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May 8th, Bullish Trend (Buy Signal)
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 500
USD to CHF
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Swiss Market Index SMI
Standard and Poors 100
 
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Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
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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 : Topix Index (2nd Section) of January 31, 2007
Weekly Comment about this asset/index
Japanese inflation data came in below expectations last week and Monday's retail sales numbers for December showed a fall year-on-year, suggesting the Bank of Japan may find it difficult to justify a rate hike at its February meeting. Japan's low interest rates have fueled carry trades - borrowing the yen in order to fund investments in higher yielding units such as the dollar or sterling. The return point to be bullish is getting closer : signal strength is -0.1
Financial InstrumentValue
Instrument NameTopix Index (2nd Section)
SymbolTPX
CurrencyJPY
Underlying instrumentUBS-ETF DJ Japan Titans 100 (FDJPHU)
Trend/SignalValue
Current Trend/Signal Bearish (last signal was a Sell)
Strength-0.1
Date (dd.MM.yyyy)31.01.2007
Generated Signals Chart
A chart of Topix Index (2nd Section) TPX 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.
Buy26.04.20010002'117.32+0.00
Sell11.07.20010762'050.42-3.16
Buy22.03.20022541'807.78-11.83
Sell01.08.20021311'801.45-0.35
Buy23.04.20032651'580.65-12.26
Sell25.10.20045512'927.47+85.21
Buy07.01.20050743'097.54+5.81
Sell18.05.20064954'636.01+49.67
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+57.73
Model Buy and Hold+98.07
Model Long Only+167.50
Model Short Only+18.15
Model Long and Short+216.04
Time Weighted Return ofValue (Annualized)
Buy and Hold+11.26
Model Buy and Hold+19.13
Model Long Only+32.66
Model Short Only+3.54
Model Long and Short+42.13
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+13.54
Model Short vs Model Buy and Hold-15.59
Model Long and Short vs Model Buy and Hold+23.00
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+21.41
Model Short vs Buy and Hold-7.72
Model Long and Short vs Buy and Hold+30.87
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote4'183.22
Variance905.06
Standard Deviation30.08
Lowest quote4'134.62
Highest quote4'248.77
Median4'191.70
Max Daily Loose percent-1.16
Max Daily Gain percent0.58
Simple Perf.0.93
Last 5 quotes StatisticsValue
Mean quote4'199.50
Variance26.30
Standard Deviation5.13
Lowest quote4'193.57
Highest quote4'205.93
Median4'199.75
Max Daily Loose percent-0.25
Max Daily Gain percent0.29
Simple Perf.-0.14
Previous year StatisticsValue
Mean quote4'524.03
Variance186'262.96
Standard Deviation431.58
Lowest quote3'915.09
Highest quote5'531.09
Median4'723.09
Max Daily Loose percent-7.47
Max Daily Gain percent4.28
Simple Perf.-19.34
First quote5'164.11
Last quote4'165.61
Current year StatisticsValue
Mean quote4'186.15
Variance910.41
Standard Deviation30.17
Lowest quote4'134.62
Highest quote4'248.77
Median4'191.70
Max Daily Loose percent-1.16
Max Daily Gain percent0.58
Simple Perf.0.68
First quote4'165.61
Last quote4'193.83
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+23.418+2.93
February+25.857+3.69
March+20.717+2.96
April+10.237+1.46
May-14.457-2.06
June+27.567+3.94
July-21.597-3.08
August+15.067+2.15
September-12.247-1.75
October-3.537-0.50
November-11.477-1.64
December+3.437+0.49
TWR Return by Year for this asset
YearTWR Return.
2000-27.17
2001-12.06
2002-12.79
2003+43.93
2004+40.93
2005+71.43
2006-19.34
2007+0.68
Year 2000 to 2003 Monthly performance
MonthYearPerformance
January2000+0.40
February2000+15.03
March2000-8.50
April2000-5.86
May2000-7.75
June2000+3.47
July2000-8.97
August2000+9.20
September2000-4.80
October2000-9.18
November2000-4.11
December2000-6.93
January2001+3.57
February2001+0.62
March2001+1.91
April2001+3.24
May2001+1.40
June2001-0.65
July2001-8.15
August2001-2.29
September2001-7.65
October2001+4.85
November2001-3.51
December2001-5.05
January2002-2.11
February2002+2.62
March2002+5.00
April2002+1.21
May2002+4.58
June2002-3.78
July2002-1.36
August2002-3.39
September2002-3.79
October2002-7.05
November2002-3.84
December2002-0.93
January2003+1.85
February2003+2.69
March2003-2.18
April2003+4.32
May2003+6.71
June2003+8.86
July2003+5.24
August2003+4.75
September2003+4.06
October2003+6.05
November2003-7.09
December2003+2.70
Year 2004 to 200n Monthly performance
MonthYearPerformance
January2004+6.81
February2004+2.82
March2004+19.05
April2004+12.46
May2004-8.32
June2004+15.54
July2004-7.18
August2004+0.07
September2004-3.32
October2004-1.60
November2004+0.39
December2004+2.00
January2005+7.97
February2005+6.99
March2005+3.42
April2005-2.32
May2005-0.82
June2005+4.74
July2005+3.88
August2005+1.48
September2005+5.82
October2005+5.16
November2005+9.23
December2005+10.37
January2006+2.52
February2006-6.21
March2006+2.37
April2006-2.21
May2006-9.87
June2006-2.11
July2006-6.31
August2006+4.93
September2006-2.54
October2006-0.68
November2006-2.33
December2006+2.18
January2007+0.68
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/TOPIX_20070131.csv
# of Quotes1720
File first date (dd.MM.yyyy)04.01.2000
File first quote2'658.87
File last date (dd.MM.yyyy)30.01.2007
File last quote4'193.83
First data considered (dd.MM.yyyy)01.06.2000
First data considered2'421.45
Min. Quote date (dd.MM.yyyy)24.12.2002
Min. Quote value1'408.69
Max Quote date (dd.MM.yyyy)16.01.2006
Max Quote value5'531.09
Max daily drop date (dd.MM.yyyy)17.04.2000
Max Daily Drop percent-9.61
Max daily gain date (dd.MM.yyyy)20.04.2000
Max daily Gain percent4.99
Signals StatisticsValue
# Generated Signals8
Avg # op. by year1.56
# Days1846
# Days in years5.13
Biggest loose (Long only)-3.16
Min # days uninvested (before Buy Signal)74
Max # days uninvested (before Buy Signal)265
Min # days invested (before Sell Signal)76
Max # days invested (before Sell Signal)551
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)737
Tech Id262103515-1211000
XML output fileTOPIX_20070131.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/TOPIX_20070131.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)31.01.2007 18:11:21
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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