Nasdaq Backtesting

Nasdaq -- USA Index  

 7,234  24.22  0.34%

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

Nasdaq 'What if' Analysis

January 24, 2018
No Change 0.00  0.0%
In 30 days
February 23, 2018
If you would invest  0.00  in Nasdaq on January 24, 2018 and sell it all today you would earn a total of 0.00 from holding Nasdaq or generate 0.0% return on investment in Nasdaq over 30 days.

Nasdaq Upside/Downside Indicators


Nasdaq Market Premium Indicators

Nasdaq lagged returns against current returns

 Current and Lagged Values 

Nasdaq regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Nasdaq Backtested Returns

Nasdaq 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.
Advice Volatility Trend Exposure Correlations
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

 Regressed Prices 

Nasdaq Performance vs DOW

The median price of Nasdaq for the period between Wed, Jan 24, 2018 and Fri, Feb 23, 2018 is 7239.47 with a coefficient of variation of 2.86. The daily time series for the period is distributed with a sample standard deviation of 206.76, arithmetic mean of 7217.5, and mean deviation of 165.5. The Index did not receive any noticable media coverage during the period.
Price Growth (%)