Shah Alloys (India) Backtesting

SHAHALLOYS -- India Stock  

INR 19.00  0.00  0.00%

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

Shah Alloys 'What if' Analysis

October 20, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
December 19, 2018
0.00
If you would invest  0.00  in Shah Alloys on October 20, 2018 and sell it all today you would earn a total of 0.00 from holding Shah Alloys Limited or generate 0.0% return on investment in Shah Alloys over 60 days. Shah Alloys is related to or competes with JSW Steel, JSW STEEL, Tata Steel, NMDC, Steel Authority, Steel Authority, and Jindal Steel. Shah Alloys Limited manufactures and sells flat and long stainless steel, alloy and special steel, carbonmild steel, and...

Shah Alloys Upside/Downside Indicators

Downside Deviation3.27
Information Ratio0.1105
Maximum Drawdown9.93
Value At Risk(4.84)
Potential Upside4.93
  

Shah Alloys Market Premium Indicators

Risk Adjusted Performance0.0761
Jensen Alpha0.1415
Total Risk Alpha0.6311
Sortino Ratio0.1079
Treynor Ratio(1.46)

Shah Alloys Limited Backtested Returns

We consider Shah Alloys not very volatile. Shah Alloys Limited owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0195 which indicates Shah Alloys Limited had 0.0195% of return per unit of risk over the last 2 months. Our philosophy towards measuring volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Shah Alloys Limited which you can use to evaluate future volatility of the company. Please validate Shah Alloys Semi Deviation of 2.69, Coefficient Of Variation of 1849.8 and Risk Adjusted Performance of 0.0761 to confirm if risk estimate we provide are consistent with the epected return of 0.0601%. Shah Alloys has performance score of 1 on a scale of 0 to 100. The entity has beta of -0.1117 which indicates as returns on market increase, returns on owning Shah Alloys are expected to decrease at a much smaller rate. During bear market, Shah Alloys is likely to outperform the market.. Although it is extremely important to respect Shah Alloys Limited current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting Shah Alloys Limited technical indicators you can presently evaluate if the expected return of 0.0601% will be sustainable into the future. Shah Alloys Limited right now has a risk of 3.0864%. Please validate Shah Alloys Information Ratio, Value At Risk and the relationship between Standard Deviation and Treynor Ratio to decide if Shah Alloys will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.79) 
correlation synergy

Almost perfect reverse predictability

Shah Alloys Limited has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Shah Alloys time series from October 20, 2018 to November 19, 2018 and November 19, 2018 to December 19, 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 Shah Alloys Limited price movement. The serial correlation of -0.79 indicates that around 79.0% of current Shah Alloys price fluctuation can be explain by its past prices. Given that Shah Alloys Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Shah Alloys for similar time interval.
Correlation Coefficient-0.79
Spearman Rank Test-0.84
Residual Average0.0
Price Variance1.76

Shah Alloys Limited lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Shah Alloys regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Shah Alloys Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - SHAHALLOYS

Shah Alloys Limited Investor Sentiment

Macroaxis portfolio users are evenly split in their outlook on investing in Shah Alloys Limited. What is your outlook on investing in Shah Alloys Limited? Are you bullish or bearish?
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Also please take a look at Shah Alloys Hype Analysis, Shah Alloys Correlation, Shah Alloys Valuation, Shah Alloys Volatility as well as analyze Shah Alloys Alpha and Beta and Shah Alloys Performance. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.
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