Not logged in.

Please log in or sign up to get more functionality and access your account.

User Log In


×

Forgotten Username

Please provide your e-mail address and we will send the list of all your registered usernames to you...

×

Forgotten Password

Please provide your username and e-mail address and we will send a link to reset your password to your mailbox...

×

User Log Out

Are you sure to log out now?

×
From: 2023-08-22 To: 2024-10-01
HQ Analysis of NVD / NVDL
Symbol Title Sector Industry M.Cap.[M] Div Yield Last Close AvgVol 200d
NVD GraniteShares 1.5x Short NVDA Daily ETF 0 1.68 18480212
NVDL GraniteShares 1.5x Long NVDA Daily ETF 0 59.29 17163847
There was not enough historical data preceeding 2023-08-22 available to plot all correlations and perform all backtests.
×
loading

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: NVD*(t) = β * NVDL*(t) + α
Regression coefficient α:
26.094327
Regression coefficient β:
-0.408263
Standard Deviation (σ):
4.078567
ADF test of residuals (p-value):
0.2970
95% confidence: residuals seem to contain a unit root
99% confidence: residuals seem to contain a unit root
Mean Reversion Coefficient (MRC):
-0.030284
Half-life:
22.89
Skewness:
0.1539
Kurtosis:
-1.2121
Doornik-Hansen normality test (p-value):
(<< 0.0001)
Normality test failed at 95% confidence
(<< 0.0001)
Normality test failed at 95% confidence
loading

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:

NVD / NVDL
NVDL / NVD
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.