ICBC (Hong Kong) Backtesting

ICBC -- Hong Kong Stock  

HKD 6.33  0.02  0.31%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ICBC and determine expected loss or profit from investing in ICBC over given investment horizon. Check also ICBC Hype Analysis, ICBC Correlation, ICBC Valuation, ICBC Volatility as well as analyze ICBC Alpha and Beta and ICBC Performance
Investment Horizon     30 Days    Login   to change
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Backtest

ICBC 'What if' Analysis

September 19, 2017
 0.00 
No Change 0.00  0.0%
In 30 days
October 19, 2017
 0.00 
If you would invest  0.00  in ICBC on September 19, 2017 and sell it all today you would earn a total of 0.00 from holding ICBC or generate 0.0% return on investment in ICBC over 30 days. ICBC is related to or competes with HUISHANG BANK, CQRC BANK, CCB, BANK OF CHINA, ABC, and SHENGJINGBANK. It operates through Corporationrate Banking Personal Banking and Treasury Operations segments

ICBC Upside/Downside Indicators

  

ICBC Market Premium Indicators

ICBC lagged returns against current returns

 Current and Lagged Values 
      Timeline 

ICBC regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

ICBC Backtested Returns

Macroaxis considers ICBC relatively volatile given 1 month investment horizon. ICBC retains Efficiency (Sharpe Ratio) of 0.2186 which attests that ICBC had 0.2186% of return per unit of return volatility over the last 1 month. Our philosophy towards determining volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for ICBC which you can use to evaluate future volatility of the entity. Please utilize ICBC Downside Deviation of 1.2, Market Risk Adjusted Performance of 0.1945 and Semi Deviation of 0.53 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 ICBC holds performance score of 14. The corporation owns Beta (Systematic Risk) of 2.4958 which attests that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, ICBC will likely underperform.. Although it is vital to follow to ICBC existing price patterns, it is good to be conservative about what you can actually do with the information regarding equity price patterns. The philosophy towards determining future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By evaluating ICBC technical indicators you can at this time evaluate if the expected return of 0.4265% will be sustainable into the future. Please utilizes ICBC Semi Deviation, Coefficient Of Variation and the relationship between Mean Deviation and Downside Deviation to make a quick decision on weather ICBC current price history will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.71) 

Almost perfect reverse predictability

ICBC has almost perfect reverse predictability. Overlapping area represents the amount of predictability between ICBC time series from September 19, 2017 to October 4, 2017 and October 4, 2017 to October 19, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ICBC price movement. The serial correlation of -0.71 indicates that around 71.0% of current ICBC price fluctuation can be explain by its past prices. Given that ICBC has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ICBC for similar time interval.
Correlation Coefficient -0.71
Spearman Rank Test 0.56
Lagged Price Variance 0.04
Average Price 6.37

ICBC Lagged Returns

 Regressed Prices 
      Timeline 

ICBC Performance vs Hang Seng

The median price of ICBC for the period between Tue, Sep 19, 2017 and Thu, Oct 19, 2017 is 6.26 with a coefficient of variation of 4.86. The daily time series for the period is distributed with a sample standard deviation of 0.3, arithmetic mean of 6.08, and mean deviation of 0.28. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)  
      Timeline