MyTrendTimer Financial Market Trend Timing SP500

The U.S. stock market was closed on Monday for the Presidents Day holiday. Stocks rallied last week - with the Dow Jones industrial average hitting a fresh all-time high - after Federal Reserve Chairman Ben Bernanke told the Senate Banking Committee that inflation pressures are easing and the economy should grow moderately. With the pace of corporate earnings reports slowing, the most important event of the week should be the U.S. Consumer Price Index (CPI) for January. It will be released by the Bureau of Labor Statistics on Wednesday at 8:30 a.m. EST. U.S. stocks were flat to lower at Tuesday's open as some disappointing results from two Dow industrial retailers weighed on sentiment. Oil prices fell for a third day on Wednesday as a U.S. cold spell lifted and some forecasters said March would be moderate, signaling a likely end to an exceptionally mild winter season in the world's top consumer.

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)
Strength	1.8
Date (dd.MM.yyyy)	21.02.2007

Generated Signals Chart

Generated Signals
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
Info : Current	20.02.2007	183	1'459.68	+12.50

Return and result of the differents strategies

Time Weighted Return of	Value (over the Period)
Buy and Hold	+0.31
Model Buy and Hold	+25.24
Model Long Only	+31.78
Model Short Only	+4.96
Model Long and Short	+38.32

Time Weighted Return of	Value (Annualized)
Buy and Hold	+0.06
Model Buy and Hold	+5.05
Model Long Only	+6.36
Model Short Only	+0.99
Model Long and Short	+7.67

Model OverPerf vs Model Buy and Hold	Value (Annualized)
Model Long vs Model Buy and Hold	+1.31
Model Short vs Model Buy and Hold	-4.06
Model Long and Short vs Model Buy and Hold	+2.62

Model OverPerf vs Buy and Hold	Value (Annualized)
Model Long vs Buy and Hold	+6.30
Model Short vs Buy and Hold	+0.93
Model Long and Short vs Buy and Hold	+7.61

Various statistical indicators for this asset

Last 20 quotes Statistics	Value
Mean quote	1'440.74
Variance	155.16
Standard Deviation	12.46
Lowest quote	1'420.62
Highest quote	1'459.68
Median	1'440.15
Max Daily Loose percent	-1.13
Max Daily Gain percent	0.85
Simple Perf.	2.58

Last 5 quotes Statistics	Value
Mean quote	1'450.83
Variance	100.85
Standard Deviation	10.04
Lowest quote	1'433.37
Highest quote	1'459.68
Median	1'446.53
Max Daily Loose percent	-0.09
Max Daily Gain percent	0.76
Simple Perf.	1.84

Previous year Statistics	Value
Mean quote	1'309.74
Variance	2'590.01
Standard Deviation	50.89
Lowest quote	1'223.69
Highest quote	1'427.09
Median	1'325.39
Max Daily Loose percent	-1.83
Max Daily Gain percent	2.16
Simple Perf.	13.62
First quote	1'248.29
Last quote	1'418.30

Current year Statistics	Value
Mean quote	1'433.30
Variance	209.63
Standard Deviation	14.48
Lowest quote	1'409.71
Highest quote	1'459.68
Median	1'434.70
Max Daily Loose percent	-1.13
Max Daily Gain percent	0.85
Simple Perf.	2.92
First quote	1'418.30
Last quote	1'459.68

Seasonal Return by Month for this asset
Month	Cumulated TWR Return.	#Month	Average TWR Return
January	-2.12	8	-0.27
February	-10.34	8	-1.29
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	+15.08	7	+2.15
December	+4.33	7	+0.62

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	+13.62
2007	+2.92

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	+1.65
December	2006	+1.26
January	2007	+1.41
February	2007	+1.49

Quotes Used	Value
Quote File Used	/local/java/TrendTimer/data/SP500_20070221.csv
# of Quotes	1780
File first date (dd.MM.yyyy)	03.01.2000
File first quote	1'455.22
File last date (dd.MM.yyyy)	20.02.2007
File last quote	1'459.68
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

Signals Statistics	Value
# Generated Signals	11
Avg # op. by year	2.20
# Days	1798
# Days in years	4.99
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

Technical	Value
Program Name	MyTrendTimer v0.99.90.52
Java Version	1.6.0
OS Name	Linux
OS Version	2.6.18-1.2869.fc6
User Name	marc
Calculation Time (Ms)	1252
Tech Id	394870107-150990
XML output file	SP500_20070221.xml
Web Root	http://www.myTrendTimer.com/
Complete Xml URL	http://www.myTrendTimer.com/xml/SP500_20070221.xml
# Warnings found	0
Generated on (dd.MM.yyyy HH:mm:ss)	21.02.2007 19:05:48

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.