Home Depot Backtesting

HD -- USA Stock  

USD 179.58  4.71  0.03%

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

Home Depot 'What if' Analysis

November 21, 2018
No Change 0.00  0.0%
In 2 months and 2 days
January 20, 2019
If you would invest  0.00  in Home Depot on November 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 60 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 Ratio5.0E-4
Maximum Drawdown10.21
Value At Risk(2.51)
Potential Upside2.65

Home Depot Market Premium Indicators

Risk Adjusted Performance(0.046201)
Jensen Alpha(0.005169)
Total Risk Alpha0.001
Treynor Ratio(0.06)

Home Depot Backtested Returns

We consider Home Depot not too risky. Home Depot holds Efficiency (Sharpe) Ratio of 0.0833 which attests that the entity had 0.0833% of return per unit of risk over the last 2 months. Our philosophy towards determining 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 Home Depot which you can use to evaluate future volatility of the corporation. Please check out Home Depot Risk Adjusted Performance of (0.046201) and Market Risk Adjusted Performance of (0.05) to validate if risk estimate we provide are consistent with the epected return of 0.1667%. Home Depot has performance score of 5 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.8939 which attests that Home Depot returns are very sensitive to returns on the market. as market goes up or down, Home Depot is expected to follow. Although it is extremely important to respect Home Depot current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining 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 evaluating Home Depot technical indicators you can presently evaluate if the expected return of 0.1667% will be sustainable into the future. Home Depot right now retains a risk of 2.0017%. Please check out Home Depot Coefficient Of Variation, Maximum Drawdown, Skewness, as well as the relationship between Total Risk Alpha and Downside Variance to decide if Home Depot will be following its current trending patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.03 
correlation synergy

Virtually no predictability

The Home Depot has virtually no predictability. Overlapping area represents the amount of predictability between Home Depot time series from November 21, 2018 to December 21, 2018 and December 21, 2018 to January 20, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Home Depot price movement. The serial correlation of 0.03 indicates that only 3.0% of current Home Depot price fluctuation can be explain by its past prices.
Correlation Coefficient0.03
Spearman Rank Test-0.39
Residual Average0.0
Price Variance49.94

Home Depot lagged returns against current returns

 Current and Lagged Values 

Home Depot regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Home Depot Lagged Returns

 Regressed Prices 

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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 Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.
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