Home Depot Backtesting

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HD -- USA Stock  

Fiscal Quarter End: January 31, 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Home Depot and determine expected loss or profit from investing in Home Depot over given investment horizon. Plese 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

October 25, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
January 23, 2020
0.00
If you would invest  0.00  in Home Depot on October 25, 2019 and sell it all today you would earn a total of 0.00 from holding Home Depot or generate 0.0% return on investment in Home Depot over 90 days. Home Depot is related to or competes with Lumber Liquidators, Haverty Furniture, Lowes Companies, Ford Motor, Hyatt Hotels, and Macys. The Home Depot, Inc. operates as a home improvement retailer

Home Depot Upside/Downside Indicators

Information Ratio(0.14)
Maximum Drawdown6.62
Value At Risk(1.66)
Potential Upside1.35

Home Depot Market Premium Indicators

Risk Adjusted Performance(0.00529)
Jensen Alpha(0.18)
Total Risk Alpha(0.33)
Treynor Ratio(0.031629)

Home Depot Backtested Returns

We consider Home Depot very steady. Home Depot holds Efficiency (Sharpe) Ratio of 0.0012 which attests that the entity had 0.0012% of return per unit of risk over the last 3 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 Market Risk Adjusted Performance of (0.021629) and Risk Adjusted Performance of (0.00529) to validate if risk estimate we provide are consistent with the epected return of 0.0014%. The company retains Market Volatility (i.e. Beta) of 1.1462 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 0.0014% will be sustainable into the future. Home Depot right now retains a risk of 1.13%. Please check out Home Depot Downside Variance, Daily Balance Of Power and the relationship between Maximum Drawdown and Skewness to decide if Home Depot will be following its current trending patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.82) 
correlation synergy

Excellent reverse predictability

Home Depot has excellent reverse predictability. Overlapping area represents the amount of predictability between Home Depot time series from October 25, 2019 to December 9, 2019 and December 9, 2019 to January 23, 2020. 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 -0.82 indicates that around 82.0% of current Home Depot price fluctuation can be explain by its past prices. Given that Home Depot has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Home Depot for similar time interval.
Correlation Coefficient-0.82
Spearman Rank Test-0.68
Residual Average0.0
Price Variance31.49

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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Plese 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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.