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From: 2019-03-13 To: 2019-10-01
HQ Analysis of FOXA / FOX
Symbol Title Sector Exchange M.Cap.[M] Beta Float Avg.Price Avg.Volume Last volume
FOXA Twenty-First Century Fox Inc NASDAQ 68390 1.36 1529.53 37.01 8410000 11580000
FOX Twenty-First Century Fox Inc NASDAQ 68390 0 0 2810000 3110000
There was not enough historical data preceeding 2019-03-13 available to plot all correlations and perform all backtests.
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Orthogonal Spread Analysis

Here we apply an orthogonal regression (also known as total least squares) to both price series. We are interested in some key statistical properties (like β, ...) and in analysing orthogonal residuals:

TLS: FOXA*(t) = β * FOX*(t) + α
Regression coefficient α:
-1.880277
Regression coefficient β:
1.061646
Standard Deviation (σ):
0.185061
ADF test of residuals (p-value):
0.3151
95% confidence: residuals seem to contain a unit root
99% confidence: residuals seem to contain a unit root
Mean Reversion Coefficient (MRC):
-0.055567
Half-life:
12.47
Skewness:
-0.2793
Kurtosis:
0.5726
Doornik-Hansen normality test (p-value):
0.1431
Normality test failed at 95% confidence
0.0032
Normality test failed at 95% confidence
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Cointegration Analysis

In this section, Engle-Granger cointegration test is performed using OLS regression method in both directions. Residuals of the regression are plotted and analyzed further:

FOXA / FOX
FOX / FOXA
FB LN TW

Disclaimer: Backtested, simulated or hypothetical performance results have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. There are numerous factors related to the stock market in general and to the implementation of any stock market timing program, which cannot be fully accounted for in the preparation of hypothetical performance results. The backtested results listed here do not take into consideration slippage, fees, taxes, or dividends and interest earned on cash positions. These factors would affect actual trading results. Simulated, backtested or hypothetical stock trading systems in general are also subject to the fact that they are designed with the benefit of hindsight. Backtested performance does not represent actual performance and should not be interpreted as an indication of such performance. No representation is being made that you will or is likely to achieve profits or losses similar to these being shown. This site provides impersonal educational stock trading information, and therefore, no consideration can or is made toward your financial circumstances. All material presented within is not to be regarded as investment advice, but for general informational purposes only.