MyTrendTimer Financial Market Trend Timing SP100

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 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	-2.3
Date	September 30, 2011

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
Buy	04.06.2009	555	438.04	-33.41
Sell	04.06.2010	365	483.42	+10.36
Buy	29.09.2010	117	516.31	+6.80
Sell	05.08.2011	310	542.48	+5.07
Info : Current	29.09.2011	055	525.69	-3.10

Return and result of the differents strategies

Time Weighted Return of	Value (over the Period)
Buy and Hold	-33.35
Model Buy and Hold	+12.92
Model Long Only	+42.82
Model Short Only	+20.93
Model Long and Short	+72.72

Time Weighted Return of	Value (Annualized)
Buy and Hold	-3.91
Model Buy and Hold	+1.51
Model Long Only	+5.02
Model Short Only	+2.45
Model Long and Short	+8.52

Model OverPerf vs Model Buy and Hold	Value (Annualized)
Model Long vs Model Buy and Hold	+3.50
Model Short vs Model Buy and Hold	+0.94
Model Long and Short vs Model Buy and Hold	+7.01

Model OverPerf vs Buy and Hold	Value (Annualized)
Model Long vs Buy and Hold	+8.93
Model Short vs Buy and Hold	+6.36
Model Long and Short vs Buy and Hold	+12.43

Various statistical indicators for this asset

Last 20 quotes Statistics	Value
Mean quote	533.72
Standard Deviation	9.89
Lowest quote	512.53
Highest quote	548.01
Median	530.27
Max Daily Loose percent	-2.68
Max Daily Gain percent	2.64
Simple Perf.	0.17

Last 5 quotes Statistics	Value
Mean quote	523.27
Standard Deviation	6.05
Lowest quote	512.53
Highest quote	529.82
Median	521.18
Max Daily Loose percent	-2.62
Max Daily Gain percent	2.38
Simple Perf.	-0.12

Previous year Statistics	Value
Mean quote	517.28
Standard Deviation	24.27
Lowest quote	463.84
Highest quote	566.78
Median	515.31
Max Daily Loose percent	-3.80
Max Daily Gain percent	4.08
Simple Perf.	10.08
First quote	514.09
Last quote	565.90

Current year Statistics	Value
Mean quote	575.66
Standard Deviation	24.79
Lowest quote	506.61
Highest quote	608.33
Median	557.47
Max Daily Loose percent	-6.24
Max Daily Gain percent	4.42
Simple Perf.	-7.11
First quote	565.90
Last quote	525.69

Seasonal Return by Month for this asset
Month	Cumulated TWR Return.	#Month	Average TWR Return
January	-18.36	12	-1.53
February	-25.00	12	-2.08
March	+18.80	12	+1.57
April	+23.38	12	+1.95
May	-1.84	12	-0.15
June	-19.76	12	-1.65
July	+4.34	12	+0.36
August	-4.29	12	-0.36
September	-22.23	12	-1.85
October	+5.97	11	+0.54
November	+7.25	11	+0.66
December	+6.80	11	+0.62

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	+3.82
2008	-37.06
2009	+19.13
2010	+10.08
2011	-7.11

Year 2007 to 2008 Monthly performance
Month	Year	Performance
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	-0.92
January	2008	-6.21
February	2008	-4.58
March	2008	+0.01
April	2008	+4.45
May	2008	-0.29
June	2008	-9.08
July	2008	+0.49
August	2008	+1.19
September	2008	-8.01
October	2008	-14.59
November	2008	-6.74
December	2008	-0.31

Year 2009 to 200n Monthly performance
Month	Year	Performance
January	2009	-9.33
February	2009	-11.01
March	2009	+8.37
April	2009	+7.59
May	2009	+5.31
June	2009	+0.49
July	2009	+7.12
August	2009	+3.14
September	2009	+2.87
October	2009	-1.24
November	2009	+5.89
December	2009	+0.66
January	2010	-3.70
February	2010	+2.22
March	2010	+5.70
April	2010	+1.00
May	2010	-8.74
June	2010	-5.15
July	2010	+7.04
August	2010	-4.96
September	2010	+8.18
October	2010	+3.58
November	2010	-0.63
December	2010	+6.83
January	2011	+2.36
February	2011	+2.89
March	2011	-0.54
April	2011	+2.63
May	2011	-1.81
June	2011	-1.68
July	2011	-1.29
August	2011	-5.47
September	2011	-4.07

Quotes Used	Value
Link on Quote File	SP100_20110930.csv
Quote File Used	/local/java/TrendTimer/quote_data/SP100_20110930.csv
# of Quotes	2917
File first date (dd.MM.yyyy)	03.01.2000
File first quote	788.79
File last date (dd.MM.yyyy)	29.09.2011
File last quote	525.69
First data considered (dd.MM.yyyy)	22.05.2000
First data considered	748.04
Min. Quote date (dd.MM.yyyy)	09.03.2009
Min. Quote value	322.13
Max Quote date (dd.MM.yyyy)	24.03.2000
Max Quote value	833.26
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 percent	11.24

Signals Statistics	Value
# Generated Signals	14
Avg # op. by year	1.64
# Days	3071
# Days in years	8.53
Biggest loose (Long only)	-3.10
Min # days uninvested (before Buy Signal)	43
Max # days uninvested (before Buy Signal)	555
Min # days invested (before Sell Signal)	124
Max # days invested (before Sell Signal)	475

Technical	Value
Program Name	MyTrendTimer v0.99.98.3
Java Version	1.6.0_20
OS Name	Linux
OS Version	2.6.35.14-96.fc14.i686.PAE
User Name	marc
Calculation Time (Ms)	265
Tech Id	923727651-150970
XML output file	SP100_20110930.xml
Web Root	http://www.MyTrendTimer.com/
Complete Xml URL	http://www.MyTrendTimer.com/xml/SP100_20110930.xml
# Warnings found	12
Generated on (dd.MM.yyyy HH:mm:ss)	30.09.2011 18:52:33

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.