IRobot Backtesting

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IRBT -- USA Stock  

Report: 28th of July 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of IRobot and determine expected loss or profit from investing in IRobot over given investment horizon. Please see IRobot Hype Analysis, IRobot Correlation, IRobot Valuation, IRobot Volatility as well as analyze IRobot Alpha and Beta and IRobot Performance.

IRobot 'What if' Analysis

No Change 0.00  0.0 
In 2 months and 31 days
If you would invest  0.00  in IRobot on April 14, 2020 and sell it all today you would earn a total of 0.00 from holding IRobot or generate 0.0% return on investment in IRobot over 90 days. IRobot is related to or competes with Hamilton Beach, LG Display, Emerson Radio, Mohawk Group, GoPro, Turtle Beach, and IRobot. iRobot Corporation designs, builds, and sells robots for the consumer market in the United States, Europe, the Middle Ea...

IRobot Upside/Downside Indicators

Downside Deviation2.61
Information Ratio0.2668
Maximum Drawdown15.9
Value At Risk(3.09)
Potential Upside7.68

IRobot Market Premium Indicators

Risk Adjusted Performance0.5924
Jensen Alpha1.01
Total Risk Alpha0.7236
Sortino Ratio0.3301
Treynor Ratio6.27

IRobot Backtested Returns

IRobot appears to be very steady, given 3 months investment horizon. IRobot holds Efficiency (Sharpe) Ratio of 0.29, which attests that the entity had 0.29% of return per unit of risk over the last 3 months. Our standpoint towards determining the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By evaluating IRobot technical indicators you can presently evaluate if the expected return of 0.9% is justified by implied risk. Please utilize IRobot downside deviation of 2.61, risk adjusted performance of 0.5924, and market risk adjusted performance of 6.28 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, IRobot holds a performance score of 20. The company retains a Market Volatility (i.e. Beta) of 0.1656, which attests to not very significant fluctuations relative to the market. Let's try to break down what IRobot's beta means in this case. As returns on the market increase, IRobot returns are expected to increase less than the market. However, during the bear market, the loss on holding IRobot will be expected to be smaller as well. Although it is vital to follow to IRobot current price history, it is good to be conservative about what you can do with the information regarding 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. We have found twenty-one technical indicators for IRobot, which you can use to evaluate the performance of the firm. Please utilizes IRobot standard deviation, maximum drawdown, as well as the relationship between the Maximum Drawdown and expected short fall to make a quick decision on whether IRobot current trending patterns will revert.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.69 
correlation synergy

Good predictability

IRobot has good predictability. Overlapping area represents the amount of predictability between IRobot time series from 14th of April 2020 to 29th of May 2020 and 29th of May 2020 to 13th of July 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 IRobot price movement. The serial correlation of 0.69 indicates that around 69.0% of current IRobot price fluctuation can be explain by its past prices.
Correlation Coefficient0.69
Spearman Rank Test0.77
Residual Average0.0
Price Variance12.46

IRobot lagged returns against current returns

 Current and Lagged Values 

IRobot regressed lagged prices vs. current prices

 Current vs Lagged Prices 

IRobot Lagged Returns

 Regressed Prices 

Current Sentiment - IRBT

IRobot Investor Sentiment

Most of Macroaxis users are currently bullish on IRobot. What is your judgment towards investing in IRobot? Are you bullish or bearish?
98% Bullish
2% Bearish

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Please see IRobot Hype Analysis, IRobot Correlation, IRobot Valuation, IRobot Volatility as well as analyze IRobot Alpha and Beta and IRobot Performance. Please also try My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page