Home Depot Backtesting

HD -- USA Stock  

USD 211.68  3.95  1.90%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Home Depot 'What if' Analysis

August 20, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 19, 2018
0.00
If you would invest  0.00  in Home Depot on August 20, 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 30 days. Home Depot is related to or competes with Lumber Liquidators, Floor Decor, Haverty Furniture, Lowes Companies, Ford Motor, and Hyatt Hotels. The Home Depot, Inc. operates as a home improvement retailer

Home Depot Upside/Downside Indicators

Downside Deviation0.5779
Information Ratio0.1194
Maximum Drawdown3.36
Value At Risk0.87
Potential Upside2.15
  

Home Depot Market Premium Indicators

Risk Adjusted Performance0.1014
Jensen Alpha0.175
Total Risk Alpha0.028381
Sortino Ratio0.191
Treynor Ratio0.5695

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 0.3016 which attests that The Home Depot had 0.3016% 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 stock specific technical indicators that cannot be diversified away. We have found twenty-eight 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 0.5795, Risk Adjusted Performance of 0.1014 and Downside Deviation of 0.5779 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Home Depot holds performance score of 19. The company retains Market Volatility (i.e. Beta) of 0.3757 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.. 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 0.2796% will be sustainable into the future. Please utilizes Home Depot Coefficient Of Variation, Maximum Drawdown, Skewness, as well as the relationship between Total Risk Alpha and Downside Variance to make a quick decision on weather The Home Depot current trending patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.75 

Good predictability

The Home Depot has good predictability. Overlapping area represents the amount of predictability between Home Depot time series from August 20, 2018 to September 4, 2018 and September 4, 2018 to September 19, 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 0.75 indicates that around 75.0% of current Home Depot price fluctuation can be explain by its past prices.
Correlation Coefficient0.75
Spearman Rank Test0.52
Residual Average0.0
Price Variance11.73

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 

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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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.
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