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MyTrendTimer Financial Market Trend Timing report

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November 12th, Bullish Trend (Buy Signal)
Swiss Market Index SMI
Dow Jones Industrial
Standard and Poors 100
USD to CHF
November 12th, Bearish Trend (Sell Signal)
NASDAQ Composite
Standard and Poors 500
 
Older reports
 
November 6th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
October 29th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
 
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MyTrendTimer : Standard and Poors 500 analysis of January 23, 2008
Weekly Comment about this asset/index
Global stocks have been on a crash course, plunging on worries about a U.S. slowdown. The market rout mostly ended Wednesday as Asian markets, which had closed Tuesday by the time the Fed announced it was slashing interest rates, rebounded. But European markets, which had had a chance to react to the Fed cut on Tuesday, fell sharply in midday trading Wednesday.
Financial InstrumentValue
Asset NameStandard and Poors 500
SymbolGSPC
CurrencyUSD
Underlying instrumentiShares SP 500 (IVW)
Trend/SignalValue
Current Trend/Signal Bearish (last signal was a Sell)
Strength-1.6
DateJanuary 23, 2008
Generated Signals Chart
A chart of Standard and Poors 500 GSPC dated January 23, 2008 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
Sell28.08.20073721'432.36+10.39
Buy19.09.20070221'529.03+6.75
Sell21.11.20070631'416.77-7.34
Info : Current22.01.20080621'310.50-7.50
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-9.94
Model Buy and Hold+12.44
Model Long Only+19.82
Model Short Only+6.16
Model Long and Short+27.20
Time Weighted Return ofValue (Annualized)
Buy and Hold-1.68
Model Buy and Hold+2.10
Model Long Only+3.34
Model Short Only+1.04
Model Long and Short+4.59
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+1.25
Model Short vs Model Buy and Hold-1.06
Model Long and Short vs Model Buy and Hold+2.49
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+5.02
Model Short vs Buy and Hold+2.72
Model Long and Short vs Buy and Hold+6.27
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote1'421.42
Standard Deviation55.69
Lowest quote1'310.50
Highest quote1'497.66
Median1'404.08
Max Daily Loose percent-2.91
Max Daily Gain percent1.67
Simple Perf.-9.81
Last 5 quotes StatisticsValue
Mean quote1'356.56
Standard Deviation40.21
Lowest quote1'310.50
Highest quote1'416.25
Median1'363.38
Max Daily Loose percent-2.91
Max Daily Gain percent0.00
Simple Perf.-7.47
Previous year StatisticsValue
Mean quote1'477.24
Standard Deviation44.91
Lowest quote1'374.12
Highest quote1'565.15
Median1'469.64
Max Daily Loose percent-3.47
Max Daily Gain percent2.92
Simple Perf.3.53
First quote1'418.30
Last quote1'468.36
Current year StatisticsValue
Mean quote1'393.10
Standard Deviation45.26
Lowest quote1'310.50
Highest quote1'468.36
Median1'389.43
Max Daily Loose percent-2.91
Max Daily Gain percent1.36
Simple Perf.-10.75
First quote1'468.36
Last quote1'310.50
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-12.659-1.41
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-11.338-1.42
August+4.098+0.51
September-17.568-2.20
October+21.068+2.63
November+10.018+1.25
December+3.438+0.43
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+3.53
2008-10.75
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
July2007-3.20
August2007+1.29
September2007+3.58
October2007+1.48
November2007-4.40
December2007-0.86
January2008-10.75
Quotes UsedValue
Link on Quote FileSP500_20080123.csv
Quote File Used/local/java/TrendTimer/quote_data/SP500_20080123.csv
# of Quotes2011
File first date (dd.MM.yyyy)03.01.2000
File first quote1'455.22
File last date (dd.MM.yyyy)22.01.2008
File last quote1'310.50
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)09.10.2007
Max Quote value1'565.15
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 Signals14
Avg # op. by year2.36
# Days2134
# Days in years5.93
Biggest loose (Long only)-7.34
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 v0.99.98
Java Version1.7.0
OS NameLinux
OS Version2.6.23.1-49.fc8PAE
User Namemarc
Calculation Time (Ms)310
Tech Id255241004-150990
XML output fileSP500_20080123.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/SP500_20080123.xml
# Warnings found4
Generated on (dd.MM.yyyy HH:mm:ss)23.01.2008 18:44:40
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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