OSE All Backtested Returns
maintains Sharpe Ratio (i.e. Efficiency) of -0.1467 which implies OSE All
had -0.1467% of return per unit of risk over the last 1 month. Macroaxis philosophy in 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
. OSE All 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 OSE All are completely uncorrelated. Even though it is essential to pay attention to OSE All
current trending patterns, it is always good to be careful when utilizing equity existing price patterns
. Macroaxis philosophy in 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
. OSE All exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.35) |
Poor reverse predictability
OSE All has poor reverse predictability. Overlapping area represents the amount of predictability between OSE All time series from January 19, 2018 to February 3, 2018 and February 3, 2018 to February 18, 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 OSE All price movement. The serial correlation of -0.35 indicates that nearly 35.0% of current OSE All price fluctuation can be explain by its past prices. Given that OSE All has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of OSE All for similar time interval.
|Correlation Coefficient|| -0.35|
|Spearman Rank Test|| -0.31|
|Price Variance|| 63.98|
|Lagged Price Variance|| 168.17|
OSE All Lagged Returns