Home Depot Backtesting

The Home Depot Inc -- USA Stock  

USD 159.97  0.78  0.49%

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
Investment Horizon     30 Days    Login   to change

Home Depot 'What if' Analysis

August 26, 2017
No Change 0.00  0.0%
In 30 days
September 25, 2017
If you would invest  0.00  in Home Depot on August 26, 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 0.3433 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.
Advice Volatility Trend Exposure Correlations
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

 Regressed Prices 

Home Depot Performance vs DOW

The median price of Home Depot for the period between Sat, Aug 26, 2017 and Mon, Sep 25, 2017 is 157.81 with a coefficient of variation of 2.87. The daily time series for the period is distributed with a sample standard deviation of 4.45, arithmetic mean of 155.24, and mean deviation of 4.13. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)