NYSE Backtesting

NYSE -- USA Index  

 12,733  125.74  1.00%

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.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

NYSE 'What if' Analysis

February 20, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
April 21, 2018
0.00
If you would invest  0.00  in NYSE on February 20, 2018 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 60 days.

NYSE Upside/Downside Indicators

Information Ratio0.017589
Maximum Drawdown7.34
Value At Risk2.42
Potential Upside1.8
  

NYSE Market Premium Indicators

Risk Adjusted Performance0.064864
Total Risk Alpha0.031063

NYSE Backtested Returns

NYSE has Sharpe Ratio of -0.0161 which conveys that NYSE had -0.0161% 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. 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(0.22) 

Weak reverse predictability

NYSE has weak reverse predictability. Overlapping area represents the amount of predictability between NYSE time series from February 20, 2018 to March 22, 2018 and March 22, 2018 to April 21, 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 NYSE price movement. The serial correlation of -0.22 indicates that over 22.0% of current NYSE price fluctuation can be explain by its past prices. Given that NYSE has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NYSE for similar time interval.
Correlation Coefficient -0.22
Spearman Rank Test -0.12
Price Variance 32193.71
Lagged Price Variance 17805.29

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 

Did you try this?

Run CEO Directory Now
   

CEO Directory

Screen CEOs from public companies around the world
View All  NextLaunch CEO Directory

Trending Equities

Currently Active Assets on Macroaxis
MSFT   
 NMS 
Purchased over 30 shares of
few hours ago ago
Traded for 94.72
AOI   
 NYQ 
Purchased over 100 shares of
few hours ago ago
Traded for 24.75
REV   
 NYQ 
Purchased over 100 shares of
few hours ago ago
Traded for 22.75
FB   
 NMS 
Purchased few shares of
few hours ago ago
Traded for 166.69
VMW   
 NYQ 
Purchased over 20 shares of
few hours ago ago
Traded for 134.7
MSFT   
 NMS 
Purchased over 30 shares of
few hours ago ago
Traded for 94.72
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 Portfolio Quick Import module to import or update all your transactions via one easy-to-use interface.