NYSE Backtesting

NYA -- USA Index  

 13,385  2.57  0.0192%

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

NYSE 'What if' Analysis

August 16, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
November 14, 2019
0.00
If you would invest  0.00  in NYSE on August 16, 2019 and sell it all today you would earn a total of 0.00 from holding NYSE or generate 0.0% return on investment in NYSE over 90 days.

NYSE Upside/Downside Indicators

Downside Deviation1.27
Information Ratio(0.006138)
Maximum Drawdown4.97
Value At Risk(2.25)
Potential Upside1.38

NYSE Market Premium Indicators

Risk Adjusted Performance0.0685
Total Risk Alpha(0.023556)
Sortino Ratio(0.004906)

NYSE Backtested Returns

NYSE has Sharpe Ratio of 0.1073 which conveys that the entity had 0.1073% of return per unit of standard deviation over the last 3 months. 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 NYSE 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 NYSE are completely uncorrelated. Although it is extremely important to respect NYSE 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 NYSE technical indicators you can currently evaluate if the expected return of 0.1027% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.79 
correlation synergy

Good predictability

NYSE has good predictability. Overlapping area represents the amount of predictability between NYSE time series from August 16, 2019 to September 30, 2019 and September 30, 2019 to November 14, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of NYSE price movement. The serial correlation of 0.79 indicates that around 79.0% of current NYSE price fluctuation can be explain by its past prices.
Correlation Coefficient0.79
Spearman Rank Test0.68
Residual Average0.0
Price Variance75257.39

NYSE lagged returns against current returns

 Current and Lagged Values 
      Timeline 

NYSE regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

NYSE Lagged Returns

 Regressed Prices 
      Timeline 

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See also NYSE Hype Analysis, NYSE Correlation, Portfolio Optimization, NYSE Volatility as well as analyze NYSE Alpha and Beta and NYSE Performance. Please also try Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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