The MyTrendTimer Market Trend Timing Home Page Logo
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 analysis of November 5, 2012
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)
StrengthClose to zero !
DateNovember 5, 2012
Generated Signals Chart
A chart of Swiss Market Index SSMI dated November 5, 2012 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
Sell17.05.20103626 428,86+16,69
Buy21.09.20101276 420,40-0,13
Sell29.09.20100086 311,57-1,70
Buy13.10.20100146 455,13+2,27
Sell15.03.20111536 101,01-5,49
Buy12.05.20110576 562,59+7,57
Sell07.06.20110266 330,65-3,53
Buy22.12.20111985 837,06-7,80
Sell16.05.20121455 872,73+0,61
Buy05.07.20120506 202,32+5,61
Info : Current05.11.20121236 706,27+8,13
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-7,73
Model Buy and Hold+3,23
Model Long Only+101,26
Model Short Only+48,71
Model Long and Short+199,30
Time Weighted Return ofValue (Annualized)
Buy and Hold-0,72
Model Buy and Hold+0,30
Model Long Only+9,38
Model Short Only+4,51
Model Long and Short+18,46
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+9,08
Model Short vs Model Buy and Hold+4,21
Model Long and Short vs Model Buy and Hold+18,16
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+10,09
Model Short vs Buy and Hold+5,23
Model Long and Short vs Buy and Hold+19,17
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote6 673,88
Standard Deviation63,39
Lowest quote6 595,13
Highest quote6 786,40
Median6 690,76
Max Daily Loose percent-1,78
Max Daily Gain percent1,04
Simple Perf.0,76
Last 5 quotes StatisticsValue
Mean quote6 649,59
Standard Deviation48,09
Lowest quote6 595,13
Highest quote6 706,27
Median6 650,70
Max Daily Loose percent-0,57
Max Daily Gain percent0,99
Simple Perf.1,59
Previous year StatisticsValue
Mean quote6 044,28
Standard Deviation468,76
Lowest quote4 797,13
Highest quote6 717,25
Median5 757,19
Max Daily Loose percent-4,15
Max Daily Gain percent4,90
Simple Perf.-7,77
First quote6 436,04
Last quote5 936,23
Current year StatisticsValue
Mean quote6 240,84
Standard Deviation257,02
Lowest quote5 713,34
Highest quote6 786,40
Median6 249,87
Max Daily Loose percent-1,97
Max Daily Gain percent2,07
Simple Perf.12,97
First quote5 936,23
Last quote6 706,27
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-14,8713-1,14
February-12,3613-0,95
March+5,1313+0,39
April+28,4513+2,19
May-1,5713-0,12
June-18,7013-1,44
July+5,4313+0,42
August+0,0113+0,00
September-17,2113-1,32
October+14,2213+1,09
November+3,2513+0,25
December+11,1612+0,93
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
2010-1,68
2011-7,77
2012+12,97
Year 2007 to 2008 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
November2008-5,47
December2008-4,85
Year 2009 to 200n Monthly performance
MonthYearPerformance
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+4,20
March2010+2,42
April2010-3,73
May2010-4,60
June2010-2,92
July2010+1,19
August2010-0,32
September2010+1,87
October2010+2,79
November2010-2,47
December2010+1,96
January2011+0,67
February2011+2,03
March2011-3,83
April2011+2,87
May2011+0,23
June2011-5,63
July2011-6,51
August2011-4,41
September2011+0,06
October2011+3,61
November2011-1,38
December2011+5,02
January2012+0,51
February2012+2,41
March2012+2,06
April2012-2,23
May2012-4,04
June2012+3,70
July2012+5,48
August2012-0,16
September2012+1,67
October2012+1,53
November2012+1,69
Quotes UsedValue
Link on Quote FileSMI_20121105.csv
Quote File Used/local/java/TrendTimer/quote_data/SMI_20121105.csv
# of Quotes3224
File first date (dd.MM.yyyy)04.01.2000
File first quote7 268,10
File last date (dd.MM.yyyy)05.11.2012
File last quote6 706,27
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 Signals21
Avg # op. by year1,94
# Days3887
# Days in years10,80
Biggest loose (Long only)-5,49
Min # days uninvested (before Buy Signal)14
Max # days uninvested (before Buy Signal)565
Min # days invested (before Sell Signal)8
Max # days invested (before Sell Signal)556
TechnicalValue
Program NameMyTrendTimer v0.99.98.3
Java Version1.7.0_06-icedtea
OS NameLinux
OS Version3.3.4-5.fc17.i686
User Namemarc
Calculation Time (Ms)266
Tech Id397704394-130900
XML output fileSMI_20121105.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/SMI_20121105.xml
# Warnings found4
Generated on (dd.MM.yyyy HH:mm:ss)05.11.2012 18:57:51
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.
Valid HTML 4.01