Shanghai (China) Backtesting

000001 -- China Index  

 2,942  3.74  0.13%

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

Shanghai '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 Shanghai on July 25, 2019 and sell it all today you would earn a total of 0.00 from holding Shanghai or generate 0.0% return on investment in Shanghai over 90 days.

Shanghai Upside/Downside Indicators

Downside Deviation1.0
Information Ratio0.1632
Maximum Drawdown4.1
Value At Risk(1.17)
Potential Upside1.23

Shanghai Market Premium Indicators

Risk Adjusted Performance0.1317
Total Risk Alpha0.1052
Sortino Ratio0.1125

Shanghai Backtested Returns

Shanghai owns Efficiency Ratio (i.e. Sharpe Ratio) of -9.0E-4 which indicates the organization had -9.0E-4% of return per unit of risk over the last 3 months. Macroaxis philosophy towards measuring 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. Shanghai exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. The entity has beta of 0.0 which indicates the returns on MARKET and Shanghai are completely uncorrelated. Even though it is essential to pay attention to Shanghai current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring 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. Shanghai exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.12) 
correlation synergy

Insignificant reverse predictability

Shanghai has insignificant reverse predictability. Overlapping area represents the amount of predictability between Shanghai 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 Shanghai price movement. The serial correlation of -0.12 indicates that less than 12.0% of current Shanghai price fluctuation can be explain by its past prices. Given that Shanghai has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Shanghai for similar time interval.
Correlation Coefficient-0.12
Spearman Rank Test0.03
Residual Average0.0
Price Variance3202.37

Shanghai lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Shanghai regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Shanghai Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - 000001

Shanghai Investor Sentiment

Most of Macroaxis investors are presently bullish on Shanghai. What is your outlook on investing in China companies? Are you bullish or bearish on Shanghai?
Bullish
Bearish
98% Bullish
2% Bearish
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Check also Shanghai Hype Analysis, Shanghai Correlation, Portfolio Optimization, Shanghai Volatility as well as analyze Shanghai Alpha and Beta and Shanghai Performance. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.
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