United States Backtesting

BNO -- USA Etf  

USD 20.37  0.04  0.20%

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

United States 'What if' Analysis

July 15, 2018
No Change 0.00  0.0%
In 31 days
August 14, 2018
If you would invest  0.00  in United States on July 15, 2018 and sell it all today you would earn a total of 0.00 from holding United States Brent Oil or generate 0.0% return on investment in United States over 30 days. United States is related to or competes with United States, ProShares UltraShort, VelocityShares 3x, United States, United States, ELEMENTS Rogers, and OILD. The investment seeks the daily changes in percentage terms of its shares per share net asset value to reflect the daily ...

United States Upside/Downside Indicators

Downside Deviation1.45
Maximum Drawdown4.25
Value At Risk2.35
Potential Upside1.29

United States Market Premium Indicators

Risk Adjusted Performance0.01

United States Brent Backtested Returns

We consider United States not too volatile. United States Brent owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0473 which indicates United States Brent had 0.0473% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty technical indicators for United States Brent Oil which you can use to evaluate future volatility of the etf. Please validate United States Semi Deviation of 1.35, Coefficient Of Variation of 2114.89 and Risk Adjusted Performance of 0.01 to confirm if risk estimate we provide are consistent with the epected return of 0.0532%. The entity has beta of 0.0 which indicates the returns on MARKET and United States are completely uncorrelated. Although it is extremely important to respect United States Brent current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring future performance of any etf is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting United States Brent technical indicators you can presently evaluate if the expected return of 0.0532% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.71) 

Almost perfect reverse predictability

United States Brent Oil has almost perfect reverse predictability. Overlapping area represents the amount of predictability between United States time series from July 15, 2018 to July 30, 2018 and July 30, 2018 to August 14, 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 United States Brent price movement. The serial correlation of -0.71 indicates that around 71.0% of current United States price fluctuation can be explain by its past prices. Given that United States Brent Oil has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of United States for similar time interval.
Correlation Coefficient -0.71
Spearman Rank Test -0.69
Price Variance 0.07
Lagged Price Variance 0.11

United States Brent lagged returns against current returns

 Current and Lagged Values 

United States regressed lagged prices vs. current prices

 Current vs Lagged Prices 

United States Lagged Returns

 Regressed Prices 

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Bollinger Bands

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for United States and United States Oil. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also United States Hype Analysis, United States Correlation, Portfolio Optimization, United States Volatility as well as analyze United States Alpha and Beta and United States Performance. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.