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MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
Signals and News Help/HowTo Principles About
 
October 15th, Bullish Trend (Buy Signal)
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 500
Standard and Poors 100
Swiss Market Index SMI
USD to CHF
October 15th, Bearish Trend (Sell Signal)
None for now.
 
Older reports
 
October 12th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
October 1st, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
 
Archived reports
 
2005 Archive Page
2006 Archive Page
2007 Archive Page
2008 Archive Page
2009 Archive Page
2010 Archive Page
2011 Archive Page
2012 Archive Page
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2014 Archive Page
2015 Archive Page
2016 Archive Page
2017 Archive Page
2018 Archive Page
MyTrendTimer : U.S. Dollar to Swiss Franc of January 24, 2007
Weekly Comment about this asset/index
The dollar was mixed against other major currencies, while gold prices spiked. A Buy signal was raised on 19.01.2007, level 1.25. Be carefull, the model seems to have some trouble with USD... This kind of sideway trend is terrible to have frank and clear signals !
Financial InstrumentValue
Instrument NameU.S. Dollar to Swiss Franc
SymbolUSDCHF=X
CurrencyCHF
Underlying instrumentSpot or term Forex Market
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strength0.1
Date (dd.MM.yyyy)24.01.2007
Generated Operations Chart
A chart of U.S. Dollar to Swiss Franc USDCHF=X dated January 24, 2007 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
Buy19.01.20070591.25000+0.71
info : Current23.01.20070041.23955-0.84
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-22.21
Model Buy and Hold-28.38
Model Long Only-14.67
Model Short Only+16.06
Model Long and Short-0.97
Time Weighted Return ofValue (Annualized)
Buy and Hold-3.76
Model Buy and Hold-4.80
Model Long Only-2.48
Model Short Only+2.72
Model Long and Short-0.16
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+2.32
Model Short vs Model Buy and Hold+7.51
Model Long and Short vs Model Buy and Hold+4.63
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+1.27
Model Short vs Buy and Hold+6.47
Model Long and Short vs Buy and Hold+3.59
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote1.23630
Variance0.00015
Standard Deviation0.01240
Lowest quote1.21705
Highest quote1.25000
Median1.23353
Max Daily Loose percent-0.71686
Max Daily Gain percent0.61343
Simple Perf.1.84874
Last 5 quotes StatisticsValue
Mean quote1.24676
Variance0.00001
Standard Deviation0.00380
Lowest quote1.23955
Highest quote1.25000
Median1.24478
Max Daily Loose percent-0.71686
Max Daily Gain percent0.24083
Simple Perf.-0.69300
Previous year StatisticsValue
Mean quote1.25380
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.-7.37888
First quote1.31795
Last quote1.22070
Current year StatisticsValue
Mean quote1.24139
Variance0.00009
Standard Deviation0.00925
Lowest quote1.22070
Highest quote1.25000
Median1.23535
Max Daily Loose percent-0.71686
Max Daily Gain percent0.61343
Simple Perf.1.54420
First quote1.22070
Last quote1.23955
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+12.298+1.54
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-14.247-2.03
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
2006-7.38
2007+1.54
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+1.89
January2007+1.54
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/USDCHF_20070124.csv
# of Quotes1800
File first date (dd.MM.yyyy)03.01.2000
File first quote1.59350
File last date (dd.MM.yyyy)23.01.2007
File last quote1.23955
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 operations24
Avg # op. by year4.06
# Days2129
# Days in years5.91
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 v0.99.90.0
Java Version1.6.0-rc
OS NameLinux
OS Version2.6.19-1.2895.fc6
User Namemarc
Calculation Time (Ms)854
Tech Id193743888-123960
XML output fileUSDCHF_20070124.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/USDCHF_20070124.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)24.01.2007 18:51:44
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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