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MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
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November 12th, Bullish Trend (Buy Signal)
Swiss Market Index SMI
Dow Jones Industrial
Standard and Poors 100
USD to CHF
November 12th, Bearish Trend (Sell Signal)
NASDAQ Composite
Standard and Poors 500
 
Older reports
 
November 6th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
October 29th, 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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MyTrendTimer : Swiss Market Index analysis of February 15, 2010
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 Bullish (last signal was a Buy)
Strength1.1
DateFebruary 15, 2010
Generated Signals Chart
A chart of Swiss Market Index SSMI dated February 15, 2010 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
Buy20.05.20095655'509.27-38.04
Info : Current15.02.20102716'440.76+16.91
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-11.38
Model Buy and Hold-0.86
Model Long Only+106.80
Model Short Only+52.06
Model Long and Short+214.46
Time Weighted Return ofValue (Annualized)
Buy and Hold-1.42
Model Buy and Hold-0.11
Model Long Only+13.28
Model Short Only+6.47
Model Long and Short+26.67
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+13.39
Model Short vs Model Buy and Hold+6.58
Model Long and Short vs Model Buy and Hold+26.78
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+14.70
Model Short vs Buy and Hold+7.89
Model Long and Short vs Buy and Hold+28.08
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote6'460.75
Standard Deviation100.91
Lowest quote6'264.33
Highest quote6'633.86
Median6'449.09
Max Daily Loose percent-2.40
Max Daily Gain percent1.38
Simple Perf.-2.47
Last 5 quotes StatisticsValue
Mean quote6'371.00
Standard Deviation48.67
Lowest quote6'314.75
Highest quote6'440.76
Median6'377.75
Max Daily Loose percent-0.57
Max Daily Gain percent0.74
Simple Perf.1.41
Previous year StatisticsValue
Mean quote5'670.47
Standard Deviation590.33
Lowest quote4'307.67
Highest quote6'608.52
Median5'458.09
Max Daily Loose percent-5.38
Max Daily Gain percent4.76
Simple Perf.18.27
First quote5'534.53
Last quote6'545.91
Current year StatisticsValue
Mean quote6'501.79
Standard Deviation101.17
Lowest quote6'264.33
Highest quote6'633.86
Median6'449.09
Max Daily Loose percent-2.40
Max Daily Gain percent1.38
Simple Perf.-1.61
First quote6'545.91
Last quote6'440.76
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-15.8611-1.44
February-19.5011-1.77
March+4.5810+0.46
April+32.6810+3.27
May+7.2710+0.73
June-14.4310-1.44
July+5.6610+0.57
August+5.1310+0.51
September-20.1110-2.01
October+5.6310+0.56
November+5.5710+0.56
December+3.8110+0.38
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
2008-34.77
2009+18.27
2010-1.61
Year 2006 to 2007 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
November2007-2.12
December2007-3.90
Year 2008 to 200n Monthly performance
MonthYearPerformance
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
November2008-5.47
December2008-4.85
January2009-4.42
February2009-11.33
March2009+5.05
April2009+6.06
May2009+2.37
June2009+1.01
July2009+10.12
August2009+4.48
September2009+1.71
October2009-0.59
November2009-0.39
December2009+4.55
January2010-1.61
February2010+0.00
Quotes UsedValue
Link on Quote FileSMI_20100215.csv
Quote File Used/local/java/TrendTimer/quote_data/SMI_20100215.csv
# of Quotes2554
File first date (dd.MM.yyyy)04.01.2000
File first quote7'268.10
File last date (dd.MM.yyyy)15.02.2010
File last quote6'440.76
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 Signals11
Avg # op. by year1.37
# Days2895
# Days in years8.04
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
TechnicalValue
Program NameMyTrendTimer v0.99.98.2
Java Version1.6.0_0
OS NameLinux
OS Version2.6.31.5-127.fc12.i686
User Namemarc
Calculation Time (Ms)496
Tech Id356562409-130900
XML output fileSMI_20100215.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/SMI_20100215.xml
# Warnings found2
Generated on (dd.MM.yyyy HH:mm:ss)15.02.2010 19:54:43
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.
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