NYSE Backtesting

NYA -- USA Index  

 12,439  89.89  0.73%

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

September 16, 2018
0.00
No Change 0.00  0.0%
In 30 days
October 16, 2018
0.00
If you would invest  0.00  in NYSE on September 16, 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 30 days.

NYSE Upside/Downside Indicators

Maximum Drawdown3.49
Value At Risk2.16
Potential Upside0.7279
  

NYSE Market Premium Indicators

Risk Adjusted Performance0.01

NYSE Backtested Returns

NYSE has Sharpe Ratio of -0.2473 which conveys that NYSE had -0.2473% 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 0.10 

Insignificant predictability

NYSE has insignificant predictability. Overlapping area represents the amount of predictability between NYSE time series from September 16, 2018 to October 1, 2018 and October 1, 2018 to October 16, 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 0.1 indicates that less than 10.0% of current NYSE price fluctuation can be explain by its past prices.
Correlation Coefficient0.1
Spearman Rank Test-0.02
Residual Average0.0
Price Variance87006.57

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 

Current Sentiment - NYA

NYSE Investor Sentiment

Most of Macroaxis investors are at this time bullish on NYSE. What is your trading attitude regarding investing in USA companies? Are you bullish or bearish on NYSE?
Bullish
Bearish
98% Bullish
2% Bearish
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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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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