Digjam (India) Backtesting

DIGJAMLTD -- India Stock  

INR 6.75  0.04  0.60%

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

Digjam 'What if' Analysis

August 19, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 18, 2018
0.00
If you would invest  0.00  in Digjam on August 19, 2018 and sell it all today you would earn a total of 0.00 from holding Digjam Limited or generate 0.0% return on investment in Digjam over 30 days. Digjam is related to or competes with SRF, Arvind, Bombay Dyeing, Raymond, Trident, Siyaram Silk, and Jindal Worldwide. Digjam Limited designs, manufactures, sells, and trades in woolen worsted textiles and fabrics under the DIGJAM brand in...

Digjam Upside/Downside Indicators

Information Ratio0.09
Maximum Drawdown8.38
Value At Risk3.26
Potential Upside3.32
  

Digjam Market Premium Indicators

Risk Adjusted Performance0.010045
Jensen Alpha0.0535
Total Risk Alpha0.62
Treynor Ratio0.0556

Digjam Limited Backtested Returns

Macroaxis considers Digjam to be relatively risky. Digjam Limited secures Sharpe Ratio (or Efficiency) of -0.0336 which denotes Digjam Limited had -0.0336% of return per unit of risk over the last 1 month. Macroaxis philosophy towards predicting risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Digjam Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Digjam Limited Coefficient Of Variation of 1,989 and Mean Deviation of 1.79 to check risk estimate we provide. Macroaxis gives Digjam performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -2.2525 which denotes to the fact that as returns on market increase, returns on owning Digjam are expected to decrease by larger amounts. On the other hand, during market turmoil, Digjam is expected to significantly outperform it.. Even though it is essential to pay attention to Digjam Limited historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards predicting future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Digjam Limited exposes twenty-one different technical indicators which can help you to evaluate its performance. Digjam Limited has expected return of -0.0761%. Please be advised to confirm Digjam Limited Information Ratio, Value At Risk and the relationship between Standard Deviation and Treynor Ratio to decide if Digjam Limited past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.72 

Good predictability

Digjam Limited has good predictability. Overlapping area represents the amount of predictability between Digjam time series from August 19, 2018 to September 3, 2018 and September 3, 2018 to September 18, 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 Digjam Limited price movement. The serial correlation of 0.72 indicates that around 72.0% of current Digjam price fluctuation can be explain by its past prices.
Correlation Coefficient0.72
Spearman Rank Test0.42
Residual Average0.0
Price Variance0.02

Digjam Limited lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Digjam regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Digjam Lagged Returns

 Regressed Prices 
      Timeline 

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Digjam Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Digjam and SRF Limited. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Additionally see Digjam Hype Analysis, Digjam Correlation, Digjam Valuation, Digjam Volatility as well as analyze Digjam Alpha and Beta and Digjam Performance. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.
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