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MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
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December 10th, Bullish Trend (Buy Signal)
USD to CHF
December 10th, Bearish Trend (Sell Signal)
NASDAQ Composite
Standard and Poors 500
Standard and Poors 100
Dow Jones Industrial
Swiss Market Index SMI
 
Older reports
 
December 3rd, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
November 27th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
 
Archived reports
 
2005 Archive Page
2006 Archive Page
2007 Archive Page
2008 Archive Page
2009 Archive Page
2010 Archive Page
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2014 Archive Page
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MyTrendTimer : Standard and Poors 100 of March 23, 2007
Weekly Comment about this asset/index
Equities rallied sharply across the world on Thursday and were close to recapturing their losses of the past month as investors came to grips with a newly dovish U.S. central bank. The Federal Reserve left interest rates steady on Wednesday but dropped earlier language about future tightening, prompting widespread expectations that key U.S. rates may actually be cut. The signal strength is almost unchanged from last publication. The next days are going to be crucial : if market goes down, signal strength is going down and sell signals are going to be triggered. If market goes up or at least can stay at this level, signal should recover without going through a sell signal.
Financial InstrumentValue
Asset NameStandard and Poors 100
SymbolOEX
CurrencyUSD
Underlying instrumentiShares SP 100 Index (OEF)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strength0.5
Date (dd.MM.yyyy)23.03.2007
Generated Signals Chart
A chart of Standard and Poors 100 OEX dated March 23, 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 : Current22.03.2007226656.07+11.93
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-16.83
Model Buy and Hold+40.93
Model Long Only+22.85
Model Short Only-14.72
Model Long and Short+4.77
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.27
Model Buy and Hold+10.38
Model Long Only+5.79
Model Short Only-3.73
Model Long and Short+1.21
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold-4.58
Model Short vs Model Buy and Hold-14.11
Model Long and Short vs Model Buy and Hold-9.17
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+10.06
Model Short vs Buy and Hold+0.53
Model Long and Short vs Buy and Hold+5.47
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote644.13
Variance116.95
Standard Deviation10.81
Lowest quote630.46
Highest quote667.22
Median648.84
Max Daily Loose percent-3.57
Max Daily Gain percent1.68
Simple Perf.-1.67
Last 5 quotes StatisticsValue
Mean quote644.61
Variance88.26
Standard Deviation9.39
Lowest quote633.94
Highest quote656.07
Median645.01
Max Daily Loose percent-0.44
Max Daily Gain percent1.68
Simple Perf.3.04
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 quote656.90
Variance152.24
Standard Deviation12.34
Lowest quote630.46
Highest quote670.21
Median650.34
Max Daily Loose percent-3.57
Max Daily Gain percent1.68
Simple Perf.-0.66
First quote660.41
Last quote656.07
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-2.608-0.33
February-16.028-2.00
March+5.268+0.66
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
2007-0.66
Year 2004 to 2005 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
Year 2006 to 200n Monthly performance
MonthYearPerformance
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
February2007-3.46
March2007+1.92
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/SP100_20070323.csv
# of Quotes1800
File first date (dd.MM.yyyy)03.01.2000
File first quote788.79
File last date (dd.MM.yyyy)22.03.2007
File last quote656.07
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 year2.28
# Days1420
# Days in years3.94
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
TechnicalValue
Program NameMyTrendTimer v0.99.90.53
Java Version1.6.0
OS NameLinux
OS Version2.6.18-1.2869.fc6
User Namemarc
Calculation Time (Ms)1135
Tech Id756862263-150970
XML output fileSP100_20070323.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/SP100_20070323.xml
# Warnings found2
Generated on (dd.MM.yyyy HH:mm:ss)23.03.2007 17:41:25
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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