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Jakarta Comp (Indonesia) Backtesting

JKS
JKSE -- Indonesia Index  

 5,887  5.03  0.09%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Jakarta Comp and determine expected loss or profit from investing in Jakarta Comp over given investment horizon. Check out Jakarta Comp Hype Analysis, Jakarta Comp Correlation, Portfolio Optimization, Jakarta Comp Volatility as well as analyze Jakarta Comp Alpha and Beta and Jakarta Comp Performance.
SymbolX
Backtest

Jakarta Comp 'What if' Analysis

November 20, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
February 18, 2020
0.00
If you would invest  0.00  in Jakarta Comp on November 20, 2019 and sell it all today you would earn a total of 0.00 from holding Jakarta Comp or generate 0.0% return on investment in Jakarta Comp over 90 days.

Jakarta Comp Upside/Downside Indicators

Information Ratio(0.19)
Maximum Drawdown5.52
Value At Risk(1.04)
Potential Upside0.9434

Jakarta Comp Market Premium Indicators

Risk Adjusted Performance(0.07)
Total Risk Alpha(0.15)

Jakarta Comp Backtested Returns

Jakarta Comp holds Efficiency (Sharpe) Ratio of -0.085 which attests that the entity had -0.085% of return per unit of risk over the last 3 months. Macroaxis philosophy towards determining 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. Jakarta Comp exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and Jakarta Comp are completely uncorrelated. Even though it is essential to pay attention to Jakarta Comp current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining 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. Jakarta Comp exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.87) 
correlation synergy

Excellent reverse predictability

Jakarta Comp has excellent reverse predictability. Overlapping area represents the amount of predictability between Jakarta Comp time series from November 20, 2019 to January 4, 2020 and January 4, 2020 to February 18, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Jakarta Comp price movement. The serial correlation of -0.87 indicates that approximately 87.0% of current Jakarta Comp price fluctuation can be explain by its past prices. Given that Jakarta Comp has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Jakarta Comp for similar time interval.
Correlation Coefficient-0.87
Spearman Rank Test-0.8
Residual Average0.0
Price Variance25531.06

Jakarta Comp lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

Jakarta Comp regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

Jakarta Comp Lagged Returns

 Regressed Prices 
    
  Timeline 

Current Sentiment - JKSE

Jakarta Comp Investor Sentiment

Most of Macroaxis investors are at this time bullish on Jakarta Comp. What is your judgment towards investing in Indonesia companies? Are you bullish or bearish on Jakarta Comp?
Bullish
Bearish
98% Bullish
2% Bearish
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Check out Jakarta Comp Hype Analysis, Jakarta Comp Correlation, Portfolio Optimization, Jakarta Comp Volatility as well as analyze Jakarta Comp Alpha and Beta and Jakarta Comp Performance. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.