Agilent Technologies Backtesting

A -- USA Stock  

Earning Report: November 25, 2019  

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

Agilent Technologies 'What if' Analysis

August 15, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 13, 2019
If you would invest  0.00  in Agilent Technologies on August 15, 2019 and sell it all today you would earn a total of 0.00 from holding Agilent Technologies or generate 0.0% return on investment in Agilent Technologies over 90 days. Agilent Technologies is related to or competes with Guardant Health, Exact Sciences, Emmaus Life, Dermtech, Global Cord, and Fluidigm. Agilent Technologies, Inc. provides application focused solutions to the life sciences, diagnostics, and applied chemica...

Agilent Technologies Upside/Downside Indicators

Downside Deviation1.54
Information Ratio0.0829
Maximum Drawdown9.57
Value At Risk(2.68)
Potential Upside2.72

Agilent Technologies Market Premium Indicators

Risk Adjusted Performance0.1328
Jensen Alpha0.0937
Total Risk Alpha0.05
Sortino Ratio0.0823
Treynor Ratio0.1646

Agilent Technologies Backtested Returns

We consider Agilent Technologies very steady. Agilent Technologies secures Sharpe Ratio (or Efficiency) of 0.1337 which signifies that the organization had 0.1337% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing 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-seven technical indicators for Agilent Technologies which you can use to evaluate future volatility of the firm. Please confirm Agilent Technologies Downside Deviation of 1.54, Mean Deviation of 1.05 and Risk Adjusted Performance of 0.1328 to double-check if risk estimate we provide are consistent with the epected return of 0.173%. Agilent Technologies has performance score of 9 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.3491 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Agilent Technologies will likely underperform. Although it is extremely important to respect Agilent Technologies historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing 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 analyzing Agilent Technologies technical indicators you can presently evaluate if the expected return of 0.173% will be sustainable into the future. Agilent Technologies right now shows a risk of 1.2933%. Please confirm Agilent Technologies Sortino Ratio, Potential Upside and the relationship between Jensen Alpha and Maximum Drawdown to decide if Agilent Technologies will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.62 
correlation synergy

Good predictability

Agilent Technologies has good predictability. Overlapping area represents the amount of predictability between Agilent Technologies time series from August 15, 2019 to September 29, 2019 and September 29, 2019 to November 13, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Agilent Technologies price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current Agilent Technologies price fluctuation can be explain by its past prices.
Correlation Coefficient0.62
Spearman Rank Test0.61
Residual Average0.0
Price Variance1.18

Agilent Technologies lagged returns against current returns

 Current and Lagged Values 

Agilent Technologies regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Agilent Technologies Lagged Returns

 Regressed Prices 

Current Sentiment - A

Agilent Technologies Investor Sentiment

Most of Macroaxis users are presently bullish on Agilent Technologies. What is your sentiment towards investing in Agilent Technologies? Are you bullish or bearish?
98% Bullish
2% Bearish

Agilent Technologies Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Agilent Technologies and Guardant Health. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Check also Agilent Technologies Hype Analysis, Agilent Technologies Correlation, Agilent Technologies Valuation, Agilent Technologies Volatility as well as analyze Agilent Technologies Alpha and Beta and Agilent Technologies Performance. Please also try Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.