Home Depot Backtesting

HD -- USA Stock  

Earnings 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 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

Home Depot 'What if' Analysis

August 22, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 20, 2019
If you would invest  0.00  in Home Depot on August 22, 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, Hyatt Hotels, Daily Journal, DHX Media, DISH Network, Lowes Companies, and Haverty Furniture. The Home Depot, Inc. operates as a home improvement retailer

Home Depot Upside/Downside Indicators

Downside Deviation1.48
Information Ratio0.0308
Maximum Drawdown6.79
Value At Risk(1.61)
Potential Upside1.72

Home Depot Market Premium Indicators

Risk Adjusted Performance0.0853
Jensen Alpha0.0529
Total Risk Alpha(0.031764)
Sortino Ratio0.0262
Treynor Ratio0.1557

Home Depot Backtested Returns

We consider Home Depot very steady. Home Depot holds Efficiency (Sharpe) Ratio of 0.024 which attests that the entity had 0.024% 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 0.0853, Market Risk Adjusted Performance of 0.1657 and Downside Deviation of 1.48 to validate if risk estimate we provide are consistent with the epected return of 0.0278%. Home Depot has performance score of 1 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.8494 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 0.0278% will be sustainable into the future. Home Depot right now retains a risk of 1.1604%. 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 0.49 
correlation synergy

Average predictability

Home Depot has average predictability. Overlapping area represents the amount of predictability between Home Depot time series from August 22, 2019 to October 6, 2019 and October 6, 2019 to November 20, 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 0.49 indicates that about 49.0% of current Home Depot price fluctuation can be explain by its past prices.
Correlation Coefficient0.49
Spearman Rank Test0.08
Residual Average0.0
Price Variance10.31

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 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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