ATX (Austria) Backtesting

ATX -- Austria Index  

 3,186  19.87  0.63%

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

ATX 'What if' Analysis

September 14, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
December 13, 2019
0.00
If you would invest  0.00  in ATX on September 14, 2019 and sell it all today you would earn a total of 0.00 from holding ATX or generate 0.0% return on investment in ATX over 90 days.

ATX Upside/Downside Indicators

Downside Deviation0.7648
Information Ratio0.0243
Maximum Drawdown3.62
Value At Risk(1.10)
Potential Upside1.19

ATX Market Premium Indicators

Risk Adjusted Performance0.06
Total Risk Alpha0.0047
Sortino Ratio0.0253

ATX Backtested Returns

ATX secures Sharpe Ratio (or Efficiency) of 0.0754 which signifies that the index had 0.0754% of return per unit of volatility over the last 3 months. Our approach towards foreseeing 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-eight technical indicators for ATX which you can use to evaluate future volatility of the entity. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and ATX are completely uncorrelated. Although it is extremely important to respect ATX historical returns, it is better to be realistic regarding the information on equity current trending patterns. The approach towards foreseeing 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 analyzing ATX technical indicators you can now evaluate if the expected return of 0.0605% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.42) 
correlation synergy

Modest reverse predictability

ATX has modest reverse predictability. Overlapping area represents the amount of predictability between ATX time series from September 14, 2019 to October 29, 2019 and October 29, 2019 to December 13, 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 ATX price movement. The serial correlation of -0.42 indicates that just about 42.0% of current ATX price fluctuation can be explain by its past prices. Given that ATX has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ATX for similar time interval.
Correlation Coefficient-0.42
Spearman Rank Test-0.08
Residual Average0.0
Price Variance1869.84

ATX lagged returns against current returns

 Current and Lagged Values 
      Timeline 

ATX regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

ATX Lagged Returns

 Regressed Prices 
      Timeline 

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See also ATX Hype Analysis, ATX Correlation, Portfolio Optimization, ATX Volatility as well as analyze ATX Alpha and Beta and ATX Performance. Please also try Market Hitters module to find equities that experience drastic asymmetry in trading patters, price, volume, or investment outlook..
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