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MyTrendTimer Financial Market Trend Timing report

Market Timing / Quantitative Analysis on major indexes.
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March 19th, Bullish Trend (Buy Signal)
Swiss Market Index SMI
USD to CHF
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 500
Standard and Poors 100
March 19th, Bearish Trend (Sell Signal)
None for now.
 
Older reports
 
March 12th, 2019
NASDAQ Composite
Dow Jones Industrial
Standard and Poors 100
Standard and Poors 500
Swiss Market Index SMI
USD to CHF
 
March 4th, 2019
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 November 30, 2015
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 Bullish (last signal was a Buy)
Strength2.7
DateNovember 30, 2015
Generated Signals Chart
A chart of U.S. Dollar to Swiss Franc USDCHF=X dated November 30, 2015 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
Buy28.01.20102691.05200-6.80
Sell07.07.20101591.05460+0.25
Buy21.09.20114410.89330-15.29
Sell30.03.20121910.90290+1.07
Buy06.04.20120070.91770+1.64
Sell30.04.20120240.90820-1.04
Buy04.05.20120040.91760+1.04
Sell14.09.20121330.92510+0.82
Buy05.03.20131720.94320+1.96
Sell19.06.20131050.91940-2.52
Buy02.07.20130130.94930+3.25
Sell29.07.20130270.93090-1.94
Buy23.01.20141780.91070-2.17
Sell25.01.20140020.89650-1.56
Buy26.05.20141200.89470-0.20
Sell21.01.20152400.86000-3.88
Buy05.03.20150430.97380+13.23
Sell01.05.20150560.93420-4.07
Buy17.07.20150770.96070+2.84
Info : Current30.11.20151361.02790+6.99
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-35.49
Model Buy and Hold-40.61
Model Long Only-24.57
Model Short Only+21.27
Model Long and Short-8.52
Time Weighted Return ofValue (Annualized)
Buy and Hold-2.39
Model Buy and Hold-2.73
Model Long Only-1.65
Model Short Only+1.43
Model Long and Short-0.57
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+1.08
Model Short vs Model Buy and Hold+4.16
Model Long and Short vs Model Buy and Hold+2.16
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+0.73
Model Short vs Buy and Hold+3.82
Model Long and Short vs Buy and Hold+1.81
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote1.01024
Standard Deviation0.01237
Lowest quote0.98570
Highest quote1.03070
Median1.00820
Max Daily Loose percent-0.56879
Max Daily Gain percent0.89294
Simple Perf.4.28122
Last 5 quotes StatisticsValue
Mean quote1.02360
Standard Deviation0.00531
Lowest quote1.01600
Highest quote1.03070
Median1.02335
Max Daily Loose percent-0.41168
Max Daily Gain percent0.62008
Simple Perf.0.75475
Previous year StatisticsValue
Mean quote0.91314
Standard Deviation0.03207
Lowest quote0.87260
Highest quote0.99360
Median0.93310
Max Daily Loose percent-1.07362
Max Daily Gain percent1.49139
Simple Perf.11.59030
First quote0.89040
Last quote0.99360
Current year StatisticsValue
Mean quote0.96038
Standard Deviation0.03180
Lowest quote0.84840
Highest quote1.03070
Median0.93955
Max Daily Loose percent-12.12151
Max Daily Gain percent3.34748
Simple Perf.3.45210
First quote0.99360
Last quote1.02790
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+10.2916+0.64
February+0.1716+0.01
March-3.2616-0.20
April-6.6016-0.41
May+3.8416+0.24
June-13.8616-0.87
July-2.2416-0.14
August+4.5816+0.29
September-2.9216-0.18
October+0.2916+0.02
November-2.6516-0.17
December-25.4515-1.70
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
2009-3.06
2010-9.77
2011+0.41
2012-2.35
2013-2.75
2014+11.59
2015+3.45
Year 2011 to 2012 Monthly performance
MonthYearPerformance
January2011+0.67
February2011-1.04
March2011-1.63
April2011-4.51
May2011-2.46
June2011-1.31
July2011-6.28
August2011+1.95
September2011+12.63
October2011-3.48
November2011+4.29
December2011+2.90
January2012-1.65
February2012-2.20
March2012+0.12
April2012+0.59
May2012+6.95
June2012-2.35
July2012+2.87
August2012-2.13
September2012-1.61
October2012-0.96
November2012-0.42
December2012-1.19
Year 2013 to 201n Monthly performance
MonthYearPerformance
January2013-0.74
February2013+2.74
March2013+1.69
April2013-2.06
May2013+3.08
June2013-1.40
July2013-1.83
August2013+0.38
September2013-2.72
October2013-0.79
November2013+0.70
December2013-1.62
January2014+0.94
February2014-0.98
March2014-0.35
April2014-0.76
May2014+1.61
June2014-0.84
July2014+2.46
August2014+0.99
September2014+4.09
October2014+0.74
November2014+0.39
December2014+2.85
January2015-7.33
February2015+3.32
March2015+2.10
April2015-3.13
May2015-0.01
June2015-0.73
July2015+3.15
August2015+0.51
September2015+0.89
October2015+1.02
November2015+4.15
Quotes UsedValue
Link on Quote FileUSDCHF_20151130.csv
Quote File Used/local/java/TrendTimer/quote_data/USDCHF_20151130.csv
# of Quotes4117
File first date (dd.MM.yyyy)03.01.2000
File first quote1.59350
File last date (dd.MM.yyyy)30.11.2015
File last quote1.02790
First data considered (dd.MM.yyyy)18.05.2000
First data considered1.73500
Min. Quote date (dd.MM.yyyy)10.08.2011
Min. Quote value0.73010
Max Quote date (dd.MM.yyyy)26.10.2000
Max Quote value1.82000
Max daily drop date (dd.MM.yyyy)15.01.2015
Max Daily Drop percent-12.12151
Max daily gain date (dd.MM.yyyy)06.09.2011
Max daily Gain percent9.46135
Signals StatisticsValue
# Generated Signals49
Avg # op. by year3.29
# Days5356
# Days in years14.88
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 v0.99.98.3
Java Version1.8.0_65
OS NameLinux
OS Version4.0.4-301.fc22.x86_64
User Namemarc
Calculation Time (Ms)415
Tech Id895531519-123960
XML output fileUSDCHF_20151130.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/USDCHF_20151130.xml
# Warnings found69
Generated on (dd.MM.yyyy HH:mm:ss)30.11.2015 19:02:43
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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