NIKKEI 225 (Japan) Backtesting

N225 -- Japan Index  

 20,628  9.62  0.0467%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of NIKKEI 225 and determine expected loss or profit from investing in NIKKEI 225 over given investment horizon. See also NIKKEI 225 Hype Analysis, NIKKEI 225 Correlation, Portfolio Optimization, NIKKEI 225 Volatility as well as analyze NIKKEI 225 Alpha and Beta and NIKKEI 225 Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

NIKKEI 225 'What if' Analysis

June 23, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
August 22, 2019
0.00
If you would invest  0.00  in NIKKEI 225 on June 23, 2019 and sell it all today you would earn a total of 0.00 from holding NIKKEI 225 or generate 0.0% return on investment in NIKKEI 225 over 60 days.

NIKKEI 225 Upside/Downside Indicators

Information Ratio0.0167
Maximum Drawdown7.25
Value At Risk(2.38)
Potential Upside2.12

NIKKEI 225 Market Premium Indicators

Risk Adjusted Performance(0.009168)
Total Risk Alpha0.0521

NIKKEI 225 Backtested Returns

NIKKEI 225 has Sharpe Ratio of -0.0428 which conveys that the entity had -0.0428% of return per unit of volatility over the last 2 months. Macroaxis approach 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. NIKKEI 225 exposes twenty-eight 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 NIKKEI 225 are completely uncorrelated. Even though it is essential to pay attention to NIKKEI 225 price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis approach 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. NIKKEI 225 exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.17) 
correlation synergy

Insignificant reverse predictability

NIKKEI 225 has insignificant reverse predictability. Overlapping area represents the amount of predictability between NIKKEI 225 time series from June 23, 2019 to July 23, 2019 and July 23, 2019 to August 22, 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 NIKKEI 225 price movement. The serial correlation of -0.17 indicates that over 17.0% of current NIKKEI 225 price fluctuation can be explain by its past prices. Given that NIKKEI 225 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NIKKEI 225 for similar time interval.
Correlation Coefficient-0.17
Spearman Rank Test0.01
Residual Average0.0
Price Variance293975.5

NIKKEI 225 lagged returns against current returns

 Current and Lagged Values 
      Timeline 

NIKKEI 225 regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

NIKKEI 225 Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - N225

NIKKEI 225 Investor Sentiment

Most of Macroaxis investors are at this time bullish on NIKKEI 225. What is your trading attitude regarding investing in Japan companies? Are you bullish or bearish on NIKKEI 225?
Bullish
Bearish
98% Bullish
2% Bearish
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See also NIKKEI 225 Hype Analysis, NIKKEI 225 Correlation, Portfolio Optimization, NIKKEI 225 Volatility as well as analyze NIKKEI 225 Alpha and Beta and NIKKEI 225 Performance. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.
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