Home Depot Backtesting

HD -- USA Stock  

USD 174.26  2.57  1.50%

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

Home Depot 'What if' Analysis

October 13, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 12, 2018
0.00
If you would invest  0.00  in Home Depot on October 13, 2018 and sell it all today you would earn a total of 0.00 from holding The Home Depot or generate 0.0% return on investment in Home Depot over 60 days. Home Depot is related to or competes with Lumber Liquidators, Floor Decor, Haverty Furniture, Lowes Companies, Ford Motor, and Hyatt Hotels. The Home Depot, Inc. operates as a home improvement retailer

Home Depot Upside/Downside Indicators

Information Ratio(0.09)
Maximum Drawdown6.41
Value At Risk(3.54)
Potential Upside2.6
  

Home Depot Market Premium Indicators

Risk Adjusted Performance(0.25)
Jensen Alpha(0.19)
Total Risk Alpha(0.12)
Treynor Ratio(0.39)

Home Depot Backtested Returns

Macroaxis considers Home Depot to be not too risky. Home Depot holds Efficiency (Sharpe) Ratio of -0.1166 which attests that Home Depot had -0.1166% of return per unit of risk over the last 2 months. Macroaxis philosophy towards determining 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. Home Depot exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Home Depot Market Risk Adjusted Performance of (0.38) and Risk Adjusted Performance of (0.25) to validate risk estimate we provide. Macroaxis gives Home Depot performance score of 0 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.8236 which attests that as returns on market increase, Home Depot returns are expected to increase less than the market. However during bear market, the loss on holding Home Depot will be expected to be smaller as well.. Even though it is essential to pay attention to Home Depot current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining 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. Home Depot exposes twenty-eight different technical indicators which can help you to evaluate its performance. Home Depot has expected return of -0.2072%. Please be advised to check out Home Depot Coefficient Of Variation, Maximum Drawdown, Skewness, as well as the relationship between Total Risk Alpha and Downside Variance to decide if Home Depot past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.37 
correlation synergy

Below average predictability

The Home Depot has below average predictability. Overlapping area represents the amount of predictability between Home Depot time series from October 13, 2018 to November 12, 2018 and November 12, 2018 to December 12, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Home Depot price movement. The serial correlation of 0.37 indicates that just about 37.0% of current Home Depot price fluctuation can be explain by its past prices.
Correlation Coefficient0.37
Spearman Rank Test-0.66
Residual Average0.0
Price Variance15.22

Home Depot lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Home Depot regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Home Depot Lagged Returns

 Regressed Prices 
      Timeline 

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Please also check Home Depot Hype Analysis, Home Depot Correlation, Home Depot Valuation, Home Depot Volatility as well as analyze Home Depot Alpha and Beta and Home Depot Performance. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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