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MyTrendTimer : DJ Stoxx 50 of December 19, 2006
Weekly Comment about this asset/index
Bundesbank President Professor Axel Weber signalled in a newspaper interview last Friday that the European Central Bank could continue to raise its key interest rates next year. On Thursday, Ifo one of Germany's leading economic institutes forecast that the ECB rate would remain stable at its current rate of 3.5% in 2007 and 2008. In answer to a question from the Frankfurter Allgemeine Zeitung whether further rate hikes were on the agenda next year, Weber, who is a member of the ECB's Governing Council representing the biggest economy in the Eurozone, signalled strongly that it could well be the case. "We have made clear that monetary policy is continuing to stimulate the economy and that key rates are still at a low level," Weber said. The ECB has hiked its key interest rate six times since December 2005. Following the early December hike to 3.5%, ECB President Jean-Claude Trichet while saying that rates were still low, was careful not to signal a rate rise in early 2007. While analysts differ in their forecasts, the majority predict a rise to 3.75% in March 2007. A minority even see the rate rising to 4% by mid-2007. Asked by the newspaper whether rates could rise beyond 3.75%, Weber refused to be specific. "I don't want to speculate about concrete monetary policy measures," he said. "We must be ready to act. In order to anchor inflation expectations at a level compatible with price stability it is necessary to counter inflation risks decisively," he added. Among the upward risks were a possible oil price increases, tax rises and potentially strong wage demands.
Financial InstrumentValue
Instrument NameDJ Stoxx 50
SymbolSTOXX50
CurrencyEUR
Underlying instrumentiShares DJ STOXX 50 (EUN)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strenght1.7
Date (dd.MM.yyyy)19.12.2006
Generated Operations Chart
A chart of DJ Stoxx 50 STOXX50 dated December 19, 2006 to backtest the trend timer model buy and sell signals
Generated Operations
NatureDate (dd.MM.yyyy)# Days previous op.QuoteResult previous op.
Buy14.03.20020003'644.00+0.00
Sell24.04.20020403'545.00-2.72
Buy09.06.20034112'375.02-33.00
Sell08.07.20043952'656.29+11.84
Buy20.09.20040742'705.50+1.85
Sell29.05.20066163'395.11+25.49
Buy08.08.20060713'421.50+0.78
Out18.12.20061323'721.39+8.76
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-21.41
Model Buy and Hold+2.12
Model Long Only+48.50
Model Short Only+31.23
Model Long and Short+94.89
Time Weighted Return ofValue (Annualized)
Buy and Hold-4.43
Model Buy and Hold+0.44
Model Long Only+10.04
Model Short Only+6.47
Model Long and Short+19.64
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+9.60
Model Short vs Model Buy and Hold+6.03
Model Long and Short vs Model Buy and Hold+19.20
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+14.47
Model Short vs Buy and Hold+10.90
Model Long and Short vs Buy and Hold+24.07
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote3'649.95
Variance2'495.49
Standard Deviation49.95
Lowest quote3'566.38
Highest quote3'731.90
Median3'649.14
Max Daily Loose percent-1.49
Max Daily Gain percent1.06
Simple Perf.0.49
Last 5 quotes StatisticsValue
Mean quote3'695.14
Variance1'080.26
Standard Deviation32.87
Lowest quote3'650.28
Highest quote3'731.90
Median3'691.09
Max Daily Loose percent-0.28
Max Daily Gain percent0.72
Simple Perf.1.95
Previous year StatisticsValue
Mean quote3'049.28
Variance32'001.71
Standard Deviation178.89
Lowest quote2'763.16
Highest quote3'370.84
Median3'067.00
Max Daily Loose percent-1.86
Max Daily Gain percent2.24
Simple Perf.20.70
First quote2'774.77
Last quote3'349.10
Current year StatisticsValue
Mean quote3'493.56
Variance14'876.92
Standard Deviation121.97
Lowest quote3'204.35
Highest quote3'739.41
Median3'471.88
Max Daily Loose percent-2.94
Max Daily Gain percent2.13
Simple Perf.11.12
First quote3'349.10
Last quote3'721.39
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January-9.767-1.39
February-0.857-0.12
March-2.097-0.30
April+15.367+2.19
May-10.747-1.53
June-7.627-1.09
July-6.437-0.92
August-5.127-0.73
September-22.937-3.28
October+30.517+4.36
November+2.497+0.36
December+3.057+0.44
TWR Return by Year for this asset
YearTWR Return.
2000-3.55
2001-18.57
2002-35.60
2003+11.08
2004+4.30
2005+20.70
2006+11.12
Year 2000 to 2003 Monthly performance
MonthYearPerformance
January2000-4.75
February2000+8.49
March2000+3.27
April2000+1.07
May2000-3.09
June2000-2.24
July2000+0.60
August2000+3.23
September2000-4.50
October2000+3.83
November2000-7.17
December2000-1.25
January2001-0.18
February2001-10.20
March2001-2.69
April2001+7.96
May2001-1.16
June2001-4.45
July2001-3.42
August2001-7.39
September2001-8.67
October2001+4.49
November2001+3.03
December2001+4.12
January2002-3.85
February2002-0.42
March2002+3.57
April2002-5.02
May2002-4.34
June2002-8.77
July2002-10.40
August2002-1.13
September2002-14.62
October2002+10.55
November2002+4.07
December2002-9.96
January2003-6.85
February2003-2.94
March2003-3.07
April2003+10.47
May2003-0.13
June2003+3.45
July2003+3.28
August2003+0.22
September2003-3.74
October2003+6.32
November2003+1.15
December2003+3.63
Year 2004 to 200n Monthly performance
MonthYearPerformance
January2004+1.35
February2004+1.94
March2004-3.10
April2004+1.67
May2004-1.42
June2004+0.69
July2004-1.39
August2004-1.14
September2004+1.85
October2004+0.88
November2004+1.69
December2004+1.36
January2005+1.60
February2005+2.60
March2005-0.92
April2005-1.70
May2005+4.16
June2005+3.47
July2005+3.39
August2005-0.80
September2005+4.72
October2005-1.82
November2005+1.96
December2005+2.59
January2006+2.90
February2006+0.68
March2006+1.09
April2006+0.83
May2006-5.01
June2006+0.59
July2006+2.08
August2006+2.14
September2006+0.80
October2006+3.33
November2006-1.83
December2006+3.31
Quotes UsedValue
Quote File Used/local/java/TrendTimer/data/DJSTOXX_20061219.csv
# of Quotes1741
File first date (dd.MM.yyyy)03.01.2000
File first quote4'735.00
File last date (dd.MM.yyyy)18.12.2006
File last quote3'721.39
First data considered (dd.MM.yyyy)25.05.2000
First data considered4'825.00
Min. Quote date (dd.MM.yyyy)12.03.2003
Min. Quote value1'909.05
Max Quote date (dd.MM.yyyy)04.09.2000
Max Quote value5'198.00
Max daily drop date (dd.MM.yyyy)22.07.2002
Max Daily Drop percent-7.32
Max daily gain date (dd.MM.yyyy)11.10.2002
Max daily Gain percent9.21
Operations StatisticsValue
# Generated operations8
Avg # op. by year1.66
# Days1739
# Days in years4.83
Biggest loose (Long only)-2.72
Min # days uninvested (before Buy operation)71
Max # days uninvested (before Buy operation)411
Min # days invested (before Sell operation)40
Max # days invested (before Sell operation)616
TechnicalValue
Program NameMyTrendTimer v0.99.88
Java Version1.6.0-rc
OS NameLinux
OS Version2.6.18-1.2849.fc6
User Namemarc
Calculation Time (Ms)966
Tech Id430675017-129970
XML output fileDJSTOXX_20061219.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/DJSTOXX_20061219.xml
# Warnings found0
Generated on (dd.MM.yyyy HH:mm:ss)19.12.2006 17:46:16
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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