Ctrip com International Backtested Returns
Macroaxis considers Ctrip com to be not too risky. Ctrip com International
secures Sharpe Ratio (or Efficiency) of -0.2467 which signifies that Ctrip com International
had -0.2467% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. Ctrip com International Ltd exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Ctrip com International Risk Adjusted Performance
of (0.087185) and Mean Deviation of 1.07 to double-check risk estimate we provide. Macroaxis gives Ctrip com performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.0918 which signifies that as returns on market increase, returns on owning Ctrip com are expected to decrease at a much smaller rate. During bear market, Ctrip com is likely to outperform the market.. Even though it is essential to pay attention to Ctrip com International historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Ctrip com International Ltd exposes twenty-one different technical indicators which can help you to evaluate its performance. Ctrip com International has expected return of -0.343%. Please be advised to confirm Ctrip com International Standard Deviation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Expected Short fall to decide if Ctrip com International past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.29) |
Weak reverse predictability
Ctrip com International Ltd has weak reverse predictability. Overlapping area represents the amount of predictability between Ctrip com time series from November 12, 2017 to November 27, 2017 and November 27, 2017 to December 12, 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 Ctrip com International price movement. The serial correlation of -0.29 indicates that nearly 29.0% of current Ctrip com price fluctuation can be explain by its past prices. Given that Ctrip com International Ltd has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Ctrip com for similar time interval.
|Correlation Coefficient|| -0.29|
|Spearman Rank Test|| -0.61|
|Price Variance|| 1.45|
|Lagged Price Variance|| 0.79|
Ctrip com Lagged Returns