BP plc Backtesting

BP plc -- USA Stock  

USD 40.44  0.51  1.28%

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

BP plc 'What if' Analysis

November 12, 2017
No Change 0.00  0.0%
In 31 days
December 12, 2017
If you would invest  0.00  in BP plc on November 12, 2017 and sell it all today you would earn a total of 0.00 from holding BP plc or generate 0.0% return on investment in BP plc over 30 days. BP plc is related to or competes with Antero Resources, Ecopetrol S. It operates through three segments Upstream Downstream and Rosneft

BP plc Upside/Downside Indicators


BP plc Market Premium Indicators

BP plc lagged returns against current returns

 Current and Lagged Values 

BP plc regressed lagged prices vs. current prices

 Current vs Lagged Prices 

BP plc Backtested Returns

We consider BP plc not too risky. BP plc retains Efficiency (Sharpe Ratio) of 0.0113 which signifies that BP plc had 0.0113% of return per unit of price deviation over the last 1 month. Our way in which we are 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-six technical indicators for BP plc which you can use to evaluate future volatility of the firm. Please confirm BP plc Standard Deviation of 0.8423, Market Risk Adjusted Performance of (0.17) and Coefficient Of Variation of (983.63) to double-check if risk estimate we provide are consistent with the epected return of 0.009%. BP plc has performance score of 0 on a scale of 0 to 100. The firm owns Beta (Systematic Risk) of 0.5275 which signifies that as returns on market increase, BP plc returns are expected to increase less than the market. However during bear market, the loss on holding BP plc will be expected to be smaller as well.. Although it is extremely important to respect BP plc existing price patterns, it is better to be realistic regarding the information on equity price patterns. The way in which we are 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 evaluating BP plc technical indicators you can at this moment evaluate if the expected return of 0.009% will be sustainable into the future. BP plc today owns a risk of 0.8033%. Please confirm BP plc Downside Deviation, Value At Risk, Rate Of Daily Change, as well as the relationship between Total Risk Alpha and Expected Short fall to decide if BP plc will be following its current price history.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.84) 

Excellent reverse predictability

BP plc has excellent reverse predictability. Overlapping area represents the amount of predictability between BP plc time series from November 12, 2017 to November 27, 2017 and November 27, 2017 to December 12, 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 BP plc price movement. The serial correlation of -0.84 indicates that around 84.0% of current BP plc price fluctuation can be explain by its past prices. Given that BP plc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of BP plc for similar time interval.
Correlation Coefficient -0.84
Spearman Rank Test -0.03
Price Variance 0.05
Lagged Price Variance 0.17

BP plc Lagged Returns

 Regressed Prices 

BP plc Performance vs DOW

The median price of BP plc for the period between Sun, Nov 12, 2017 and Tue, Dec 12, 2017 is 39.73 with a coefficient of variation of 1.17. The daily time series for the period is distributed with a sample standard deviation of 0.46, arithmetic mean of 39.67, and mean deviation of 0.36. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)