NZSE Backtested Returns
has Sharpe Ratio of -0.0224 which conveys that NZSE
had -0.0224% 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
. NZSE 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 NZSE are completely uncorrelated. Even though it is essential to pay attention to NZSE 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
. NZSE exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.80) |
Almost perfect reverse predictability
NZSE has almost perfect reverse predictability. Overlapping area represents the amount of predictability between NZSE time series from January 26, 2018 to February 10, 2018 and February 10, 2018 to February 25, 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 NZSE price movement. The serial correlation of -0.8 indicates that around 80.0% of current NZSE price fluctuation can be explain by its past prices. Given that NZSE has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NZSE for similar time interval.
|Correlation Coefficient|| -0.8|
|Spearman Rank Test|| -0.61|
|Price Variance|| 7813.56|
|Lagged Price Variance|| 13792.55|
NZSE Lagged Returns