Home Depot Backtesting

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
SymbolX
Backtest

Home Depot 'What if' Analysis

April 24, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
May 24, 2017
 0.00 
If you would invest  0.00  in Home Depot on April 24, 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, Aarons, and Best Buy. 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 
      Timeline 

Home Depot regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

The Home Depot Backtested Returns

We consider Home Depot not too risky. The Home Depot holds Efficiency (Sharpe) Ratio of 0.1284 which attests that The Home Depot had 0.1284% 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-eight technical indicators for The Home Depot which you can use to evaluate future volatility of the corporation. Please check out Home Depot Market Risk Adjusted Performance of 0.1412, Risk Adjusted Performance of 0.067 and Downside Deviation of 0.8847 to validate if risk estimate we provide are consistent with the epected return of 0.0895%. Home Depot has performance score of 8 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.606 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 extremely important to respect The Home Depot current price history, it is beter to be realistic about what you can do with the information about 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 0.0895% will be sustainable into the future. The Home Depot right now retains risk of 0.6971%. Please check out Home Depot Coefficient Of Variation, Maximum Drawdown, Skewness, as well as the relationship between Total Risk Alpha and Downside Variance to decide if Home Depot will be following its current trading patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.71) 

Almost perfect reverse predictability

The Home Depot Inc has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Home Depot time series from April 24, 2017 to May 9, 2017 and May 9, 2017 to May 24, 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 -0.71 indicates that around 71.0% 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 -0.71
Spearman Rank Test -0.52
Price Variance 1.23
Lagged Price Variance 2.38

Home Depot Lagged Returns

 Regressed Prices 
      Timeline 

Home Depot Performance vs NYSE

The median price of Home Depot for the period between Mon, Apr 24, 2017 and Wed, May 24, 2017 is 156.09 with a coefficient of variation of 1.01. The daily time series for the period is distributed with a sample standard deviation of 1.57, arithmetic mean of 155.75, and mean deviation of 1.18. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Vetr Inc. Downgrades Home Depot Inc to Hold04/26/2017
2
Home Depot - Even Quality Has Its Price05/22/2017