United States Backtesting

X -- USA Stock  

Fiscal Quarter End: December 31, 2019  

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

United States 'What if' Analysis

August 21, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 19, 2019
If you would invest  0.00  in United States on August 21, 2019 and sell it all today you would earn a total of 0.00 from holding United States Steel Corporation or generate 0.0% return on investment in United States over 90 days. United States is related to or competes with Pioneer Natural, Pingtan Marine, Reliance Steel, Weyerhaeuser, QEP Resources, and Steel Dynamics. United States Steel Corporation produces and sells flat-rolled and tubular steel products primarily in North America and...

United States Upside/Downside Indicators

Downside Deviation4.07
Information Ratio0.0494
Maximum Drawdown21.36
Value At Risk(8.30)
Potential Upside7.37

United States Market Premium Indicators

Risk Adjusted Performance0.0638
Jensen Alpha(0.005155)
Total Risk Alpha(0.37)
Sortino Ratio0.0551
Treynor Ratio0.1118

United States Steel Backtested Returns

Macroaxis considers United States risky given 3 months investment horizon. United States Steel owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0466 which indicates the firm had 0.0466% of return per unit of risk over the last 3 months. Our philosophy towards measuring 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 United States Steel Corporation which you can use to evaluate future volatility of the company. Please operate United States Semi Deviation of 3.84, Coefficient Of Variation of 1304.47 and Risk Adjusted Performance of 0.0638 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 United States holds performance score of 3. The entity has beta of 3.02 which indicates as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, United States will likely underperform. Although it is extremely important to respect United States Steel current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 inspecting United States Steel technical indicators you can presently evaluate if the expected return of 0.2069% will be sustainable into the future. Please operates United States Downside Variance, Daily Balance Of Power and the relationship between Maximum Drawdown and Skewness to make a quick decision on weather United States Steel existing price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.06) 
correlation synergy

Very weak reverse predictability

United States Steel Corporation has very weak reverse predictability. Overlapping area represents the amount of predictability between United States time series from August 21, 2019 to October 5, 2019 and October 5, 2019 to November 19, 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 United States Steel price movement. The serial correlation of -0.06 indicates that barely 6.0% of current United States price fluctuation can be explain by its past prices. Given that United States Steel Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of United States for similar time interval.
Correlation Coefficient-0.06
Spearman Rank Test0.03
Residual Average0.0
Price Variance1.35

United States Steel lagged returns against current returns

 Current and Lagged Values 

United States regressed lagged prices vs. current prices

 Current vs Lagged Prices 

United States Lagged Returns

 Regressed Prices 

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See also United States Hype Analysis, United States Correlation, United States Valuation, United States Volatility as well as analyze United States Alpha and Beta and United States Performance. Please also try Crypto Portfolio Optimizer module to optimize portfolio of digital coins and token across multiple currency and exchanges.
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