Home Depot Backtesting

The Home Depot -- USA Stock  

USD 177.39  1.13  0.64%

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.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

Home Depot 'What if' Analysis

February 24, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 25, 2018
0.00
If you would invest  0.00  in Home Depot on February 24, 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 Macys, Dollar General, Dollar Tree, Vipshop Holdings, Aarons, and BEST BUY. The Home Depot, Inc. operates as a home improvement retailer

Home Depot Upside/Downside Indicators

Information Ratio0.050904
Maximum Drawdown5.66
Value At Risk1.99
Potential Upside2.37
  

Home Depot Market Premium Indicators

Risk Adjusted Performance0.11
Jensen Alpha0.099245
Total Risk Alpha0.075245
Treynor Ratio1.19

The Home Depot Backtested Returns

Macroaxis considers Home Depot to be not too risky. The Home Depot holds Efficiency (Sharpe) Ratio of -0.1121 which attests that The Home Depot had -0.1121% of return per unit of risk over the last 2 months. 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 1.18 and Risk Adjusted Performance of 0.11 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 0.0859 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 -0.1539%. 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(0.17) 

Insignificant reverse predictability

The Home Depot has insignificant reverse predictability. Overlapping area represents the amount of predictability between Home Depot time series from February 24, 2018 to March 26, 2018 and March 26, 2018 to April 25, 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 -0.17 indicates that over 17.0% of current Home Depot price fluctuation can be explain by its past prices. Given that The 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 -0.17
Spearman Rank Test 0.14
Price Variance 4.74
Lagged Price Variance 11.56

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 

Current Sentiment - HD

The Home Depot Investor Sentiment
Nearly all of Macroaxis users are currently bullish on The Home Depot. What is your judgment towards investing in The Home Depot? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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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 Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.