The MyTrendTimer Market Trend Timing Home Page Logo
MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
Signals and News Help/HowTo Principles About
 
October 15th, Bullish Trend (Buy Signal)
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 500
Standard and Poors 100
Swiss Market Index SMI
USD to CHF
October 15th, Bearish Trend (Sell Signal)
None for now.
 
Older reports
 
October 12th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
October 1st, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
 
Archived reports
 
2005 Archive Page
2006 Archive Page
2007 Archive Page
2008 Archive Page
2009 Archive Page
2010 Archive Page
2011 Archive Page
2012 Archive Page
2013 Archive Page
2014 Archive Page
2015 Archive Page
2016 Archive Page
2017 Archive Page
2018 Archive Page
MyTrendTimer : Standard and Poors 500 of January 31, 2007
Weekly Comment about this asset/index
Fed meeting is this week main event. The dollar scaled a four-year high against the yen on Monday, supported by solid U.S. economic data that helped persuade investors that the Federal Reserve may not cut interest rates this year. Stronger than expected December U.S. durable goods orders and new home sales released on Friday were the latest in a series of robust figures that have convinced investors the world's biggest economy can avoid a hard landing and may not need a growth-boosting rate cut from the current 5.25 percent. The Federal Reserve is widely expected to leave a key short-term interest rate unchanged for the fifth consecutive time when it wraps up a two-day meeting on Jan. 31. But Wall Street will be keeping a close eye on the Fed's policy statement for any hints regarding the timing of a long-awaited rate cut. According to interest rate futures listed on the Chicago Board of Trade, investors are pricing in a 98 percent chance that the nation's central bank will keep the federal funds rate, a key rate that affects what consumers and businesses pay on various types of loans, at 5.25 percent. The Fed had raised interest rates by a quarter of a percentage point for 17 consecutive meetings between June 2004 and June of last year to keep inflation in check. Since the Fed first paused last August, many investors have been hoping that the central bank would soon start cutting interest rates in order to make sure that the economy does not fall into a tailspin. Although interest rates are still relatively low by historical standards, some fear that as a result of the previous rate hikes, consumers and corporations will eventually cut back on spending, which could have a drastic effect on the economy. But several Fed members, including chairman Ben Bernanke, have indicated in recent speeches that they are still concerned about inflation. The minutes from the Fed's last meeting, held in December, also demonstrated that the Fed is keeping a close watch on pricing pressures. Stocks struggled last week as investors contended with that rebound in oil prices, some disappointment about the fourth-quarter earnings and a growing realization that the Federal Reserve may not push interest rates one way or the other this year. The dollar held near a four-year peak against the yen on Wednesday as investors waited for a Federal Reserve policy statement due later in the session for clues on the course of U.S. interest rates. The U.S. central bank is widely expected to keep interest rates unchanged at 5.25 percent when it concludes its two-day meeting later this session, and traders are looking for signs of greater economic optimism. Data due later Wednesday includes fourth-quarter gross domestic product and the employment cost index. Economists expect GDP to show annualized growth of 3.0 percent in the fourth quarter, up from 2.0 percent in the third quarter. The growth data will be followed by manufacturing activity figures on Thursday and key jobs data on Friday. Stocks rose Tuesday, as investors welcomed an upbeat read on consumer confidence and some strong earnings, but gains were limited amid soaring oil prices and concerns about the Federal Reserve policy meeting.
Financial InstrumentValue
Instrument NameStandard and Poors 500
SymbolGSPC
CurrencyUSD
Underlying instrumentiShares SP 500 (IVW)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strength1.8
Date (dd.MM.yyyy)31.01.2007
Generated Signals Chart
A chart of Standard and Poors 500 GSPC dated January 31, 2007 to backtest the trend timer model buy and sell signals
Generated Signals
NatureDate (dd.MM.yyyy)# Days previous op.QuoteResult previous op.
Buy18.03.20020001'165.55+0.00
Sell11.04.20020231'103.69-5.31
Buy01.05.2003385916.30-16.98
Sell28.07.20044541'095.42+19.55
Buy30.09.20040641'114.58+1.75
Sell27.04.20052091'156.38+3.75
Buy25.05.20050281'190.01+2.91
Sell20.10.20051481'177.80-1.03
Buy09.11.20050201'220.65+3.64
Sell14.06.20062161'230.04+0.77
Buy21.08.20060681'297.52+5.49
info : Current30.01.20071621'428.82+10.12
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-1.81
Model Buy and Hold+22.59
Model Long Only+28.99
Model Short Only+4.96
Model Long and Short+35.40
Time Weighted Return ofValue (Annualized)
Buy and Hold-0.37
Model Buy and Hold+4.58
Model Long Only+5.87
Model Short Only+1.01
Model Long and Short+7.17
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+1.30
Model Short vs Model Buy and Hold-3.57
Model Long and Short vs Model Buy and Hold+2.59
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+6.24
Model Short vs Buy and Hold+1.37
Model Long and Short vs Buy and Hold+7.54
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote1'423.24
Variance58.78
Standard Deviation7.67
Lowest quote1'409.71
Highest quote1'440.13
Median1'424.92
Max Daily Loose percent-1.13
Max Daily Gain percent0.85
Simple Perf.0.29
Last 5 quotes StatisticsValue
Mean quote1'427.27
Variance49.96
Standard Deviation7.07
Lowest quote1'420.62
Highest quote1'440.13
Median1'430.38
Max Daily Loose percent-1.13
Max Daily Gain percent0.85
Simple Perf.0.06
Previous year StatisticsValue
Mean quote1'309.74
Variance2'590.01
Standard Deviation50.89
Lowest quote1'223.69
Highest quote1'427.09
Median1'325.39
Max Daily Loose percent-1.83
Max Daily Gain percent2.16
Simple Perf.13.62
First quote1'248.29
Last quote1'418.30
Current year StatisticsValue
Mean quote1'423.17
Variance61.76
Standard Deviation7.86
Lowest quote1'409.71
Highest quote1'440.13
Median1'424.92
Max Daily Loose percent-1.13
Max Daily Gain percent0.85
Simple Perf.0.74
First quote1'418.30
Last quote1'428.82
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-2.778-0.35
February-11.667-1.67
March+4.667+0.67
April+3.277+0.47
May+3.417+0.49
June-4.707-0.67
July-8.407-1.20
August+2.777+0.40
September-20.417-2.92
October+19.307+2.76
November+15.087+2.15
December+4.337+0.62
TWR Return by Year for this asset
YearTWR Return.
2000-9.27
2001-13.04
2002-23.37
2003+26.38
2004+8.99
2005+3.00
2006+13.62
2007+0.74
Year 2000 to 2003 Monthly performance
MonthYearPerformance
January2000-4.18
February2000-2.01
March2000+9.67
April2000-3.08
May2000-2.19
June2000+2.39
July2000-1.63
August2000+6.07
September2000-5.35
October2000-0.49
November2000-8.01
December2000+0.41
January2001+3.46
February2001-9.23
March2001-6.42
April2001+7.68
May2001+0.51
June2001-2.52
July2001-1.05
August2001-6.41
September2001-8.17
October2001+1.81
November2001+7.52
December2001+0.76
January2002-1.56
February2002-2.08
March2002+3.67
April2002-6.14
May2002-0.91
June2002-7.25
July2002-7.90
August2002+0.49
September2002-11.00
October2002+8.64
November2002+5.71
December2002-6.03
January2003-2.74
February2003-1.70
March2003+0.84
April2003+8.10
May2003+5.09
June2003+1.13
July2003+1.62
August2003+1.79
September2003-1.19
October2003+5.50
November2003+0.71
December2003+5.08
Year 2004 to 200n Monthly performance
MonthYearPerformance
January2004+1.73
February2004+1.22
March2004-1.64
April2004-1.68
May2004+1.21
June2004+1.80
July2004-3.43
August2004+0.23
September2004+0.94
October2004+1.40
November2004+3.86
December2004+3.25
January2005-2.53
February2005+1.89
March2005-1.91
April2005-2.01
May2005+3.00
June2005-0.01
July2005+3.60
August2005-1.12
September2005+0.69
October2005-1.77
November2005+3.52
December2005-0.10
January2006+2.55
February2006+0.05
March2006+1.11
April2006+1.22
May2006-3.09
June2006+0.01
July2006+0.51
August2006+2.13
September2006+2.46
October2006+3.15
November2006+1.65
December2006+1.26
January2007+0.74
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/SP500_20070131.csv
# of Quotes1766
File first date (dd.MM.yyyy)03.01.2000
File first quote1'455.22
File last date (dd.MM.yyyy)30.01.2007
File last quote1'428.82
First data considered (dd.MM.yyyy)24.05.2000
First data considered1'399.05
Min. Quote date (dd.MM.yyyy)09.10.2002
Min. Quote value776.76
Max Quote date (dd.MM.yyyy)24.03.2000
Max Quote value1'527.46
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 percent5.73
Signals StatisticsValue
# Generated Signals12
Avg # op. by year2.43
# Days1777
# Days in years4.94
Biggest loose (Long only)-5.31
Min # days uninvested (before Buy Signal)20
Max # days uninvested (before Buy Signal)385
Min # days invested (before Sell Signal)23
Max # days invested (before Sell Signal)454
TechnicalValue
Program NameMyTrendTimer v0.99.90.1
Java Version1.6.0-rc
OS NameLinux
OS Version2.6.19-1.2895.fc6
User Namemarc
Calculation Time (Ms)1048
Tech Id741581982-150990
XML output fileSP500_20070131.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/SP500_20070131.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)31.01.2007 18:11:19
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.
Valid HTML 4.01