DOW Backtested Returns
secures Sharpe Ratio (or Efficiency) of 0.5241 which denotes DOW
had 0.5241% of return per unit of volatility over the last 1 month. Our approach towards predicting 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 technical indicators
for DOW which you can use to evaluate future volatility of the entity. The organization shows Beta (market volatility) of 0.0 which denotes to the fact that the returns on MARKET and DOW are completely uncorrelated. Although it is extremely important to respect DOW
historical returns, it is better to be realistic regarding the information on equity current trending patterns. The approach towards predicting 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 evaluating DOW technical indicators
you can now evaluate if the expected return of 0.1987% will be sustainable into the future.
|15 days auto-correlation|| 0.19 |
Very weak predictability
DOW has very weak predictability. Overlapping area represents the amount of predictability between DOW time series from December 18, 2017 to January 2, 2018 and January 2, 2018 to January 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 DOW price movement. The serial correlation of 0.19 indicates that over 19.0% of current DOW price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.19|
|Spearman Rank Test|| 0.2|
|Price Variance|| 99288.41|
|Lagged Price Variance|| 1363.5|
DOW Lagged Returns