SPTSX Comp Backtesting

SPTSX Comp -- Canada Index  

 16,327  42.23  0.26%

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
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

SPTSX Comp 'What if' Analysis

December 21, 2017
0.00
No Change 0.00  0.0%
In 31 days
January 20, 2018
0.00
If you would invest  0.00  in SPTSX Comp on December 21, 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 
      Timeline 

SPTSX Comp regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

SPTSX Comp Backtested Returns

SPTSX Comp owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1136 which indicates SPTSX Comp had 0.1136% 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 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 0.0334% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.21 

Weak predictability

SPTSX Comp has weak predictability. Overlapping area represents the amount of predictability between SPTSX Comp time series from December 21, 2017 to January 5, 2018 and January 5, 2018 to January 20, 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 SPTSX Comp price movement. The serial correlation of 0.21 indicates that over 21.0% of current SPTSX Comp price fluctuation can be explain by its past prices.
Correlation Coefficient 0.21
Spearman Rank Test 0.2
Price Variance 1128.59
Lagged Price Variance 7526.74

SPTSX Comp Lagged Returns

 Regressed Prices 
      Timeline 

SPTSX Comp Performance vs SPTSX Comp

The median price of SPTSX Comp for the period between Thu, Dec 21, 2017 and Sat, Jan 20, 2018 is 16286.94 with a coefficient of variation of 0.58. The daily time series for the period is distributed with a sample standard deviation of 94.51, arithmetic mean of 16257.02, and mean deviation of 79.41. The Index did not receive any noticable media coverage during the period.
Price Growth (%)  
      Timeline