NQEGT (Egypt) Backtesting

NQEGT -- Egypt Index  

 1,364  5.69  0.42%

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

NQEGT 'What if' Analysis

February 21, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
April 22, 2018
0.00
If you would invest  0.00  in NQEGT on February 21, 2018 and sell it all today you would earn a total of 0.00 from holding NQEGT or generate 0.0% return on investment in NQEGT over 60 days.

NQEGT Upside/Downside Indicators

Downside Deviation0.7511
Information Ratio0.334
Maximum Drawdown4.97
Value At Risk0.68
Potential Upside1.18
  

NQEGT Market Premium Indicators

Risk Adjusted Performance0.4016
Total Risk Alpha0.2074
Sortino Ratio0.3309

NQEGT Backtested Returns

NQEGT has Sharpe Ratio of 0.4309 which conveys that NQEGT had 0.4309% of return per unit of risk over the last 2 months. Our philosophy in 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 technical indicators for NQEGT 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 NQEGT are completely uncorrelated. Although it is vital to follow to NQEGT price patterns, it is good to be conservative about what you can actually do with the information regarding equity historical price patterns. The philosophy in 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 NQEGT technical indicators you can now evaluate if the expected return of 0.3652% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.85 

Very good predictability

NQEGT has very good predictability. Overlapping area represents the amount of predictability between NQEGT time series from February 21, 2018 to March 23, 2018 and March 23, 2018 to April 22, 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 NQEGT price movement. The serial correlation of 0.85 indicates that around 85.0% of current NQEGT price fluctuation can be explain by its past prices.
Correlation Coefficient 0.85
Spearman Rank Test 0.91
Price Variance 311.67
Lagged Price Variance 3500.9

NQEGT lagged returns against current returns

 Current and Lagged Values 
      Timeline 

NQEGT regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

NQEGT Lagged Returns

 Regressed Prices 
      Timeline 

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See also NQEGT Hype Analysis, NQEGT Correlation, Portfolio Optimization, NQEGT Volatility as well as analyze NQEGT Alpha and Beta and NQEGT Performance. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.