ATX (Austria) Backtesting

ATX -- Austria Index  

 3,449  26.36  0.76%

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

February 20, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
April 21, 2018
0.00
If you would invest  0.00  in ATX on February 20, 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 60 days.

ATX Upside/Downside Indicators

Information Ratio0.021
Maximum Drawdown5.14
Value At Risk1.68
Potential Upside1.66
  

ATX Market Premium Indicators

Risk Adjusted Performance0.01999
Total Risk Alpha0.0038

ATX Backtested Returns

ATX secures Sharpe Ratio (or Efficiency) of 0.0524 which signifies that ATX had 0.0524% of return per unit of volatility over the last 2 months. 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 extremely important to respect ATX historical returns, it is better to be realistic regarding the information on 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 0.0457% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.17 

Very weak predictability

ATX has very weak predictability. Overlapping area represents the amount of predictability between ATX time series from February 20, 2018 to March 22, 2018 and March 22, 2018 to April 21, 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 0.17 indicates that over 17.0% of current ATX price fluctuation can be explain by its past prices.
Correlation Coefficient 0.17
Spearman Rank Test 0.02
Price Variance 892.06
Lagged Price Variance 948.87

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 Commodity Channel Index module to use commodity channel index to analyze current equity momentum.