MyTrendTimer Financial Market Trend Timing USDCHF

Generated Signals
Nature	Date (dd.MM.yyyy)	# Days previous op.	Quote	Result previous op.
Buy	22.03.2001	000	1.73070	+0.00
Sell	02.08.2001	132	1.71140	-1.12
Buy	24.01.2002	175	1.67500	-2.13
Sell	25.03.2002	060	1.66550	-0.57
Buy	28.03.2002	003	1.68180	+0.98
Sell	01.04.2002	003	1.66260	-1.14
Buy	15.07.2003	470	1.37910	-17.05
Sell	30.09.2003	077	1.32060	-4.24
Buy	06.04.2004	189	1.29745	-1.75
Sell	28.05.2004	052	1.25440	-3.32
Buy	31.08.2004	095	1.26805	+1.09
Sell	30.09.2004	030	1.24870	-1.53
Buy	09.02.2005	132	1.21770	-2.48
Sell	22.02.2005	013	1.16335	-4.46
Buy	06.04.2005	042	1.20735	+3.78
Sell	19.01.2006	288	1.28145	+6.14
Buy	09.02.2006	021	1.30240	+1.63
Sell	19.04.2006	068	1.27120	-2.40
Buy	21.09.2006	155	1.25120	-1.57
Sell	22.09.2006	001	1.23455	-1.33
Buy	28.09.2006	006	1.24825	+1.11
Sell	21.11.2006	054	1.24115	-0.57
Buy	19.01.2007	059	1.25000	+0.71
Sell	28.02.2007	040	1.22120	-2.30
Buy	11.06.2007	102	1.23975	+1.52
Sell	09.07.2007	028	1.21710	-1.83
Info : Current	02.11.2007	116	1.15260	-5.30

Return and result of the differents strategies

Time Weighted Return of	Value (over the Period)
Buy and Hold	-27.67
Model Buy and Hold	-33.40
Model Long Only	-17.47
Model Short Only	+19.30
Model Long and Short	-1.54

Time Weighted Return of	Value (Annualized)
Buy and Hold	-4.13
Model Buy and Hold	-4.99
Model Long Only	-2.61
Model Short Only	+2.88
Model Long and Short	-0.23

Model OverPerf vs Model Buy and Hold	Value (Annualized)
Model Long vs Model Buy and Hold	+2.38
Model Short vs Model Buy and Hold	+7.87
Model Long and Short vs Model Buy and Hold	+4.76

Model OverPerf vs Buy and Hold	Value (Annualized)
Model Long vs Buy and Hold	+1.52
Model Short vs Buy and Hold	+7.01
Model Long and Short vs Buy and Hold	+3.90

Various statistical indicators for this asset

Last 20 quotes Statistics	Value
Mean quote	1.17280
Standard Deviation	0.01022
Lowest quote	1.15260
Highest quote	1.18710
Median	1.16985
Max Daily Loose percent	-1.03233
Max Daily Gain percent	0.90099
Simple Perf.	-2.03144

Last 5 quotes Statistics	Value
Mean quote	1.15957
Standard Deviation	0.00459
Lowest quote	1.15260
Highest quote	1.16530
Median	1.15895
Max Daily Loose percent	-0.38617
Max Daily Gain percent	0.23223
Simple Perf.	-0.86015

Previous year Statistics	Value
Mean quote	1.25380
Standard Deviation	0.03314
Lowest quote	1.19205
Highest quote	1.32050
Median	1.25627
Max Daily Loose percent	-1.96901
Max Daily Gain percent	1.10434
Simple Perf.	-7.37888
First quote	1.31795
Last quote	1.22070

Current year Statistics	Value
Mean quote	1.21275
Standard Deviation	0.02351
Lowest quote	1.15260
Highest quote	1.25455
Median	1.20358
Max Daily Loose percent	-1.28238
Max Daily Gain percent	0.90099
Simple Perf.	-5.57877
First quote	1.22070
Last quote	1.15260

Seasonal Return by Month for this asset
Month	Cumulated TWR Return.	#Month	Average TWR Return
January	+13.04	8	+1.63
February	-0.16	8	-0.02
March	+4.55	8	+0.57
April	-3.97	8	-0.50
May	-5.57	8	-0.70
June	-0.66	8	-0.08
July	+0.19	8	+0.02
August	+1.37	8	+0.17
September	-10.97	8	-1.37
October	+0.98	8	+0.12
November	-13.12	8	-1.64
December	-14.24	7	-2.03

TWR Return by Year for this asset
Year	TWR Return.
2000	+1.69
2001	+2.46
2002	-16.72
2003	-10.56
2004	-8.06
2005	+15.90
2006	-7.38
2007	-5.58

Year 2004 to 2005 Monthly performance
Month	Year	Performance
January	2004	+1.91
February	2004	+0.77
March	2004	-0.25
April	2004	+2.35
May	2004	-3.25
June	2004	-0.16
July	2004	+2.15
August	2004	-0.88
September	2004	-1.53
October	2004	-3.78
November	2004	-5.29
December	2004	-0.07
January	2005	+4.52
February	2005	-2.57
March	2005	+2.93
April	2005	-0.12
May	2005	+4.58
June	2005	+2.90
July	2005	+0.32
August	2005	-2.08
September	2005	+2.45
October	2005	+0.14
November	2005	+1.82
December	2005	+0.25

Year 2006 to 200n Monthly performance
Month	Year	Performance
January	2006	-2.80
February	2006	+2.38
March	2006	-0.37
April	2006	-4.83
May	2006	-2.31
June	2006	+0.82
July	2006	+0.52
August	2006	+0.13
September	2006	+1.70
October	2006	-0.81
November	2006	-3.68
December	2006	+1.89
January	2007	+2.22
February	2007	-2.13
March	2007	-0.03
April	2007	-1.15
May	2007	+1.55
June	2007	-0.14
July	2007	-1.76
August	2007	+0.42
September	2007	-3.32
October	2007	-0.60
November	2007	-0.65

Quotes Used	Value
Link on Quote File	USDCHF_20071102.csv
Quote File Used	/local/java/TrendTimer/quote_data/USDCHF_20071102.csv
# of Quotes	1998
File first date (dd.MM.yyyy)	03.01.2000
File first quote	1.59350
File last date (dd.MM.yyyy)	02.11.2007
File last quote	1.15260
First data considered (dd.MM.yyyy)	18.05.2000
First data considered	1.73500
Min. Quote date (dd.MM.yyyy)	30.12.2004
Min. Quote value	1.13335
Max Quote date (dd.MM.yyyy)	26.10.2000
Max Quote value	1.82000
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 percent	2.61980

Signals Statistics	Value
# Generated Signals	26
Avg # op. by year	3.88
# Days	2411
# Days in years	6.70
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

Technical	Value
Program Name	MyTrendTimer v0.99.97.19REF
Java Version	1.6.0_02
OS Name	Linux
OS Version	2.6.22.9-91.fc7
User Name	marc
Calculation Time (Ms)	2550
Tech Id	49675870-123960
XML output file	USDCHF_20071102.xml
Web Root	http://www.MyTrendTimer.com/
Complete Xml URL	http://www.MyTrendTimer.com/xml/USDCHF_20071102.xml
# Warnings found	25
Generated on (dd.MM.yyyy HH:mm:ss)	02.11.2007 18:03:21

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.