Caterpillar Backtesting

Caterpillar Inc -- USA Stock  

USD 137.56  0.65  0.47%

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
Investment Horizon     30 Days    Login   to change

Caterpillar 'What if' Analysis

October 22, 2017
No Change 0.00  0.0%
In 31 days
November 21, 2017
If you would invest  0.00  in Caterpillar on October 22, 2017 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 Incs Construction Industries segment offers backhoe, small wheel, skid steer, multiterrain, compact track, m...

Caterpillar Upside/Downside Indicators


Caterpillar Market Premium Indicators

Caterpillar Inc lagged returns against current returns

 Current and Lagged Values 

Caterpillar regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Caterpillar Inc Backtested Returns

We consider Caterpillar not too risky. Caterpillar Inc secures Sharpe Ratio (or Efficiency) of 0.1319 which signifies that Caterpillar Inc had 0.1319% 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-eight technical indicators for Caterpillar Inc which you can use to evaluate future volatility of the firm. Please confirm Caterpillar Inc Downside Deviation of 1.4, Risk Adjusted Performance of 0.0614 and Mean Deviation of 0.8795 to double-check if risk estimate we provide are consistent with the epected return of 0.1866%. Caterpillar has performance score of 8 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.9227 which signifies that . Although it is extremely important to respect Caterpillar Inc 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 Caterpillar Inc technical indicators you can presently evaluate if the expected return of 0.1866% will be sustainable into the future. Caterpillar Inc right now shows a risk of 1.4145%. Please confirm Caterpillar Inc Value At Risk as well as the relationship between Skewness and Day Median Price to decide if Caterpillar Inc will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.08) 

Very weak reverse predictability

Caterpillar Inc has very weak reverse predictability. Overlapping area represents the amount of predictability between Caterpillar time series from October 22, 2017 to November 6, 2017 and November 6, 2017 to November 21, 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 Caterpillar Inc price movement. The serial correlation of -0.08 indicates that barely 8.0% 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 -0.08
Spearman Rank Test 0.2
Price Variance 1.42
Lagged Price Variance 2.75

Caterpillar Lagged Returns

 Regressed Prices 

Caterpillar Performance vs DOW

The median price of Caterpillar for the period between Sun, Oct 22, 2017 and Tue, Nov 21, 2017 is 136.53 with a coefficient of variation of 1.34. The daily time series for the period is distributed with a sample standard deviation of 1.82, arithmetic mean of 136.26, and mean deviation of 1.2. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)