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MyTrendTimer Financial Market Trend Timing report

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November 12th, Bullish Trend (Buy Signal)
Swiss Market Index SMI
Dow Jones Industrial
Standard and Poors 100
USD to CHF
November 12th, Bearish Trend (Sell Signal)
NASDAQ Composite
Standard and Poors 500
 
Older reports
 
November 6th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
October 29th, 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 June 3, 2008
Description of this asset/index
The S and P 100, or S and P 100 Index, is a stock market index of US stocks developed by the Chicago Board Options Exchange (CBOE), which later transferred the index to Standard and Poor's. Index options on the S and P 100 are traded with the ticker symbol "OEX". Because of the popularity of these options, investors often refer to the index by its ticker. The S and P 100, a subset of the S and P 500, is comprised of 100 leading U.S. stocks with exchange-listed options. Constituents of the S and P 100 are selected for sector balance and represent about 57% of the market capitalization of the S and P 500 and almost 45% of the market capitalization of the U.S. equity markets. The stocks in the S and P 100 are generally among the largest and most established companies in the S and P 500. In past years, turnover among stocks in the S and P 100 has been even lower than the turnover in the S and P 500.
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-0.5
DateJune 3, 2008
Generated Signals Chart
A chart of Standard and Poors 100 OEX dated June 3, 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 : Current02.06.2008188631.94-3.93
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-19.88
Model Buy and Hold+35.75
Model Long Only+23.17
Model Short Only-10.21
Model Long and Short+10.60
Time Weighted Return ofValue (Annualized)
Buy and Hold-3.85
Model Buy and Hold+6.93
Model Long Only+4.49
Model Short Only-1.98
Model Long and Short+2.05
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold-2.44
Model Short vs Model Buy and Hold-8.91
Model Long and Short vs Model Buy and Hold-4.88
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+8.35
Model Short vs Buy and Hold+1.88
Model Long and Short vs Buy and Hold+5.91
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote643.67
Standard Deviation7.68
Lowest quote628.79
Highest quote653.49
Median641.14
Max Daily Loose percent-1.79
Max Daily Gain percent0.98
Simple Perf.-3.08
Last 5 quotes StatisticsValue
Mean quote635.03
Standard Deviation4.11
Lowest quote628.79
Highest quote639.15
Median633.97
Max Daily Loose percent-1.31
Max Daily Gain percent0.89
Simple Perf.-0.81
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 quote632.12
Standard Deviation18.07
Lowest quote589.15
Highest quote685.65
Median637.40
Max Daily Loose percent-3.10
Max Daily Gain percent4.24
Simple Perf.-7.83
First quote685.65
Last quote631.94
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-8.659-0.96
February-19.879-2.21
March+4.289+0.48
April+10.629+1.18
May+2.859+0.32
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
2008-7.83
Year 2005 to 2006 Monthly performance
MonthYearPerformance
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
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
Year 2007 to 200n Monthly performance
MonthYearPerformance
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
February2008-4.58
March2008+0.01
April2008+4.45
May2008-1.41
Quotes UsedValue
Link on Quote FileSP100_20080603.csv
Quote File Used/local/java/TrendTimer/quote_data/SP100_20080603.csv
# of Quotes2099
File first date (dd.MM.yyyy)03.01.2000
File first quote788.79
File last date (dd.MM.yyyy)02.06.2008
File last quote631.94
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 year1.94
# Days1857
# Days in years5.16
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 Version2.6.24.4-64.fc8
User Namemarc
Calculation Time (Ms)296
Tech Id434166329-150970
XML output fileSP100_20080603.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/SP100_20080603.xml
# Warnings found4
Generated on (dd.MM.yyyy HH:mm:ss)03.06.2008 18:17:09
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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