NYSE Backtesting

NYSE -- USA Index  

 12,303  0.38  0.0031%

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
Investment Horizon     30 Days    Login   to change

NYSE 'What if' Analysis

October 21, 2017
No Change 0.00  0.0%
In 31 days
November 20, 2017
If you would invest  0.00  in NYSE on October 21, 2017 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 30 days. NYSE is entity of United States. It is traded as Index on Index exchange.

NYSE Upside/Downside Indicators


NYSE Market Premium Indicators

NYSE lagged returns against current returns

 Current and Lagged Values 

NYSE regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NYSE Backtested Returns

NYSE has Sharpe Ratio of -0.1094 which conveys that NYSE had -0.1094% of return per unit of standard deviation over the last 1 month. 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. NYSE exposes twenty-one 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 NYSE are completely uncorrelated. Even though it is essential to pay attention to NYSE 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. NYSE exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.15 

Insignificant predictability

NYSE has insignificant predictability. Overlapping area represents the amount of predictability between NYSE time series from October 21, 2017 to November 5, 2017 and November 5, 2017 to November 20, 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 NYSE price movement. The serial correlation of 0.15 indicates that less than 15.0% of current NYSE price fluctuation can be explain by its past prices.
Correlation Coefficient 0.15
Spearman Rank Test 0.1
Price Variance 2372.11
Lagged Price Variance 637.77

NYSE Lagged Returns

 Regressed Prices 

NYSE Performance vs DOW

The median price of NYSE for the period between Sat, Oct 21, 2017 and Mon, Nov 20, 2017 is 12362.89 with a coefficient of variation of 0.38. The daily time series for the period is distributed with a sample standard deviation of 47.09, arithmetic mean of 12348.53, and mean deviation of 36.59. The Index did not receive any noticable media coverage during the period.
Price Growth (%)