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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
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2009 Archive Page
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MyTrendTimer : Swiss Market Index analysis of November 2, 2007
Weekly Comment about this asset/index
Swiss market went down those last days. A downgrade by Merrill Lynch on UBS to "neutral" from "buy" trigger a massive sell. Merril Lynch said the Swiss bank could have further subprime writedowns worth $8 billion on its mezzanine collateralized debt obligations. The UBS stock plunge and brought down the SMI index. (UBS is more than 10% of the index). A sell signal was issued : sell price is 8891.47, -3.33% from last buy signal.
Financial InstrumentValue
Asset NameSwiss Market Index
SymbolSSMI
CurrencyCHF
Underlying instrumentXMTCH on SMI (XMSMI)
Trend/SignalValue
Current Trend/Signal Bearish (last signal was a Sell)
Strength-0.1
DateNovember 2, 2007
Generated Signals Chart
A chart of Swiss Market Index SSMI dated November 2, 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
Sell25.07.20073588'922.71+12.32
Buy12.10.20070799'197.48+3.08
Sell01.11.20070208'891.47-3.33
Info : Current02.11.20070018'770.39-1.36
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+20.67
Model Buy and Hold+35.00
Model Long Only+76.89
Model Short Only+23.68
Model Long and Short+118.78
Time Weighted Return ofValue (Annualized)
Buy and Hold+3.61
Model Buy and Hold+6.12
Model Long Only+13.44
Model Short Only+4.14
Model Long and Short+20.76
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+7.32
Model Short vs Model Buy and Hold-1.98
Model Long and Short vs Model Buy and Hold+14.64
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+9.83
Model Short vs Buy and Hold+0.53
Model Long and Short vs Buy and Hold+17.15
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote9'016.86
Standard Deviation124.93
Lowest quote8'770.39
Highest quote9'218.28
Median8'994.33
Max Daily Loose percent-1.42
Max Daily Gain percent0.90
Simple Perf.-3.36
Last 5 quotes StatisticsValue
Mean quote8'931.80
Standard Deviation91.76
Lowest quote8'770.39
Highest quote9'019.57
Median8'894.98
Max Daily Loose percent-1.42
Max Daily Gain percent0.90
Simple Perf.-2.15
Previous year StatisticsValue
Mean quote8'063.60
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 quote9'069.94
Standard Deviation244.23
Lowest quote8'422.28
Highest quote9'531.46
Median8'976.87
Max Daily Loose percent-3.40
Max Daily Gain percent2.63
Simple Perf.-0.17
First quote8'785.74
Last quote8'770.39
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-1.048-0.13
February-7.568-0.95
March+3.828+0.48
April+20.048+2.50
May+5.048+0.63
June-8.568-1.07
July-6.468-0.81
August-0.788-0.10
September-14.568-1.82
October+14.928+1.87
November+11.388+1.42
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
2007-0.17
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+2.13
April2007+5.03
May2007+0.24
June2007-2.56
July2007-3.52
August2007-0.04
September2007+0.59
October2007+0.96
November2007-2.76
Quotes UsedValue
Link on Quote FileSMI_20071102.csv
Quote File Used/local/java/TrendTimer/quote_data/SMI_20071102.csv
# of Quotes1992
File first date (dd.MM.yyyy)04.01.2000
File first quote7'268.10
File last date (dd.MM.yyyy)02.11.2007
File last quote8'770.39
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)01.06.2007
Max Quote value9'531.46
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 Signals10
Avg # op. by year1.75
# Days2060
# Days in years5.72
Biggest loose (Long only)-3.33
Min # days uninvested (before Buy Signal)67
Max # days uninvested (before Buy Signal)336
Min # days invested (before Sell Signal)20
Max # days invested (before Sell Signal)556
TechnicalValue
Program NameMyTrendTimer v0.99.97.19REF
Java Version1.6.0_02
OS NameLinux
OS Version2.6.22.9-91.fc7
User Namemarc
Calculation Time (Ms)1923
Tech Id338648783-130900
XML output fileSMI_20071102.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/SMI_20071102.xml
# Warnings found3
Generated on (dd.MM.yyyy HH:mm:ss)02.11.2007 18:03:12
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.
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