Home Depot Backtesting

HD -- USA Stock  

USD 193.12  1.12  0.58%

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

March 25, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
May 24, 2019
0.00
If you would invest  0.00  in Home Depot on March 25, 2019 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, Ford Motor, Macys, and Daily Journal. The Home Depot, Inc. operates as a home improvement retailer

Home Depot Upside/Downside Indicators

Downside Deviation1.12
Information Ratio0.0425
Maximum Drawdown4.65
Value At Risk(1.40)
Potential Upside1.64

Home Depot Market Premium Indicators

Risk Adjusted Performance0.0321
Jensen Alpha0.0383
Total Risk Alpha0.0474
Sortino Ratio0.0382
Treynor Ratio0.0668

Home Depot Backtested Returns

We consider Home Depot very steady. Home Depot holds Efficiency (Sharpe) Ratio of 0.0171 which attests that the entity had 0.0171% of return per unit of risk over the last 2 months. Our philosophy towards determining 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 Home Depot which you can use to evaluate future volatility of the corporation. Please check out Home Depot Downside Deviation of 1.12, Market Risk Adjusted Performance of 0.0768 and Risk Adjusted Performance of 0.0321 to validate if risk estimate we provide are consistent with the epected return of 0.0173%. Home Depot has performance score of 1 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.5053 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. Although it is extremely important to respect Home Depot current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining 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 evaluating Home Depot technical indicators you can presently evaluate if the expected return of 0.0173% will be sustainable into the future. Home Depot right now retains a risk of 1.0084%. Please 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 will be following its current trending patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.92) 
correlation synergy

Near perfect reversele predictability

The Home Depot has near perfect reversele predictability. Overlapping area represents the amount of predictability between Home Depot time series from March 25, 2019 to April 24, 2019 and April 24, 2019 to May 24, 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 Home Depot price movement. The serial correlation of -0.92 indicates that approximately 92.0% of current Home Depot price fluctuation can be explain by its past prices. Given that The Home Depot has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Home Depot for similar time interval.
Correlation Coefficient-0.92
Spearman Rank Test-0.84
Residual Average0.0
Price Variance30.62

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 Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.
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