Home Depot Backtesting

The Home Depot Inc -- USA Stock  

USD 184.69  2.28  1.22%

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
 Time Horizon     30 Days    Login   to change

Home Depot 'What if' Analysis

January 18, 2018
No Change 0.00  0.0%
In 31 days
February 17, 2018
If you would invest  0.00  in Home Depot on January 18, 2018 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. The Home Depot, Inc. operates as a home improvement retailer

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 to be not too risky. The Home Depot holds Efficiency (Sharpe) Ratio of -0.1126 which attests that The Home Depot had -0.1126% of return per unit of risk over the last 1 month. 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. The 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 0.21 and Risk Adjusted Performance of 0.19 to validate risk estimate we provide. Macroaxis gives Home Depot performance score of 0 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 1.1794 which attests that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Home Depot will likely underperform.. Even though it is essential to pay attention to The 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. The Home Depot exposes twenty-one different technical indicators which can help you to evaluate its performance. The Home Depot has expected return of -0.2448%. Please be advised to check out Home Depot Coefficient Of Variation, Maximum Drawdown, Skewness, as well as the relationship between Information Ratio and Downside Variance to decide if The Home Depot past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.41) 

Modest reverse predictability

The Home Depot Inc has modest reverse predictability. Overlapping area represents the amount of predictability between Home Depot time series from January 18, 2018 to February 2, 2018 and February 2, 2018 to February 17, 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 -0.41 indicates that just about 41.0% 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 -0.41
Spearman Rank Test -0.19
Price Variance 14.79
Lagged Price Variance 7.53

Home Depot Lagged Returns

 Regressed Prices 

Home Depot Performance vs DOW

The median price of Home Depot for the period between Thu, Jan 18, 2018 and Sat, Feb 17, 2018 is 198.33 with a coefficient of variation of 4.78. The daily time series for the period is distributed with a sample standard deviation of 9.3, arithmetic mean of 194.77, and mean deviation of 8.45. The Stock received some media coverage during the period.
Price Growth (%)  
Acquisition by Craig Menear of 67265 shares of Home Depot su...02/16/2018