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
SymbolX
Backtest

Apple 'What if' Analysis

July 22, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
October 20, 2019
0.00
If you would invest  0.00  in Apple on July 22, 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, KYOCERA CORP, IRobot, GoPro, LG Display, Mohawk Group, and Eastman Kodak. Apple Inc. designs, manufactures, and markets mobile communication and media devices, and personal computers

Apple Upside/Downside Indicators

Downside Deviation1.83
Information Ratio0.1462
Maximum Drawdown8.86
Value At Risk(2.51)
Potential Upside2.66

Apple Market Premium Indicators

Risk Adjusted Performance0.1355
Jensen Alpha0.2653
Total Risk Alpha0.2761
Sortino Ratio0.1382
Treynor Ratio0.1568

Apple Backtested Returns

Macroaxis considers Apple very steady given 3 months investment horizon. Apple secures Sharpe Ratio (or Efficiency) of 0.1307 which signifies that the organization had 0.1307% 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 Apple which you can use to evaluate future volatility of the firm. Please makes use of Apple Risk Adjusted Performance of 0.1355, Downside Deviation of 1.83 and Mean Deviation of 1.3 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Apple holds performance score of 8. The firm shows Beta (market volatility) of 1.4148 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Apple will likely underperform. Although it is extremely important to respect Apple 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 Apple technical indicators you can presently evaluate if the expected return of 0.2233% will be sustainable into the future. Please makes use of Apple Jensen Alpha as well as the relationship between Potential Upside and Skewness to make a quick decision on weather Apple price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.26 
correlation synergy

Poor predictability

Apple has poor predictability. Overlapping area represents the amount of predictability between Apple time series from July 22, 2019 to September 5, 2019 and September 5, 2019 to October 20, 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 0.26 indicates that nearly 26.0% of current Apple price fluctuation can be explain by its past prices.
Correlation Coefficient0.26
Spearman Rank Test0.28
Residual Average0.0
Price Variance51.24

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 Portfolio Manager module to state of the art portfolio manager to monitor and improve performance of your invested capital.
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