Sensata Technologies Backtesting

Sensata Technologies Holding N V -- USA Stock  

USD 49.25  0.28  0.57%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Sensata Technologies Holding N V and determine expected loss or profit from investing in Sensata Technologies over given investment horizon. Also please take a look at Sensata Technologies Hype Analysis, Sensata Technologies Correlation, Sensata Technologies Valuation, Sensata Technologies Volatility as well as analyze Sensata Technologies Alpha and Beta and Sensata Technologies Performance
Investment Horizon     30 Days    Login   to change
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Sensata Technologies 'What if' Analysis

September 16, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
October 16, 2017
 0.00 
If you would invest  0.00  in Sensata Technologies on September 16, 2017 and sell it all today you would earn a total of 0.00 from holding Sensata Technologies Holding N V or generate 0.0% return on investment in Sensata Technologies over 30 days. Sensata Technologies is related to or competes with Agilent Technologies, Curtiss Wright, FLIR Systems, AMETEK, and IDEX. Sensata Technologies is entity of United States

Sensata Technologies Upside/Downside Indicators

  

Sensata Technologies Market Premium Indicators

Sensata Technologies lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Sensata Technologies regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Sensata Technologies Backtested Returns

We consider Sensata Technologies not too risky. Sensata Technologies owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.3021 which indicates Sensata Technologies had 0.3021% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 Sensata Technologies Holding N V which you can use to evaluate future volatility of the company. Please validate Sensata Technologies Downside Deviation of 0.499, Standard Deviation of 0.5224 and Risk Adjusted Performance of 0.0925 to confirm if risk estimate we provide are consistent with the epected return of 0.1597%. Sensata Technologies has performance score of 20 on a scale of 0 to 100. The entity has beta of 0.3636 which indicates as returns on market increase, Sensata Technologies returns are expected to increase less than the market. However during bear market, the loss on holding Sensata Technologies will be expected to be smaller as well.. Although it is extremely important to respect Sensata Technologies current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 inspecting Sensata Technologies technical indicators you can presently evaluate if the expected return of 0.1597% will be sustainable into the future. Sensata Technologies right now has a risk of 0.5287%. Please validate Sensata Technologies Information Ratio and Downside Variance to decide if Sensata Technologies will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.71 

Good predictability

Sensata Technologies Holding N V has good predictability. Overlapping area represents the amount of predictability between Sensata Technologies time series from September 16, 2017 to October 1, 2017 and October 1, 2017 to October 16, 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 Sensata Technologies price movement. The serial correlation of 0.71 indicates that around 71.0% of current Sensata Technologies price fluctuation can be explain by its past prices.
Correlation Coefficient 0.71
Spearman Rank Test 0.67
Price Variance 0.07
Lagged Price Variance 0.13

Sensata Technologies Lagged Returns

 Regressed Prices 
      Timeline 

Sensata Technologies Performance vs DOW

The median price of Sensata Technologies for the period between Sat, Sep 16, 2017 and Mon, Oct 16, 2017 is 48.3 with a coefficient of variation of 1.35. The daily time series for the period is distributed with a sample standard deviation of 0.65, arithmetic mean of 48.04, and mean deviation of 0.57. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Sensata Technologies Holding NV Stock Price stands 4.33 perc...09/25/2017
2
What Propelling Sensata Technologies Holding NV to Reach 52-...10/16/2017