Home Depot Backtesting

HD -- USA Stock  

1.36 Dividend

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

September 9, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
December 8, 2019
0.00
If you would invest  0.00  in Home Depot on September 9, 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(0.15)
Maximum Drawdown6.76
Value At Risk(1.66)
Potential Upside1.18

Home Depot Market Premium Indicators

Risk Adjusted Performance(0.044282)
Jensen Alpha(0.16)
Total Risk Alpha(0.21)
Treynor Ratio(0.10)

Home Depot Backtested Returns

Macroaxis considers Home Depot to be very steady. Home Depot holds Efficiency (Sharpe) Ratio of -0.1119 which attests that the entity had -0.1119% of return per unit of risk over the last 3 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. 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 (0.09) and Risk Adjusted Performance of (0.044282) to validate risk estimate we provide. The company retains Market Volatility (i.e. Beta) of 0.9557 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. Even though it is essential to pay attention to 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. Home Depot exposes twenty-one different technical indicators which can help you to evaluate its performance. Home Depot has expected return of -0.122%. Please be advised to check out Home Depot Maximum Drawdown, and the relationship between Information Ratio and Downside Variance to decide if Home Depot past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.45) 
correlation synergy

Modest reverse predictability

Home Depot has modest reverse predictability. Overlapping area represents the amount of predictability between Home Depot time series from September 9, 2019 to October 24, 2019 and October 24, 2019 to December 8, 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 -0.45 indicates that just about 45.0% 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-0.45
Spearman Rank Test0.08
Residual Average0.0
Price Variance76.95

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

Home Depot Investor Sentiment

Nearly all of Macroaxis users are currently bullish on Home Depot. What is your judgment towards investing in 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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