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| March 19th, Bearish Trend (Sell Signal) |
| None for now. |
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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 Instrument | Value |
| Instrument Name | Standard and Poors 100 |
| Symbol | OEX |
| Currency | USD |
| Underlying instrument | iShares SP 100 Index (OEF) |
|
| Trend/Signal | Value |
| Current Trend/Signal |
Bullish (last signal was a Buy)
|
| Strenght | 2.1 |
| Date (dd.MM.yyyy) | 13.12.2006 |
|
| Generated Operations Chart |
 |
|
| Generated Operations |
| Nature | Date (dd.MM.yyyy) | # Days previous op. | Quote | Result previous op. |
| Buy | 30.04.2003 | 000 | 465.53 | +0.00 |
| Sell | 19.07.2004 | 446 | 536.29 | +15.20 |
| Buy | 10.11.2004 | 114 | 555.54 | +3.59 |
| Sell | 21.04.2005 | 161 | 554.67 | -0.16 |
| Buy | 03.06.2005 | 043 | 565.30 | +1.92 |
| Sell | 05.10.2005 | 124 | 556.70 | -1.52 |
| Buy | 23.11.2005 | 049 | 582.01 | +4.55 |
| Sell | 14.06.2006 | 202 | 563.94 | -3.10 |
| Buy | 08.08.2006 | 055 | 586.13 | +3.93 |
| Out | 12.12.2006 | 126 | 654.21 | +11.62 |
|
| Return and result of the differents strategies |
| Time Weighted Return of | Value (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 of | Value (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 Hold | Value (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 Hold | Value (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 Statistics | Value |
| Mean quote | 650.50 |
| Variance | 10.60 |
| Standard Deviation | 3.26 |
| Lowest quote | 642.46 |
| Highest quote | 654.21 |
| Median | 648.34 |
| Max Daily Loose percent | -1.25 |
| Max Daily Gain percent | 0.81 |
| Simple Perf. | 1.48 |
|
| Last 5 quotes Statistics | Value |
| Mean quote | 652.98 |
| Variance | 2.18 |
| Standard Deviation | 1.48 |
| Lowest quote | 650.52 |
| Highest quote | 654.21 |
| Median | 652.36 |
| Max Daily Loose percent | -0.33 |
| Max Daily Gain percent | 0.30 |
| Simple Perf. | 0.02 |
|
| Previous year Statistics | Value |
| Mean quote | 566.26 |
| Variance | 80.53 |
| Standard Deviation | 8.97 |
| Lowest quote | 543.60 |
| Highest quote | 584.43 |
| Median | 564.02 |
| Max Daily Loose percent | -1.50 |
| Max Daily Gain percent | 2.04 |
| Simple Perf. | -0.92 |
| First quote | 575.29 |
| Last quote | 570.00 |
|
| Current year Statistics | Value |
| Mean quote | 598.63 |
| Variance | 632.63 |
| Standard Deviation | 25.15 |
| Lowest quote | 560.70 |
| Highest quote | 654.21 |
| Median | 607.46 |
| Max Daily Loose percent | -1.89 |
| Max Daily Gain percent | 1.98 |
| Simple Perf. | 14.77 |
| First quote | 570.00 |
| Last quote | 654.21 |
|
| Seasonal Return by Month for this asset |
| Month | Cumulated TWR Return. | #Month | Average TWR Return |
| January | -3.53 | 7 | -0.50 |
| February | -13.02 | 7 | -1.86 |
| March | +3.28 | 7 | +0.47 |
| April | +1.12 | 7 | +0.16 |
| May | +1.09 | 7 | +0.16 |
| June | -4.51 | 7 | -0.64 |
| July | -5.94 | 7 | -0.85 |
| August | +0.33 | 7 | +0.05 |
| September | -23.80 | 7 | -3.40 |
| October | +19.63 | 7 | +2.80 |
| November | +14.40 | 7 | +2.06 |
| December | -0.38 | 7 | -0.05 |
|
| TWR Return by Year for this asset |
| Year | TWR 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 |
| Month | Year | Performance |
| January | 2000 | -4.38 |
| February | 2000 | -2.07 |
| March | 2000 | +11.66 |
| April | 2000 | -5.26 |
| May | 2000 | -2.54 |
| June | 2000 | +3.77 |
| July | 2000 | -0.96 |
| August | 2000 | +5.72 |
| September | 2000 | -8.17 |
| October | 2000 | -1.17 |
| November | 2000 | -7.14 |
| December | 2000 | -1.55 |
| January | 2001 | +4.19 |
| February | 2001 | -10.42 |
| March | 2001 | -7.66 |
| April | 2001 | +9.10 |
| May | 2001 | +0.12 |
| June | 2001 | -2.23 |
| July | 2001 | -1.53 |
| August | 2001 | -7.19 |
| September | 2001 | -7.67 |
| October | 2001 | +2.13 |
| November | 2001 | +7.42 |
| December | 2001 | -0.09 |
| January | 2002 | -1.85 |
| February | 2002 | -1.93 |
| March | 2002 | +2.75 |
| April | 2002 | -7.87 |
| May | 2002 | -0.60 |
| June | 2002 | -7.38 |
| July | 2002 | -6.38 |
| August | 2002 | +0.42 |
| September | 2002 | -11.62 |
| October | 2002 | +10.79 |
| November | 2002 | +6.13 |
| December | 2002 | -7.12 |
| January | 2003 | -2.74 |
| February | 2003 | -1.67 |
| March | 2003 | +0.89 |
| April | 2003 | +8.48 |
| May | 2003 | +3.80 |
| June | 2003 | +1.49 |
| July | 2003 | +1.81 |
| August | 2003 | +0.82 |
| September | 2003 | -0.95 |
| October | 2003 | +4.30 |
| November | 2003 | +0.15 |
| December | 2003 | +5.77 |
|
| Year 2004 to 200n Monthly performance |
| Month | Year | Performance |
| January | 2004 | +1.73 |
| February | 2004 | +0.75 |
| March | 2004 | -2.38 |
| April | 2004 | -1.86 |
| May | 2004 | +0.79 |
| June | 2004 | +1.60 |
| July | 2004 | -2.92 |
| August | 2004 | +0.20 |
| September | 2004 | -0.73 |
| October | 2004 | +1.08 |
| November | 2004 | +3.11 |
| December | 2004 | +3.20 |
| January | 2005 | -1.81 |
| February | 2005 | +1.69 |
| March | 2005 | -2.18 |
| April | 2005 | -1.62 |
| May | 2005 | +2.15 |
| June | 2005 | -1.16 |
| July | 2005 | +2.61 |
| August | 2005 | -1.43 |
| September | 2005 | +0.42 |
| October | 2005 | -1.77 |
| November | 2005 | +3.20 |
| December | 2005 | -0.79 |
| January | 2006 | +1.54 |
| February | 2006 | +0.35 |
| March | 2006 | +1.19 |
| April | 2006 | +1.38 |
| May | 2006 | -2.47 |
| June | 2006 | -0.28 |
| July | 2006 | +1.58 |
| August | 2006 | +2.26 |
| September | 2006 | +2.99 |
| October | 2006 | +3.31 |
| November | 2006 | +1.42 |
| December | 2006 | +0.70 |
|
| Quotes Used | Value |
| Quote File Used | SP100_20061213.csv |
| # of Quotes | 1734 |
| File first date (dd.MM.yyyy) | 03.01.2000 |
| File first quote | 788.79 |
| File last date (dd.MM.yyyy) | 12.12.2006 |
| File last quote | 654.21 |
| First data considered (dd.MM.yyyy) | 22.05.2000 |
| First data considered | 748.04 |
| Min. Quote date (dd.MM.yyyy) | 09.10.2002 |
| Min. Quote value | 392.69 |
| Max Quote date (dd.MM.yyyy) | 24.03.2000 |
| Max Quote value | 833.26 |
| 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 percent | 5.86 |
|
| Operations Statistics | Value |
| # Generated operations | 10 |
| Avg # op. by year | 2.73 |
| # Days | 1320 |
| # Days in years | 3.67 |
| 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 |
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| 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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