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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
 
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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 : U.S. Dollar to Swiss Franc of December 6, 2006
Weekly Comment about this asset/index
On Monday, the dollar rebounded from an earlier 20-month low against the euro and a basket of currencies as investors locked in profits after shaving more than 3 percent off its value in less than two weeks. Oil prices were steadying as the possibility of a further output cut by OPEC producers who meet next week was balanced by milder weather and expected strong fuel stockpiles in the United States. Later, investors will look to the U.S. Institute for Supply Management's non-manufacturing gauge for November for clues on whether growth in the world's largest economy is slowing sufficiently to necessitate interest rate cuts in 2007. The dollar hit session lows against the euro and extended its slide against the yen on Tuesday after key third-quarter U.S. wage inflation data were revised down, lessening the likelihood of a rate rise. The productivity of U.S. workers rose by a weaker-than-expected 0.2 percent in the third quarter, while unit labor costs grew by less than initially thought in encouraging news for the Federal Reserve on wage pressures, government data showed on Tuesday.
Financial InstrumentValue
Instrument NameU.S. Dollar to Swiss Franc
SymbolUSDCHF=X
CurrencyCHF
Underlying instrumentSpot or term Forex Market
Trend/SignalValue
Current Trend/Signal Bearish (last signal was a Sell)
Strenght-1.5
Date (dd.MM.yyyy)06.12.2006
Generated Operations Chart
A chart of U.S. Dollar to Swiss Franc USDCHF=X dated December 6, 2006 to backtest the trend timer model buy and sell signals
Generated Operations
NatureDate (dd.MM.yyyy)# Days previous op.QuoteResult previous op.
Buy22.03.20010001.73070+0.00
Sell02.08.20011321.71140-1.12
Buy24.01.20021751.67500-2.13
Sell25.03.20020601.66550-0.57
Buy28.03.20020031.68180+0.98
Sell01.04.20020031.66260-1.14
Buy15.07.20034701.37910-17.05
Sell30.09.20030771.32060-4.24
Buy06.04.20041891.29745-1.75
Sell28.05.20040521.25440-3.32
Buy31.08.20040951.26805+1.09
Sell30.09.20040301.24870-1.53
Buy09.02.20051321.21770-2.48
Sell22.02.20050131.16335-4.46
Buy06.04.20050421.20735+3.78
Sell19.01.20062881.28145+6.14
Buy09.02.20060211.30240+1.63
Sell19.04.20060681.27120-2.40
Buy21.09.20061551.25120-1.57
Sell22.09.20060011.23455-1.33
Buy28.09.20060061.24825+1.11
Sell21.11.20060541.24115-0.57
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-25.17
Model Buy and Hold-31.10
Model Long Only-13.95
Model Short Only+16.66
Model Long and Short+0.38
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.39
Model Buy and Hold-5.42
Model Long Only-2.43
Model Short Only+2.90
Model Long and Short+0.07
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+2.99
Model Short vs Model Buy and Hold+8.32
Model Long and Short vs Model Buy and Hold+5.48
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+1.95
Model Short vs Buy and Hold+7.29
Model Long and Short vs Buy and Hold+4.45
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote1.22664
Variance0.00046
Standard Deviation0.02151
Lowest quote1.19205
Highest quote1.25105
Median1.22155
Max Daily Loose percent-1.09940
Max Daily Gain percent0.38345
Simple Perf.-4.35532
Last 5 quotes StatisticsValue
Mean quote1.19918
Variance0.00006
Standard Deviation0.00774
Lowest quote1.19205
Highest quote1.20925
Median1.20065
Max Daily Loose percent-0.92619
Max Daily Gain percent0.24328
Simple Perf.-1.31176
Previous year StatisticsValue
Mean quote1.24681
Variance0.00263
Standard Deviation0.05126
Lowest quote1.13710
Highest quote1.32670
Median1.23190
Max Daily Loose percent-1.60084
Max Daily Gain percent1.68639
Simple Perf.15.90450
First quote1.13710
Last quote1.31795
Current year StatisticsValue
Mean quote1.25663
Variance0.00104
Standard Deviation0.03221
Lowest quote1.19205
Highest quote1.32050
Median1.25627
Max Daily Loose percent-1.96901
Max Daily Gain percent1.10434
Simple Perf.-9.52236
First quote1.31795
Last quote1.19245
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+10.597+1.51
February+2.027+0.29
March+4.597+0.66
April-2.857-0.41
May-7.017-1.00
June-0.517-0.07
July+1.987+0.28
August+0.957+0.14
September-7.917-1.13
October+1.597+0.23
November-12.557-1.79
December-16.227-2.32
TWR Return by Year for this asset
YearTWR Return.
2000+1.69
2001+2.46
2002-16.72
2003-10.56
2004-8.06
2005+15.90
2006-9.52
Year 2000 to 2003 Monthly performance
MonthYearPerformance
January2000+3.23
February2000+0.91
March2000+0.42
April2000+3.24
May2000-2.03
June2000-2.97
July2000+2.08
August2000+4.07
September2000+0.12
October2000+3.85
November2000-4.04
December2000-6.55
January2001+1.45
February2001+1.88
March2001+3.53
April2001+0.05
May2001+3.41
June2001+0.20
July2001-3.90
August2001-3.38
September2001-3.15
October2001+1.01
November2001+0.85
December2001+0.82
January2002+3.11
February2002-0.44
March2002-1.33
April2002-3.67
May2002-3.29
June2002-5.01
July2002-0.43
August2002+1.27
September2002-1.83
October2002+0.20
November2002+0.49
December2002-6.79
January2003-1.09
February2003-0.85
March2003-0.34
April2003+0.36
May2003-3.97
June2003+4.00
July2003+1.36
August2003+2.01
September2003-5.71
October2003+1.12
November2003-3.19
December2003-4.33
Year 2004 to 200n Monthly performance
MonthYearPerformance
January2004+1.91
February2004+0.77
March2004-0.25
April2004+2.35
May2004-3.25
June2004-0.16
July2004+2.15
August2004-0.88
September2004-1.53
October2004-3.78
November2004-5.29
December2004-0.07
January2005+4.52
February2005-2.57
March2005+2.93
April2005-0.12
May2005+4.58
June2005+2.90
July2005+0.32
August2005-2.08
September2005+2.45
October2005+0.14
November2005+1.82
December2005+0.25
January2006-2.80
February2006+2.38
March2006-0.37
April2006-4.83
May2006-2.31
June2006+0.82
July2006+0.52
August2006+0.13
September2006+1.70
October2006-0.81
November2006-3.68
December2006-0.47
Quotes UsedValue
Quote File UsedUSDCHF_20061206.csv
# of Quotes1769
File first date (dd.MM.yyyy)03.01.2000
File first quote1.59350
File last date (dd.MM.yyyy)05.12.2006
File last quote1.19245
First data considered (dd.MM.yyyy)18.05.2000
First data considered1.73500
Min. Quote date (dd.MM.yyyy)30.12.2004
Min. Quote value1.13335
Max Quote date (dd.MM.yyyy)26.10.2000
Max Quote value1.82000
Max daily drop date (dd.MM.yyyy)22.09.2000
Max Daily Drop percent-3.31834
Max daily gain date (dd.MM.yyyy)15.02.2001
Max daily Gain percent2.61980
Operations StatisticsValue
# Generated operations22
Avg # op. by year3.83
# Days2066
# Days in years5.74
Biggest loose (Long only)-4.46
Min # days uninvested (before Buy operation)3
Max # days uninvested (before Buy operation)470
Min # days invested (before Sell operation)1
Max # days invested (before Sell operation)288
TechnicalValue
Program NameMyTrendTimer v0.99.87
Java Version1.6.0-rc
OS NameLinux
OS Version2.6.18-1.2849.fc6
User Namemarc
Calculation Time (Ms)639
Tech Id164565894-123960
XML output fileUSDCHF_20061206.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/USDCHF_20061206.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)06.12.2006 17:45:15
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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