Electro Sensors Backtesting

ELSE -- USA Stock  

USD 3.98  0.03  0.75%

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.
 Time Horizon     30 Days    Login   to change

Electro Sensors 'What if' Analysis

May 22, 2018
No Change 0.00  0.0%
In 31 days
June 21, 2018
If you would invest  0.00  in Electro Sensors on May 22, 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 Agilent Technologies, Ingersoll Rand, Sensata Technologies, Visualant Incorporated, WaferGen Bio, and EXFO ELECTRO-OPTI. Electro-Sensors, Inc. manufactures and sells industrial production monitoring and process control systems

Electro Sensors Upside/Downside Indicators

Downside Deviation1.44
Information Ratio0.1198
Maximum Drawdown8.7
Value At Risk1.24
Potential Upside3.66

Electro Sensors Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.1385

Electro Sensors Backtested Returns

We consider Electro Sensors risky. Electro Sensors secures Sharpe Ratio (or Efficiency) of 0.1198 which denotes Electro Sensors had 0.1198% 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 which you can use to evaluate future volatility of the firm. Please confirm Electro Sensors Coefficient Of Variation of 834.98, Mean Deviation of 0.9632 and Downside Deviation of 1.44 to check if risk estimate we provide are consistent with the epected return of 0.1996%. Electro Sensors has performance score of 7 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0 which denotes to the fact that the returns on MARKET and Electro Sensors are completely uncorrelated. Although it is extremely important to respect Electro Sensors historical returns, it is better to be realistic regarding the information on 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 0.1996% will be sustainable into the future. Electro Sensors right now shows a risk of 1.6667%. Please confirm Electro Sensors Treynor Ratio, and the relationship between Standard Deviation and Downside Variance to decide if Electro Sensors will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.35) 

Poor reverse predictability

Electro Sensors has poor reverse predictability. Overlapping area represents the amount of predictability between Electro Sensors time series from May 22, 2018 to June 6, 2018 and June 6, 2018 to June 21, 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 -0.35 indicates that nearly 35.0% 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 -0.35
Spearman Rank Test -0.29
Lagged Price Variance 0.01
Average Price 4.02

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 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Electro Sensors and Agilent Technologies. 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
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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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.