MyTrendTimer Financial Market Trend Timing SMI

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 Instrument	Value
Asset Name	Swiss Market Index
Symbol	SSMI
Currency	CHF
Underlying instrument	XMTCH on SMI (XMSMI)

Trend/Signal	Value
Current Trend/Signal	Bullish (last signal was a Buy)
Strength	3.8
Date	August 10, 2009

Generated Signals Chart

Generated Signals
Nature	Date (dd.MM.yyyy)	# Days previous op.	Quote	Result previous op.
Buy	11.03.2002	000	6'496.60	+0.00
Sell	11.06.2002	091	6'330.30	-2.56
Buy	13.05.2003	336	4'538.60	-28.30
Sell	02.07.2004	416	5'606.80	+23.54
Buy	15.11.2004	136	5'674.30	+1.20
Sell	26.05.2006	556	7'679.47	+35.34
Buy	01.08.2006	067	7'944.10	+3.45
Sell	25.07.2007	358	8'922.71	+12.32
Buy	12.10.2007	079	9'197.48	+3.08
Sell	01.11.2007	020	8'891.47	-3.33
Buy	20.05.2009	565	5'509.27	-38.04
Info : Current	10.08.2009	082	6'007.55	+9.04

Return and result of the differents strategies

Time Weighted Return of	Value (over the Period)
Buy and Hold	-17.34
Model Buy and Hold	-7.53
Model Long Only	+92.89
Model Short Only	+52.06
Model Long and Short	+193.31

Time Weighted Return of	Value (Annualized)
Buy and Hold	-2.31
Model Buy and Hold	-1.00
Model Long Only	+12.36
Model Short Only	+6.93
Model Long and Short	+25.72

Model OverPerf vs Model Buy and Hold	Value (Annualized)
Model Long vs Model Buy and Hold	+13.36
Model Short vs Model Buy and Hold	+7.93
Model Long and Short vs Model Buy and Hold	+26.72

Model OverPerf vs Buy and Hold	Value (Annualized)
Model Long vs Buy and Hold	+14.67
Model Short vs Buy and Hold	+9.23
Model Long and Short vs Buy and Hold	+28.02

Various statistical indicators for this asset

Last 20 quotes Statistics	Value
Mean quote	5'749.68
Standard Deviation	212.05
Lowest quote	5'315.29
Highest quote	6'026.40
Median	5'670.84
Max Daily Loose percent	-0.47
Max Daily Gain percent	2.51
Simple Perf.	13.02

Last 5 quotes Statistics	Value
Mean quote	5'970.19
Standard Deviation	42.16
Lowest quote	5'911.91
Highest quote	6'026.40
Median	5'969.16
Max Daily Loose percent	-0.47
Max Daily Gain percent	0.98
Simple Perf.	0.67

Previous year Statistics	Value
Mean quote	6'939.73
Standard Deviation	751.71
Lowest quote	5'135.55
Highest quote	8'484.46
Median	6'810.00
Max Daily Loose percent	-6.60
Max Daily Gain percent	7.96
Simple Perf.	-34.77
First quote	8'484.46
Last quote	5'534.53

Current year Statistics	Value
Mean quote	5'255.97
Standard Deviation	358.95
Lowest quote	4'307.67
Highest quote	6'026.40
Median	5'167.04
Max Daily Loose percent	-5.38
Max Daily Gain percent	4.76
Simple Perf.	8.55
First quote	5'534.53
Last quote	6'007.55

Seasonal Return by Month for this asset
Month	Cumulated TWR Return.	#Month	Average TWR Return
January	-14.49	10	-1.45
February	-19.50	10	-1.95
March	+4.58	10	+0.46
April	+32.68	10	+3.27
May	+7.27	10	+0.73
June	-14.43	10	-1.44
July	+5.66	10	+0.57
August	+1.58	10	+0.16
September	-21.45	9	-2.38
October	+6.26	9	+0.70
November	+5.99	9	+0.67
December	-0.71	9	-0.08

TWR Return by Year for this asset
Year	TWR 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	-34.77
2009	+8.55

Year 2006 to 2007 Monthly performance
Month	Year	Performance
January	2006	+2.99
February	2006	+1.05
March	2006	+1.66
April	2006	+0.30
May	2006	-5.50
June	2006	+0.63
July	2006	+3.79
August	2006	+2.85
September	2006	+3.16
October	2006	+1.71
November	2006	-0.99
December	2006	+3.55
January	2007	+3.98
February	2007	-3.78
March	2007	+2.13
April	2007	+5.03
May	2007	+0.24
June	2007	-2.56
July	2007	-3.52
August	2007	-0.04
September	2007	+0.59
October	2007	+0.96
November	2007	-2.12
December	2007	-3.90

Year 2008 to 200n Monthly performance
Month	Year	Performance
January	2008	-9.59
February	2008	-1.78
March	2008	-4.11
April	2008	+4.22
May	2008	-0.24
June	2008	-7.36
July	2008	+2.57
August	2008	+1.42
September	2008	-8.07
October	2008	-7.54
November	2008	-5.47
December	2008	-4.85
January	2009	-4.42
February	2009	-11.33
March	2009	+5.05
April	2009	+6.06
May	2009	+2.37
June	2009	+1.01
July	2009	+10.12
August	2009	+0.96

Quotes Used	Value
Link on Quote File	SMI_20090810.csv
Quote File Used	/local/java/TrendTimer/quote_data/SMI_20090810.csv
# of Quotes	2423
File first date (dd.MM.yyyy)	04.01.2000
File first quote	7'268.10
File last date (dd.MM.yyyy)	10.08.2009
File last quote	6'007.55
First data considered (dd.MM.yyyy)	12.05.2000
First data considered	7'736.70
Min. Quote date (dd.MM.yyyy)	12.03.2003
Min. Quote value	3'675.40
Max Quote date (dd.MM.yyyy)	01.06.2007
Max Quote value	9'531.46
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 percent	7.96

Signals Statistics	Value
# Generated Signals	11
Avg # op. by year	1.46
# Days	2706
# Days in years	7.52
Biggest loose (Long only)	-3.33
Min # days uninvested (before Buy Signal)	67
Max # days uninvested (before Buy Signal)	565
Min # days invested (before Sell Signal)	20
Max # days invested (before Sell Signal)	556

Technical	Value
Program Name	MyTrendTimer v0.99.98.2
Java Version	1.6.0_0
OS Name	Linux
OS Version	2.6.27.9-159.fc10.i686
User Name	marc
Calculation Time (Ms)	376
Tech Id	395777609-130900
XML output file	SMI_20090810.xml
Web Root	http://www.MyTrendTimer.com/
Complete Xml URL	http://www.MyTrendTimer.com/xml/SMI_20090810.xml
# Warnings found	2
Generated on (dd.MM.yyyy HH:mm:ss)	10.08.2009 20:30:43

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.