Agilent Technologies Backtesting

A -- USA Stock  

USD 69.56  0.48  0.69%

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

Agilent Technologies 'What if' Analysis

August 21, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 20, 2018
0.00
If you would invest  0.00  in Agilent Technologies on August 21, 2018 and sell it all today you would earn a total of 0.00 from holding Agilent Technologies or generate 0.0% return on investment in Agilent Technologies over 30 days. Agilent Technologies is related to or competes with Laboratory, DarioHealth Corp, DexCom, Exact Sciences, Fluidigm, and Fulgent Genetics. Agilent Technologies, Inc. provides application focused solutions to the life sciences, diagnostics, and applied chemica...

Agilent Technologies Upside/Downside Indicators

Information Ratio0.204
Maximum Drawdown2.79
Value At Risk0.69
Potential Upside1.04
  

Agilent Technologies Market Premium Indicators

Risk Adjusted Performance0.1471
Jensen Alpha0.2315
Total Risk Alpha0.0731
Treynor Ratio2.67

Agilent Technologies Backtested Returns

Macroaxis considers Agilent Technologies not too risky given 1 month investment horizon. Agilent Technologies secures Sharpe Ratio (or Efficiency) of 0.4711 which signifies that Agilent Technologies had 0.4711% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Agilent Technologies which you can use to evaluate future volatility of the firm. Please makes use of Agilent Technologies Risk Adjusted Performance of 0.1471 and Mean Deviation of 0.4901 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Agilent Technologies holds performance score of 31. The firm shows Beta (market volatility) of -0.0839 which signifies that as returns on market increase, returns on owning Agilent Technologies are expected to decrease at a much smaller rate. During bear market, Agilent Technologies is likely to outperform the market.. Although it is vital to follow to Agilent Technologies historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy towards foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Agilent Technologies technical indicators you can presently evaluate if the expected return of 0.3157% will be sustainable into the future. Please makes use of Agilent Technologies Coefficient Of Variation, Jensen Alpha, Potential Upside, as well as the relationship between Variance and Maximum Drawdown to make a quick decision on weather Agilent Technologies price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.86 

Very good predictability

Agilent Technologies has very good predictability. Overlapping area represents the amount of predictability between Agilent Technologies time series from August 21, 2018 to September 5, 2018 and September 5, 2018 to September 20, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Agilent Technologies price movement. The serial correlation of 0.86 indicates that approximately 86.0% of current Agilent Technologies price fluctuation can be explain by its past prices.
Correlation Coefficient0.86
Spearman Rank Test0.91
Residual Average0.0
Price Variance0.6

Agilent Technologies lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Agilent Technologies regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Agilent Technologies Lagged Returns

 Regressed Prices 
      Timeline 

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Agilent Technologies Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Agilent Technologies and Laboratory of America. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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