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OSE All (Norway) Backtesting

OSE
OSEAX -- Norway Index  

 1,013  6.11  0.60%

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

OSE All '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 OSE All on November 20, 2019 and sell it all today you would earn a total of 0.00 from holding OSE All or generate 0.0% return on investment in OSE All over 90 days.

OSE All Upside/Downside Indicators

Downside Deviation1.4
Information Ratio(0.033485)
Maximum Drawdown6.72
Value At Risk(1.58)
Potential Upside2.39

OSE All Market Premium Indicators

Risk Adjusted Performance0.0339
Total Risk Alpha(0.08)
Sortino Ratio(0.028408)

OSE All Backtested Returns

OSE All maintains Sharpe Ratio (i.e. Efficiency) of 0.0414 which implies the entity had 0.0414% of return per unit of risk over the last 3 months. Our philosophy in forecasting 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-seven technical indicators for OSE All which you can use to evaluate future volatility of the index. The index holds Beta of 0.0 which implies the returns on MARKET and OSE All are completely uncorrelated. Although it is extremely important to respect OSE All current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The philosophy in forecasting 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 inspecting OSE All technical indicators you can now evaluate if the expected return of 0.0501% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.61) 
correlation synergy

Very good reverse predictability

OSE All has very good reverse predictability. Overlapping area represents the amount of predictability between OSE All 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 OSE All price movement. The serial correlation of -0.61 indicates that roughly 61.0% of current OSE All price fluctuation can be explain by its past prices. Given that OSE All has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of OSE All for similar time interval.
Correlation Coefficient-0.61
Spearman Rank Test-0.62
Residual Average0.0
Price Variance290.9

OSE All lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

OSE All regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

OSE All Lagged Returns

 Regressed Prices 
    
  Timeline 

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Balance Of Power

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