SPTSX Comp Backtesting

GSPTSE -- Canada Index  

 16,972  14.19  0.08%

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

SPTSX Comp 'What if' Analysis

August 17, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
November 15, 2019
0.00
If you would invest  0.00  in SPTSX Comp on August 17, 2019 and sell it all today you would earn a total of 0.00 from holding SPTSX Comp or generate 0.0% return on investment in SPTSX Comp over 90 days.

SPTSX Comp Upside/Downside Indicators

Downside Deviation0.744
Information Ratio(0.08)
Maximum Drawdown3.28
Value At Risk(1.15)
Potential Upside0.8575

SPTSX Comp Market Premium Indicators

Risk Adjusted Performance0.1037
Total Risk Alpha(0.024692)
Sortino Ratio(0.06)

SPTSX Comp Backtested Returns

SPTSX Comp owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1102 which indicates the organization had 0.1102% of return per unit of standard deviation over the last 3 months. Our philosophy towards measuring 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-seven technical indicators for SPTSX Comp which you can use to evaluate future volatility of the index. The entity has beta of 0.0 which indicates the returns on MARKET and SPTSX Comp are completely uncorrelated. Although it is extremely important to respect SPTSX Comp current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 evaluating SPTSX Comp technical indicators you can currently evaluate if the expected return of 0.0655% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.39 
correlation synergy

Below average predictability

SPTSX Comp has below average predictability. Overlapping area represents the amount of predictability between SPTSX Comp time series from August 17, 2019 to October 1, 2019 and October 1, 2019 to November 15, 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 SPTSX Comp price movement. The serial correlation of 0.39 indicates that just about 39.0% of current SPTSX Comp price fluctuation can be explain by its past prices.
Correlation Coefficient0.39
Spearman Rank Test0.44
Residual Average0.0
Price Variance38395.7

SPTSX Comp lagged returns against current returns

 Current and Lagged Values 
      Timeline 

SPTSX Comp regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

SPTSX Comp Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - GSPTSE

SPTSX Comp Investor Sentiment

Most of Macroaxis investors are at this time bullish on SPTSX Comp. What is your outlook on investing in Canada companies? Are you bullish or bearish on SPTSX Comp?
Bullish
Bearish
98% Bullish
2% Bearish
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See also SPTSX Comp Hype Analysis, SPTSX Comp Correlation, Portfolio Optimization, SPTSX Comp Volatility as well as analyze SPTSX Comp Alpha and Beta and SPTSX Comp Performance. Please also try Idea Breakdown module to analyze constituents of all macroaxis ideas. macroaxis investment ideas are predefined, sector-focused investing themes.
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