Home Depot Backtesting

HD -- USA Stock  

USD 220.40  3.31  1.52%

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. 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

June 22, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
August 21, 2019
0.00
If you would invest  0.00  in Home Depot on June 22, 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 60 days. Home Depot is related to or competes with Lumber Liquidators, Floor Decor, Lowes Companies, Macys, Ford Motor, and DHX Media. The Home Depot, Inc. operates as a home improvement retailer

Home Depot Upside/Downside Indicators

Downside Deviation1.34
Information Ratio0.108
Maximum Drawdown5.36
Value At Risk(1.86)
Potential Upside1.96

Home Depot Market Premium Indicators

Risk Adjusted Performance0.0738
Jensen Alpha0.1509
Total Risk Alpha0.1752
Sortino Ratio0.1112
Treynor Ratio0.0919

Home Depot Backtested Returns

We consider Home Depot very steady. Home Depot holds Efficiency (Sharpe) Ratio of 0.1288 which attests that the entity had 0.1288% 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-one 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 0.1019, Downside Deviation of 1.34 and Risk Adjusted Performance of 0.0738 to validate if risk estimate we provide are consistent with the epected return of 0.1759%. Home Depot has performance score of 8 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 1.0407 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 0.1759% will be sustainable into the future. Home Depot right now retains a risk of 1.3657%. Please check out Home Depot Maximum Drawdown, and the relationship between Information Ratio and Downside Variance to decide if Home Depot will be following its current trending patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.46) 
correlation synergy

Modest reverse predictability

Home Depot has modest reverse predictability. Overlapping area represents the amount of predictability between Home Depot time series from June 22, 2019 to July 22, 2019 and July 22, 2019 to August 21, 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 -0.46 indicates that about 46.0% 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-0.46
Spearman Rank Test-0.7
Residual Average0.0
Price Variance23.83

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 Headlines Timeline module to stay connected to all market stories and filter out noise. drill down to analyze hype elasticity.
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