NIKKEI 225 (Japan) Backtesting

NIKKEI 225 -- Japan Index  

 22,397  135.04  0.61%

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
Investment Horizon     30 Days    Login   to change

NIKKEI 225 'What if' Analysis

October 22, 2017
No Change 0.00  0.0%
In 31 days
November 21, 2017
If you would invest  0.00  in NIKKEI 225 on October 22, 2017 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 30 days. NIKKEI 225 is entity of Japan. It is traded as Index on Index exchange.

NIKKEI 225 Upside/Downside Indicators


NIKKEI 225 Market Premium Indicators

NIKKEI 225 lagged returns against current returns

 Current and Lagged Values 

NIKKEI 225 regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NIKKEI 225 Backtested Returns

NIKKEI 225 has Sharpe Ratio of 0.1418 which conveys that NIKKEI 225 had 0.1418% of return per unit of volatility over the last 1 month. Our approach towards estimating volatility of a index is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for NIKKEI 225 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 NIKKEI 225 are completely uncorrelated. Although it is extremely important to respect NIKKEI 225 price patterns, it is better to be realistic regarding the information on equity historical price patterns. The approach 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 inspecting NIKKEI 225 technical indicators you can now evaluate if the expected return of 0.1263% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.77) 

Almost perfect reverse predictability

NIKKEI 225 has almost perfect reverse predictability. Overlapping area represents the amount of predictability between NIKKEI 225 time series from October 22, 2017 to November 6, 2017 and November 6, 2017 to November 21, 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 NIKKEI 225 price movement. The serial correlation of -0.77 indicates that around 77.0% 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 -0.77
Spearman Rank Test -0.65
Price Variance 78993.06
Lagged Price Variance 113270.75

NIKKEI 225 Lagged Returns

 Regressed Prices 

NIKKEI 225 Performance vs NIKKEI 225

The median price of NIKKEI 225 for the period between Sun, Oct 22, 2017 and Tue, Nov 21, 2017 is 22380.01 with a coefficient of variation of 1.9. The daily time series for the period is distributed with a sample standard deviation of 421.98, arithmetic mean of 22258.45, and mean deviation of 350.83. The Index did not receive any noticable media coverage during the period.
Price Growth (%)