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Standard and Poors 500
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MyTrendTimer : Standard and Poors 100 analysis of November 11, 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-8.1
DateNovember 11, 2008
Generated Signals Chart
A chart of Standard and Poors 100 OEX dated November 11, 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 : Current10.11.2008350441.26-32.92
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-44.06
Model Buy and Hold-5.21
Model Long Only+23.17
Model Short Only+23.04
Model Long and Short+51.56
Time Weighted Return ofValue (Annualized)
Buy and Hold-7.86
Model Buy and Hold-0.93
Model Long Only+4.13
Model Short Only+4.11
Model Long and Short+9.19
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+5.06
Model Short vs Model Buy and Hold+5.04
Model Long and Short vs Model Buy and Hold+10.12
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+11.99
Model Short vs Buy and Hold+11.96
Model Long and Short vs Buy and Hold+17.05
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote458.30
Standard Deviation25.48
Lowest quote411.90
Highest quote521.38
Median466.64
Max Daily Loose percent-9.07
Max Daily Gain percent11.24
Simple Perf.-15.37
Last 5 quotes StatisticsValue
Mean quote453.56
Standard Deviation17.44
Lowest quote433.21
Highest quote481.64
Median457.42
Max Daily Loose percent-5.43
Max Daily Gain percent3.84
Simple Perf.-4.87
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 quote595.42
Standard Deviation55.46
Lowest quote411.90
Highest quote685.65
Median548.78
Max Daily Loose percent-9.07
Max Daily Gain percent11.24
Simple Perf.-35.64
First quote685.65
Last quote441.26
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+4.029+0.45
June-14.389-1.60
July-7.819-0.87
August+3.289+0.36
September-27.159-3.02
October+3.599+0.40
November+3.899+0.43
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
2008-35.64
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
May2008-0.29
June2008-9.08
July2008+0.49
August2008+1.19
September2008-8.01
October2008-14.59
November2008-4.94
Quotes UsedValue
Link on Quote FileSP100_20081111.csv
Quote File Used/local/java/TrendTimer/quote_data/SP100_20081111.csv
# of Quotes2202
File first date (dd.MM.yyyy)03.01.2000
File first quote788.79
File last date (dd.MM.yyyy)10.11.2008
File last quote441.26
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)27.10.2008
Max Daily Drop percent-9.07
Max daily gain date (dd.MM.yyyy)13.10.2008
Max daily Gain percent11.24
Signals StatisticsValue
# Generated Signals10
Avg # op. by year1.78
# Days2019
# Days in years5.61
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 v0.99.98.1
Java Version1.7.0
OS NameLinux
OS Version2.6.25.11-60.fc8PAE
User Namemarc
Calculation Time (Ms)291
Tech Id128910728-150970
XML output fileSP100_20081111.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/SP100_20081111.xml
# Warnings found10
Generated on (dd.MM.yyyy HH:mm:ss)11.11.2008 20:04:58
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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