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MyTrendTimer : Standard and Poors 100 of December 29, 2006
Weekly Comment about this asset/index
The US Commerce Dept. showed that the U.S. economy grew at a slower pace (2.0%) than previously estimated (2.2%), marking the weakest quarter since Q4 of last year when the economy expanded at a 1.8% annual rate. Fortunately for the bulls, the dated nature of the report and the forward-thinking of the market have so far left investors more interested in the current strength of the economy and a focus on forecasts for 2007. Diplomatic efforts to persuade North Korea to scrap its nuclear weapons ended with no deal on Friday after a week of six-party talks, Interfax news agency reported, quoting a source close to the Russian delegation. Oil prices hovered below $63 a barrel on Friday after falling from a three-month high in the previous session on unusually warm weather in the United States Northeast. Major gauges decline after regional manufacturing index posts surprise drop, GDP growth slower than expected. U.S. stocks extended losses in thin trading on Friday as investors, concerned about the economy following several weak data points throughout the week, locked in profits ahead of the Christmas holiday weekend. Homebuilding, one of the most battered sectors of the U.S. economy in recent months, showed surprising strength in November, according to a government report Wednesday. New homes sold at an annual pace of 1.05 million, up from the revised annual rate of 1.01 million in October. Economists surveyed by Briefing.com had forecast that home sales would rebound to a 1.02 million pace. Stocks rallied Wednesday, with the Dow Jones industrial average closing above 12,500 for the first time, on falling oil prices, a surprisingly bullish report on home sales and a fresh burst of end-of-year buying. Treasury bond prices slumped, boosting yields, while the dollar fell. Oil dipped and gold surged. Since bottoming in mid-July, stocks have been on a tear. Year-to-date, the Dow is up nearly 16 percent as of Tuesday's close, the Nasdaq is up 9.4 percent and the SP 500 is up 13.5 percent. The dollar steadied against the euro and yen after a series of surprisingly strong U.S. data painted a more robust picture of the economy. Friday, the last trading day of 2006, the oil held above $60 a barrel after rising on a steeper-than-expected fall in U.S. crude stocks. 2006 is set to become the fourth year in a row that the SP 500 and Nasdaq composite have posted gains. For the Dow, it will be the third of four years, after the blue-chip average saw a slight decline in 2005.
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)29.12.2006
Generated Operations Chart
A chart of Standard and Poors 100 OEX dated December 29, 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
Out28.12.2006142663.64+13.22
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-15.87
Model Buy and Hold+42.56
Model Long Only+24.27
Model Short Only-14.72
Model Long and Short+5.98
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.28
Model Buy and Hold+11.47
Model Long Only+6.54
Model Short Only-3.97
Model Long and Short+1.61
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold-4.93
Model Short vs Model Buy and Hold-15.43
Model Long and Short vs Model Buy and Hold-9.86
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+10.81
Model Short vs Buy and Hold+0.31
Model Long and Short vs Buy and Hold+5.89
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote656.01
Variance35.47
Standard Deviation5.96
Lowest quote644.92
Highest quote664.42
Median654.67
Max Daily Loose percent-0.58
Max Daily Gain percent1.25
Simple Perf.2.90
Last 5 quotes StatisticsValue
Mean quote661.76
Variance9.84
Standard Deviation3.14
Lowest quote656.21
Highest quote664.42
Median660.32
Max Daily Loose percent-0.58
Max Daily Gain percent1.25
Simple Perf.-0.03
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 quote601.13
Variance759.13
Standard Deviation27.55
Lowest quote560.70
Highest quote664.42
Median612.56
Max Daily Loose percent-1.89
Max Daily Gain percent1.98
Simple Perf.16.43
First quote570.00
Last quote663.64
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+1.057+0.15
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+16.43
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+2.16
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/SP100_20061229.csv
# of Quotes1744
File first date (dd.MM.yyyy)03.01.2000
File first quote788.79
File last date (dd.MM.yyyy)28.12.2006
File last quote663.64
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 year2.69
# Days1336
# Days in years3.71
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 v0.99.88.3
Java Version1.6.0-rc
OS NameLinux
OS Version2.6.18-1.2849.fc6
User Namemarc
Calculation Time (Ms)681
Tech Id934003128-150970
XML output fileSP100_20061229.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/SP100_20061229.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)29.12.2006 18:38:59
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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