Nasdaq Backtesting

IXIC -- USA Index  

 8,104  58.69  0.72%

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

Nasdaq 'What if' Analysis

July 25, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
October 23, 2019
0.00
If you would invest  0.00  in Nasdaq on July 25, 2019 and sell it all today you would earn a total of 0.00 from holding Nasdaq or generate 0.0% return on investment in Nasdaq over 90 days.

Nasdaq Upside/Downside Indicators

Information Ratio0.0044
Maximum Drawdown5.27
Value At Risk(1.67)
Potential Upside1.67

Nasdaq Market Premium Indicators

Risk Adjusted Performance(0.007775)
Total Risk Alpha0.011

Nasdaq Backtested Returns

Nasdaq has Sharpe Ratio of -0.0156 which conveys that the entity had -0.0156% of return per unit of risk over the last 3 months. Macroaxis philosophy towards estimating risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Nasdaq exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. The index secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and Nasdaq are completely uncorrelated. Even though it is essential to pay attention to Nasdaq price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy towards estimating future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Nasdaq exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.39 
correlation synergy

Below average predictability

Nasdaq has below average predictability. Overlapping area represents the amount of predictability between Nasdaq time series from July 25, 2019 to September 8, 2019 and September 8, 2019 to October 23, 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 Nasdaq price movement. The serial correlation of 0.39 indicates that just about 39.0% of current Nasdaq price fluctuation can be explain by its past prices.
Correlation Coefficient0.39
Spearman Rank Test0.07
Residual Average0.0
Price Variance12658.53

Nasdaq lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Nasdaq regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Nasdaq Lagged Returns

 Regressed Prices 
      Timeline 

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See also Nasdaq Hype Analysis, Nasdaq Correlation, Portfolio Optimization, Nasdaq Volatility as well as analyze Nasdaq Alpha and Beta and Nasdaq Performance. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.
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