Enphase Energy Backtesting

ENPH -- USA Stock  

Quarterly Earning Report: November 5, 2019  

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

Enphase Energy 'What if' Analysis

July 19, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
October 17, 2019
0.00
If you would invest  0.00  in Enphase Energy on July 19, 2019 and sell it all today you would earn a total of 0.00 from holding Enphase Energy or generate 0.0% return on investment in Enphase Energy over 90 days. Enphase Energy is related to or competes with DAQO New, EMagin, Entegris, Intermolecular, Park Electrochemical, and GREYSTONE LOGISTICS. Enphase Energy, Inc., together with its subsidiaries, designs, develops, and sells home energy solutions for the solar p...

Enphase Energy Upside/Downside Indicators

Downside Deviation5.27
Information Ratio0.0745
Maximum Drawdown40.22
Value At Risk(8.06)
Potential Upside7.56

Enphase Energy Market Premium Indicators

Risk Adjusted Performance0.0783
Jensen Alpha0.4154
Total Risk Alpha0.5462
Sortino Ratio0.0813
Treynor Ratio0.8917

Enphase Energy Backtested Returns

Macroaxis considers Enphase Energy slightly risky given 3 months investment horizon. Enphase Energy secures Sharpe Ratio (or Efficiency) of 0.0761 which denotes the organization had 0.0761% of return per unit of risk over the last 3 months. Our philosophy towards predicting 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 Enphase Energy which you can use to evaluate future volatility of the firm. Please utilize Enphase Energy Downside Deviation of 5.27, Coefficient Of Variation of 1387.41 and Mean Deviation of 3.83 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Enphase Energy holds performance score of 5. The firm shows Beta (market volatility) of 0.4537 which denotes to the fact that as returns on market increase, Enphase Energy returns are expected to increase less than the market. However during bear market, the loss on holding Enphase Energy will be expected to be smaller as well. Although it is vital to follow to Enphase Energy 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 predicting 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 reviewing Enphase Energy technical indicators you can presently evaluate if the expected return of 0.4451% will be sustainable into the future. Please utilizes Enphase Energy Downside Variance, and the relationship between Treynor Ratio and Kurtosis to make a quick decision on weather Enphase Energy price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.27) 
correlation synergy

Weak reverse predictability

Enphase Energy has weak reverse predictability. Overlapping area represents the amount of predictability between Enphase Energy time series from July 19, 2019 to September 2, 2019 and September 2, 2019 to October 17, 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 Enphase Energy price movement. The serial correlation of -0.27 indicates that nearly 27.0% of current Enphase Energy price fluctuation can be explain by its past prices. Given that Enphase Energy has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Enphase Energy for similar time interval.
Correlation Coefficient-0.27
Spearman Rank Test-0.3
Residual Average0.0
Price Variance3.1

Enphase Energy lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Enphase Energy regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Enphase Energy Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - ENPH

Enphase Energy Investor Sentiment

Most of Macroaxis users are currently bullish on Enphase Energy. What is your opinion about investing in Enphase Energy? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Enphase Energy Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Enphase Energy and DAQO New Energy. 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  
Additionally see Enphase Energy Hype Analysis, Enphase Energy Correlation, Enphase Energy Valuation, Enphase Energy Volatility as well as analyze Enphase Energy Alpha and Beta and Enphase Energy Performance. Please also try CEO Directory module to screen ceos from public companies around the world.
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