United States Backtesting

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X -- USA Stock  

Sell-off Trend

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
SymbolX
Backtest

United States 'What if' Analysis

October 23, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
January 21, 2020
0.00
If you would invest  0.00  in United States on October 23, 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 Steel Dynamics, Reliance Steel, SM Energy, Weyerhaeuser, Pingtan Marine, and Pioneer Natural. United States Steel Corporation produces and sells flat-rolled and tubular steel products primarily in North America and...

United States Upside/Downside Indicators

Downside Deviation3.31
Information Ratio(0.019791)
Maximum Drawdown25.55
Value At Risk(4.16)
Potential Upside5.12

United States Market Premium Indicators

Risk Adjusted Performance0.017
Jensen Alpha(0.13)
Total Risk Alpha(0.79)
Sortino Ratio(0.020473)
Treynor Ratio0.0316

United States Steel Backtested Returns

Macroaxis considers United States to be unstable. United States Steel owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0368 which indicates the firm had -0.0368% of return per unit of risk over the last 3 months. Macroaxis philosophy towards measuring 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. United States Steel Corporation exposes twenty-seven different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate United States Risk Adjusted Performance of 0.017, Coefficient Of Variation of 5725.28 and Semi Deviation of 3.14 to confirm risk estimate we provide. The entity has beta of 1.5718 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. Even though it is essential to pay attention to United States Steel current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring 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. United States Steel Corporation exposes twenty-seven different technical indicators which can help you to evaluate its performance. United States Steel has expected return of -0.1294%. Please be advised to validate United States Downside Variance, Daily Balance Of Power and the relationship between Maximum Drawdown and Skewness to decide if United States Steel past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.75) 
correlation synergy

Almost perfect reverse predictability

United States Steel Corporation has almost perfect reverse predictability. Overlapping area represents the amount of predictability between United States time series from October 23, 2019 to December 7, 2019 and December 7, 2019 to January 21, 2020. 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 -0.75 indicates that around 75.0% 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-0.75
Spearman Rank Test-0.59
Residual Average0.0
Price Variance1.78

United States Steel lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

United States regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

United States Lagged Returns

 Regressed Prices 
    
  Timeline 

Current Sentiment - X

United States Steel Investor Sentiment

Most of Macroaxis users are at this time bullish on United States Steel Corporation. What is your outlook on investing in United States Steel Corporation? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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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 World Markets Correlation module to find global opportunities by holding instruments from different markets.