NQTH (Thailand) Backtesting

NQTH -- Thailand Index  

 1,076  0.08  0.0074%

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

NQTH 'What if' Analysis

October 15, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 14, 2018
0.00
If you would invest  0.00  in NQTH on October 15, 2018 and sell it all today you would earn a total of 0.00 from holding NQTH or generate 0.0% return on investment in NQTH over 60 days.

NQTH Upside/Downside Indicators

Information Ratio(0.06)
Maximum Drawdown4.14
Value At Risk(1.66)
Potential Upside1.41
  

NQTH Market Premium Indicators

Risk Adjusted Performance(0.12)
Total Risk Alpha(0.07)

NQTH Backtested Returns

NQTH has Sharpe Ratio of -0.103 which conveys that NQTH had -0.103% of return per unit of standard deviation over the last 2 months. Macroaxis philosophy 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. NQTH exposes twenty-eight 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 NQTH are completely uncorrelated. Even though it is essential to pay attention to NQTH price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy 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. NQTH exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.27 
correlation synergy

Poor predictability

NQTH has poor predictability. Overlapping area represents the amount of predictability between NQTH time series from October 15, 2018 to November 14, 2018 and November 14, 2018 to December 14, 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 NQTH price movement. The serial correlation of 0.27 indicates that nearly 27.0% of current NQTH price fluctuation can be explain by its past prices.
Correlation Coefficient0.27
Spearman Rank Test-0.08
Residual Average0.0
Price Variance259.16

NQTH lagged returns against current returns

 Current and Lagged Values 
      Timeline 

NQTH regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

NQTH Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - NQTH

NQTH Investor Sentiment

Macroaxis traders are unemotional in their take regarding direction of NQTH Index. What is your trading attitude regarding investing in Thailand companies? Are you bullish or bearish on NQTH?
Bullish
Bearish
50% Bullish
50% Bearish
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See also NQTH Hype Analysis, NQTH Correlation, Portfolio Optimization, NQTH Volatility as well as analyze NQTH Alpha and Beta and NQTH Performance. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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