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MyTrendTimer Financial Market Trend Timing report

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November 12th, Bullish Trend (Buy Signal)
Swiss Market Index SMI
Dow Jones Industrial
Standard and Poors 100
USD to CHF
November 12th, Bearish Trend (Sell Signal)
NASDAQ Composite
Standard and Poors 500
 
Older reports
 
November 6th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
October 29th, 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 analysis of February 12, 2008
Weekly Comment about this asset/index
Timing the dollar is a pain !
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-2.7
DateFebruary 12, 2008
Generated Signals Chart
A chart of U.S. Dollar to Swiss Franc USDCHF=X dated February 12, 2008 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 : Current12.02.20082181.10130-9.51
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-30.89
Model Buy and Hold-36.37
Model Long Only-17.47
Model Short Only+22.89
Model Long and Short+1.42
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.42
Model Buy and Hold-5.21
Model Long Only-2.50
Model Short Only+3.28
Model Long and Short+0.20
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+2.71
Model Short vs Model Buy and Hold+8.49
Model Long and Short vs Model Buy and Hold+5.41
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+1.92
Model Short vs Buy and Hold+7.70
Model Long and Short vs Buy and Hold+4.63
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote1.09625
Standard Deviation0.00706
Lowest quote1.08460
Highest quote1.10920
Median1.09690
Max Daily Loose percent-0.98269
Max Daily Gain percent1.13020
Simple Perf.0.84241
Last 5 quotes StatisticsValue
Mean quote1.10197
Standard Deviation0.00262
Lowest quote1.09800
Highest quote1.10530
Median1.10165
Max Daily Loose percent-0.23623
Max Daily Gain percent0.66484
Simple Perf.0.06360
Previous year StatisticsValue
Mean quote1.19992
Standard Deviation0.03762
Lowest quote1.10030
Highest quote1.25455
Median1.17742
Max Daily Loose percent-1.28238
Max Daily Gain percent1.19403
Simple Perf.-7.15164
First quote1.22070
Last quote1.13340
Current year StatisticsValue
Mean quote1.10232
Standard Deviation0.01229
Lowest quote1.08460
Highest quote1.13340
Median1.10900
Max Daily Loose percent-1.36816
Max Daily Gain percent1.13020
Simple Perf.-2.83218
First quote1.13340
Last quote1.10130
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+8.179+0.91
February+1.389+0.15
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-14.938-1.87
December-13.868-1.73
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
2007-7.15
2008-2.83
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
November2007-2.72
December2007+0.43
January2008-4.31
February2008+1.54
Quotes UsedValue
Link on Quote FileUSDCHF_20080212.csv
Quote File Used/local/java/TrendTimer/quote_data/USDCHF_20080212.csv
# of Quotes2068
File first date (dd.MM.yyyy)03.01.2000
File first quote1.59350
File last date (dd.MM.yyyy)12.02.2008
File last quote1.10130
First data considered (dd.MM.yyyy)18.05.2000
First data considered1.73500
Min. Quote date (dd.MM.yyyy)31.01.2008
Min. Quote value1.08460
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 year3.72
# Days2513
# Days in years6.98
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 v0.99.98_float1
Java Version1.7.0
OS NameLinux
OS Version2.6.23.1-49.fc8PAE
User Namemarc
Calculation Time (Ms)323
Tech Id496615308-123960
XML output fileUSDCHF_20080212.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/USDCHF_20080212.xml
# Warnings found25
Generated on (dd.MM.yyyy HH:mm:ss)12.02.2008 20:26:09
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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