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MyTrendTimer : U.S. Dollar to Swiss Franc analysis of January 30, 2012
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)
Strength2.3
DateJanuary 30, 2012
Generated Signals Chart
A chart of U.S. Dollar to Swiss Franc USDCHF=X dated January 30, 2012 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
Info : Current30.01.20121310.91790+2.75
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold-42.40
Model Buy and Hold-46.96
Model Long Only-17.21
Model Short Only+35.94
Model Long and Short+12.55
Time Weighted Return ofValue (Annualized)
Buy and Hold-3.86
Model Buy and Hold-4.27
Model Long Only-1.56
Model Short Only+3.27
Model Long and Short+1.14
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold+2.71
Model Short vs Model Buy and Hold+7.54
Model Long and Short vs Model Buy and Hold+5.41
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+2.29
Model Short vs Buy and Hold+7.12
Model Long and Short vs Buy and Hold+5.00
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote0.93855
Standard Deviation0.01282
Lowest quote0.91450
Highest quote0.95490
Median0.93470
Max Daily Loose percent-1.55696
Max Daily Gain percent1.15700
Simple Perf.-2.10111
Last 5 quotes StatisticsValue
Mean quote0.92275
Standard Deviation0.00718
Lowest quote0.91450
Highest quote0.93130
Median0.92290
Max Daily Loose percent-1.55696
Max Daily Gain percent0.37179
Simple Perf.-0.96030
Previous year StatisticsValue
Mean quote0.88636
Standard Deviation0.05469
Lowest quote0.73010
Highest quote0.97580
Median0.85295
Max Daily Loose percent-3.16305
Max Daily Gain percent9.46135
Simple Perf.0.40694
First quote0.93380
Last quote0.93760
Current year StatisticsValue
Mean quote0.93855
Standard Deviation0.01282
Lowest quote0.91450
Highest quote0.95490
Median0.93470
Max Daily Loose percent-1.55696
Max Daily Gain percent1.15700
Simple Perf.-2.10111
First quote0.93760
Last quote0.91790
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+18.2413+1.40
February-2.5612-0.21
March-6.6112-0.55
April-1.3812-0.12
May-7.2912-0.61
June-9.1112-0.76
July-8.4012-0.70
August+4.8812+0.41
September-3.4112-0.28
October+0.2912+0.02
November-7.1612-0.60
December-25.4312-2.12
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
2012-2.10
Year 2007 to 2008 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+2.80
August2008+5.06
September2008+1.55
October2008+3.65
November2008+4.96
December2008-12.30
Year 2009 to 200n Monthly performance
MonthYearPerformance
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
November2009-2.01
December2009+2.98
January2010+2.00
February2010+1.81
March2010-2.03
April2010+2.30
May2010+7.27
June2010-6.78
July2010-3.36
August2010-2.48
September2010-3.38
October2010+0.44
November2010+1.75
December2010-6.83
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
January2012-2.10
Quotes UsedValue
Link on Quote FileUSDCHF_20120130.csv
Quote File Used/local/java/TrendTimer/quote_data/USDCHF_20120130.csv
# of Quotes3075
File first date (dd.MM.yyyy)03.01.2000
File first quote1.59350
File last date (dd.MM.yyyy)30.01.2012
File last quote0.91790
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)17.12.2008
Max Daily Drop percent-4.99606
Max daily gain date (dd.MM.yyyy)06.09.2011
Max daily Gain percent9.46135
Signals StatisticsValue
# Generated Signals33
Avg # op. by year3.00
# Days3959
# Days in years11.00
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 Version1.6.0_20
OS NameLinux
OS Version2.6.35.14-106.fc14.i686.PAE
User Namemarc
Calculation Time (Ms)256
Tech Id842684539-123960
XML output fileUSDCHF_20120130.xml
Web Roothttp://www.MyTrendTimer.com/
Complete Xml URLhttp://www.MyTrendTimer.com/xml/USDCHF_20120130.xml
# Warnings found29
Generated on (dd.MM.yyyy HH:mm:ss)30.01.2012 20:39:07
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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