I D (Israel) Backtesting

IDIN -- Israel Stock  

ILS 20,710  50.00  0.24%

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

I D 'What if' Analysis

October 18, 2018
0.00
No Change 0.00  0.0%
In 31 days
November 17, 2018
0.00
If you would invest  0.00  in I D on October 18, 2018 and sell it all today you would earn a total of 0.00 from holding I D I Insurance Company Ltd or generate 0.0% return on investment in I D over 30 days. I D is related to or competes with Delek Group, Harel Insurance, Menora Mivtachim, Direct Insurance, and Ayalon Holdings. Insurance Company Ltd. provides insurance products and services to individuals and corporate customers in Israel

I D Upside/Downside Indicators

Information Ratio0.17
Maximum Drawdown3.26
Value At Risk1.97
Potential Upside0.9924
  

I D Market Premium Indicators

Risk Adjusted Performance0.30
Jensen Alpha0.24
Total Risk Alpha0.18
Treynor Ratio13.72

I D I Backtested Returns

Macroaxis considers I D to be not too risky. I D I holds Efficiency (Sharpe) Ratio of -0.19 which attests that I D I had -0.19% of return per unit of return volatility over the last 1 month. Macroaxis philosophy in determining 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. I D I exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out I D to validate risk estimate we provide. Macroaxis gives I D performance score of 0 on a scale of 0 to 100. The corporation retains Market Volatility (i.e. Beta) of 0.0175 which attests that as returns on market increase, I D returns are expected to increase less than the market. However during bear market, the loss on holding I D will be expected to be smaller as well.. Even though it is essential to pay attention to I D I current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy in determining 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. I D I exposes twenty-one different technical indicators which can help you to evaluate its performance. I D I has expected return of -0.1554%. Please be advised to check out I D Coefficient Of Variation, Variance and the relationship between Downside Deviation and Standard Deviation to decide if I D I past performance will be repeated sooner or later.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.46) 
correlation synergy

Modest reverse predictability

I D I Insurance Company Ltd has modest reverse predictability. Overlapping area represents the amount of predictability between I D time series from October 18, 2018 to November 2, 2018 and November 2, 2018 to November 17, 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 I D I price movement. The serial correlation of -0.46 indicates that about 46.0% of current I D price fluctuation can be explain by its past prices. Given that I D I Insurance Company Ltd has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of I D for similar time interval.
Correlation Coefficient-0.46
Spearman Rank Test-0.45
Residual Average0.0
Price Variance13350.0

I D I lagged returns against current returns

 Current and Lagged Values 
      Timeline 

I D regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

I D Lagged Returns

 Regressed Prices 
      Timeline 

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Please also check I D Hype Analysis, I D Correlation, I D Valuation, I D Volatility as well as analyze I D Alpha and Beta and I D Performance. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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