Ctrip International Backtesting

CTRP -- USA Stock  

USD 38.73  0.68  1.73%

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

Ctrip International 'What if' Analysis

August 23, 2018
No Change 0.00  0.0%
In 31 days
September 22, 2018
If you would invest  0.00  in Ctrip International on August 23, 2018 and sell it all today you would earn a total of 0.00 from holding Ctrip International Ltd or generate 0.0% return on investment in Ctrip International over 30 days. Ctrip International is related to or competes with Brunswick, Drive Shack, E Qure, Escalade Incorporated, Expedia, Funko, and Ballantyne Strong. Ctrip.com International, Ltd. operates as a travel service provider for accommodation reservation, transportation ticket...

Ctrip International Upside/Downside Indicators

Information Ratio0.08
Maximum Drawdown9.08
Value At Risk3.64
Potential Upside5.44

Ctrip International Market Premium Indicators

Risk Adjusted Performance0.001
Jensen Alpha0.39
Total Risk Alpha0.98
Treynor Ratio0.024517

Ctrip International Backtested Returns

We consider Ctrip International not too volatile. Ctrip International secures Sharpe Ratio (or Efficiency) of 0.0269 which signifies that Ctrip International had 0.0269% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Ctrip International Ltd which you can use to evaluate future volatility of the firm. Please confirm Ctrip International Risk Adjusted Performance of 0.001 and Mean Deviation of 1.73 to double-check if risk estimate we provide are consistent with the epected return of 0.0694%. Ctrip International has performance score of 1 on a scale of 0 to 100. The firm shows Beta (market volatility) of 2.0567 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Ctrip International will likely underperform.. Although it is extremely important to respect Ctrip International historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing 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 analyzing Ctrip International technical indicators you can presently evaluate if the expected return of 0.0694% will be sustainable into the future. Ctrip International right now shows a risk of 2.5766%. Please confirm Ctrip International Standard Deviation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Expected Short fall to decide if Ctrip International will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.52) 

Good reverse predictability

Ctrip International Ltd has good reverse predictability. Overlapping area represents the amount of predictability between Ctrip International time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 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 Ctrip International price movement. The serial correlation of -0.52 indicates that about 52.0% of current Ctrip International price fluctuation can be explain by its past prices. Given that Ctrip International Ltd has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Ctrip International for similar time interval.
Correlation Coefficient-0.52
Spearman Rank Test-0.16
Residual Average0.0
Price Variance0.86

Ctrip International lagged returns against current returns

 Current and Lagged Values 

Ctrip International regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Ctrip International Lagged Returns

 Regressed Prices 

Current Sentiment - CTRP

Ctrip International Investor Sentiment

Most of Macroaxis users are currently bullish on Ctrip International Ltd. What is your opinion about investing in Ctrip International Ltd? Are you bullish or bearish?
98% Bullish
2% Bearish

Ctrip International Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Ctrip International and Brunswick. 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
Run Pair Correlation  
Check also Ctrip International Hype Analysis, Ctrip International Correlation, Ctrip International Valuation, Ctrip International Volatility as well as analyze Ctrip International Alpha and Beta and Ctrip International Performance. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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