Nasdaq Backtested Returns
has Sharpe Ratio of -0.075 which conveys that Nasdaq
had -0.075% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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
. Nasdaq exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and Nasdaq are completely uncorrelated. Even though it is essential to pay attention to Nasdaq price patterns
, it is always good to be careful when utilizing equity historical price patterns
. Macroaxis philosophy towards estimating 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
. Nasdaq exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.50) |
Modest reverse predictability
Nasdaq has modest reverse predictability. Overlapping area represents the amount of predictability between Nasdaq time series from January 24, 2018 to February 8, 2018 and February 8, 2018 to February 23, 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 Nasdaq price movement. The serial correlation of -0.5 indicates that about 50.0% of current Nasdaq price fluctuation can be explain by its past prices. Given that Nasdaq has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Nasdaq for similar time interval.
|Correlation Coefficient|| -0.5|
|Spearman Rank Test|| -0.83|
|Price Variance|| 26619.93|
|Lagged Price Variance|| 26347.52|
Nasdaq Lagged Returns