NQPH (Philippine) Backtesting

NQPH -- Philippine Index  

 1,176  4.23  0.36%

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

NQPH 'What if' Analysis

October 23, 2017
No Change 0.00  0.0%
In 31 days
November 22, 2017
If you would invest  0.00  in NQPH on October 23, 2017 and sell it all today you would earn a total of 0.00 from holding NQPH or generate 0.0% return on investment in NQPH over 30 days. NQPH is entity of Philippines. It is traded as Index on Index exchange.

NQPH Upside/Downside Indicators


NQPH Market Premium Indicators

NQPH lagged returns against current returns

 Current and Lagged Values 

NQPH regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NQPH Backtested Returns

NQPH has Sharpe Ratio of 0.0187 which conveys that NQPH had 0.0187% 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 NQPH 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 NQPH are completely uncorrelated. Although it is extremely important to respect NQPH 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 NQPH technical indicators you can now evaluate if the expected return of 0.0152% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.41) 

Modest reverse predictability

NQPH has modest reverse predictability. Overlapping area represents the amount of predictability between NQPH time series from October 23, 2017 to November 7, 2017 and November 7, 2017 to November 22, 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 NQPH price movement. The serial correlation of -0.41 indicates that just about 41.0% of current NQPH price fluctuation can be explain by its past prices. Given that NQPH has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NQPH for similar time interval.
Correlation Coefficient -0.41
Spearman Rank Test -0.81
Price Variance 110.67
Lagged Price Variance 218.18

NQPH Lagged Returns

 Regressed Prices 

NQPH Performance vs NQPH

The median price of NQPH for the period between Mon, Oct 23, 2017 and Wed, Nov 22, 2017 is 1175.63 with a coefficient of variation of 1.14. The daily time series for the period is distributed with a sample standard deviation of 13.38, arithmetic mean of 1177.81, and mean deviation of 10.85. The Index did not receive any noticable media coverage during the period.
Price Growth (%)