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MyTrendTimer Financial Market Trend Timing report

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June 6th, Bullish Trend (Buy Signal)
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 500
USD to CHF
Standard and Poors 100
June 6th, Bearish Trend (Sell Signal)
Swiss Market Index SMI
 
Older reports
 
May 30th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
May 8th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
 
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MyTrendTimer : Standard and Poors 100 analysis of March 4, 2008
Weekly Comment about this asset/index
The Institute for Supply Management's index (ISM) of manufacturing activity came in lower than expected. The index, which surveys purchasing managers, dropped to 48.3 from 50.7 in February. Economists were expecting a reading of 49. Any reading below 50 indicates contraction. Oil reached a new record high. Construction loan problems threaten spike in smaller bank failures and add to worry over credit crunch.
Financial InstrumentValue
Asset NameStandard and Poors 100
SymbolOEX
CurrencyUSD
Underlying instrumentiShares SP 100 Index (OEF)
Trend/SignalValue
Current Trend/Signal Bearish (last signal was a Sell)
Strength-2.7
DateMarch 4, 2008
Generated Signals Chart
A chart of Standard and Poors 100 OEX dated March 4, 2008 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
Sell26.11.2007475657.79+12.23
Info : Current03.03.2008098613.24-6.77
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-22.26
Model Buy and Hold+31.73
Model Long Only+23.17
Model Short Only-6.95
Model Long and Short+14.61
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.53
Model Buy and Hold+6.46
Model Long Only+4.72
Model Short Only-1.42
Model Long and Short+2.98
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold-1.74
Model Short vs Model Buy and Hold-7.88
Model Long and Short vs Model Buy and Hold-3.49
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+9.26
Model Short vs Buy and Hold+3.12
Model Long and Short vs Buy and Hold+7.51
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote624.63
Standard Deviation9.03
Lowest quote613.24
Highest quote646.30
Median629.77
Max Daily Loose percent-3.10
Max Daily Gain percent1.39
Simple Perf.-5.12
Last 5 quotes StatisticsValue
Mean quote626.31
Standard Deviation10.21
Lowest quote613.24
Highest quote635.56
Median624.40
Max Daily Loose percent-2.61
Max Daily Gain percent0.67
Simple Perf.-2.75
Previous year StatisticsValue
Mean quote683.99
Standard Deviation22.45
Lowest quote630.46
Highest quote729.79
Median680.12
Max Daily Loose percent-3.57
Max Daily Gain percent3.04
Simple Perf.3.82
First quote660.41
Last quote685.65
Current year StatisticsValue
Mean quote635.98
Standard Deviation19.34
Lowest quote612.82
Highest quote685.65
Median649.23
Max Daily Loose percent-3.10
Max Daily Gain percent2.23
Simple Perf.-10.56
First quote685.65
Last quote613.24
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-8.659-0.96
February-19.929-2.21
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+2.078+0.26
September-20.808-2.60
October+21.298+2.66
November+9.298+1.16
December-0.368-0.05
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+3.82
2008-10.56
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+1.73
September2007+3.93
October2007+1.39
November2007-4.47
December2007-0.92
January2008-6.21
February2008-4.64
Quotes UsedValue
Link on Quote FileSP100_20080304.csv
Quote File Used/local/java/TrendTimer/quote_data/SP100_20080304.csv
# of Quotes2037
File first date (dd.MM.yyyy)03.01.2000
File first quote788.79
File last date (dd.MM.yyyy)03.03.2008
File last quote613.24
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 Signals10
Avg # op. by year2.04
# Days1767
# Days in years4.91
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
TechnicalValue
Program NameMyTrendTimer v0.99.98
Java Version1.7.0
OS NameLinux
OS Version2.6.23.14-115.fc8
User Namemarc
Calculation Time (Ms)339
Tech Id680746443-150970
XML output fileSP100_20080304.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/SP100_20080304.xml
# Warnings found4
Generated on (dd.MM.yyyy HH:mm:ss)04.03.2008 20:17:00
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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