MyTrendTimer Financial Market Trend Timing RUS2000

Generated Signals
Nature	Date (dd.MM.yyyy)	# Days previous op.	Quote	Result previous op.
Buy	08.06.2000	000	514.54	+0.00
Sell	31.07.2000	053	500.64	-2.70
Buy	24.08.2000	024	523.30	+4.53
Sell	26.09.2000	033	509.89	-2.56
Buy	12.01.2001	108	485.75	-4.73
Sell	27.02.2001	046	478.75	-1.44
Buy	25.04.2001	056	472.74	-1.26
Sell	06.07.2001	072	483.26	+2.23
Buy	02.11.2001	119	433.07	-10.39
Sell	05.02.2002	095	468.82	+8.26
Buy	05.03.2002	028	487.59	+4.00
Sell	22.05.2002	077	493.91	+1.30
Buy	01.11.2002	163	383.45	-22.36
Sell	23.01.2003	083	383.68	+0.06
Buy	27.03.2003	063	369.50	-3.70
Sell	16.03.2004	355	566.64	+53.35
Buy	01.04.2004	015	595.32	+5.06
Sell	29.04.2004	028	567.25	-4.72
Buy	25.06.2004	057	587.70	+3.61
Sell	12.07.2004	017	562.24	-4.33
Buy	03.09.2004	053	556.24	-1.07
Sell	11.01.2005	130	611.53	+9.94
Buy	07.02.2005	027	636.62	+4.10
Sell	18.03.2005	039	622.57	-2.21
Buy	24.05.2005	066	612.95	-1.55
Sell	24.08.2005	092	655.01	+6.86
Buy	02.09.2005	009	663.33	+1.27
Sell	22.09.2005	020	651.05	-1.85
Buy	03.10.2005	011	670.55	+3.00
Sell	05.10.2005	002	644.98	-3.81
Buy	08.11.2005	034	656.23	+1.74
Sell	17.05.2006	189	725.85	+10.61
Buy	21.08.2006	096	705.33	-2.83
Sell	05.03.2007	196	760.06	+7.76
Info : Current	13.03.2007	008	769.12	+1.19

Return and result of the differents strategies

Time Weighted Return of	Value (over the Period)
Buy and Hold	+54.93
Model Buy and Hold	+49.48
Model Long Only	+89.41
Model Short Only	+21.08
Model Long and Short	+129.34

Time Weighted Return of	Value (Annualized)
Buy and Hold	+8.03
Model Buy and Hold	+7.23
Model Long Only	+13.06
Model Short Only	+3.08
Model Long and Short	+18.90

Model OverPerf vs Model Buy and Hold	Value (Annualized)
Model Long vs Model Buy and Hold	+5.83
Model Short vs Model Buy and Hold	-4.15
Model Long and Short vs Model Buy and Hold	+11.67

Model OverPerf vs Buy and Hold	Value (Annualized)
Model Long vs Buy and Hold	+5.04
Model Short vs Buy and Hold	-4.95
Model Long and Short vs Buy and Hold	+10.87

Various statistical indicators for this asset

Last 20 quotes Statistics	Value
Mean quote	799.56
Variance	478.61
Standard Deviation	21.88
Lowest quote	760.06
Highest quote	829.44
Median	794.75
Max Daily Loose percent	-3.77
Max Daily Gain percent	2.48
Simple Perf.	-4.55

Last 5 quotes Statistics	Value
Mean quote	779.86
Variance	48.97
Standard Deviation	7.00
Lowest quote	769.12
Highest quote	789.00
Median	779.06
Max Daily Loose percent	-2.52
Max Daily Gain percent	0.68
Simple Perf.	-1.25

Previous year Statistics	Value
Mean quote	734.66
Variance	1'086.04
Standard Deviation	32.96
Lowest quote	671.94
Highest quote	797.73
Median	734.83
Max Daily Loose percent	-3.19
Max Daily Gain percent	3.82
Simple Perf.	17.00
First quote	673.22
Last quote	787.66

Current year Statistics	Value
Mean quote	795.66
Variance	296.12
Standard Deviation	17.21
Lowest quote	760.06
Highest quote	829.44
Median	794.75
Max Daily Loose percent	-3.77
Max Daily Gain percent	2.48
Simple Perf.	-2.35
First quote	787.66
Last quote	769.12

Seasonal Return by Month for this asset
Month	Cumulated TWR Return.	#Month	Average TWR Return
January	+11.59	8	+1.45
February	+3.47	8	+0.43
March	-3.49	8	-0.44
April	-0.95	7	-0.14
May	+3.54	7	+0.51
June	+17.43	7	+2.49
July	-21.08	7	-3.01
August	+8.36	7	+1.19
September	-19.73	7	-2.82
October	+17.54	7	+2.51
November	+26.53	7	+3.79
December	+13.07	7	+1.87

TWR Return by Year for this asset
Year	TWR Return.
2000	-2.60
2001	+1.03
2002	-21.58
2003	+45.37
2004	+17.00
2005	+3.32
2006	+17.00
2007	-2.35

Year 2004 to 2005 Monthly performance
Month	Year	Performance
January	2004	+4.28
February	2004	+0.83
March	2004	+0.81
April	2004	-5.17
May	2004	+1.51
June	2004	+4.09
July	2004	-6.80
August	2004	-0.61
September	2004	+4.56
October	2004	+1.89
November	2004	+8.56
December	2004	+2.81
January	2005	-4.23
February	2005	+1.61
March	2005	-2.99
April	2005	-5.80
May	2005	+6.44
June	2005	+3.72
July	2005	+6.27
August	2005	-1.95
September	2005	+0.19
October	2005	-3.17
November	2005	+4.74
December	2005	-0.60

Year 2006 to 200n Monthly performance
Month	Year	Performance
January	2006	+8.91
February	2006	-0.35
March	2006	+4.72
April	2006	-0.08
May	2006	-5.69
June	2006	+0.51
July	2006	-3.33
August	2006	+2.85
September	2006	+0.70
October	2006	+5.69
November	2006	+2.51
December	2006	+0.20
January	2007	+1.61
February	2007	-0.88
March	2007	-3.05

Quotes Used	Value
Quote File Used	/local/java/TrendTimer/data/RUS2000_20070314.csv
# of Quotes	1796
File first date (dd.MM.yyyy)	03.01.2000
File first quote	496.42
File last date (dd.MM.yyyy)	13.03.2007
File last quote	769.12
First data considered (dd.MM.yyyy)	08.02.2000
First data considered	537.49
Min. Quote date (dd.MM.yyyy)	09.10.2002
Min. Quote value	327.04
Max Quote date (dd.MM.yyyy)	22.02.2007
Max Quote value	829.44
Max daily drop date (dd.MM.yyyy)	04.04.2000
Max Daily Drop percent	-6.96
Max daily gain date (dd.MM.yyyy)	18.04.2000
Max daily Gain percent	8.70

Signals Statistics	Value
# Generated Signals	34
Avg # op. by year	4.97
# Days	2464
# Days in years	6.84
Biggest loose (Long only)	-4.72
Min # days uninvested (before Buy Signal)	9
Max # days uninvested (before Buy Signal)	163
Min # days invested (before Sell Signal)	2
Max # days invested (before Sell Signal)	355

Technical	Value
Program Name	MyTrendTimer v0.99.90.53
Java Version	1.6.0
OS Name	Linux
OS Version	2.6.18-1.2869.fc6
User Name	marc
Calculation Time (Ms)	904
Tech Id	457472339-120250
XML output file	RUS2000_20070314.xml
Web Root	http://www.myTrendTimer.com/
Complete Xml URL	http://www.myTrendTimer.com/xml/RUS2000_20070314.xml
# Warnings found	5
Generated on (dd.MM.yyyy HH:mm:ss)	14.03.2007 18:45:01

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.