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MyTrendTimer : Standard and Poors 100 of December 13, 2006
Weekly Comment about this asset/index
Friday, the Labor Dept. showed that nonfarm payrolls rose 132K in November (consensus 105K) while payrolls figures for October and September were upwardly revised to account for a net gain of 42K new jobs. With investors concerned about the pace of economic growth, continued payroll gains will keep consumer spending rising at a decent clip, especially as there is also moderate wage growth. Hourly earnings rose just 0.2%, below the 0.3% economists were anticipating. The dollar fell against the euro on Friday after a mixed U.S. employment report left investors with little conviction about the outlook for benchmark interest rates. The dollar steadied on Monday, giving back some of last week's gains made after solid U.S. jobs data helped to ease concerns that the Federal Reserve may need to cut interest rates early next year. The U.S. trade deficit in October narrowed by the biggest amount in nearly five years, as oil import prices plunged for a second consecutive month and exports edged up to a new record, a Commerce Department report showed on Tuesday. The Federal Reserve Tuesday held interest rates steady for the fourth straight meeting - a widely expected move that comes as investors speculate about when the nation's central bank will begin to cut rates. But the Fed also noted there had been a "substantial" cooling in the housing market, a possible sign the Fed may be concerned about the state of the economy. Stocks recovered some of their losses after the Fed's announcement while bonds moved higher. Oil prices were steady near $61 a barrel on Wednesday after hitting a two-week low amid disagreement among OPEC members over whether to cut output. The dollar stayed weak against the euro on Wednesday after the Federal Reserve kept rates steady as widely expected and emphasised a slowdown in the housing sector, stirring anticipation that its next move could be to cut rates. On Wednesday, a report demonstrated that retail sales experienced a strong surge in the important holiday shopping month of November as shoppers flocked to malls in search of juicy deals on clothes, toys and electronics. The Commerce Department reported that overall retail sales jumped a much stronger-than-expected 1 percent last month, compared with a revised 0.4 percent decline in the prior month. Retail sales last month were originally reported to have slipped 0.2 percent in October.
Financial InstrumentValue
Instrument NameStandard and Poors 100
SymbolOEX
CurrencyUSD
Underlying instrumentiShares SP 100 Index (OEF)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strenght2.1
Date (dd.MM.yyyy)13.12.2006
Generated Operations Chart
A chart of Standard and Poors 100 OEX dated December 13, 2006 to backtest the trend timer model buy and sell signals
Generated Operations
NatureDate (dd.MM.yyyy)# Days previous op.QuoteResult previous op.
Buy30.04.2003000465.53+0.00
Sell19.07.2004446536.29+15.20
Buy10.11.2004114555.54+3.59
Sell21.04.2005161554.67-0.16
Buy03.06.2005043565.30+1.92
Sell05.10.2005124556.70-1.52
Buy23.11.2005049582.01+4.55
Sell14.06.2006202563.94-3.10
Buy08.08.2006055586.13+3.93
Out12.12.2006126654.21+11.62
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-17.06
Model Buy and Hold+40.53
Model Long Only+22.50
Model Short Only-14.72
Model Long and Short+4.47
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.65
Model Buy and Hold+11.05
Model Long Only+6.14
Model Short Only-4.01
Model Long and Short+1.22
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold-4.92
Model Short vs Model Buy and Hold-15.07
Model Long and Short vs Model Buy and Hold-9.83
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+10.79
Model Short vs Buy and Hold+0.64
Model Long and Short vs Buy and Hold+5.87
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote650.50
Variance10.60
Standard Deviation3.26
Lowest quote642.46
Highest quote654.21
Median648.34
Max Daily Loose percent-1.25
Max Daily Gain percent0.81
Simple Perf.1.48
Last 5 quotes StatisticsValue
Mean quote652.98
Variance2.18
Standard Deviation1.48
Lowest quote650.52
Highest quote654.21
Median652.36
Max Daily Loose percent-0.33
Max Daily Gain percent0.30
Simple Perf.0.02
Previous year StatisticsValue
Mean quote566.26
Variance80.53
Standard Deviation8.97
Lowest quote543.60
Highest quote584.43
Median564.02
Max Daily Loose percent-1.50
Max Daily Gain percent2.04
Simple Perf.-0.92
First quote575.29
Last quote570.00
Current year StatisticsValue
Mean quote598.63
Variance632.63
Standard Deviation25.15
Lowest quote560.70
Highest quote654.21
Median607.46
Max Daily Loose percent-1.89
Max Daily Gain percent1.98
Simple Perf.14.77
First quote570.00
Last quote654.21
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-3.537-0.50
February-13.027-1.86
March+3.287+0.47
April+1.127+0.16
May+1.097+0.16
June-4.517-0.64
July-5.947-0.85
August+0.337+0.05
September-23.807-3.40
October+19.637+2.80
November+14.407+2.06
December-0.387-0.05
TWR Return by Year for this asset
YearTWR Return.
2000-12.97
2001-14.88
2002-23.88
2003+23.84
2004+4.45
2005-0.92
2006+14.77
Year 2000 to 2003 Monthly performance
MonthYearPerformance
January2000-4.38
February2000-2.07
March2000+11.66
April2000-5.26
May2000-2.54
June2000+3.77
July2000-0.96
August2000+5.72
September2000-8.17
October2000-1.17
November2000-7.14
December2000-1.55
January2001+4.19
February2001-10.42
March2001-7.66
April2001+9.10
May2001+0.12
June2001-2.23
July2001-1.53
August2001-7.19
September2001-7.67
October2001+2.13
November2001+7.42
December2001-0.09
January2002-1.85
February2002-1.93
March2002+2.75
April2002-7.87
May2002-0.60
June2002-7.38
July2002-6.38
August2002+0.42
September2002-11.62
October2002+10.79
November2002+6.13
December2002-7.12
January2003-2.74
February2003-1.67
March2003+0.89
April2003+8.48
May2003+3.80
June2003+1.49
July2003+1.81
August2003+0.82
September2003-0.95
October2003+4.30
November2003+0.15
December2003+5.77
Year 2004 to 200n Monthly performance
MonthYearPerformance
January2004+1.73
February2004+0.75
March2004-2.38
April2004-1.86
May2004+0.79
June2004+1.60
July2004-2.92
August2004+0.20
September2004-0.73
October2004+1.08
November2004+3.11
December2004+3.20
January2005-1.81
February2005+1.69
March2005-2.18
April2005-1.62
May2005+2.15
June2005-1.16
July2005+2.61
August2005-1.43
September2005+0.42
October2005-1.77
November2005+3.20
December2005-0.79
January2006+1.54
February2006+0.35
March2006+1.19
April2006+1.38
May2006-2.47
June2006-0.28
July2006+1.58
August2006+2.26
September2006+2.99
October2006+3.31
November2006+1.42
December2006+0.70
Quotes UsedValue
Quote File UsedSP100_20061213.csv
# of Quotes1734
File first date (dd.MM.yyyy)03.01.2000
File first quote788.79
File last date (dd.MM.yyyy)12.12.2006
File last quote654.21
First data considered (dd.MM.yyyy)22.05.2000
First data considered748.04
Min. Quote date (dd.MM.yyyy)09.10.2002
Min. Quote value392.69
Max Quote date (dd.MM.yyyy)24.03.2000
Max Quote value833.26
Max daily drop date (dd.MM.yyyy)17.09.2001
Max Daily Drop percent-5.28
Max daily gain date (dd.MM.yyyy)24.07.2002
Max daily Gain percent5.86
Operations StatisticsValue
# Generated operations10
Avg # op. by year2.73
# Days1320
# Days in years3.67
Biggest loose (Long only)-3.10
Min # days uninvested (before Buy operation)43
Max # days uninvested (before Buy operation)114
Min # days invested (before Sell operation)124
Max # days invested (before Sell operation)446
TechnicalValue
Program NameMyTrendTimer v0.99.87
Java Version1.6.0-rc
OS NameLinux
OS Version2.6.18-1.2849.fc6
User Namemarc
Calculation Time (Ms)822
Tech Id652505536-150970
XML output fileSP100_20061213.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/SP100_20061213.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)13.12.2006 20:48:38
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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