Nasdaq Backtesting

IXIC -- USA Index  

 8,717  63.27  0.73%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Nasdaq 'What if' Analysis

September 14, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
December 13, 2019
0.00
If you would invest  0.00  in Nasdaq on September 14, 2019 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 90 days.

Nasdaq Upside/Downside Indicators

Downside Deviation0.7421
Information Ratio0.0608
Maximum Drawdown3.07
Value At Risk(1.13)
Potential Upside1.24

Nasdaq Market Premium Indicators

Risk Adjusted Performance0.085
Total Risk Alpha0.0347
Sortino Ratio0.0601

Nasdaq Backtested Returns

Nasdaq has Sharpe Ratio of 0.1456 which conveys that the entity had 0.1456% of return per unit of risk over the last 3 months. Our philosophy towards estimating volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty-seven technical indicators for Nasdaq which you can use to evaluate future volatility of the organization. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and Nasdaq are completely uncorrelated. Although it is extremely important to respect Nasdaq price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating 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 analyzing Nasdaq technical indicators you can presently evaluate if the expected return of 0.1089% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.16 
correlation synergy

Very weak predictability

Nasdaq has very weak predictability. Overlapping area represents the amount of predictability between Nasdaq time series from September 14, 2019 to October 29, 2019 and October 29, 2019 to December 13, 2019. 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 0.16 indicates that over 16.0% of current Nasdaq price fluctuation can be explain by its past prices.
Correlation Coefficient0.16
Spearman Rank Test0.33
Residual Average0.0
Price Variance12983.77

Nasdaq lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Nasdaq regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Nasdaq Lagged Returns

 Regressed Prices 
      Timeline 

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See also Nasdaq Hype Analysis, Nasdaq Correlation, Portfolio Optimization, Nasdaq Volatility as well as analyze Nasdaq Alpha and Beta and Nasdaq Performance. Please also try Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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