Datawalk (Poland) Market Value
| DAT Stock | 47.90 1.90 4.13% |
| Symbol | Datawalk |
Datawalk 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Datawalk's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Datawalk.
| 11/15/2024 |
| 12/15/2024 |
If you would invest 0.00 in Datawalk on November 15, 2024 and sell it all today you would earn a total of 0.00 from holding Datawalk SA or generate 0.0% return on investment in Datawalk over 30 days.
Datawalk Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Datawalk's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Datawalk SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.41 | |||
| Information Ratio | 0.0028 | |||
| Maximum Drawdown | 34.35 | |||
| Value At Risk | (5.04) | |||
| Potential Upside | 6.3 |
Datawalk Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Datawalk's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Datawalk's standard deviation. In reality, there are many statistical measures that can use Datawalk historical prices to predict the future Datawalk's volatility.| Risk Adjusted Performance | 0.0249 | |||
| Jensen Alpha | 0.1356 | |||
| Total Risk Alpha | (0.53) | |||
| Sortino Ratio | 0.0041 | |||
| Treynor Ratio | (0.30) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Datawalk's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Datawalk SA Backtested Returns
Datawalk appears to be not too volatile, given 3 months investment horizon. Datawalk SA secures Sharpe Ratio (or Efficiency) of 0.056, which denotes the company had a 0.056% return per unit of risk over the last 3 months. We have found thirty technical indicators for Datawalk SA, which you can use to evaluate the volatility of the firm. Please utilize Datawalk's Downside Deviation of 3.41, coefficient of variation of 4448.68, and Mean Deviation of 3.09 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Datawalk holds a performance score of 4. The firm shows a Beta (market volatility) of -0.35, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Datawalk are expected to decrease at a much lower rate. During the bear market, Datawalk is likely to outperform the market. Please check Datawalk's maximum drawdown, accumulation distribution, relative strength index, as well as the relationship between the semi variance and day typical price , to make a quick decision on whether Datawalk's price patterns will revert.
Auto-correlation | -0.57 |
Good reverse predictability
Datawalk SA has good reverse predictability. Overlapping area represents the amount of predictability between Datawalk time series from 15th of November 2024 to 30th of November 2024 and 30th of November 2024 to 15th of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Datawalk SA price movement. The serial correlation of -0.57 indicates that roughly 57.0% of current Datawalk price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.57 | |
| Spearman Rank Test | -0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 4.16 |
Datawalk SA lagged returns against current returns
Autocorrelation, which is Datawalk stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Datawalk's stock expected returns. We can calculate the autocorrelation of Datawalk returns to help us make a trade decision. For example, suppose you find that Datawalk has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Datawalk regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Datawalk stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Datawalk stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Datawalk stock over time.
Current vs Lagged Prices |
| Timeline |
Datawalk Lagged Returns
When evaluating Datawalk's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Datawalk stock have on its future price. Datawalk autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Datawalk autocorrelation shows the relationship between Datawalk stock current value and its past values and can show if there is a momentum factor associated with investing in Datawalk SA.
Regressed Prices |
| Timeline |
Pair Trading with Datawalk
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Datawalk position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Datawalk will appreciate offsetting losses from the drop in the long position's value.Moving against Datawalk Stock
| 0.66 | KGH | KGHM Polska Miedz | PairCorr |
| 0.5 | PCO | Pepco Group BV | PairCorr |
| 0.48 | ALE | Allegroeu SA | PairCorr |
| 0.4 | UCG | UniCredit SpA | PairCorr |
| 0.36 | PKN | Polski Koncern Naftowy | PairCorr |
The ability to find closely correlated positions to Datawalk could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Datawalk when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Datawalk - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Datawalk SA to buy it.
The correlation of Datawalk is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Datawalk moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Datawalk SA moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Datawalk can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for Datawalk Stock Analysis
When running Datawalk's price analysis, check to measure Datawalk's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Datawalk is operating at the current time. Most of Datawalk's value examination focuses on studying past and present price action to predict the probability of Datawalk's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Datawalk's price. Additionally, you may evaluate how the addition of Datawalk to your portfolios can decrease your overall portfolio volatility.