Home Depot Backtesting

The Home Depot Inc -- USA Stock  

USD 198.95  0.62  0.31%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of The Home Depot Inc 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
 Time Horizon     30 Days    Login   to change

Home Depot 'What if' Analysis

December 20, 2017
No Change 0.00  0.0%
In 31 days
January 19, 2018
If you would invest  0.00  in Home Depot on December 20, 2017 and sell it all today you would earn a total of 0.00 from holding The Home Depot Inc or generate 0.0% return on investment in Home Depot over 30 days. Home Depot is related to or competes with Macys, Dollar General, Dollar Tree, Vipshop Holdings, and Aarons. It operates The Home Depot stores that sell various building materials, home improvement products, and lawn and garden p...

Home Depot Upside/Downside Indicators


Home Depot Market Premium Indicators

The Home Depot lagged returns against current returns

 Current and Lagged Values 

Home Depot regressed lagged prices vs. current prices

 Current vs Lagged Prices 

The Home Depot Backtested Returns

Macroaxis considers Home Depot not too risky given 1 month investment horizon. The Home Depot holds Efficiency (Sharpe) Ratio of 0.3937 which attests that The Home Depot had 0.3937% of return per unit of risk over the last 1 month. Our philosophy towards determining 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-five technical indicators for The Home Depot which you can use to evaluate future volatility of the corporation. Please utilize Home Depot Market Risk Adjusted Performance of (1.33), Risk Adjusted Performance of 0.2292 and Coefficient Of Variation of 191.5 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Home Depot holds performance score of 25. The company retains Market Volatility (i.e. Beta) of -0.2754 which attests that as returns on market increase, returns on owning Home Depot are expected to decrease at a much smaller rate. During bear market, Home Depot is likely to outperform the market.. Although it is vital to follow to The Home Depot current price history, it is good to be conservative about what you can actually do with the information regarding 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 The Home Depot technical indicators you can presently evaluate if the expected return of 0.2888% will be sustainable into the future. Please utilizes Home Depot Value At Risk, Kurtosis and the relationship between Sortino Ratio and Semi Variance to make a quick decision on weather The Home Depot Inc current trending patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.34 

Below average predictability

The Home Depot Inc has below average predictability. Overlapping area represents the amount of predictability between Home Depot time series from December 20, 2017 to January 4, 2018 and January 4, 2018 to January 19, 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 0.34 indicates that nearly 34.0% of current Home Depot price fluctuation can be explain by its past prices.
Correlation Coefficient 0.34
Spearman Rank Test 0.5
Price Variance 8.52
Lagged Price Variance 1.17

Home Depot Lagged Returns

 Regressed Prices 

Home Depot Performance vs DOW

The median price of Home Depot for the period between Wed, Dec 20, 2017 and Fri, Jan 19, 2018 is 190.36 with a coefficient of variation of 2.27. The daily time series for the period is distributed with a sample standard deviation of 4.33, arithmetic mean of 190.87, and mean deviation of 3.38. The Stock received some media coverage during the period.
Price Growth (%)  
Exercise or conversion by Mark Holifield of 20195 shares of ...01/17/2018