The MyTrendTimer Market Trend Timing Home Page Logo
MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
Signals and News Help/HowTo Principles About
 
December 3rd, Bullish Trend (Buy Signal)
USD to CHF
Swiss Market Index SMI
December 3rd, Bearish Trend (Sell Signal)
NASDAQ Composite
Standard and Poors 500
Standard and Poors 100
Dow Jones Industrial
 
Older reports
 
November 27th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
November 19th, 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
2011 Archive Page
2012 Archive Page
2013 Archive Page
2014 Archive Page
2015 Archive Page
2016 Archive Page
2017 Archive Page
2018 Archive Page
MyTrendTimer : Standard and Poors 100 analysis of August 22, 2007
Weekly Comment about this asset/index
Stocks continue to shake, led by losses in financial companies, as worries about spillover from the subprime mortgage market lingered despite the Federal Reserve's surprise discount rate cut on last Friday. The U.S. central bank's emergency move to stabilize credit markets followed sharp declines in world stock markets in recent weeks as problems in the risky U.S. subprime mortgage sector spread to other markets. The Fed took this dramatic step to combat the squeeze on liquidity last week. When banks became unwilling to lend funds, even to creditworthy investors, the Fed cut its discount rate by half a percentage point to 5.75 percent and extended its loan period to 30 days, from one day previously. The mytrendtimer.com signal is getting lower again this week. Trend timing show its limits : how whould you modelize a central bank/fed surprise rate cut ?
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)
Strength0.4
DateAugust 22, 2007
Generated Signals Chart
A chart of Standard and Poors 100 OEX dated August 22, 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 : Current21.08.2007378673.85+14.97
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-14.57
Model Buy and Hold+44.75
Model Long Only+26.18
Model Short Only-14.72
Model Long and Short+7.61
Time Weighted Return ofValue (Annualized)
Buy and Hold-3.34
Model Buy and Hold+10.25
Model Long Only+6.00
Model Short Only-3.37
Model Long and Short+1.74
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold-4.25
Model Short vs Model Buy and Hold-13.62
Model Long and Short vs Model Buy and Hold-8.51
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+9.33
Model Short vs Buy and Hold-0.03
Model Long and Short vs Buy and Hold+5.08
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote679.39
Standard Deviation12.89
Lowest quote655.83
Highest quote705.94
Median680.89
Max Daily Loose percent-3.17
Max Daily Gain percent2.47
Simple Perf.-3.90
Last 5 quotes StatisticsValue
Mean quote666.77
Standard Deviation8.53
Lowest quote655.83
Highest quote674.53
Median665.18
Max Daily Loose percent-1.22
Max Daily Gain percent2.47
Simple Perf.1.49
Previous year StatisticsValue
Mean quote601.37
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 quote676.42
Standard Deviation21.41
Lowest quote630.46
Highest quote718.11
Median674.29
Max Daily Loose percent-3.57
Max Daily Gain percent2.47
Simple Perf.2.04
First quote660.41
Last quote673.85
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-2.608-0.33
February-16.028-2.00
March+4.278+0.53
April+5.918+0.74
May+4.328+0.54
June-5.828-0.73
July-8.258-1.03
August+0.058+0.01
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+2.04
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+0.96
April2007+4.73
May2007+3.20
June2007-1.38
July2007-2.46
August2007-0.28
Quotes UsedValue
Quote File Used/local/java/TrendTimer/quote_data/SP100_20070822.csv
# of Quotes1904
File first date (dd.MM.yyyy)03.01.2000
File first quote788.79
File last date (dd.MM.yyyy)21.08.2007
File last quote673.85
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 year2.06
# Days1572
# Days in years4.37
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 Server v0.99.96
Java Version1.6.0_02
OS NameLinux
OS Version2.6.21-1.3194.fc7
User Namemarc
Calculation Time (Ms)2241
Tech Id916279331-150970
XML output fileSP100_20070822.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/SP100_20070822.xml
# Warnings found4
Generated on (dd.MM.yyyy HH:mm:ss)22.08.2007 20:23:30
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.
Valid HTML 4.01