SPTSX Comp Backtesting

GSPTSE -- Canada Index  

 16,682  68.89  0.41%

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

SPTSX Comp 'What if' Analysis

June 19, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 17, 2019
0.00
If you would invest  0.00  in SPTSX Comp on June 19, 2019 and sell it all today you would earn a total of 0.00 from holding SPTSX Comp or generate 0.0% return on investment in SPTSX Comp over 90 days.

SPTSX Comp Upside/Downside Indicators

Downside Deviation0.5891
Information Ratio0.0148
Maximum Drawdown2.78
Value At Risk(0.75)
Potential Upside0.8564

SPTSX Comp Market Premium Indicators

Risk Adjusted Performance0.0563
Total Risk Alpha0.0158
Sortino Ratio0.0134

SPTSX Comp Backtested Returns

SPTSX Comp owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0456 which indicates the organization had 0.0456% of return per unit of standard deviation over the last 3 months. Our philosophy towards measuring 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-one technical indicators for SPTSX Comp which you can use to evaluate future volatility of the index. The entity has beta of 0.0 which indicates the returns on MARKET and SPTSX Comp are completely uncorrelated. Although it is extremely important to respect SPTSX Comp current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 evaluating SPTSX Comp technical indicators you can currently evaluate if the expected return of 0.0243% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.02 
correlation synergy

Virtually no predictability

SPTSX Comp has virtually no predictability. Overlapping area represents the amount of predictability between SPTSX Comp time series from June 19, 2019 to August 3, 2019 and August 3, 2019 to September 17, 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 SPTSX Comp price movement. The serial correlation of 0.02 indicates that only 2.0% of current SPTSX Comp price fluctuation can be explain by its past prices.
Correlation Coefficient0.02
Spearman Rank Test-0.16
Residual Average0.0
Price Variance42961.97

SPTSX Comp lagged returns against current returns

 Current and Lagged Values 
      Timeline 

SPTSX Comp regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

SPTSX Comp Lagged Returns

 Regressed Prices 
      Timeline 

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See also SPTSX Comp Hype Analysis, SPTSX Comp Correlation, Portfolio Optimization, SPTSX Comp Volatility as well as analyze SPTSX Comp Alpha and Beta and SPTSX Comp Performance. Please also try Content Syndication module to quickly integrate customizable finance content to your own investment portal.
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