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 0.3433 which attests that The Home Depot
had 0.3433% 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 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 (0.33), Risk Adjusted Performance of 0.1536 and Coefficient Of Variation of 255.74 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Home Depot holds performance score of 23. The company retains Market Volatility (i.e. Beta) of -0.9197 which attests that . 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 0.2791% will be sustainable into the future. Please utilizes Home Depot Standard Deviation, Value At Risk, Kurtosis, as well as the relationship between Jensen Alpha and Semi Variance to make a quick decision on weather The Home Depot Inc current trending patternss will revert.
|15 days auto-correlation||(0.13) |
Insignificant reverse predictability
The Home Depot Inc has insignificant reverse predictability. Overlapping area represents the amount of predictability between Home Depot time series from August 26, 2017 to September 10, 2017 and September 10, 2017 to September 25, 2017. 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 -0.13 indicates that less than 13.0% of current Home Depot price fluctuation can be explain by its past prices. Given that The Home Depot Inc 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|| -0.13|
|Spearman Rank Test|| -0.04|
|Price Variance|| 0.7|
|Lagged Price Variance|| 14.11|
Home Depot Lagged Returns