Agilent Technologies Backtested Returns
Macroaxis considers Agilent Technologies to be not too risky. Agilent Technologies
secures Sharpe Ratio (or Efficiency) of -0.0829 which signifies that Agilent Technologies
had -0.0829% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing 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
. Agilent Technologies Inc exposes twenty-eight different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Agilent Technologies Risk Adjusted Performance
of (0.05) and Mean Deviation of 0.7437 to double-check risk estimate we provide. Macroaxis gives Agilent Technologies performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.5026 which signifies that as returns on market increase, returns on owning Agilent Technologies are expected to decrease at a much smaller rate. During bear market, Agilent Technologies is likely to outperform the market.. Even though it is essential to pay attention to Agilent Technologies historical returns, it is always good to be careful when utilizing equity current trading patterns. Macroaxis philosophy towards foreseeing 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. Agilent Technologies Inc exposes twenty-eight different technical indicators which can help you to evaluate its performance. Agilent Technologies has expected return of -0.0969%. Please be advised to confirm Agilent Technologies Coefficient Of Variation, Sortino Ratio, Potential Upside, as well as the relationship between Jensen Alpha and Maximum Drawdown to decide if Agilent Technologies past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.25)|
Weak reverse predictability
Agilent Technologies Inc has weak reverse predictability. Overlapping area represents amount of predictability between Agilent Technologies time series from September 23, 2016 to October 8, 2016 and October 8, 2016 to October 23, 2016. 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 -0.25 indicates that over 25.0% of current Agilent Technologies price fluctuation can be explain by its past prices. Given that Agilent Technologies Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Agilent Technologies for similar time interval.
|Correlation Coefficient|| -0.25|
|Spearman Rank Test|| -0.21|
|Price Variance|| 0.48|
|Lagged Price Variance|| 0.1|
Agilent Technologies Lagged Returns