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MyTrendTimer Financial Market Trend Timing report

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December 10th, Bullish Trend (Buy Signal)
USD to CHF
December 10th, Bearish Trend (Sell Signal)
NASDAQ Composite
Standard and Poors 500
Standard and Poors 100
Dow Jones Industrial
Swiss Market Index SMI
 
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December 3rd, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
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NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
 
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MyTrendTimer : Swiss Market Index analysis of November 4, 2008
Description of this asset/index
The Swiss Market Index (SMI) is Switzerland's blue-chip stock market index, which makes it the most important in the country. It is made up of twenty of the largest and most liquid SPI large- and mid-cap stocks. As a price index, the SMI is not adjusted for dividends, but a performance index that takes account of such distributions is available (the SMIC - SMI Cum Dividend). The SMI was introduced on 30 June 1988 at a baseline value of 1500 points. Its composition is examined once a year. Calculation takes place in real-time: as soon as a new transaction occurs in a security contained in the SMI, an updated index level is calculated and displayed. The securities contained in the SMI currently represent more than 90% of the entire market capitalisation, as well as of 90% trading volume, of all Swiss and Liechtenstein equities listed on the SWX Swiss Exchange. Because the SMI is considered to be a mirror of the overall Swiss stock market, it is used as the underlying index for numerous derivative financial instruments such as options, futures and index funds (e.g. ETFs).
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-7.4
DateNovember 4, 2008
Generated Signals Chart
A chart of Swiss Market Index SSMI dated November 4, 2008 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 : Current04.11.20083696'399.98-28.02
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-11.94
Model Buy and Hold-1.49
Model Long Only+76.89
Model Short Only+44.31
Model Long and Short+155.27
Time Weighted Return ofValue (Annualized)
Buy and Hold-1.77
Model Buy and Hold-0.22
Model Long Only+11.40
Model Short Only+6.57
Model Long and Short+23.02
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+11.62
Model Short vs Model Buy and Hold+6.79
Model Long and Short vs Model Buy and Hold+23.24
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+13.17
Model Short vs Buy and Hold+8.34
Model Long and Short vs Buy and Hold+24.79
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote5'959.19
Standard Deviation280.31
Lowest quote5'484.20
Highest quote6'427.76
Median5'955.98
Max Daily Loose percent-5.58
Max Daily Gain percent7.96
Simple Perf.-0.43
Last 5 quotes StatisticsValue
Mean quote5'999.90
Standard Deviation318.79
Lowest quote5'538.54
Highest quote6'399.98
Median5'969.26
Max Daily Loose percent-1.49
Max Daily Gain percent6.21
Simple Perf.15.55
Previous year StatisticsValue
Mean quote8'996.37
Standard Deviation296.04
Lowest quote8'125.42
Highest quote9'531.46
Median8'828.44
Max Daily Loose percent-3.40
Max Daily Gain percent2.63
Simple Perf.-3.43
First quote8'785.74
Last quote8'484.46
Current year StatisticsValue
Mean quote7'172.37
Standard Deviation547.61
Lowest quote5'484.20
Highest quote8'484.46
Median6'984.33
Max Daily Loose percent-6.60
Max Daily Gain percent7.96
Simple Perf.-24.57
First quote8'484.46
Last quote6'399.98
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-10.549-1.17
February-9.219-1.02
March-0.459-0.05
April+25.109+2.79
May+4.799+0.53
June-15.299-1.70
July-4.059-0.45
August+0.629+0.07
September-21.459-2.38
October+6.269+0.70
November+16.629+1.85
December+4.358+0.54
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
2007-3.43
2008-24.57
Year 2005 to 2006 Monthly performance
MonthYearPerformance
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+3.55
Year 2007 to 200n Monthly performance
MonthYearPerformance
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
November2007-2.12
December2007-3.90
January2008-9.59
February2008-1.78
March2008-4.11
April2008+4.22
May2008-0.24
June2008-7.36
July2008+2.57
August2008+1.42
September2008-8.07
October2008-7.54
November2008+4.01
Quotes UsedValue
Link on Quote FileSMI_20081104.csv
Quote File Used/local/java/TrendTimer/quote_data/SMI_20081104.csv
# of Quotes2235
File first date (dd.MM.yyyy)04.01.2000
File first quote7'268.10
File last date (dd.MM.yyyy)04.11.2008
File last quote6'399.98
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)13.10.2008
Max daily Gain percent7.96
Signals StatisticsValue
# Generated Signals10
Avg # op. by year1.48
# Days2428
# Days in years6.74
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 v0.99.98.1
Java Version1.7.0
OS NameLinux
OS Version2.6.25.11-60.fc8PAE
User Namemarc
Calculation Time (Ms)256
Tech Id184172625-130900
XML output fileSMI_20081104.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/SMI_20081104.xml
# Warnings found3
Generated on (dd.MM.yyyy HH:mm:ss)04.11.2008 18:02:57
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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