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MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
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December 3rd, Bullish Trend (Buy Signal)
USD to CHF
Swiss Market Index SMI
December 3rd, Bearish Trend (Sell Signal)
NASDAQ Composite
Standard and Poors 500
Standard and Poors 100
Dow Jones Industrial
 
Older reports
 
November 27th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
November 19th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
 
Archived reports
 
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MyTrendTimer : Swiss Market Index analysis of February 13, 2018
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-0.2
DateFebruary 12, 2018
Generated Signals Chart
A chart of Swiss Market Index SSMI dated February 12, 2018 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
Sell07.08.20147638'306.75+33.93
Buy26.08.20140198'673.29+4.41
Sell16.10.20140518'057.54-7.10
Buy04.11.20140198'718.02+8.20
Sell21.01.20150788'008.55-8.14
Buy26.02.20150369'049.49+13.00
Sell30.06.20151238'780.91-2.97
Buy16.07.20150169'458.96+7.72
Sell27.08.20150428'776.75-7.21
Buy30.11.20150958'993.10+2.47
Sell08.12.20150088'701.20-3.25
Buy22.07.20162268'194.73-5.82
Sell21.10.20160918'034.86-1.95
Buy21.12.20160618'233.45+2.47
Sell09.02.20184158'672.80+5.34
Info : Current12.02.20180038'822.18+1.72
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+21.38
Model Buy and Hold+35.80
Model Long Only+91.41
Model Short Only+29.05
Model Long and Short+147.02
Time Weighted Return ofValue (Annualized)
Buy and Hold+1.32
Model Buy and Hold+2.22
Model Long Only+5.66
Model Short Only+1.80
Model Long and Short+9.11
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+3.45
Model Short vs Model Buy and Hold-0.42
Model Long and Short vs Model Buy and Hold+6.89
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+4.34
Model Short vs Buy and Hold+0.48
Model Long and Short vs Buy and Hold+7.79
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote9'286.23
Standard Deviation289.93
Lowest quote8'672.80
Highest quote9'551.58
Median9'112.19
Max Daily Loose percent-2.36
Max Daily Gain percent1.72
Simple Perf.-7.50
Last 5 quotes StatisticsValue
Mean quote8'873.83
Standard Deviation153.74
Lowest quote8'672.80
Highest quote9'100.39
Median8'886.59
Max Daily Loose percent-2.36
Max Daily Gain percent1.72
Simple Perf.-3.06
Previous year StatisticsValue
Mean quote8'912.06
Standard Deviation316.17
Lowest quote8'219.87
Highest quote9'452.32
Median8'836.10
Max Daily Loose percent-1.50
Max Daily Gain percent1.84
Simple Perf.14.14
First quote8'219.87
Last quote9'381.87
Current year StatisticsValue
Mean quote9'355.56
Standard Deviation265.85
Lowest quote8'672.80
Highest quote9'611.61
Median9'142.21
Max Daily Loose percent-2.36
Max Daily Gain percent1.72
Simple Perf.-5.97
First quote9'381.87
Last quote8'822.18
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-18.3719-0.97
February-8.2819-0.44
March+10.2118+0.57
April+34.4718+1.92
May+8.8018+0.49
June-29.4318-1.64
July+17.5018+0.97
August-5.0418-0.28
September-14.0618-0.78
October+19.5118+1.08
November+11.3718+0.63
December+11.6518+0.65
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+14.93
2013+20.24
2014+9.51
2015-1.84
2016-6.78
2017+14.14
2018-5.97
Year 2014 to 2015 Monthly performance
MonthYearPerformance
January2014-0.14
February2014+3.47
March2014-0.25
April2014+0.27
May2014+2.32
June2014-1.37
July2014-1.69
August2014+2.96
September2014+2.03
October2014+0.03
November2014+3.54
December2014-1.83
January2015-6.66
February2015+7.51
March2015+1.27
April2015-0.57
May2015+1.77
June2015-4.95
July2015+7.37
August2015-6.40
September2015-3.53
October2015+4.99
November2015+0.61
December2015-1.95
Year 2016 to 201n Monthly performance
MonthYearPerformance
January2016-5.65
February2016-5.72
March2016-0.46
April2016+1.96
May2016+3.21
June2016-3.05
July2016+2.02
August2016+0.92
September2016-0.77
October2016-3.82
November2016+0.61
December2016+4.38
January2017+0.87
February2017+3.06
March2017+1.32
April2017+1.78
May2017+2.31
June2017-1.22
July2017+1.66
August2017-1.43
September2017+2.60
October2017+0.93
November2017+0.83
December2017+0.68
January2018-0.50
February2018-5.50
Quotes UsedValue
Link on Quote FileSMI_20180212.csv
Quote File Used/local/java/TrendTimer/quote_data/SMI_20180212.csv
# of Quotes4533
File first date (dd.MM.yyyy)04.01.2000
File first quote7'268.10
File last date (dd.MM.yyyy)12.02.2018
File last quote8'822.18
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)09.01.2018
Max Quote value9'611.61
Max daily drop date (dd.MM.yyyy)15.01.2015
Max Daily Drop percent-8.67
Max daily gain date (dd.MM.yyyy)13.10.2008
Max daily Gain percent7.96
Signals StatisticsValue
# Generated Signals36
Avg # op. by year2.23
# Days5810
# Days in years16.14
Biggest loose (Long only)-8.14
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)763
TechnicalValue
Program NameMyTrendTimer v0.99.98.3
Java Version1.8.0_161
OS NameLinux
OS Version4.14.5-200.fc26.x86_64
User Namemarc
Calculation Time (Ms)179
Tech Id190608740-130900
XML output fileSMI_20180212.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/SMI_20180212.xml
# Warnings found11
Generated on (dd.MM.yyyy HH:mm:ss)13.02.2018 08:53:11
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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