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| August
14th, Bearish Trend (Sell Signal) |
| None for now. |
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MyTrendTimer :
Standard and Poors 100
analysis of
December 12, 2007 |
| Weekly Comment about this asset/index |
| Central banks around the globe on Wednesday banded together to make it easier for stressed banks to borrow money in the midst of a credit crunch that threatens to knock the world's economy into recession.
The steps, announced jointly by the U.S. Federal Reserve, the European Central Bank and the central banks of Canada, England and Switzerland, were aimed at tamping down a financial crisis that erupted this summer when record housing foreclosures led banks to steep slowdown in lending.
Stocks rose on Wednesday after the Federal Reserve said it is linking up with other central banks to ease global credit market strains through increased short-term lending. |
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| 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 |
Bearish (last signal was a Sell)
|
| Strength | -0.1 |
| Date | December 12, 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 |
| Sell | 26.11.2007 | 475 | 657.79 | +12.23 |
| Info : Current | 11.12.2007 | 015 | 691.11 | +5.07 |
|
| Return and result of the differents strategies |
| Time Weighted Return of | Value (over the Period) |
| Buy and Hold | -12.38 |
| Model Buy and Hold | +48.46 |
| Model Long Only | +23.17 |
| Model Short Only | -20.53 |
| Model Long and Short | -2.11 |
|
| Time Weighted Return of | Value (Annualized) |
| Buy and Hold | -2.65 |
| Model Buy and Hold | +10.36 |
| Model Long Only | +4.95 |
| Model Short Only | -4.39 |
| Model Long and Short | -0.45 |
|
| Model OverPerf vs Model Buy and Hold | Value (Annualized) |
| Model Long vs Model Buy and Hold | -5.41 |
| Model Short vs Model Buy and Hold | -14.75 |
| Model Long and Short vs Model Buy and Hold | -10.81 |
|
| Model OverPerf vs Buy and Hold | Value (Annualized) |
| Model Long vs Buy and Hold | +7.60 |
| Model Short vs Buy and Hold | -1.74 |
| Model Long and Short vs Buy and Hold | +2.20 |
|
|
| Various statistical indicators for this asset |
| Last 20 quotes Statistics | Value |
| Mean quote | 682.81 |
| Standard Deviation | 13.13 |
| Lowest quote | 657.79 |
| Highest quote | 706.34 |
| Median | 682.07 |
| Max Daily Loose percent | -2.36 |
| Max Daily Gain percent | 3.04 |
| Simple Perf. | 3.09 |
|
| Last 5 quotes Statistics | Value |
| Mean quote | 696.05 |
| Standard Deviation | 8.97 |
| Lowest quote | 682.18 |
| Highest quote | 706.34 |
| Median | 694.26 |
| Max Daily Loose percent | -2.16 |
| Max Daily Gain percent | 1.56 |
| Simple Perf. | 1.31 |
|
| Previous year Statistics | Value |
| Mean quote | 601.37 |
| 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 | 683.70 |
| Standard Deviation | 22.96 |
| Lowest quote | 630.46 |
| Highest quote | 729.79 |
| Median | 680.12 |
| Max Daily Loose percent | -3.57 |
| Max Daily Gain percent | 3.04 |
| Simple Perf. | 4.65 |
| First quote | 660.41 |
| Last quote | 691.11 |
|
| 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 | +4.27 | 8 | +0.53 |
| April | +5.91 | 8 | +0.74 |
| May | +4.32 | 8 | +0.54 |
| June | -5.82 | 8 | -0.73 |
| July | -8.25 | 8 | -1.03 |
| August | +2.07 | 8 | +0.26 |
| September | -20.80 | 8 | -2.60 |
| October | +21.29 | 8 | +2.66 |
| November | +9.29 | 8 | +1.16 |
| December | +0.43 | 8 | +0.05 |
|
| 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 | +4.65 |
|
| 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 | +0.96 |
| April | 2007 | +4.73 |
| May | 2007 | +3.20 |
| June | 2007 | -1.38 |
| July | 2007 | -2.46 |
| August | 2007 | +1.73 |
| September | 2007 | +3.93 |
| October | 2007 | +1.39 |
| November | 2007 | -4.47 |
| December | 2007 | -0.13 |
|
| Quotes Used | Value |
| Link on Quote File | SP100_20071212.csv |
| Quote File Used | /local/java/TrendTimer/quote_data/SP100_20071212.csv |
| # of Quotes | 1982 |
| File first date (dd.MM.yyyy) | 03.01.2000 |
| File first quote | 788.79 |
| File last date (dd.MM.yyyy) | 11.12.2007 |
| File last quote | 691.11 |
| 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 | 10 |
| Avg # op. by year | 2.14 |
| # Days | 1684 |
| # Days in years | 4.68 |
| 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) | 475 |
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| 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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