NYSE Backtesting

NYA -- USA Index  

 13,561  417.74  2.99%

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

NYSE 'What if' Analysis

October 29, 2019
No Change 0.00  0.0 
In 3 months and 1 day
January 27, 2020
If you would invest  0.00  in NYSE on October 29, 2019 and sell it all today you would earn a total of 0.00 from holding NYSE or generate 0.0% return on investment in NYSE over 90 days. NYSE is related to or competes with Kudelski, VEDANTA, Berkshire Hathaway, and Royal Bank. NYSE is entity of United States. It is traded as Index on Index exchange.

NYSE Upside/Downside Indicators

Downside Deviation0.744
Information Ratio(0.06)
Maximum Drawdown2.75
Value At Risk(1.03)
Potential Upside0.8652

NYSE Market Premium Indicators

Risk Adjusted Performance0.0698
Total Risk Alpha(0.06)
Sortino Ratio(0.048915)

NYSE Backtested Returns

NYSE has Sharpe Ratio of 0.0601 which conveys that the entity had 0.0601% of return per unit of standard deviation over the last 3 months. Our philosophy towards 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-six technical indicators for NYSE 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 NYSE are completely uncorrelated. Although it is extremely important to respect NYSE price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards 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 reviewing NYSE technical indicators you can currently evaluate if the expected return of 0.0429% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.30 
correlation synergy

Below average predictability

NYSE has below average predictability. Overlapping area represents the amount of predictability between NYSE time series from October 29, 2019 to December 13, 2019 and December 13, 2019 to January 27, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of NYSE price movement. The serial correlation of 0.3 indicates that nearly 30.0% of current NYSE price fluctuation can be explain by its past prices.
Correlation Coefficient0.3
Spearman Rank Test0.33
Residual Average0.0
Price Variance18435.83

NYSE lagged returns against current returns

 Current and Lagged Values 

NYSE regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NYSE Lagged Returns

 Regressed Prices 

Current Sentiment - NYA

NYSE Investor Sentiment

Most of Macroaxis investors are at this time bullish on NYSE. What is your trading attitude regarding investing in USA companies? Are you bullish or bearish on NYSE?
98% Bullish
2% Bearish

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See also NYSE Hype Analysis, NYSE Correlation, Portfolio Optimization, NYSE Volatility as well as analyze NYSE Alpha and Beta and NYSE Performance. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.