Walmart Backtesting

WMT -- USA Stock  

USD 83.13  0.13  0.16%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Walmart and determine expected loss or profit from investing in Walmart over given investment horizon. See also Walmart Hype Analysis, Walmart Correlation, Walmart Valuation, Walmart Volatility as well as analyze Walmart Alpha and Beta and Walmart Performance.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

Walmart 'What if' Analysis

May 20, 2018
0.00
No Change 0.00  0.0%
In 31 days
June 19, 2018
0.00
If you would invest  0.00  in Walmart on May 20, 2018 and sell it all today you would earn a total of 0.00 from holding Walmart or generate 0.0% return on investment in Walmart over 30 days. Walmart is related to or competes with Macys, Dollar General, Home Depot, Dollar Tree, Vipshop Holdings, Aarons, and BEST BUY. Walmart Inc. engages in the retail and wholesale operations in various formats worldwide

Walmart Upside/Downside Indicators

Information Ratio0.07
Maximum Drawdown3.97
Value At Risk1.35
Potential Upside2.09
  

Walmart Market Premium Indicators

Risk Adjusted Performance0.01

Walmart Backtested Returns

Macroaxis considers Walmart to be not too risky. Walmart shows Sharpe Ratio of -0.08 which attests that Walmart had -0.08% 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. Walmart exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Walmart Mean Deviation of 0.6901 to validate risk estimate we provide. Macroaxis gives Walmart performance score of 0 on a scale of 0 to 100. The firm maintains market beta of 0.0 which attests that the returns on MARKET and Walmart are completely uncorrelated. Even though it is essential to pay attention to Walmart historical price patterns, it is always good to be careful when utilizing equity current price history. 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. Walmart exposes twenty-eight different technical indicators which can help you to evaluate its performance. Walmart has expected return of -0.0848%. Please be advised to check out Walmart Value At Risk as well as the relationship between Kurtosis and Market Facilitation Index to decide if Walmart past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.05) 

Very weak reverse predictability

Walmart has very weak reverse predictability. Overlapping area represents the amount of predictability between Walmart time series from May 20, 2018 to June 4, 2018 and June 4, 2018 to June 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 Walmart price movement. The serial correlation of -0.05 indicates that only as little as 5.0% of current Walmart price fluctuation can be explain by its past prices. Given that Walmart has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Walmart for similar time interval.
Correlation Coefficient -0.05
Spearman Rank Test -0.03
Price Variance 0.25
Lagged Price Variance 0.91

Walmart lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Walmart regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Walmart Lagged Returns

 Regressed Prices 
      Timeline 

Did you try this?

Run Portfolio Backtesting Now
   

Portfolio Backtesting

Avoid under-diversification and over-optimization by backtesting your portfolios
All  Next Launch Portfolio Backtesting
Also Currentnly Active
Purchased over 100 shares of
few days ago
Traded for 10.44
Purchased over 300 shares of
few days ago
Traded for 6.24
Purchased over 70 shares of
few days ago
Traded for 23.42
See also Walmart Hype Analysis, Walmart Correlation, Walmart Valuation, Walmart Volatility as well as analyze Walmart Alpha and Beta and Walmart Performance. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.