Home Depot Backtesting

HD -- USA Stock  

Fiscal Quarter End: October 31, 2019  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of 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

July 18, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
October 16, 2019
0.00
If you would invest  0.00  in Home Depot on July 18, 2019 and sell it all today you would earn a total of 0.00 from holding Home Depot or generate 0.0% return on investment in Home Depot over 90 days. Home Depot is related to or competes with Macys, DHX Media, Lowes Companies, Daily Journal, Lumber Liquidators, Haverty Furniture, and Hyatt Hotels. The Home Depot, Inc. operates as a home improvement retailer

Home Depot Upside/Downside Indicators

Downside Deviation1.33
Information Ratio0.1124
Maximum Drawdown6.79
Value At Risk(1.69)
Potential Upside1.89

Home Depot Market Premium Indicators

Risk Adjusted Performance0.1011
Jensen Alpha0.1439
Total Risk Alpha0.1519
Sortino Ratio0.1081
Treynor Ratio0.1217

Home Depot Backtested Returns

We consider Home Depot very steady. Home Depot holds Efficiency (Sharpe) Ratio of 0.1244 which attests that the entity had 0.1244% of return per unit of risk over the last 3 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-seven technical indicators for Home Depot which you can use to evaluate future volatility of the corporation. Please check out Home Depot Risk Adjusted Performance of 0.1011, Market Risk Adjusted Performance of 0.1317 and Downside Deviation of 1.33 to validate if risk estimate we provide are consistent with the epected return of 0.1608%. Home Depot has performance score of 8 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.9882 which attests that Home Depot returns are very sensitive to returns on the market. as market goes up or down, Home Depot is expected to follow. 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 0.1608% will be sustainable into the future. Home Depot right now retains a risk of 1.2924%. Please check out Home Depot Downside Variance, Daily Balance Of Power and the relationship between Maximum Drawdown and Skewness to decide if Home Depot will be following its current trending patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.44 
correlation synergy

Average predictability

Home Depot has average predictability. Overlapping area represents the amount of predictability between Home Depot time series from July 18, 2019 to September 1, 2019 and September 1, 2019 to October 16, 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 0.44 indicates that just about 44.0% of current Home Depot price fluctuation can be explain by its past prices.
Correlation Coefficient0.44
Spearman Rank Test0.24
Residual Average0.0
Price Variance11.98

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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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