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MyTrendTimer :
Standard and Poors 500
of
November 15, 2006 |
Weekly Comment about this asset/index |
Oil inched higher toward $59 a barrel on Tuesday after a two-day slide triggered in part by weaker-than-expected heating oil demand in the world's biggest consumer the United States.
U.S. heating oil stocks are nearly 7 percent above last year's level and analysts polled by Reuters see distillate stocks - including heating oil - only having fallen 390,000 barrels last week, in inventory data due on Wednesday.
Crude stocks in the U.S. are seen rising another 750,000 barrels in the week to November 10, despite an agreement by OPEC to cut output by 1.2 million bpd from November in an effort by the producers group to stem a 25 percent price slide since mid-July.
Treasury prices eased, raising the corresponding yields.
Oil reversed the previous day's light losses on Wednesday as traders marked time ahead of U.S. stockpile data expected to show oil inventories remaining well above seasonal norms amid a mild start to the northern winter.
Stocks rallied Tuesday, pushing the Dow Jones industrial average to another record close as investors welcomed upbeat news from Wal-Mart Stores and Intel, lower oil prices, and a big drop in a key inflation measure.
On Wednesday, investors will look to the NY Empire State Index, a regional manufacturing report, due for release before the start of trading, and the minutes from the October Federal Reserve policy meeting, due in the afternoon.
The weekly oil inventories report will also be released Wednesday. |
|
Financial Instrument | Value |
Instrument Name | Standard and Poors 500 |
Symbol | GSPC |
Currency | USD |
Underlying instrument | iShares SP 500 (IVW) |
|
Trend/Signal | Value |
Current Trend/Signal |
Bullish (last signal was a Buy)
|
Strenght | 1.8 |
Date (dd.MM.yyyy) | 15.11.2006 |
|
Generated Operations Chart |
 |
|
Generated Operations |
Nature | Date (dd.MM.yyyy) | # Days previous op. | Quote | Result previous op. |
Buy | 18.03.2002 | 000 | 1'165.55 | +0.00 |
Sell | 11.04.2002 | 023 | 1'103.69 | -5.31 |
Buy | 01.05.2003 | 385 | 916.30 | -16.98 |
Sell | 28.07.2004 | 454 | 1'095.42 | +19.55 |
Buy | 30.09.2004 | 064 | 1'114.58 | +1.75 |
Sell | 27.04.2005 | 209 | 1'156.38 | +3.75 |
Buy | 25.05.2005 | 028 | 1'190.01 | +2.91 |
Sell | 20.10.2005 | 148 | 1'177.80 | -1.03 |
Buy | 09.11.2005 | 020 | 1'220.65 | +3.64 |
Sell | 14.06.2006 | 216 | 1'230.04 | +0.77 |
Buy | 21.08.2006 | 068 | 1'297.52 | +5.49 |
Out | 14.11.2006 | 085 | 1'393.22 | +7.38 |
|
Return and result of the differents strategies |
Time Weighted Return of | Value (over the Period) |
Buy and Hold | -4.26 |
Model Buy and Hold | +19.53 |
Model Long Only | +25.78 |
Model Short Only | +4.96 |
Model Long and Short | +32.02 |
|
Time Weighted Return of | Value (Annualized) |
Buy and Hold | -0.90 |
Model Buy and Hold | +4.14 |
Model Long Only | +5.46 |
Model Short Only | +1.05 |
Model Long and Short | +6.78 |
|
Model OverPerf vs Model Buy and Hold | Value (Annualized) |
Model Long vs Model Buy and Hold | +1.32 |
Model Short vs Model Buy and Hold | -3.09 |
Model Long and Short vs Model Buy and Hold | +2.64 |
|
Model OverPerf vs Buy and Hold | Value (Annualized) |
Model Long vs Buy and Hold | +6.36 |
Model Short vs Buy and Hold | +1.95 |
Model Long and Short vs Buy and Hold | +7.68 |
|
|
Various statistical indicators for this asset |
Last 20 quotes Statistics | Value |
Mean quote | 1'376.63 |
Variance | 71.26 |
Standard Deviation | 8.44 |
Lowest quote | 1'364.05 |
Highest quote | 1'393.22 |
Median | 1'378.64 |
Max Daily Loose percent | -0.85 |
Max Daily Gain percent | 1.13 |
Simple Perf. | 2.14 |
|
Last 5 quotes Statistics | Value |
Mean quote | 1'384.24 |
Variance | 26.18 |
Standard Deviation | 5.12 |
Lowest quote | 1'378.33 |
Highest quote | 1'393.22 |
Median | 1'385.77 |
Max Daily Loose percent | -0.53 |
Max Daily Gain percent | 0.64 |
Simple Perf. | 0.75 |
|
Previous year Statistics | Value |
Mean quote | 1'207.49 |
Variance | 884.55 |
Standard Deviation | 29.74 |
Lowest quote | 1'137.50 |
Highest quote | 1'272.74 |
Median | 1'205.12 |
Max Daily Loose percent | -1.67 |
Max Daily Gain percent | 1.97 |
Simple Perf. | 3.00 |
First quote | 1'211.92 |
Last quote | 1'248.29 |
|
Current year Statistics | Value |
Mean quote | 1'296.24 |
Variance | 1'386.18 |
Standard Deviation | 37.23 |
Lowest quote | 1'223.69 |
Highest quote | 1'393.22 |
Median | 1'308.45 |
Max Daily Loose percent | -1.83 |
Max Daily Gain percent | 2.16 |
Simple Perf. | 11.61 |
First quote | 1'248.29 |
Last quote | 1'393.22 |
|
Seasonal Return by Month for this asset |
Month | Cumulated TWR Return. | #Month | Average TWR Return |
January | -3.48 | 7 | -0.50 |
February | -11.66 | 7 | -1.67 |
March | +4.66 | 7 | +0.67 |
April | +3.27 | 7 | +0.47 |
May | +3.41 | 7 | +0.49 |
June | -4.70 | 7 | -0.67 |
July | -8.40 | 7 | -1.20 |
August | +2.77 | 7 | +0.40 |
September | -20.41 | 7 | -2.92 |
October | +19.30 | 7 | +2.76 |
November | +14.47 | 7 | +2.07 |
December | +3.03 | 6 | +0.51 |
|
TWR Return by Year for this asset |
Year | TWR Return. |
2000 | -9.27 |
2001 | -13.04 |
2002 | -23.37 |
2003 | +26.38 |
2004 | +8.99 |
2005 | +3.00 |
2006 | +11.61 |
|
Year 2000 to 2003 Monthly performance |
Month | Year | Performance |
January | 2000 | -4.18 |
February | 2000 | -2.01 |
March | 2000 | +9.67 |
April | 2000 | -3.08 |
May | 2000 | -2.19 |
June | 2000 | +2.39 |
July | 2000 | -1.63 |
August | 2000 | +6.07 |
September | 2000 | -5.35 |
October | 2000 | -0.49 |
November | 2000 | -8.01 |
December | 2000 | +0.41 |
January | 2001 | +3.46 |
February | 2001 | -9.23 |
March | 2001 | -6.42 |
April | 2001 | +7.68 |
May | 2001 | +0.51 |
June | 2001 | -2.52 |
July | 2001 | -1.05 |
August | 2001 | -6.41 |
September | 2001 | -8.17 |
October | 2001 | +1.81 |
November | 2001 | +7.52 |
December | 2001 | +0.76 |
January | 2002 | -1.56 |
February | 2002 | -2.08 |
March | 2002 | +3.67 |
April | 2002 | -6.14 |
May | 2002 | -0.91 |
June | 2002 | -7.25 |
July | 2002 | -7.90 |
August | 2002 | +0.49 |
September | 2002 | -11.00 |
October | 2002 | +8.64 |
November | 2002 | +5.71 |
December | 2002 | -6.03 |
January | 2003 | -2.74 |
February | 2003 | -1.70 |
March | 2003 | +0.84 |
April | 2003 | +8.10 |
May | 2003 | +5.09 |
June | 2003 | +1.13 |
July | 2003 | +1.62 |
August | 2003 | +1.79 |
September | 2003 | -1.19 |
October | 2003 | +5.50 |
November | 2003 | +0.71 |
December | 2003 | +5.08 |
|
Year 2004 to 200n Monthly performance |
Month | Year | Performance |
January | 2004 | +1.73 |
February | 2004 | +1.22 |
March | 2004 | -1.64 |
April | 2004 | -1.68 |
May | 2004 | +1.21 |
June | 2004 | +1.80 |
July | 2004 | -3.43 |
August | 2004 | +0.23 |
September | 2004 | +0.94 |
October | 2004 | +1.40 |
November | 2004 | +3.86 |
December | 2004 | +3.25 |
January | 2005 | -2.53 |
February | 2005 | +1.89 |
March | 2005 | -1.91 |
April | 2005 | -2.01 |
May | 2005 | +3.00 |
June | 2005 | -0.01 |
July | 2005 | +3.60 |
August | 2005 | -1.12 |
September | 2005 | +0.69 |
October | 2005 | -1.77 |
November | 2005 | +3.52 |
December | 2005 | -0.10 |
January | 2006 | +2.55 |
February | 2006 | +0.05 |
March | 2006 | +1.11 |
April | 2006 | +1.22 |
May | 2006 | -3.09 |
June | 2006 | +0.01 |
July | 2006 | +0.51 |
August | 2006 | +2.13 |
September | 2006 | +2.46 |
October | 2006 | +3.15 |
November | 2006 | +1.11 |
|
Quotes Used | Value |
Quote File Used | SP500_20061115.csv |
# of Quotes | 1717 |
File first date (dd.MM.yyyy) | 03.01.2000 |
File first quote | 1'455.22 |
File last date (dd.MM.yyyy) | 14.11.2006 |
File last quote | 1'393.22 |
First data considered (dd.MM.yyyy) | 24.05.2000 |
First data considered | 1'399.05 |
Min. Quote date (dd.MM.yyyy) | 09.10.2002 |
Min. Quote value | 776.76 |
Max Quote date (dd.MM.yyyy) | 24.03.2000 |
Max Quote value | 1'527.46 |
Max daily drop date (dd.MM.yyyy) | 14.04.2000 |
Max Daily Drop percent | -5.78 |
Max daily gain date (dd.MM.yyyy) | 24.07.2002 |
Max daily Gain percent | 5.73 |
|
Operations Statistics | Value |
# Generated operations | 12 |
Avg # op. by year | 2.54 |
# Days | 1700 |
# Days in years | 4.72 |
Biggest loose (Long only) | -5.31 |
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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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