Agilent Technologies Backtesting

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A -- USA Stock  

Buyout Trend

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. Please continue to 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

October 20, 2019
No Change 0.00  0.0 
In 3 months and 1 day
January 18, 2020
If you would invest  0.00  in Agilent Technologies on October 20, 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 DarioHealth Corp, Dermtech, Exact Sciences, EMMAUS LIFE, Fluidigm, Laboratory, and Agilent Technologies. Agilent Technologies, Inc. provides application focused solutions to the life sciences, diagnostics, and applied chemica...

Agilent Technologies Upside/Downside Indicators

Downside Deviation0.755
Information Ratio0.1478
Maximum Drawdown3.56
Value At Risk(1.05)
Potential Upside1.61

Agilent Technologies Market Premium Indicators

Risk Adjusted Performance0.1588
Jensen Alpha0.1202
Total Risk Alpha0.0221
Sortino Ratio0.16
Treynor Ratio0.2556

Agilent Technologies Backtested Returns

Macroaxis considers Agilent Technologies very steady given 3 months investment horizon. Agilent Technologies secures Sharpe Ratio (or Efficiency) of 0.3552 which signifies that the organization had 0.3552% 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-one technical indicators for Agilent Technologies which you can use to evaluate future volatility of the firm. Please makes use of Agilent Technologies Downside Deviation of 0.755, Risk Adjusted Performance of 0.1588 and Mean Deviation of 0.6592 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Agilent Technologies holds performance score of 24. The firm shows Beta (market volatility) of 1.0046 which signifies that Agilent Technologies returns are very sensitive to returns on the market. as market goes up or down, Agilent Technologies is expected to follow. Although it is vital to follow to Agilent Technologies historical returns, it is good to be conservative about what you can actually do with the information regarding 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 0.2896% will be sustainable into the future. Please makes use of Agilent Technologies Coefficient Of Variation, Jensen Alpha, Potential Upside, as well as the relationship between Variance and Maximum Drawdown to make a quick decision on weather Agilent Technologies price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.86 
correlation synergy

Very good predictability

Agilent Technologies has very good predictability. Overlapping area represents the amount of predictability between Agilent Technologies time series from October 20, 2019 to December 4, 2019 and December 4, 2019 to January 18, 2020. 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 0.86 indicates that approximately 86.0% of current Agilent Technologies price fluctuation can be explain by its past prices.
Correlation Coefficient0.86
Spearman Rank Test0.85
Residual Average0.0
Price Variance4.79

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 DarioHealth Corp. 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  
Please continue to 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 Market Hitters module to find equities that experience drastic asymmetry in trading patters, price, volume, or investment outlook..