Electro Sensors Backtesting

ELSE -- USA Stock  

USD 3.78  0.08  2.16%

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

Electro Sensors 'What if' Analysis

August 21, 2018
No Change 0.00  0.0%
In 31 days
September 20, 2018
If you would invest  0.00  in Electro Sensors on August 21, 2018 and sell it all today you would earn a total of 0.00 from holding Electro Sensors or generate 0.0% return on investment in Electro Sensors over 30 days. Electro Sensors is related to or competes with Dynasil of, FARO Technologies, FLIR Systems, Badger Meter, ESCO Technologies, and Fitbit. Electro-Sensors, Inc. manufactures and sells industrial production monitoring and process control systems

Electro Sensors Upside/Downside Indicators

Downside Deviation4.75
Information Ratio0.0312
Maximum Drawdown15.37
Value At Risk6.80
Potential Upside7.88

Electro Sensors Market Premium Indicators

Risk Adjusted Performance0.0311
Jensen Alpha0.4056
Total Risk Alpha0.75
Sortino Ratio0.0272
Treynor Ratio0.11

Electro Sensors Backtested Returns

Macroaxis considers Electro Sensors extremely risky given 1 month investment horizon. Electro Sensors secures Sharpe Ratio (or Efficiency) of 0.0729 which denotes Electro Sensors had 0.0729% of return per unit of risk over the last 1 month. Our philosophy towards predicting 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 Electro Sensors which you can use to evaluate future volatility of the firm. Please utilize Electro Sensors Coefficient Of Variation of 1789.45, Mean Deviation of 3.0 and Downside Deviation of 4.75 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Electro Sensors holds performance score of 4. The firm shows Beta (market volatility) of -1.9916 which denotes to the fact that as returns on market increase, returns on owning Electro Sensors are expected to decrease by larger amounts. On the other hand, during market turmoil, Electro Sensors is expected to significantly outperform it.. Although it is vital to follow to Electro Sensors historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy towards predicting 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 reviewing Electro Sensors technical indicators you can presently evaluate if the expected return of 0.2589% will be sustainable into the future. Please utilizes Electro Sensors Information Ratio, Downside Variance, Day Median Price, as well as the relationship between Treynor Ratio and Kurtosis to make a quick decision on weather Electro Sensors price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.52) 

Good reverse predictability

Electro Sensors has good reverse predictability. Overlapping area represents the amount of predictability between Electro Sensors time series from August 21, 2018 to September 5, 2018 and September 5, 2018 to September 20, 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 Electro Sensors price movement. The serial correlation of -0.52 indicates that about 52.0% of current Electro Sensors price fluctuation can be explain by its past prices. Given that Electro Sensors has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Electro Sensors for similar time interval.
Correlation Coefficient-0.52
Spearman Rank Test0.26
Residual Average0.0
Price Variance0.0

Electro Sensors lagged returns against current returns

 Current and Lagged Values 

Electro Sensors regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Electro Sensors Lagged Returns

 Regressed Prices 

Current Sentiment - ELSE

Electro Sensors Investor Sentiment

Most of Macroaxis users are currently bullish on Electro Sensors. What is your opinion about investing in Electro Sensors? Are you bullish or bearish?
98% Bullish
2% Bearish

Electro Sensors Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Electro Sensors and Dynasil of America. 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  
Additionally see Electro Sensors Hype Analysis, Electro Sensors Correlation, Electro Sensors Valuation, Electro Sensors Volatility as well as analyze Electro Sensors Alpha and Beta and Electro Sensors Performance. Please also try Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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