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MyTrendTimer Financial Market Trend Timing report

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June 22nd, Bullish Trend (Buy Signal)
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 500
USD to CHF
Standard and Poors 100
June 22nd, Bearish Trend (Sell Signal)
Swiss Market Index SMI
 
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June 6th, 2018
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
May 30th, 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 19, 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-2.5
DateFebruary 19, 2008
Generated Signals Chart
A chart of U.S. Dollar to Swiss Franc USDCHF=X dated February 19, 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 : Current19.02.20082251.09470-10.06
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-31.30
Model Buy and Hold-36.75
Model Long Only-17.47
Model Short Only+23.36
Model Long and Short+1.80
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.47
Model Buy and Hold-5.25
Model Long Only-2.50
Model Short Only+3.34
Model Long and Short+0.26
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+2.75
Model Short vs Model Buy and Hold+8.59
Model Long and Short vs Model Buy and Hold+5.51
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+1.98
Model Short vs Buy and Hold+7.81
Model Long and Short vs Buy and Hold+4.73
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote1.09592
Standard Deviation0.00692
Lowest quote1.08460
Highest quote1.10730
Median1.09595
Max Daily Loose percent-0.96504
Max Daily Gain percent1.13020
Simple Perf.-0.32777
Last 5 quotes StatisticsValue
Mean quote1.09943
Standard Deviation0.00577
Lowest quote1.09150
Highest quote1.10730
Median1.09940
Max Daily Loose percent-0.79473
Max Daily Gain percent1.08107
Simple Perf.-0.59929
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 quote1.10188
Standard Deviation0.01165
Lowest quote1.08460
Highest quote1.13340
Median1.10900
Max Daily Loose percent-1.36816
Max Daily Gain percent1.13020
Simple Perf.-3.41450
First quote1.13340
Last quote1.09470
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+8.179+0.91
February+0.779+0.09
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
2008-3.41
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+0.93
Quotes UsedValue
Link on Quote FileUSDCHF_20080219.csv
Quote File Used/local/java/TrendTimer/quote_data/USDCHF_20080219.csv
# of Quotes2073
File first date (dd.MM.yyyy)03.01.2000
File first quote1.59350
File last date (dd.MM.yyyy)19.02.2008
File last quote1.09470
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 year3.71
# Days2520
# Days in years7.00
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
Java Version1.7.0
OS NameLinux
OS Version2.6.23.15-137.fc8
User Namemarc
Calculation Time (Ms)318
Tech Id982796056-123960
XML output fileUSDCHF_20080219.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/USDCHF_20080219.xml
# Warnings found25
Generated on (dd.MM.yyyy HH:mm:ss)19.02.2008 20:43:21
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.
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