Home Depot Backtesting

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HD -- USA Stock  

Earning Report: February 25, 2020  

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 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.

Home Depot 'What if' Analysis

November 23, 2019
No Change 0.00  0.0 
In 2 months and 31 days
February 21, 2020
If you would invest  0.00  in Home Depot on November 23, 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 Lumber Liquidators, Haverty Furniture, Lowes Companies, Ford Motor, Hyatt Hotels, and Macys. The Home Depot, Inc. operates as a home improvement retailer

Home Depot Upside/Downside Indicators

Downside Deviation1.44
Information Ratio(0.030512)
Maximum Drawdown6.1
Value At Risk(1.81)
Potential Upside1.5

Home Depot Market Premium Indicators

Risk Adjusted Performance0.0382
Jensen Alpha(0.013616)
Total Risk Alpha(0.07)
Sortino Ratio(0.024222)
Treynor Ratio0.0573

Home Depot Backtested Returns

Macroaxis considers Home Depot very steady given 3 months investment horizon. Home Depot holds Efficiency (Sharpe) Ratio of 0.2318 which attests that the entity had 0.2318% 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-one technical indicators for Home Depot which you can use to evaluate future volatility of the corporation. Please utilize Home Depot Risk Adjusted Performance of 0.0382, Market Risk Adjusted Performance of 0.0673 and Downside Deviation of 1.44 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Home Depot holds performance score of 15. The company retains Market Volatility (i.e. Beta) of 0.7209 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 0.2095% will be sustainable into the future. Please utilizes Home Depot Maximum Drawdown, and the relationship between Information Ratio and Downside Variance to make a quick decision on weather Home Depot current trending patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.11 
correlation synergy

Insignificant predictability

Home Depot has insignificant predictability. Overlapping area represents the amount of predictability between Home Depot time series from November 23, 2019 to January 7, 2020 and January 7, 2020 to February 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 Home Depot price movement. The serial correlation of 0.11 indicates that less than 11.0% of current Home Depot price fluctuation can be explain by its past prices.
Correlation Coefficient0.11
Spearman Rank Test0.23
Residual Average0.0
Price Variance44.86

Home Depot lagged returns against current returns

 Current and Lagged Values 

Home Depot regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Home Depot Lagged Returns

 Regressed Prices 

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Please 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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.