Apple Backtesting

AAPL -- USA Stock  

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

Apple 'What if' Analysis

September 6, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
December 5, 2019
0.00
If you would invest  0.00  in Apple on September 6, 2019 and sell it all today you would earn a total of 0.00 from holding Apple or generate 0.0% return on investment in Apple over 90 days. Apple is related to or competes with Hamilton Beach, LG Display, Emerson Radio, Mohawk Group, GoPro, Turtle Beach, and IRobot. Apple Inc. designs, manufactures, and markets smartphones, personal computers, tablets, wearables, and accessories world...

Apple Upside/Downside Indicators

Downside Deviation1.14
Information Ratio0.2071
Maximum Drawdown5.69
Value At Risk(1.95)
Potential Upside2.66

Apple Market Premium Indicators

Risk Adjusted Performance0.1768
Jensen Alpha0.3148
Total Risk Alpha0.1793
Sortino Ratio0.2269
Treynor Ratio1.15

Apple Backtested Returns

Macroaxis considers Apple very steady given 3 months investment horizon. Apple secures Sharpe Ratio (or Efficiency) of 0.2679 which signifies that the organization had 0.2679% 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-eight technical indicators for Apple which you can use to evaluate future volatility of the firm. Please makes use of Apple Mean Deviation of 0.9728, Downside Deviation of 1.14 and Risk Adjusted Performance of 0.1768 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Apple holds performance score of 18. The firm shows Beta (market volatility) of 0.294 which signifies that as returns on market increase, Apple returns are expected to increase less than the market. However during bear market, the loss on holding Apple will be expected to be smaller as well. Although it is vital to follow to Apple 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 Apple technical indicators you can presently evaluate if the expected return of 0.3341% will be sustainable into the future. Please makes use of Apple Sortino Ratio, Skewness, Price Action Indicator, as well as the relationship between Potential Upside and Rate Of Daily Change to make a quick decision on weather Apple price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.63 
correlation synergy

Good predictability

Apple has good predictability. Overlapping area represents the amount of predictability between Apple time series from September 6, 2019 to October 21, 2019 and October 21, 2019 to December 5, 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 Apple price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current Apple price fluctuation can be explain by its past prices.
Correlation Coefficient0.63
Spearman Rank Test0.66
Residual Average0.0
Price Variance80.36

Apple lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Apple regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Apple Lagged Returns

 Regressed Prices 
      Timeline 

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Apple Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Apple and Hamilton Beach Brands. 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
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Check also Apple Hype Analysis, Apple Correlation, Apple Valuation, Apple Volatility as well as analyze Apple Alpha and Beta and Apple Performance. Please also try Idea Breakdown module to analyze constituents of all macroaxis ideas. macroaxis investment ideas are predefined, sector-focused investing themes.
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