MyTrendTimer Financial Market Trend Timing SP100

Weekly Comment about this asset/index
The stock market continued its upward momentum for the third straight session. The Federal Reserve policy meeting is planned on Tuesday and Wednesday. Signal is still bullish.

Financial Instrument	Value
Asset 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)
Strength	0.6
Date (dd.MM.yyyy)	21.03.2007

Generated Signals Chart

Generated Signals
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
Info : Current	20.03.2007	224	644.71	+9.99

Return and result of the differents strategies

Time Weighted Return of	Value (over the Period)
Buy and Hold	-18.27
Model Buy and Hold	+38.49
Model Long Only	+20.72
Model Short Only	-14.72
Model Long and Short	+2.95

Time Weighted Return of	Value (Annualized)
Buy and Hold	-4.64
Model Buy and Hold	+9.77
Model Long Only	+5.26
Model Short Only	-3.74
Model Long and Short	+0.75

Model OverPerf vs Model Buy and Hold	Value (Annualized)
Model Long vs Model Buy and Hold	-4.51
Model Short vs Model Buy and Hold	-13.51
Model Long and Short vs Model Buy and Hold	-9.02

Model OverPerf vs Buy and Hold	Value (Annualized)
Model Long vs Buy and Hold	+9.90
Model Short vs Buy and Hold	+0.90
Model Long and Short vs Buy and Hold	+5.39

Various statistical indicators for this asset

Last 20 quotes Statistics	Value
Mean quote	645.41
Variance	164.65
Standard Deviation	12.83
Lowest quote	630.46
Highest quote	670.05
Median	650.26
Max Daily Loose percent	-3.57
Max Daily Gain percent	1.51
Simple Perf.	-3.78

Last 5 quotes Statistics	Value
Mean quote	637.07
Variance	23.98
Standard Deviation	4.90
Lowest quote	631.17
Highest quote	644.71
Median	637.94
Max Daily Loose percent	-0.44
Max Daily Gain percent	1.06
Simple Perf.	2.15

Previous year Statistics	Value
Mean quote	601.37
Variance	770.09
Standard Deviation	27.75
Lowest quote	560.70
Highest quote	664.42
Median	612.56
Max Daily Loose percent	-1.89
Max Daily Gain percent	1.98
Simple Perf.	15.86
First quote	570.00
Last quote	660.41

Current year Statistics	Value
Mean quote	656.94
Variance	157.93
Standard Deviation	12.57
Lowest quote	630.46
Highest quote	670.21
Median	650.34
Max Daily Loose percent	-3.57
Max Daily Gain percent	1.51
Simple Perf.	-2.38
First quote	660.41
Last quote	644.71

Seasonal Return by Month for this asset
Month	Cumulated TWR Return.	#Month	Average TWR Return
January	-2.60	8	-0.33
February	-16.02	8	-2.00
March	+3.44	8	+0.43
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	+0.56	7	+0.08

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	+15.86
2007	-2.38

Year 2004 to 2005 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

Year 2006 to 200n Monthly performance
Month	Year	Performance
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	+1.66
January	2007	+0.96
February	2007	-3.46
March	2007	+0.15

Quotes Used	Value
Quote File Used	/local/java/TrendTimer/data/SP100_20070321.csv
# of Quotes	1798
File first date (dd.MM.yyyy)	03.01.2000
File first quote	788.79
File last date (dd.MM.yyyy)	20.03.2007
File last quote	644.71
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

Signals Statistics	Value
# Generated Signals	9
Avg # op. by year	2.28
# Days	1418
# Days in years	3.94
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

Technical	Value
Program Name	MyTrendTimer v0.99.90.53
Java Version	1.6.0
OS Name	Linux
OS Version	2.6.18-1.2869.fc6
User Name	marc
Calculation Time (Ms)	778
Tech Id	518159468-150970
XML output file	SP100_20070321.xml
Web Root	http://www.myTrendTimer.com/
Complete Xml URL	http://www.myTrendTimer.com/xml/SP100_20070321.xml
# Warnings found	16
Generated on (dd.MM.yyyy HH:mm:ss)	21.03.2007 19:34:06

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.