Time Series Analytics Europe

Life is there to be enjoyed... The model is here to do the work.

Stock indices - daily data analysis

 

Using a UNIQUE proprietary set of parameters, daily data from stock market indices (not futures) are being analized. The basis for the analysis is our proprietary 4tT model.

The table below shows how the model has behaved over the past 20 years on each index.

last update : September 1st 2016

 

 

stock index
startdate
 # wins
# losses
% wins
result (indexpts)
result %
 AEX1993
 1210
55
+ 697.24
+190,2
 CAC 40
1993
 148
63
+ 7435.43
+182.5
 DAX1994
 134
76
+ 11550,92+199.6
 FTSE 100
1993
 118
58
+ 4805,20
+107.5
 EUSTXX 50
1993
 168
67
+ 6729.1+205.6
 SMI1993
 13770+ 9970.3
+206.6
 S&P 500
1993
 121
92
+ 1436
+160,1
 NDX 100
1996
 1310
57
+ 4559.2
+270.4
 NIKKEI 225
1993
 218
73
+ 18414.3
+146.4
 total
 1256466.1 

 

 

 STRATEGIC PORTFOLIO

 WHILE EUROPEAN STOCK INDEXES DROPPED 1 % SINCE 2001, THE TSA STRATEGIC MODEL GAINED 128.9 % (unleveraged) OVER THE SAME PERIOD

 

In the strategic portfolio, we have combined the above into an UNLEVERAGED and UNCOMPOUNDED performance table and compare it to the performance of the index (starting point = January 1st 2001).As the impact of dividends on each index is impossible to discount into each position, we are using the raw index data.

The Europe column is the simple unweighted average result of the six european indexes (to its left).

 

 in %
AEX
CAC
DAX
 FTSE SMI EU50Europe

S&P
NDX
 2001 26.80 32.38 38.79 21.94 21.70 33.79  29.23

  7.78
39.11
 2002 20.80 15.49 15.48 11.58   9.75
 16.11  14.87

  7.20
26.58
 2003   1.90
   6.44
   0.00
   0.00
   0.00
   7.68
    2.67

  4.54
26.52
 2004 -5.10   4.19
   0.00
   3.70
   0.00
  -5.14
  -0.39

 -2.45
  3.38
 2005 19.87 18.42 25.83 17.18 26.63 19.63  21.26

  0.00
 -7.49
 2006   3.58   9.17
 11.57   5.88
   6.63
   6.10
    7.15

  0.00
-10.07
 2007   2.83   0.48
 16.54  -5.53
  -0.90
   4.21
    2.94

  0.00
 -8.94
 2008 46.10 35.03 28.05 34.72 30.51 36.30  35.12

 30.0116.08
 2009 20.13 14.97 13.06 10.30 12.52 14.19  14.19

 11.4237.60
 2010   0.41
 -7.54   8.88
   5.26
  -4.81
-11.62
  -1.57

 -0.12 -5.87
 2011
  -7.78
  6.65
   8.06
 -13.01
 13.61
 18.37
    4.32

 -9.64
 -6.97
 2012
  -5.65
  5.91
   9.48
 -10.81
  0.54
  0.00
  -0.09

  0.00
 -5.52
 2013
  -0.83
 19.05
  19.26
  6.46
 17.85
  3.24
  10.84

 10.93
 19.19
 2014  - 3.36-15.46 - 7.50 - 6.43 - 3.85 - 1.41  - 6.34   1.41 - 4.94
 2015  - 1.43
  2.76
 - 7.52
 - 9.67
 - 17.0
  0.82
   - 5.34
   0.00
 1.13
 total
 118.3 147.9 180.0 71.6 113.2 142.3  128.9
 59.3119.8
 index - 31
 - 22
 + 67
 + 1
  + 9
 - 32      - 1
   + 55
  +96
       

 
       

 

 


Note : where zero results are shown, this means that during that year, the system has not generated a strategic trade.

Note : 2001 results may contain win/loss from a position initiated in 2000