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MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
Signals and News Help/HowTo Principles About
 
August 14th, Bullish Trend (Buy Signal)
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 500
USD to CHF
Standard and Poors 100
Swiss Market Index SMI
August 14th, Bearish Trend (Sell Signal)
None for now.
 
Older reports
 
August 3rd, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
July 23rd, 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
2013 Archive Page
2014 Archive Page
2015 Archive Page
2016 Archive Page
2017 Archive Page
2018 Archive Page
MyTrendTimer : U.S. Dollar to Swiss Franc analysis of November 21, 2007
Weekly Comment about this asset/index
Timing the dollar is a pain ! We are a record low level !
Financial InstrumentValue
Asset 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)
Strength-3.4
DateNovember 21, 2007
Generated Signals Chart
A chart of U.S. Dollar to Swiss Franc USDCHF=X dated November 21, 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
Sell28.02.20070401.22120-2.30
Buy11.06.20071021.23975+1.52
Sell09.07.20070281.21710-1.83
Info : Current21.11.20071351.10360-9.33
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-30.74
Model Buy and Hold-36.23
Model Long Only-17.47
Model Short Only+22.73
Model Long and Short+1.29
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.55
Model Buy and Hold-5.37
Model Long Only-2.59
Model Short Only+3.37
Model Long and Short+0.19
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+2.78
Model Short vs Model Buy and Hold+8.74
Model Long and Short vs Model Buy and Hold+5.56
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+1.97
Model Short vs Buy and Hold+7.92
Model Long and Short vs Buy and Hold+4.75
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote1.13936
Standard Deviation0.02143
Lowest quote1.10360
Highest quote1.17300
Median1.13830
Max Daily Loose percent-1.00419
Max Daily Gain percent0.43633
Simple Perf.-5.91645
Last 5 quotes StatisticsValue
Mean quote1.11538
Standard Deviation0.00740
Lowest quote1.10360
Highest quote1.12270
Median1.11315
Max Daily Loose percent-0.57658
Max Daily Gain percent0.03564
Simple Perf.-1.66622
Previous year StatisticsValue
Mean quote1.25380
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 quote1.20774
Standard Deviation0.03075
Lowest quote1.10360
Highest quote1.25455
Median1.17908
Max Daily Loose percent-1.28238
Max Daily Gain percent0.90099
Simple Perf.-9.59286
First quote1.22070
Last quote1.10360
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+13.048+1.63
February-0.168-0.02
March+4.558+0.57
April-3.978-0.50
May-5.578-0.70
June-0.668-0.08
July+0.198+0.02
August+1.378+0.17
September-10.978-1.37
October+0.988+0.12
November-16.818-2.10
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
2007-9.59
Year 2004 to 2005 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
Year 2006 to 200n Monthly performance
MonthYearPerformance
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+2.22
February2007-2.13
March2007-0.03
April2007-1.15
May2007+1.55
June2007-0.14
July2007-1.76
August2007+0.42
September2007-3.32
October2007-0.60
November2007-4.87
Quotes UsedValue
Link on Quote FileUSDCHF_20071121.csv
Quote File Used/local/java/TrendTimer/quote_data/USDCHF_20071121.csv
# of Quotes2011
File first date (dd.MM.yyyy)03.01.2000
File first quote1.59350
File last date (dd.MM.yyyy)21.11.2007
File last quote1.10360
First data considered (dd.MM.yyyy)18.05.2000
First data considered1.73500
Min. Quote date (dd.MM.yyyy)21.11.2007
Min. Quote value1.10360
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 Signals26
Avg # op. by year3.85
# Days2430
# Days in years6.75
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 v0.99.97.19REF
Java Version1.7.0
OS NameLinux
OS Version2.6.23.1-49.fc8PAE
User Namemarc
Calculation Time (Ms)319
Tech Id565685434-123960
XML output fileUSDCHF_20071121.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/USDCHF_20071121.xml
# Warnings found25
Generated on (dd.MM.yyyy HH:mm:ss)21.11.2007 18:34:52
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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