Caterpillar Backtesting

Caterpillar Inc -- USA Stock  

USD 155.56  3.30  2.08%

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

January 24, 2018
0.00
No Change 0.00  0.0%
In 30 days
February 23, 2018
0.00
If you would invest  0.00  in Caterpillar on January 24, 2018 and sell it all today you would earn a total of 0.00 from holding Caterpillar Inc or generate 0.0% return on investment in Caterpillar over 30 days. Caterpillar is related to or competes with Deere, Cummins, China Yuchai, AGCO, and Antero Resources. Caterpillar Inc. manufactures and sells construction and mining equipment, diesel and natural gas engines, industrial ga...

Caterpillar Upside/Downside Indicators

  

Caterpillar Market Premium Indicators

Caterpillar Inc lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Caterpillar regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Caterpillar Inc Backtested Returns

Macroaxis considers Caterpillar to be not too risky. Caterpillar Inc secures Sharpe Ratio (or Efficiency) of -0.1077 which signifies that Caterpillar Inc had -0.1077% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Caterpillar Inc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Caterpillar Inc Risk Adjusted Performance of 0.20 and Mean Deviation of 1.74 to double-check risk estimate we provide. Macroaxis gives Caterpillar performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.0997 which signifies that Caterpillar returns are very sensitive to returns on the market. as market goes up or down, Caterpillar is expected to follow.. Even though it is essential to pay attention to Caterpillar Inc historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Caterpillar Inc exposes twenty-one different technical indicators which can help you to evaluate its performance. Caterpillar Inc has expected return of -0.2497%. Please be advised to confirm Caterpillar Inc Variance, Value At Risk as well as the relationship between Value At Risk and Skewness to decide if Caterpillar Inc past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.58) 

Good reverse predictability

Caterpillar Inc has good reverse predictability. Overlapping area represents the amount of predictability between Caterpillar time series from January 24, 2018 to February 8, 2018 and February 8, 2018 to February 23, 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 Caterpillar Inc price movement. The serial correlation of -0.58 indicates that roughly 58.0% of current Caterpillar price fluctuation can be explain by its past prices. Given that Caterpillar Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Caterpillar for similar time interval.
Correlation Coefficient -0.58
Spearman Rank Test -0.79
Price Variance 17.21
Lagged Price Variance 29.49

Caterpillar Lagged Returns

 Regressed Prices 
      Timeline 

Caterpillar Performance vs DOW

The median price of Caterpillar for the period between Wed, Jan 24, 2018 and Fri, Feb 23, 2018 is 158.06 with a coefficient of variation of 4.1. The daily time series for the period is distributed with a sample standard deviation of 6.51, arithmetic mean of 158.65, and mean deviation of 5.26. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Caterpillar exotic insider transaction detected02/22/2018