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MyTrendTimer Financial Market Trend Timing report

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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.
 
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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
 
 
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MyTrendTimer : U.S. Dollar to Swiss Franc of January 31, 2007
Weekly Comment about this asset/index
Fed meeting is this week main event. The dollar scaled a four-year high against the yen on Monday, supported by solid U.S. economic data that helped persuade investors that the Federal Reserve may not cut interest rates this year. Stronger than expected December U.S. durable goods orders and new home sales released on Friday were the latest in a series of robust figures that have convinced investors the world's biggest economy can avoid a hard landing and may not need a growth-boosting rate cut from the current 5.25 percent. The Federal Reserve is widely expected to leave a key short-term interest rate unchanged for the fifth consecutive time when it wraps up a two-day meeting on Jan. 31. But Wall Street will be keeping a close eye on the Fed's policy statement for any hints regarding the timing of a long-awaited rate cut. According to interest rate futures listed on the Chicago Board of Trade, investors are pricing in a 98 percent chance that the nation's central bank will keep the federal funds rate, a key rate that affects what consumers and businesses pay on various types of loans, at 5.25 percent. The Fed had raised interest rates by a quarter of a percentage point for 17 consecutive meetings between June 2004 and June of last year to keep inflation in check. Since the Fed first paused last August, many investors have been hoping that the central bank would soon start cutting interest rates in order to make sure that the economy does not fall into a tailspin. Although interest rates are still relatively low by historical standards, some fear that as a result of the previous rate hikes, consumers and corporations will eventually cut back on spending, which could have a drastic effect on the economy. But several Fed members, including chairman Ben Bernanke, have indicated in recent speeches that they are still concerned about inflation. The minutes from the Fed's last meeting, held in December, also demonstrated that the Fed is keeping a close watch on pricing pressures. Stocks struggled last week as investors contended with that rebound in oil prices, some disappointment about the fourth-quarter earnings and a growing realization that the Federal Reserve may not push interest rates one way or the other this year. The dollar held near a four-year peak against the yen on Wednesday as investors waited for a Federal Reserve policy statement due later in the session for clues on the course of U.S. interest rates. The U.S. central bank is widely expected to keep interest rates unchanged at 5.25 percent when it concludes its two-day meeting later this session, and traders are looking for signs of greater economic optimism. Data due later Wednesday includes fourth-quarter gross domestic product and the employment cost index. Economists expect GDP to show annualized growth of 3.0 percent in the fourth quarter, up from 2.0 percent in the third quarter. The growth data will be followed by manufacturing activity figures on Thursday and key jobs data on Friday. 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)
Strength0.4
Date (dd.MM.yyyy)31.01.2007
Generated Signals Chart
A chart of U.S. Dollar to Swiss Franc USDCHF=X 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.
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 : Current30.01.20070111.25275+0.22
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-21.38
Model Buy and Hold-27.62
Model Long Only-13.77
Model Short Only+16.06
Model Long and Short+0.09
Time Weighted Return ofValue (Annualized)
Buy and Hold-3.60
Model Buy and Hold-4.65
Model Long Only-2.32
Model Short Only+2.71
Model Long and Short+0.01
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+2.33
Model Short vs Model Buy and Hold+7.36
Model Long and Short vs Model Buy and Hold+4.67
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+1.28
Model Short vs Buy and Hold+6.31
Model Long and Short vs Buy and Hold+3.62
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote1.24362
Variance0.00008
Standard Deviation0.00919
Lowest quote1.22070
Highest quote1.25455
Median1.23763
Max Daily Loose percent-0.71686
Max Daily Gain percent0.71098
Simple Perf.2.62554
Last 5 quotes StatisticsValue
Mean quote1.24889
Variance0.00003
Standard Deviation0.00590
Lowest quote1.23955
Highest quote1.25455
Median1.24705
Max Daily Loose percent-0.27240
Max Daily Gain percent0.71098
Simple Perf.1.06490
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 quote1.24362
Variance0.00008
Standard Deviation0.00919
Lowest quote1.22070
Highest quote1.25455
Median1.23763
Max Daily Loose percent-0.71686
Max Daily Gain percent0.71098
Simple Perf.2.62554
First quote1.22070
Last quote1.25275
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+13.498+1.69
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+2.63
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+2.63
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/USDCHF_20070131.csv
# of Quotes1805
File first date (dd.MM.yyyy)03.01.2000
File first quote1.59350
File last date (dd.MM.yyyy)30.01.2007
File last quote1.25275
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
Signals StatisticsValue
# Generated Signals24
Avg # op. by year4.04
# Days2136
# Days in years5.93
Biggest loose (Long only)-4.46
Min # days uninvested (before Buy Signal)3
Max # days uninvested (before Buy Signal)470
Min # days invested (before Sell Signal)1
Max # days invested (before Sell Signal)288
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)699
Tech Id544908947-123960
XML output fileUSDCHF_20070131.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/USDCHF_20070131.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)31.01.2007 18:11:22
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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