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MyTrendTimer :
Standard and Poors 500
analysis of
August 28, 2007 |
| Weekly Comment about this asset/index |
| Growing concerns about housing and consumer confidence, credit market turmoil, weak July existing home sales, global liquidity crisis, short-term credit crunch etc...
A sell signal has just been issued by the model. Detail of the price and profit is in the "Generated Signals" chart below. |
|
| Financial Instrument | Value |
| Asset Name | Standard and Poors 500 |
| Symbol | GSPC |
| Currency | USD |
| Underlying instrument | iShares SP 500 (IVW) |
|
| Trend/Signal | Value |
| Current Trend/Signal |
Bearish (last signal was a Sell)
|
| Strength | Close to zero ! |
| Date | August 28, 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 |
| Sell | 28.08.2007 | 372 | 1'432.36 | +10.39 |
| Info : Current | 28.08.2007 | 000 | 1'432.36 | +0.00 |
|
| Return and result of the differents strategies |
| Time Weighted Return of | Value (over the Period) |
| Buy and Hold | -1.57 |
| Model Buy and Hold | +22.89 |
| Model Long Only | +29.31 |
| Model Short Only | +4.96 |
| Model Long and Short | +35.73 |
|
| Time Weighted Return of | Value (Annualized) |
| Buy and Hold | -0.28 |
| Model Buy and Hold | +4.15 |
| Model Long Only | +5.31 |
| Model Short Only | +0.90 |
| Model Long and Short | +6.47 |
|
| Model OverPerf vs Model Buy and Hold | Value (Annualized) |
| Model Long vs Model Buy and Hold | +1.16 |
| Model Short vs Model Buy and Hold | -3.25 |
| Model Long and Short vs Model Buy and Hold | +2.33 |
|
| Model OverPerf vs Buy and Hold | Value (Annualized) |
| Model Long vs Buy and Hold | +5.60 |
| Model Short vs Buy and Hold | +1.18 |
| Model Long and Short vs Buy and Hold | +6.76 |
|
|
| Various statistical indicators for this asset |
| Last 20 quotes Statistics | Value |
| Mean quote | 1'453.15 |
| Standard Deviation | 22.30 |
| Lowest quote | 1'406.70 |
| Highest quote | 1'497.49 |
| Median | 1'452.09 |
| Max Daily Loose percent | -2.96 |
| Max Daily Gain percent | 2.46 |
| Simple Perf. | -1.57 |
|
| Last 5 quotes Statistics | Value |
| Mean quote | 1'458.70 |
| Standard Deviation | 16.52 |
| Lowest quote | 1'432.36 |
| Highest quote | 1'479.37 |
| Median | 1'455.86 |
| Max Daily Loose percent | -2.35 |
| Max Daily Gain percent | 1.17 |
| Simple Perf. | -1.02 |
|
| Previous year Statistics | Value |
| Mean quote | 1'309.74 |
| 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 | 1'468.05 |
| Standard Deviation | 45.63 |
| Lowest quote | 1'374.12 |
| Highest quote | 1'553.08 |
| Median | 1'463.60 |
| Max Daily Loose percent | -3.47 |
| Max Daily Gain percent | 2.46 |
| Simple Perf. | 0.99 |
| First quote | 1'418.30 |
| Last quote | 1'432.36 |
|
| Seasonal Return by Month for this asset |
| Month | Cumulated TWR Return. | #Month | Average TWR Return |
| January | -2.12 | 8 | -0.27 |
| February | -13.59 | 8 | -1.70 |
| March | +5.71 | 8 | +0.71 |
| April | +7.74 | 8 | +0.97 |
| May | +6.78 | 8 | +0.85 |
| June | -6.39 | 8 | -0.80 |
| July | -11.33 | 8 | -1.42 |
| August | +1.15 | 8 | +0.14 |
| 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 | +0.99 |
|
| Year 2004 to 2005 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 |
|
| Year 2006 to 200n Monthly performance |
| Month | Year | Performance |
| 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 | -2.18 |
| March | 2007 | +1.00 |
| April | 2007 | +4.33 |
| May | 2007 | +3.25 |
| June | 2007 | -1.78 |
| July | 2007 | -3.20 |
| August | 2007 | -1.57 |
|
| Quotes Used | Value |
| Quote File Used | /local/java/TrendTimer/quote_data/SP500_20070828.csv |
| # of Quotes | 1912 |
| File first date (dd.MM.yyyy) | 03.01.2000 |
| File first quote | 1'455.22 |
| File last date (dd.MM.yyyy) | 28.08.2007 |
| File last quote | 1'432.36 |
| 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) | 19.07.2007 |
| Max Quote value | 1'553.08 |
| 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 percent | 5.73 |
|
| Signals Statistics | Value |
| # Generated Signals | 12 |
| Avg # op. by year | 2.17 |
| # Days | 1987 |
| # Days in years | 5.52 |
| 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 Server v0.99.96 |
| Java Version | 1.6.0_02 |
| OS Name | Linux |
| OS Version | 2.6.21-1.3194.fc7 |
| User Name | marc |
| Calculation Time (Ms) | 2373 |
| Tech Id | 962521894-150990 |
| XML output file | SP500_20070828.xml |
| Web Root | http://www.myTrendTimer.com/ |
| Complete Xml URL | http://www.myTrendTimer.com/xml/SP500_20070828.xml |
| # Warnings found | 5 |
| Generated on (dd.MM.yyyy HH:mm:ss) | 28.08.2007 23:13:11 |
|
| 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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