DAX (Germany) Backtesting

GDAXI -- Germany Index  

 12,468  10.31  0.08%

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

DAX 'What if' Analysis

June 24, 2019
No Change 0.00  0.0%
In 3 months and 1 day
September 22, 2019
If you would invest  0.00  in DAX on June 24, 2019 and sell it all today you would earn a total of 0.00 from holding DAX or generate 0.0% return on investment in DAX over 90 days.

DAX Upside/Downside Indicators

Downside Deviation1.21
Information Ratio(0.017368)
Maximum Drawdown4.75
Value At Risk(1.80)
Potential Upside1.31

DAX Market Premium Indicators

Risk Adjusted Performance0.0125
Total Risk Alpha(0.016202)
Sortino Ratio(0.013132)

DAX Backtested Returns

DAX secures Sharpe Ratio (or Efficiency) of 0.0296 which denotes the index had 0.0296% of return per unit of volatility over the last 3 months. Our way of predicting volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for DAX which you can use to evaluate future volatility of the entity. The entity shows Beta (market volatility) of 0.0 which denotes to the fact that the returns on MARKET and DAX are completely uncorrelated. Although it is extremely important to respect DAX historical returns, it is better to be realistic regarding the information on equity current trending patterns. The way of predicting future performance of any index is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By examining DAX technical indicators you can today evaluate if the expected return of 0.0267% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.59) 
correlation synergy

Good reverse predictability

DAX has good reverse predictability. Overlapping area represents the amount of predictability between DAX time series from June 24, 2019 to August 8, 2019 and August 8, 2019 to September 22, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of DAX price movement. The serial correlation of -0.59 indicates that roughly 59.0% of current DAX price fluctuation can be explain by its past prices. Given that DAX has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of DAX for similar time interval.
Correlation Coefficient-0.59
Spearman Rank Test-0.33
Residual Average0.0
Price Variance111350.02

DAX lagged returns against current returns

 Current and Lagged Values 

DAX regressed lagged prices vs. current prices

 Current vs Lagged Prices 

DAX Lagged Returns

 Regressed Prices 

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See also DAX Hype Analysis, DAX Correlation, Portfolio Optimization, DAX Volatility as well as analyze DAX Alpha and Beta and DAX Performance. Please also try My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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