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USD to CHF
 
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MyTrendTimer : U.S. Dollar to Swiss Franc of December 29, 2006
Weekly Comment about this asset/index
The US Commerce Dept. showed that the U.S. economy grew at a slower pace (2.0%) than previously estimated (2.2%), marking the weakest quarter since Q4 of last year when the economy expanded at a 1.8% annual rate. Fortunately for the bulls, the dated nature of the report and the forward-thinking of the market have so far left investors more interested in the current strength of the economy and a focus on forecasts for 2007. Diplomatic efforts to persuade North Korea to scrap its nuclear weapons ended with no deal on Friday after a week of six-party talks, Interfax news agency reported, quoting a source close to the Russian delegation. Homebuilding, one of the most battered sectors of the U.S. economy in recent months, showed surprising strength in November, according to a government report Wednesday. New homes sold at an annual pace of 1.05 million, up from the revised annual rate of 1.01 million in October. Economists surveyed by Briefing.com had forecast that home sales would rebound to a 1.02 million pace. Treasury bond prices slumped, boosting yields, while the dollar fell. The dollar steadied against the euro and yen after a series of surprisingly strong U.S. data painted a more robust picture of the economy.
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-1.3
Date (dd.MM.yyyy)29.12.2006
Generated Operations Chart
A chart of U.S. Dollar to Swiss Franc USDCHF=X dated December 29, 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-23.31
Model Buy and Hold-29.39
Model Long Only-13.95
Model Short Only+16.66
Model Long and Short+0.38
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.06
Model Buy and Hold-5.12
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+2.69
Model Short vs Model Buy and Hold+8.02
Model Long and Short vs Model Buy and Hold+5.19
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+1.63
Model Short vs Buy and Hold+6.96
Model Long and Short vs Buy and Hold+4.13
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote1.20779
Variance0.00014
Standard Deviation0.01183
Lowest quote1.19205
Highest quote1.22535
Median1.20870
Max Daily Loose percent-0.92619
Max Daily Gain percent0.85462
Simple Perf.1.14210
Last 5 quotes StatisticsValue
Mean quote1.21952
Variance0.00001
Standard Deviation0.00345
Lowest quote1.21695
Highest quote1.22535
Median1.22115
Max Daily Loose percent-0.26524
Max Daily Gain percent0.58280
Simple Perf.0.42319
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 quote1.25393
Variance0.00110
Standard Deviation0.03314
Lowest quote1.19205
Highest quote1.32050
Median1.25627
Max Daily Loose percent-1.96901
Max Daily Gain percent1.10434
Simple Perf.-7.27266
First quote1.31795
Last quote1.22210
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-14.147-2.02
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
2006-7.27
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+2.01
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/USDCHF_20061229.csv
# of Quotes1784
File first date (dd.MM.yyyy)03.01.2000
File first quote1.59350
File last date (dd.MM.yyyy)28.12.2006
File last quote1.22210
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 v0.99.88.3
Java Version1.6.0-rc
OS NameLinux
OS Version2.6.18-1.2849.fc6
User Namemarc
Calculation Time (Ms)841
Tech Id740650699-123960
XML output fileUSDCHF_20061229.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/USDCHF_20061229.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)29.12.2006 18:39:02
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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