Bursa Malaysia Backtested Returns
secures Sharpe Ratio (or Efficiency) of -0.1903 which signifies that Bursa Malaysia
had -0.1903% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing 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
. Bursa Malaysia exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Bursa Malaysia are completely uncorrelated. Even though it is essential to pay attention to Bursa Malaysia
historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing 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
. Bursa Malaysia exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.57) |
Good reverse predictability
Bursa Malaysia has good reverse predictability. Overlapping area represents the amount of predictability between Bursa Malaysia time series from October 20, 2017 to November 4, 2017 and November 4, 2017 to November 19, 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 Bursa Malaysia price movement. The serial correlation of -0.57 indicates that roughly 57.0% of current Bursa Malaysia price fluctuation can be explain by its past prices. Given that Bursa Malaysia has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Bursa Malaysia for similar time interval.
|Correlation Coefficient|| -0.57|
|Spearman Rank Test|| -0.62|
|Price Variance|| 118.92|
|Lagged Price Variance|| 16.77|
Bursa Malaysia Lagged Returns