ATX (Austria) Backtesting

ATX -- Austria Index  

 3,689  7.21  0.2%

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

ATX 'What if' Analysis

December 24, 2017
No Change 0.00  0.0%
In 31 days
January 23, 2018
If you would invest  0.00  in ATX on December 24, 2017 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 is entity of Austria. It is traded as Index on Index exchange.

ATX Upside/Downside Indicators


ATX Market Premium Indicators

ATX lagged returns against current returns

 Current and Lagged Values 

ATX regressed lagged prices vs. current prices

 Current vs Lagged Prices 

ATX Backtested Returns

ATX secures Sharpe Ratio (or Efficiency) of 0.6475 which signifies that ATX had 0.6475% of return per unit of volatility over the last 1 month. Our approach towards foreseeing volatility of a index is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for ATX which you can use to evaluate future volatility of the entity. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and ATX are completely uncorrelated. Although it is vital to follow to ATX historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The approach towards foreseeing future performance of any index is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing ATX technical indicators you can now evaluate if the expected return of 0.3768% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.72 

Good predictability

ATX has good predictability. Overlapping area represents the amount of predictability between ATX time series from December 24, 2017 to January 8, 2018 and January 8, 2018 to January 23, 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 0.72 indicates that around 72.0% of current ATX price fluctuation can be explain by its past prices.
Correlation Coefficient 0.72
Spearman Rank Test 0.81
Price Variance 600.98
Lagged Price Variance 3128.3

ATX Lagged Returns

 Regressed Prices 

ATX Performance vs ATX

The median price of ATX for the period between Sun, Dec 24, 2017 and Tue, Jan 23, 2018 is 3558.86 with a coefficient of variation of 2.57. The daily time series for the period is distributed with a sample standard deviation of 91.29, arithmetic mean of 3545.5, and mean deviation of 78.15. The Index did not receive any noticable media coverage during the period.
Price Growth (%)