NIKKEI 225 (Japan) Backtesting

NIKKEI 225 -- Japan Index  

 21,925  224.11  1.01%

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
 Time Horizon     30 Days    Login   to change

NIKKEI 225 'What if' Analysis

January 22, 2018
No Change 0.00  0.0%
In 31 days
February 21, 2018
If you would invest  0.00  in NIKKEI 225 on January 22, 2018 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 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 -0.2319 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.
Advice Volatility Trend Exposure Correlations
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

 Regressed Prices 

NIKKEI 225 Performance vs NIKKEI 225

The median price of NIKKEI 225 for the period between Mon, Jan 22, 2018 and Wed, Feb 21, 2018 is 23098.29 with a coefficient of variation of 4.59. The daily time series for the period is distributed with a sample standard deviation of 1040.41, arithmetic mean of 22665.48, and mean deviation of 951.57. The Index did not receive any noticable media coverage during the period.
Price Growth (%)