SPTSX Comp Backtested Returns
owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1802 which indicates SPTSX Comp
had 0.1802% of return per unit of standard deviation over the last 1 month. Our philosophy towards measuring 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 SPTSX Comp which you can use to evaluate future volatility of the index. The entity has beta of 0.0 which indicates the returns on MARKET and SPTSX Comp are completely uncorrelated. Although it is extremely important to respect SPTSX Comp
current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 SPTSX Comp technical indicators
you can currently evaluate if the expected return of 0.052% will be sustainable into the future.
|15 days auto-correlation||(0.8) |
Almost perfect reverse predictability
SPTSX Comp has almost perfect reverse predictability. Overlapping area represents the amount of predictability between SPTSX Comp time series from October 19, 2017 to November 3, 2017 and November 3, 2017 to November 18, 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 SPTSX Comp price movement. The serial correlation of -0.8 indicates that around 80.0% of current SPTSX Comp price fluctuation can be explain by its past prices. Given that SPTSX Comp has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of SPTSX Comp for similar time interval.
|Correlation Coefficient|| -0.8|
|Spearman Rank Test|| -0.83|
|Price Variance|| 6211.79|
|Lagged Price Variance|| 5739.82|
SPTSX Comp Lagged Returns