Home Depot Backtesting

HD -- USA Stock  

USD 180.44  0.59  0.33%

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

Home Depot 'What if' Analysis

September 21, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 21, 2018
0.00
If you would invest  0.00  in Home Depot on September 21, 2018 and sell it all today you would earn a total of 0.00 from holding The Home Depot or generate 0.0% return on investment in Home Depot over 30 days. Home Depot is related to or competes with Lumber Liquidators, Floor Decor, Haverty Furniture, Lowes Companies, Ford Motor, and Hyatt Hotels. The Home Depot, Inc. operates as a home improvement retailer

Home Depot Upside/Downside Indicators

Information Ratio0.38
Maximum Drawdown6.64
Value At Risk2.55
Potential Upside1.26
  

Home Depot Market Premium Indicators

Risk Adjusted Performance0.53
Jensen Alpha0.67
Total Risk Alpha0.49
Treynor Ratio2.17

The Home Depot Backtested Returns

Macroaxis considers Home Depot to be not too risky. The Home Depot holds Efficiency (Sharpe) Ratio of -0.5178 which attests that The Home Depot had -0.5178% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining 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. The Home Depot exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Home Depot Market Risk Adjusted Performance of 2.16 and Risk Adjusted Performance of 0.53 to validate risk estimate we provide. Macroaxis gives Home Depot performance score of 0 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.3333 which attests that as returns on market increase, Home Depot returns are expected to increase less than the market. However during bear market, the loss on holding Home Depot will be expected to be smaller as well.. Even though it is essential to pay attention to The Home Depot current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining 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. The Home Depot exposes twenty-one different technical indicators which can help you to evaluate its performance. The Home Depot has expected return of -0.7431%. Please be advised to check out Home Depot Coefficient Of Variation, Maximum Drawdown, Skewness, as well as the relationship between Information Ratio and Downside Variance to decide if The Home Depot past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.89 

Very good predictability

The Home Depot has very good predictability. Overlapping area represents the amount of predictability between Home Depot time series from September 21, 2018 to October 6, 2018 and October 6, 2018 to October 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 The Home Depot price movement. The serial correlation of 0.89 indicates that approximately 89.0% of current Home Depot price fluctuation can be explain by its past prices.
Correlation Coefficient0.89
Spearman Rank Test0.86
Residual Average0.0
Price Variance42.91

The Home Depot lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Home Depot regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Home Depot Lagged Returns

 Regressed Prices 
      Timeline 

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Please also check Home Depot Hype Analysis, Home Depot Correlation, Home Depot Valuation, Home Depot Volatility as well as analyze Home Depot Alpha and Beta and Home Depot Performance. Please also try Money Managers module to screen money managers from public funds and etfs managed around the world.
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