Shanghai (China) Backtesting

000001 -- China Index  

 3,031  0.97  0.032%

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

Shanghai 'What if' Analysis

June 19, 2019
No Change 0.00  0.0%
In 3 months and 1 day
September 17, 2019
If you would invest  0.00  in Shanghai on June 19, 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 Deviation0.8987
Information Ratio(0.014176)
Maximum Drawdown4.8
Value At Risk(1.41)
Potential Upside1.35

Shanghai Market Premium Indicators

Risk Adjusted Performance0.0186
Total Risk Alpha(0.010661)
Sortino Ratio(0.013143)

Shanghai Backtested Returns

Shanghai owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0306 which indicates the organization had 0.0306% of return per unit of risk 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 Shanghai 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 Shanghai are completely uncorrelated. Although it is extremely important to respect Shanghai 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 inspecting Shanghai technical indicators you can presently evaluate if the expected return of 0.026% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.69) 
correlation synergy

Very good reverse predictability

Shanghai has very good reverse predictability. Overlapping area represents the amount of predictability between Shanghai 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 Shanghai price movement. The serial correlation of -0.69 indicates that around 69.0% 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-0.69
Spearman Rank Test-0.68
Residual Average0.0
Price Variance7498.33

Shanghai lagged returns against current returns

 Current and Lagged Values 

Shanghai regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Shanghai Lagged Returns

 Regressed Prices 

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?
98% Bullish
2% Bearish

Thematic Opportunities

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Build portfolios using Macroaxis predefined set of investing ideas. Many of Macroaxis investing ideas can easily outperform a given market. Ideas can also be optimized per your risk profile before portfolio origination is invoked.
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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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.