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Standard and Poors 500
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MyTrendTimer : Standard and Poors 100 of February 14, 2007
Weekly Comment about this asset/index
Confusion about the economy and Fed policy - as well as a rebound in oil prices - sent stocks lower last week, with investors reluctant to move much after the previous week's big rally. This confusion has also limited the stock market advance year-to-date after a stellar run up in the second half of 2006. The Fed chief, Ben Bernanke, is going to have his semi-annual testimony before Congress on Wednesday, the House of Representatives on Thursday - is expected to touch on a range of topics related to economic growth and pricing pressure, among other issues. The US Commerce Dept. reports that the trade deficit widened in December to $61.2 bln (consensus -$59.5 bln). Oil steadied below $58 a barrel on Tuesday as the International Energy Agency boosted its 2007 demand forecast and said it saw tightening oil market fundamentals. North Korea agreed to take steps toward nuclear disarmament under a groundbreaking deal struck on Tuesday that will bring the impoverished communist state some $300 million worth of aid. Blue chips led a broad stock market rally Tuesday, as investors welcomed takeover talk about Alcoa, a rebound in commodity shares and an upgrade of GM. Wednesday brings reports on retail sales and business inventories but also the start of Federal Reserve Chairman Ben Bernanke's two-day semi-annual monetary policy report to Congress.
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)
Strength1.8
Date (dd.MM.yyyy)14.02.2007
Generated Signals Chart
A chart of Standard and Poors 100 OEX dated February 14, 2007 to backtest the trend timer model buy and sell signals
Generated Signals
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
Info : Current13.02.2007189665.82+13.60
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-15.59
Model Buy and Hold+43.02
Model Long Only+24.67
Model Short Only-14.72
Model Long and Short+6.33
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.06
Model Buy and Hold+11.20
Model Long Only+6.42
Model Short Only-3.83
Model Long and Short+1.65
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold-4.78
Model Short vs Model Buy and Hold-15.03
Model Long and Short vs Model Buy and Hold-9.55
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+10.48
Model Short vs Buy and Hold+0.23
Model Long and Short vs Buy and Hold+5.70
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote665.25
Variance10.56
Standard Deviation3.25
Lowest quote659.55
Highest quote669.94
Median664.74
Max Daily Loose percent-1.28
Max Daily Gain percent0.88
Simple Perf.-0.03
Last 5 quotes StatisticsValue
Mean quote665.76
Variance9.66
Standard Deviation3.11
Lowest quote661.02
Highest quote668.91
Median664.96
Max Daily Loose percent-0.60
Max Daily Gain percent0.73
Simple Perf.-0.46
Previous year StatisticsValue
Mean quote601.37
Variance770.09
Standard Deviation27.75
Lowest quote560.70
Highest quote664.42
Median612.56
Max Daily Loose percent-1.89
Max Daily Gain percent1.98
Simple Perf.15.86
First quote570.00
Last quote660.41
Current year StatisticsValue
Mean quote663.74
Variance14.51
Standard Deviation3.81
Lowest quote657.50
Highest quote669.94
Median663.72
Max Daily Loose percent-1.28
Max Daily Gain percent0.88
Simple Perf.0.82
First quote660.41
Last quote665.82
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-2.608-0.33
February-13.148-1.64
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+0.567+0.08
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+15.86
2007+0.82
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+1.66
January2007+0.96
February2007-0.14
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/SP100_20070214.csv
# of Quotes1774
File first date (dd.MM.yyyy)03.01.2000
File first quote788.79
File last date (dd.MM.yyyy)13.02.2007
File last quote665.82
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
Signals StatisticsValue
# Generated Signals9
Avg # op. by year2.34
# Days1383
# Days in years3.84
Biggest loose (Long only)-3.10
Min # days uninvested (before Buy Signal)43
Max # days uninvested (before Buy Signal)114
Min # days invested (before Sell Signal)124
Max # days invested (before Sell Signal)446
TechnicalValue
Program NameMyTrendTimer v0.99.90.50
Java Version1.6.0
OS NameLinux
OS Version2.6.19-1.2895.fc6
User Namemarc
Calculation Time (Ms)851
Tech Id44855665-150970
XML output fileSP100_20070214.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/SP100_20070214.xml
# Warnings found1
Generated on (dd.MM.yyyy HH:mm:ss)14.02.2007 18:25:14
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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