Home Depot Backtesting

HD -- USA Stock  

USD 216.71  8.76  4.21%

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

June 21, 2019
No Change 0.00  0.0%
In 2 months and 2 days
August 20, 2019
If you would invest  0.00  in Home Depot on June 21, 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 60 days. Home Depot is related to or competes with Lumber Liquidators, Floor Decor, Haverty Furniture, Lowes Companies, Ford Motor, and Hyatt Hotels. The Home Depot, Inc. operates as a home improvement retailer

Home Depot Upside/Downside Indicators

Downside Deviation1.34
Information Ratio0.0303
Maximum Drawdown5.36
Value At Risk(1.86)
Potential Upside1.88

Home Depot Market Premium Indicators

Risk Adjusted Performance0.0118
Jensen Alpha0.0412
Total Risk Alpha0.0478
Sortino Ratio0.0274
Treynor Ratio0.0021

Home Depot Backtested Returns

We consider Home Depot very steady. Home Depot holds Efficiency (Sharpe) Ratio of 0.0666 which attests that the entity had 0.0666% of return per unit of risk over the last 2 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-eight technical indicators for Home Depot which you can use to evaluate future volatility of the corporation. Please check out Home Depot Market Risk Adjusted Performance of 0.0121, Downside Deviation of 1.34 and Risk Adjusted Performance of 0.0118 to validate if risk estimate we provide are consistent with the epected return of 0.0912%. Home Depot has performance score of 4 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 1.1295 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 0.0912% will be sustainable into the future. Home Depot right now retains a risk of 1.3709%. 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(0.66) 
correlation synergy

Very good reverse predictability

Home Depot has very good reverse predictability. Overlapping area represents the amount of predictability between Home Depot time series from June 21, 2019 to July 21, 2019 and July 21, 2019 to August 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 -0.66 indicates that around 66.0% of current Home Depot price fluctuation can be explain by its past prices. Given that Home Depot has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Home Depot for similar time interval.
Correlation Coefficient-0.66
Spearman Rank Test-0.67
Residual Average0.0
Price Variance23.0

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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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