottomed is the current question.
Financial InstrumentValue
Instrument NameSwiss Market Index
SymbolSSMI
CurrencyCHF
Underlying instrumentXMTCH on SMI (XMSMI)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strength2.2
Date (dd.MM.yyyy)06.03.2007
Generated Signals Chart
A chart of Swiss Market Index SSMI dated March 6, 2007 to backtest the trend timer model buy and sell signals
Generated Signals
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
Info : Current05.03.20072168'676.86+9.22
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+19.38
Model Buy and Hold+33.56
Model Long Only+77.94
Model Short Only+24.94
Model Long and Short+122.32
Time Weighted Return ofValue (Annualized)
Buy and Hold+3.84
Model Buy and Hold+6.65
Model Long Only+15.43
Model Short Only+4.94
Model Long and Short+24.22
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+8.79
Model Short vs Model Buy and Hold-1.71
Model Long and Short vs Model Buy and Hold+17.58
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+11.60
Model Short vs Buy and Hold+1.10
Model Long and Short vs Buy and Hold+20.38
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote9'158.77
Variance46'864.81
Standard Deviation216.48
Lowest quote8'676.86
Highest quote9'345.62
Median9'011.24
Max Daily Loose percent-3.40
Max Daily Gain percent0.68
Simple Perf.-6.28
Last 5 quotes StatisticsValue
Mean quote8'863.34
Variance36'508.19
Standard Deviation191.07
Lowest quote8'676.86
Highest quote9'223.03
Median8'949.95
Max Daily Loose percent-3.40
Max Daily Gain percent0.19
Simple Perf.-5.92
Previous year StatisticsValue
Mean quote8'063.60
Variance166'944.34
Standard Deviation408.59
Lowest quote7'154.86
Highest quote8'835.63
Median7'995.25
Max Daily Loose percent-2.90
Max Daily Gain percent2.56
Simple Perf.15.85
First quote7'583.93
Last quote8'785.74
Current year StatisticsValue
Mean quote9'098.06
Variance33'024.76
Standard Deviation181.73
Lowest quote8'676.86
Highest quote9'345.62
Median9'011.24
Max Daily Loose percent-3.40
Max Daily Gain percent1.53
Simple Perf.-1.24
First quote8'785.74
Last quote8'676.86
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-1.048-0.13
February-7.568-0.95
March+0.358+0.04
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+8.587+1.23
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+15.85
2007-1.24
Year 2004 to 2005 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
Year 2006 to 200n Monthly performance
MonthYearPerformance
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+3.55
January2007+3.98
February2007-3.78
March2007-1.28
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/SMI_20070306.csv
# of Quotes1822
File first date (dd.MM.yyyy)04.01.2000
File first quote7'268.10
File last date (dd.MM.yyyy)05.03.2007
File last quote8'676.86
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)19.02.2007
Max Quote value9'345.62
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
Signals StatisticsValue
# Generated Signals7
Avg # op. by year1.39
# Days1818
# Days in years5.05
Biggest loose (Long only)-2.56
Min # days uninvested (before Buy Signal)67
Max # days uninvested (before Buy Signal)336
Min # days invested (before Sell Signal)91
Max # days invested (before Sell Signal)556
TechnicalValue
Program NameMyTrendTimer v0.99.90.53
Java Version1.6.0
OS NameLinux
OS Version2.6.18-1.2869.fc6
User Namemarc
Calculation Time (Ms)900
Tech Id741734898-130900
XML output fileSMI_20070306.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/SMI_20070306.xml
# Warnings found21
Generated on (dd.MM.yyyy HH:mm:ss)06.03.2007 22:37:58
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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