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MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
Signals and News Help/HowTo Principles About
 
August 14th, Bullish Trend (Buy Signal)
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 500
USD to CHF
Standard and Poors 100
Swiss Market Index SMI
August 14th, Bearish Trend (Sell Signal)
None for now.
 
Older reports
 
August 3rd, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
July 23rd, 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 July 25, 2007
Weekly Comment about this asset/index
The SP 500 is an index containing the stocks of 500 Large-Cap corporations, most of which are American. The index is the most notable of the many indices owned and maintained by Standard and Poor s, a division of McGraw-Hill. SP 500 is used in reference not only to the index but also to the 500 actual companies whose stocks are included in the index.
Financial InstrumentValue
Asset NameStandard and Poors 500
SymbolGSPC
CurrencyUSD
Underlying instrumentiShares SP 500 (IVW)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strength1.6
Date (dd.MM.yyyy)25.07.2007
Generated Signals Chart
A  chart of Standard and Poors 500 GSPC dated July 25, 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 : Current24.07.20073371'511.04+16.46
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+3.84
Model Buy and Hold+29.64
Model Long Only+36.41
Model Short Only+4.96
Model Long and Short+43.19
Time Weighted Return ofValue (Annualized)
Buy and Hold+0.71
Model Buy and Hold+5.47
Model Long Only+6.72
Model Short Only+0.92
Model Long and Short+7.96
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+1.25
Model Short vs Model Buy and Hold-4.55
Model Long and Short vs Model Buy and Hold+2.50
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+6.01
Model Short vs Buy and Hold+0.21
Model Long and Short vs Buy and Hold+7.26
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote1'526.28
Standard Deviation19.43
Lowest quote1'492.89
Highest quote1'553.08
Median1'522.98
Max Daily Loose percent-1.98
Max Daily Gain percent1.91
Simple Perf.0.89
Last 5 quotes StatisticsValue
Mean quote1'539.22
Standard Deviation15.29
Lowest quote1'511.04
Highest quote1'553.08
Median1'532.06
Max Daily Loose percent-1.98
Max Daily Gain percent0.49
Simple Perf.-2.47
Previous year StatisticsValue
Mean quote1'309.74
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 quote1'469.84
Standard Deviation48.23
Lowest quote1'374.12
Highest quote1'553.08
Median1'463.60
Max Daily Loose percent-3.47
Max Daily Gain percent1.91
Simple Perf.6.54
First quote1'418.30
Last quote1'511.04
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-2.128-0.27
February-13.598-1.70
March+5.718+0.71
April+7.748+0.97
May+6.788+0.85
June-6.398-0.80
July-7.938-0.99
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+6.54
Year 2004 to 2005 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
Year 2006 to 200n Monthly performance
MonthYearPerformance
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+1.41
February2007-2.18
March2007+1.00
April2007+4.33
May2007+3.25
June2007-1.78
July2007+0.51
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/SP500_20070725.csv
# of Quotes1887
File first date (dd.MM.yyyy)03.01.2000
File first quote1'455.22
File last date (dd.MM.yyyy)24.07.2007
File last quote1'511.04
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)19.07.2007
Max Quote value1'553.08
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 Signals11
Avg # op. by year2.03
# Days1952
# Days in years5.42
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 v0.99.94
Java Version1.6.0_02
OS NameLinux
OS Version2.6.21-1.3194.fc7
User Namemarc
Calculation Time (Ms)2303
Tech Id668704535-150990
XML output fileSP500_20070725.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/SP500_20070725.xml
# Warnings found3
Generated on (dd.MM.yyyy HH:mm:ss)25.07.2007 18:30:54
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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