Agilent Technologies Backtesting

A -- USA Stock  

USD 70.27  0.02  0.0285%

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

Agilent Technologies 'What if' Analysis

October 11, 2018
No Change 0.00  0.0%
In 2 months and 2 days
December 10, 2018
If you would invest  0.00  in Agilent Technologies on October 11, 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 60 days. Agilent Technologies is related to or competes with Guardant Health, Laboratory, DarioHealth Corp, DexCom, Exact Sciences, and Fluidigm. Agilent Technologies, Inc. provides application focused solutions to the life sciences, diagnostics, and applied chemica...

Agilent Technologies Upside/Downside Indicators

Downside Deviation2.07
Information Ratio0.0868
Maximum Drawdown10.2
Value At Risk(3.66)
Potential Upside3.21

Agilent Technologies Market Premium Indicators

Risk Adjusted Performance0.018
Jensen Alpha0.1907
Total Risk Alpha0.3115
Sortino Ratio0.0944
Treynor Ratio0.0134

Agilent Technologies Backtested Returns

Macroaxis considers Agilent Technologies not too risky given 2 months investment horizon. Agilent Technologies secures Sharpe Ratio (or Efficiency) of 0.0931 which signifies that Agilent Technologies had 0.0931% of return per unit of risk over the last 2 months. 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-eight technical indicators for Agilent Technologies which you can use to evaluate future volatility of the firm. Please makes use of Agilent Technologies Downside Deviation of 2.07, Risk Adjusted Performance of 0.018 and Mean Deviation of 1.66 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 6. The firm shows Beta (market volatility) of 0.9722 which signifies that Agilent Technologies returns are very sensitive to returns on the market. as market goes up or down, Agilent Technologies is expected to follow.. Although it is extremely important to respect Agilent Technologies historical returns, it is better to be realistic regarding the information on 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 0.2061% will be sustainable into the future. Please makes use of Agilent Technologies Coefficient Of Variation, Sortino Ratio, Potential Upside, as well as the relationship between Jensen Alpha 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(0.34) 
correlation synergy

Poor reverse predictability

Agilent Technologies has poor reverse predictability. Overlapping area represents the amount of predictability between Agilent Technologies time series from October 11, 2018 to November 10, 2018 and November 10, 2018 to December 10, 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 -0.34 indicates that nearly 34.0% of current Agilent Technologies price fluctuation can be explain by its past prices. Given that Agilent Technologies has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Agilent Technologies for similar time interval.
Correlation Coefficient-0.34
Spearman Rank Test-0.12
Residual Average0.0
Price Variance11.71

Agilent Technologies lagged returns against current returns

 Current and Lagged Values 

Agilent Technologies regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Agilent Technologies Lagged Returns

 Regressed Prices 

Current Sentiment - A

Agilent Technologies Investor Sentiment

Most of Macroaxis users are presently bullish on Agilent Technologies. What is your sentiment towards investing in Agilent Technologies? Are you bullish or bearish?
98% Bullish
2% Bearish

Agilent Technologies Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Agilent Technologies and Guardant Health. 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
Run Pair Correlation  
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. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.