NQTH (Thailand) Backtesting

NQTH -- Thailand Index  

 1,183  8.71  0.74%

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

NQTH 'What if' Analysis

August 20, 2018
No Change 0.00  0.0%
In 31 days
September 19, 2018
If you would invest  0.00  in NQTH on August 20, 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 30 days.

NQTH Upside/Downside Indicators

Downside Deviation0.7733
Information Ratio0.0436
Maximum Drawdown3.14
Value At Risk1.11
Potential Upside1.67

NQTH Market Premium Indicators

Risk Adjusted Performance0.069
Total Risk Alpha0.11
Sortino Ratio0.0553

NQTH Backtested Returns

NQTH has Sharpe Ratio of 0.1884 which conveys that NQTH had 0.1884% of return per unit of standard deviation over the last 1 month. Our philosophy towards estimating volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for NQTH 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 NQTH are completely uncorrelated. Although it is extremely important to respect NQTH price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy 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 reviewing NQTH technical indicators you can currently evaluate if the expected return of 0.182% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.10 

Insignificant predictability

NQTH has insignificant predictability. Overlapping area represents the amount of predictability between NQTH time series from August 20, 2018 to September 4, 2018 and September 4, 2018 to September 19, 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 0.1 indicates that less than 10.0% of current NQTH price fluctuation can be explain by its past prices.
Correlation Coefficient0.1
Spearman Rank Test-0.06
Residual Average0.0
Price Variance410.06

NQTH lagged returns against current returns

 Current and Lagged Values 

NQTH regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NQTH Lagged Returns

 Regressed Prices 

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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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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