PT Indofood (Indonesia) Backtesting

ICBP -- Indonesia Stock  

IDR 8,088  312.00  3.71%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of PT Indofood CBP Sukses Makmur Tbk and determine expected loss or profit from investing in PT Indofood over given investment horizon. Please also check PT Indofood Hype Analysis, PT Indofood Correlation, PT Indofood Valuation, PT Indofood Volatility as well as analyze PT Indofood Alpha and Beta and PT Indofood Performance.
 Time Horizon     30 Days    Login   to change
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PT Indofood 'What if' Analysis

May 24, 2018
0.00
No Change 0.00  0.0%
In 31 days
June 23, 2018
0.00
If you would invest  0.00  in PT Indofood on May 24, 2018 and sell it all today you would earn a total of 0.00 from holding PT Indofood CBP Sukses Makmur Tbk or generate 0.0% return on investment in PT Indofood over 30 days. PT Indofood is related to or competes with PT Charoen, PT Mayora, PT Indofood, PT Matahari, PT Gudang, and Ultra Jaya.

PT Indofood Upside/Downside Indicators

  

PT Indofood Market Premium Indicators

PT Indofood CBP Backtested Returns

We consider PT Indofood not too risky. PT Indofood CBP retains Efficiency (Sharpe Ratio) of 0.0323 which implies PT Indofood CBP had 0.0323% of return per unit of price deviation over the last 1 month. Our approach towards forecasting 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 PT Indofood which you can use to evaluate future volatility of the company. Please check PT Indofood CBP Sukses Makmur Tbk to confirm if risk estimate we provide are consistent with the epected return of 0.0625%. PT Indofood has performance score of 2 on a scale of 0 to 100. The organization owns Beta (Systematic Risk) of 0.0 which implies the returns on MARKET and PT Indofood are completely uncorrelated. Although it is extremely important to respect PT Indofood CBP existing price patterns, it is better to be realistic regarding the information on equity price patterns. The approach towards forecasting 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 inspecting PT Indofood CBP technical indicators you can at this time evaluate if the expected return of 0.0625% will be sustainable into the future. PT Indofood CBP at this moment owns a risk of 1.932%. Please check PT Indofood CBP Sukses Makmur Tbk Mean Deviation, Downside Deviation, Standard Deviation, as well as the relationship between Semi Deviation and Coefficient Of Variation to decide if PT Indofood CBP Sukses Makmur Tbk will be following its current price history.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.67) 

Very good reverse predictability

PT Indofood CBP Sukses Makmur Tbk has very good reverse predictability. Overlapping area represents the amount of predictability between PT Indofood time series from May 24, 2018 to June 8, 2018 and June 8, 2018 to June 23, 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 PT Indofood CBP price movement. The serial correlation of -0.67 indicates that around 67.0% of current PT Indofood price fluctuation can be explain by its past prices. Given that PT Indofood CBP Sukses Makmur Tbk has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of PT Indofood for similar time interval.
Correlation Coefficient -0.67
Spearman Rank Test -0.57
Price Variance 51201.82
Lagged Price Variance 37589.29

PT Indofood CBP lagged returns against current returns

 Current and Lagged Values 
      Timeline 

PT Indofood regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

PT Indofood Lagged Returns

 Regressed Prices 
      Timeline 

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Please also check PT Indofood Hype Analysis, PT Indofood Correlation, PT Indofood Valuation, PT Indofood Volatility as well as analyze PT Indofood Alpha and Beta and PT Indofood Performance. Please also try Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.