NQEGT (Egypt) Backtesting

NQEGT -- Egypt Index  

 1,325  0.82  0.06%

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

NQEGT 'What if' Analysis

June 24, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
August 23, 2019
0.00
If you would invest  0.00  in NQEGT on June 24, 2019 and sell it all today you would earn a total of 0.00 from holding NQEGT or generate 0.0% return on investment in NQEGT over 60 days.

NQEGT Upside/Downside Indicators

Downside Deviation0.6623
Information Ratio0.204
Maximum Drawdown3.8
Value At Risk(1.33)
Potential Upside1.13

NQEGT Market Premium Indicators

Risk Adjusted Performance0.0789
Total Risk Alpha0.1292
Sortino Ratio0.2312

NQEGT Backtested Returns

NQEGT has Sharpe Ratio of 0.0921 which conveys that the entity had 0.0921% of return per unit of risk over the last 2 months. Our philosophy in estimating 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 NQEGT which you can use to evaluate future volatility of the organization. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and NQEGT are completely uncorrelated. Although it is extremely important to respect NQEGT price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy in estimating 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 inspecting NQEGT technical indicators you can now evaluate if the expected return of 0.0668% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.80) 
correlation synergy

Almost perfect reverse predictability

NQEGT has almost perfect reverse predictability. Overlapping area represents the amount of predictability between NQEGT time series from June 24, 2019 to July 24, 2019 and July 24, 2019 to August 23, 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 NQEGT price movement. The serial correlation of -0.8 indicates that around 80.0% of current NQEGT price fluctuation can be explain by its past prices. Given that NQEGT has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NQEGT for similar time interval.
Correlation Coefficient-0.8
Spearman Rank Test-0.8
Residual Average0.0
Price Variance1163.07

NQEGT lagged returns against current returns

 Current and Lagged Values 
      Timeline 

NQEGT regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

NQEGT Lagged Returns

 Regressed Prices 
      Timeline 

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See also NQEGT Hype Analysis, NQEGT Correlation, Portfolio Optimization, NQEGT Volatility as well as analyze NQEGT Alpha and Beta and NQEGT Performance. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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