ATX Backtested Returns
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.
|15 days auto-correlation|| 0.72 |
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