Itamar Medical (Israel) Backtesting

ITMR -- Israel Stock  

ILS 122.70  1.40  1.15%

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

Itamar Medical 'What if' Analysis

February 25, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 26, 2019
0.00
If you would invest  0.00  in Itamar Medical on February 25, 2019 and sell it all today you would earn a total of 0.00 from holding Itamar Medical Ltd or generate 0.0% return on investment in Itamar Medical over 60 days. Itamar Medical is related to or competes with Endymed Ltd, and Brimag Digital. Itamar Medical Ltd. engages in the research, development, marketing, sale, and leasing of non-invasive medical devices f...

Itamar Medical Upside/Downside Indicators

Information Ratio(0.06)
Maximum Drawdown18.52
Value At Risk(3.89)
Potential Upside4.3

Itamar Medical Market Premium Indicators

Risk Adjusted Performance7.0E-4
Jensen Alpha(0.15)
Total Risk Alpha(0.61)
Treynor Ratio(0.05)

Itamar Medical Backtested Returns

Macroaxis considers Itamar Medical to be very steady. Itamar Medical holds Efficiency (Sharpe) Ratio of -0.1192 which attests that the entity had -0.1192% of return per unit of risk over the last 2 months. Macroaxis philosophy towards 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. Itamar Medical exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Itamar Medical Market Risk Adjusted Performance of (0.040129) and Risk Adjusted Performance of 7.0E-4 to validate risk estimate we provide. The company retains Market Volatility (i.e. Beta) of 0.8188 which attests that as returns on market increase, Itamar Medical returns are expected to increase less than the market. However during bear market, the loss on holding Itamar Medical will be expected to be smaller as well. Even though it is essential to pay attention to Itamar Medical current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards 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. Itamar Medical exposes twenty-one different technical indicators which can help you to evaluate its performance. Itamar Medical has expected return of -0.4163%. Please be advised to check out Itamar Medical Mean Deviation, Downside Deviation, Standard Deviation, as well as the relationship between Semi Deviation and Coefficient Of Variation to decide if Itamar Medical past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.46) 
correlation synergy

Modest reverse predictability

Itamar Medical Ltd has modest reverse predictability. Overlapping area represents the amount of predictability between Itamar Medical time series from February 25, 2019 to March 27, 2019 and March 27, 2019 to April 26, 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 Itamar Medical price movement. The serial correlation of -0.46 indicates that about 46.0% of current Itamar Medical price fluctuation can be explain by its past prices. Given that Itamar Medical Ltd has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Itamar Medical for similar time interval.
Correlation Coefficient-0.46
Spearman Rank Test-0.02
Residual Average0.0
Price Variance14.09

Itamar Medical lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Itamar Medical regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Itamar Medical Lagged Returns

 Regressed Prices 
      Timeline 

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Please also check Itamar Medical Hype Analysis, Itamar Medical Correlation, Itamar Medical Valuation, Itamar Medical Volatility as well as analyze Itamar Medical Alpha and Beta and Itamar Medical Performance. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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