OMXRGI Backtested Returns
maintains Sharpe Ratio (i.e. Efficiency) of -0.0828 which implies OMXRGI
had -0.0828% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy towards forecasting 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
. OMXRGI exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. The index holds Beta of 0.0 which implies the returns on MARKET and OMXRGI are completely uncorrelated. Even though it is essential to pay attention to OMXRGI
current trending patterns, it is always good to be careful when utilizing equity existing price patterns
. Macroaxis philosophy towards forecasting 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
. OMXRGI exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.10) |
Very weak reverse predictability
OMXRGI has very weak reverse predictability. Overlapping area represents the amount of predictability between OMXRGI time series from January 23, 2018 to February 7, 2018 and February 7, 2018 to February 22, 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 OMXRGI price movement. The serial correlation of -0.1 indicates that less than 10.0% of current OMXRGI price fluctuation can be explain by its past prices. Given that OMXRGI has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of OMXRGI for similar time interval.
|Correlation Coefficient|| -0.1|
|Spearman Rank Test|| -0.42|
|Price Variance|| 103.76|
|Lagged Price Variance|| 48.56|
OMXRGI Lagged Returns