NIKKEI 225 Backtested Returns
has Sharpe Ratio of -0.2319 which conveys that NIKKEI 225
had -0.2319% of return per unit of volatility over the last 1 month. 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-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 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-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.28) |
Weak reverse predictability
NIKKEI 225 has weak reverse predictability. Overlapping area represents the amount of predictability between NIKKEI 225 time series from January 22, 2018 to February 6, 2018 and February 6, 2018 to February 21, 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 NIKKEI 225 price movement. The serial correlation of -0.28 indicates that nearly 28.0% 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|| -0.28|
|Spearman Rank Test|| -0.61|
|Price Variance|| 89168.22|
|Lagged Price Variance|| 151774.82|
NIKKEI 225 Lagged Returns