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September 17th, Bullish Trend (Buy Signal)
NASDAQ Composite
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Standard and Poors 500
Standard and Poors 100
Swiss Market Index SMI
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USD to CHF
 
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Standard and Poors 500
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MyTrendTimer : U.S. Dollar to Swiss Franc analysis of November 9, 2009
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-2.7
DateNovember 9, 2009
Generated Signals Chart
A chart of U.S. Dollar to Swiss Franc USDCHF=X dated November 9, 2009 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
Buy11.08.20083991.08380-10.95
Sell26.12.20081371.07010-1.26
Buy28.01.20090331.14440+6.94
Sell04.05.20090951.12880-1.36
Info : Current09.11.20091891.00780-10.72
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-36.76
Model Buy and Hold-41.77
Model Long Only-19.63
Model Short Only+27.55
Model Long and Short+2.52
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.20
Model Buy and Hold-4.78
Model Long Only-2.24
Model Short Only+3.15
Model Long and Short+0.29
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+2.53
Model Short vs Model Buy and Hold+7.93
Model Long and Short vs Model Buy and Hold+5.06
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+1.96
Model Short vs Buy and Hold+7.35
Model Long and Short vs Buy and Hold+4.49
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote1.01745
Standard Deviation0.00681
Lowest quote1.00650
Highest quote1.03040
Median1.01845
Max Daily Loose percent-1.15490
Max Daily Gain percent1.24792
Simple Perf.-1.70682
Last 5 quotes StatisticsValue
Mean quote1.01830
Standard Deviation0.00719
Lowest quote1.00780
Highest quote1.03040
Median1.01910
Max Daily Loose percent-1.15490
Max Daily Gain percent1.24792
Simple Perf.-0.97278
Previous year StatisticsValue
Mean quote1.08383
Standard Deviation0.05921
Lowest quote0.98630
Highest quote1.22350
Median1.10490
Max Daily Loose percent-4.99606
Max Daily Gain percent3.06236
Simple Perf.-5.80553
First quote1.13340
Last quote1.06760
Current year StatisticsValue
Mean quote1.09567
Standard Deviation0.04980
Lowest quote1.00650
Highest quote1.18960
Median1.09805
Max Daily Loose percent-3.84879
Max Daily Gain percent3.50828
Simple Perf.-5.60135
First quote1.06760
Last quote1.00780
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+17.6210+1.76
February-3.2810-0.33
March-3.1010-0.31
April+0.9610+0.10
May-11.3910-1.14
June-1.2110-0.12
July+1.1310+0.11
August+5.4910+0.55
September-11.2410-1.12
October+3.4510+0.35
November-12.2610-1.23
December-24.469-2.72
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
2008-5.81
2009-5.60
Year 2006 to 2007 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
Year 2008 to 200n Monthly performance
MonthYearPerformance
January2008-4.31
February2008-3.76
March2008-4.91
April2008+5.04
May2008+0.02
June2008-2.15
July2008+2.80
August2008+5.06
September2008+1.55
October2008+3.65
November2008+4.96
December2008-12.30
January2009+8.73
February2009+0.65
March2009-2.52
April2009+0.09
May2009-6.18
June2009+1.63
July2009-1.81
August2009-0.96
September2009-1.83
October2009-1.16
November2009-1.74
Quotes UsedValue
Link on Quote FileUSDCHF_20091109.csv
Quote File Used/local/java/TrendTimer/quote_data/USDCHF_20091109.csv
# of Quotes2513
File first date (dd.MM.yyyy)03.01.2000
File first quote1.59350
File last date (dd.MM.yyyy)09.11.2009
File last quote1.00780
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)17.12.2008
Max Daily Drop percent-4.99606
Max daily gain date (dd.MM.yyyy)05.01.2009
Max daily Gain percent3.50828
Signals StatisticsValue
# Generated Signals30
Avg # op. by year3.43
# Days3148
# Days in years8.74
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 v0.99.98.2
Java Version1.6.0_0
OS NameLinux
OS Version2.6.27.29-170.2.79.fc10.i686
User Namemarc
Calculation Time (Ms)520
Tech Id812245721-123960
XML output fileUSDCHF_20091109.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/USDCHF_20091109.xml
# Warnings found26
Generated on (dd.MM.yyyy HH:mm:ss)09.11.2009 19:11:25
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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