Automatic Data Backtesting

Automatic Data Processing Inc -- USA Stock  

USD 117.02  0.03  0.0256%

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

Automatic Data 'What if' Analysis

November 13, 2017
0.00
No Change 0.00  0.0%
In 31 days
December 13, 2017
0.00
If you would invest  0.00  in Automatic Data on November 13, 2017 and sell it all today you would earn a total of 0.00 from holding Automatic Data Processing Inc or generate 0.0% return on investment in Automatic Data over 30 days. Automatic Data is related to or competes with Visa, Vantiv, Verisk Analytics, 58 com, Alliance Data. Automatic Data Processing Inc operates through two segments, Employer Services and Professional Employer Organization Se...

Automatic Data Upside/Downside Indicators

  

Automatic Data Market Premium Indicators

Automatic Data Proce lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Automatic Data regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Automatic Data Proce Backtested Returns

Macroaxis considers Automatic Data not too risky given 1 month investment horizon. Automatic Data Proce secures Sharpe Ratio (or Efficiency) of 0.3082 which signifies that Automatic Data Proce had 0.3082% 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 company specific technical indicators that cannot be diversified away. We have found twenty technical indicators for Automatic Data Processing Inc which you can use to evaluate future volatility of the firm. Please makes use of Automatic Data Proce Coefficient Of Variation of 334.88, Risk Adjusted Performance of 0.151 and Mean Deviation of 0.5612 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Automatic Data holds performance score of 20. The firm shows Beta (market volatility) of 0.6103 which signifies that as returns on market increase, Automatic Data returns are expected to increase less than the market. However during bear market, the loss on holding Automatic Data will be expected to be smaller as well.. Although it is extremely important to respect Automatic Data Proce 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 Automatic Data Proce technical indicators you can presently evaluate if the expected return of 0.2279% will be sustainable into the future. Please makes use of Automatic Data Proce Information Ratio, Value At Risk as well as the relationship between Value At Risk and Expected Short fall to make a quick decision on weather Automatic Data price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.68) 

Very good reverse predictability

Automatic Data Processing Inc has very good reverse predictability. Overlapping area represents the amount of predictability between Automatic Data time series from November 13, 2017 to November 28, 2017 and November 28, 2017 to December 13, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Automatic Data Proce price movement. The serial correlation of -0.68 indicates that around 68.0% of current Automatic Data price fluctuation can be explain by its past prices. Given that Automatic Data Processing Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Automatic Data for similar time interval.
Correlation Coefficient -0.68
Spearman Rank Test -0.61
Price Variance 3.11
Lagged Price Variance 0.36

Automatic Data Lagged Returns

 Regressed Prices 
      Timeline 

Automatic Data Performance vs DOW

The median price of Automatic Data for the period between Mon, Nov 13, 2017 and Wed, Dec 13, 2017 is 113.33 with a coefficient of variation of 2.36. The daily time series for the period is distributed with a sample standard deviation of 2.67, arithmetic mean of 113.22, and mean deviation of 2.4. The Stock received some media coverage during the period.
December 7, 2017Automatic Data Dividend Paid
Price Growth (%)  
      Timeline 
1
What the Numbers Say About Automatic Data Processing, Inc. a...12/12/2017