ATX Backtested Returns
secures Sharpe Ratio (or Efficiency) of -0.165 which signifies that ATX
had -0.165% 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-one 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-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.45) |
Modest reverse predictability
ATX has modest reverse predictability. Overlapping area represents the amount of predictability between ATX time series from October 21, 2017 to November 5, 2017 and November 5, 2017 to November 20, 2017. 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 -0.45 indicates that just about 45.0% 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|| -0.45|
|Spearman Rank Test|| -0.58|
|Price Variance|| 1015.64|
|Lagged Price Variance|| 448.71|
ATX Lagged Returns