ATX (Austria) Backtesting

ATX -- Austria Index  

 3,291  6.18  0.19%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ATX and determine expected loss or profit from investing in ATX over given investment horizon. See also ATX Hype Analysis, ATX Correlation, Portfolio Optimization, ATX Volatility as well as analyze ATX Alpha and Beta and ATX Performance.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

ATX 'What if' Analysis

June 17, 2018
0.00
No Change 0.00  0.0%
In 30 days
July 17, 2018
0.00
If you would invest  0.00  in ATX on June 17, 2018 and sell it all today you would earn a total of 0.00 from holding ATX or generate 0.0% return on investment in ATX over 30 days.

ATX Upside/Downside Indicators

Downside Deviation0.8522
Information Ratio0.17
Maximum Drawdown2.61
Value At Risk0.82
Potential Upside0.7747
  

ATX Market Premium Indicators

Risk Adjusted Performance0.0458
Total Risk Alpha0.08
Sortino Ratio0.11

ATX Backtested Returns

ATX secures Sharpe Ratio (or Efficiency) of -0.0233 which signifies that ATX had -0.0233% of return per unit of volatility over the last 1 month. Macroaxis approach towards foreseeing risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. ATX exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and ATX are completely uncorrelated. Even though it is essential to pay attention to ATX historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis approach towards foreseeing future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. ATX exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.39) 

Poor reverse predictability

ATX has poor reverse predictability. Overlapping area represents the amount of predictability between ATX time series from June 17, 2018 to July 2, 2018 and July 2, 2018 to July 17, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ATX price movement. The serial correlation of -0.39 indicates that just about 39.0% of current ATX price fluctuation can be explain by its past prices. Given that ATX has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ATX for similar time interval.
Correlation Coefficient -0.39
Spearman Rank Test -0.31
Price Variance 460.78
Lagged Price Variance 525.43

ATX lagged returns against current returns

 Current and Lagged Values 
      Timeline 

ATX regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

ATX Lagged Returns

 Regressed Prices 
      Timeline 

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See also ATX Hype Analysis, ATX Correlation, Portfolio Optimization, ATX Volatility as well as analyze ATX Alpha and Beta and ATX Performance. Please also try Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.