Electro Sensors Backtesting

Electro Sensors Inc -- USA Stock  

USD 3.66  0.08  2.23%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Electro Sensors Inc 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
Investment Horizon     30 Days    Login   to change
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Electro Sensors 'What if' Analysis

September 20, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
October 20, 2017
 0.00 
If you would invest  0.00  in Electro Sensors on September 20, 2017 and sell it all today you would earn a total of 0.00 from holding Electro Sensors Inc or generate 0.0% return on investment in Electro Sensors over 30 days. Electro Sensors is related to or competes with Agilent Technologies, Ingersoll Rand, Sensata Technologies, Visualant, and . ElectroSensors Inc operates through two segments Production Monitoring and Investments

Electro Sensors Upside/Downside Indicators

  

Electro Sensors Market Premium Indicators

Electro Sensors Inc lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Electro Sensors regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Electro Sensors Inc Backtested Returns

We consider Electro Sensors unusually risky. Electro Sensors Inc secures Sharpe Ratio (or Efficiency) of 0.0077 which denotes Electro Sensors Inc had 0.0077% 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 company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Electro Sensors Inc which you can use to evaluate future volatility of the firm. Please confirm Electro Sensors Inc Coefficient Of Variation of 12740.16, Mean Deviation of 1.76 and Downside Deviation of 2.54 to check if risk estimate we provide are consistent with the epected return of 0.0198%. Electro Sensors has performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.4931 which denotes to the fact that as returns on market increase, Electro Sensors returns are expected to increase less than the market. However during bear market, the loss on holding Electro Sensors will be expected to be smaller as well.. Although it is extremely important to respect Electro Sensors Inc historical returns, it is better to be realistic regarding the information on equity current trending patternss. 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 Inc technical indicators you can presently evaluate if the expected return of 0.0198% will be sustainable into the future. Electro Sensors Inc right now shows a risk of 2.5774%. Please confirm Electro Sensors Inc Treynor Ratio, and the relationship between Standard Deviation and Downside Variance to decide if Electro Sensors Inc will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.37) 

Poor reverse predictability

Electro Sensors Inc has poor reverse predictability. Overlapping area represents the amount of predictability between Electro Sensors time series from September 20, 2017 to October 5, 2017 and October 5, 2017 to October 20, 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 Electro Sensors Inc price movement. The serial correlation of -0.37 indicates that just about 37.0% of current Electro Sensors price fluctuation can be explain by its past prices. Given that Electro Sensors Inc 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 -0.37
Spearman Rank Test -0.22
Price Variance 0.01
Average Price 3.58

Electro Sensors Lagged Returns

 Regressed Prices 
      Timeline 

Electro Sensors Performance vs DOW

The median price of Electro Sensors for the period between Wed, Sep 20, 2017 and Fri, Oct 20, 2017 is 3.6 with a coefficient of variation of 2.51. The daily time series for the period is distributed with a sample standard deviation of 0.09, arithmetic mean of 3.58, and mean deviation of 0.07. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Electro-Sensors, Inc. Short Interest Down -31.43 percent Sha...10/13/2017