SPTSX Comp Backtesting

SPTSX Comp -- Canada Index  

 15,878  120.09  0.75%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of SPTSX Comp and determine expected loss or profit from investing in SPTSX Comp over given investment horizon. See also SPTSX Comp Hype Analysis, SPTSX Comp Correlation, Portfolio Optimization, SPTSX Comp Volatility as well as analyze SPTSX Comp Alpha and Beta and SPTSX Comp Performance
Investment Horizon     30 Days    Login   to change

SPTSX Comp 'What if' Analysis

October 19, 2017
No Change 0.00  0.0%
In 31 days
November 18, 2017
If you would invest  0.00  in SPTSX Comp on October 19, 2017 and sell it all today you would earn a total of 0.00 from holding SPTSX Comp or generate 0.0% return on investment in SPTSX Comp over 30 days. SPTSX Comp is entity of Canada. It is traded as Index on Index exchange.

SPTSX Comp Upside/Downside Indicators


SPTSX Comp Market Premium Indicators

SPTSX Comp lagged returns against current returns

 Current and Lagged Values 

SPTSX Comp regressed lagged prices vs. current prices

 Current vs Lagged Prices 

SPTSX Comp Backtested Returns

SPTSX Comp 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.
Advice Volatility Trend Exposure Correlations
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

 Regressed Prices 

SPTSX Comp Performance vs SPTSX Comp

The median price of SPTSX Comp for the period between Thu, Oct 19, 2017 and Sat, Nov 18, 2017 is 16002.78 with a coefficient of variation of 0.58. The daily time series for the period is distributed with a sample standard deviation of 92.12, arithmetic mean of 15974.15, and mean deviation of 79.87. The Index did not receive any noticable media coverage during the period.
Price Growth (%)