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June 22nd, Bullish Trend (Buy Signal)
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Standard and Poors 500
USD to CHF
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MyTrendTimer : U.S. Dollar to Swiss Franc analysis of July 16, 2008
Description of this asset/index
The dollar (currency code USD) is the unit of currency of the United States. The U.S. dollar has also been adopted as the official and legal currency by the governments in a few other countries. The U.S. dollar is normally abbreviated as the dollar sign, $, or as USD or US$ to distinguish it from other dollar-denominated currencies and from others that use the $ symbol. It is divided into 100 cents. The franc (currency code CHF) is the currency and legal tender of Switzerland and Liechtenstein. The Italian exclave Campione d'Italia and the German exclave Büsingen also use the Swiss franc. Franc banknotes are issued by the central bank of Switzerland, the Swiss National Bank, while coins are issued by the federal mint, Swissmint.
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-1.5
DateJuly 16, 2008
Generated Signals Chart
A chart of U.S. Dollar to Swiss Franc USDCHF=X dated July 16, 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 : Current16.07.20083731.01480-16.62
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-36.32
Model Buy and Hold-41.36
Model Long Only-17.47
Model Short Only+28.95
Model Long and Short+6.42
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.90
Model Buy and Hold-5.58
Model Long Only-2.36
Model Short Only+3.91
Model Long and Short+0.87
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+3.22
Model Short vs Model Buy and Hold+9.49
Model Long and Short vs Model Buy and Hold+6.45
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+2.54
Model Short vs Buy and Hold+8.81
Model Long and Short vs Buy and Hold+5.77
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote1.03075
Standard Deviation0.01300
Lowest quote1.00880
Highest quote1.04890
Median1.02885
Max Daily Loose percent-1.46763
Max Daily Gain percent1.32992
Simple Perf.-2.83417
Last 5 quotes StatisticsValue
Mean quote1.01927
Standard Deviation0.00793
Lowest quote1.00880
Highest quote1.02870
Median1.01875
Max Daily Loose percent-1.02070
Max Daily Gain percent0.59476
Simple Perf.-1.34163
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 quote1.04908
Standard Deviation0.03793
Lowest quote0.98630
Highest quote1.13340
Median1.05985
Max Daily Loose percent-1.91925
Max Daily Gain percent2.25391
Simple Perf.-10.46409
First quote1.13340
Last quote1.01480
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+8.179+0.91
February-3.919-0.43
March-0.599-0.07
April+0.879+0.10
May-5.559-0.62
June-2.799-0.31
July-0.359-0.04
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
2008-10.46
Year 2005 to 2006 Monthly performance
MonthYearPerformance
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
Year 2007 to 200n Monthly performance
MonthYearPerformance
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
February2008-3.76
March2008-4.91
April2008+5.04
May2008+0.02
June2008-2.15
July2008-0.54
Quotes UsedValue
Link on Quote FileUSDCHF_20080716.csv
Quote File Used/local/java/TrendTimer/quote_data/USDCHF_20080716.csv
# of Quotes2173
File first date (dd.MM.yyyy)03.01.2000
File first quote1.59350
File last date (dd.MM.yyyy)16.07.2008
File last quote1.01480
First data considered (dd.MM.yyyy)18.05.2000
First data considered1.73500
Min. Quote date (dd.MM.yyyy)17.03.2008
Min. Quote value0.98630
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 year3.51
# Days2668
# Days in years7.41
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 v0.99.98.1
Java Version1.7.0
OS NameLinux
OS Version2.6.25.9-40.fc8PAE
User Namemarc
Calculation Time (Ms)337
Tech Id106100869-123960
XML output fileUSDCHF_20080716.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/USDCHF_20080716.xml
# Warnings found26
Generated on (dd.MM.yyyy HH:mm:ss)16.07.2008 18:25:15
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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