PE ratio test 7 (hold 5d) (lookback 50y) (fill vwap)
Run 5f763bb3 · view hypothesis
completed
Legacy run: publication dates, coverage and daily drawdown were not validated. Run this hypothesis again for updated results.
Trades
26
Win rate
61.54%
Avg return
1.40%
Median return
0.53%
Avg abnormal
0.46%
Median abnormal
-0.48%
Best trade
13.84%
Worst trade
-11.91%
Sharpe (per-trade)
0.27
Daily portfolio drawdown
—
Equity curve — full run
Breakdowns
| Bucket | Trades | Avg return | Avg abnormal | Win rate |
|---|---|---|---|---|
| 2022 | 4 | 0.18% | -0.26% | 50.00% |
| 2023 | 5 | 4.69% | 4.51% | 80.00% |
| 2024 | 10 | 1.29% | -0.18% | 70.00% |
| 2025 | 6 | -0.10% | -0.91% | 50.00% |
| 2026 | 1 | -0.05% | -2.32% | 0.00% |
Trades (26)
| Symbol | Event | Entry date | Exit date | Δ days | Market entry | Actual buy-in | Diff % | Fill source | P/E | P/E after earn. | Return | Benchmark | Abnormal |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ORLY | 2022-02-09 | 2022-02-10 | 2022-02-17 | — | 42.17 | 42.17 | 0.00% | market | — | 5.52 | 6.61% | -3.16% | 9.77% |
| COKE | 2022-02-22 | 2022-02-23 | 2022-03-02 | — | 56.06 | 56.06 | 0.00% | market | — | 8.27 | -11.91% | 1.21% | -13.12% |
| ORLY | 2022-04-27 | 2022-04-28 | 2022-05-05 | — | 43.61 | 43.61 | 0.00% | market | — | 6.08 | -7.83% | -2.01% | -5.82% |
| TEVA | 2022-11-03 | 2022-11-04 | 2022-11-11 | — | 8.32 | 8.32 | 0.00% | market | — | 14.10 | 13.84% | 5.71% | 8.14% |
| DTW | 2022-12-31 | 2023-01-03 | 2023-01-10 | — | 21.44 | 21.44 | 0.00% | market | — | 13.57 | 8.39% | 1.62% | 6.77% |
| ORLY | 2023-02-08 | 2023-02-09 | 2023-02-16 | — | 53.75 | 53.75 | 0.00% | market | — | 6.42 | 6.82% | -1.48% | 8.30% |
| ORLY | 2023-04-26 | 2023-04-27 | 2023-05-04 | — | 58.93 | 58.93 | 0.00% | market | — | 7.12 | 5.52% | -0.46% | 5.98% |
| ORLY | 2023-07-26 | 2023-07-27 | 2023-08-03 | — | 63.30 | 63.30 | 0.00% | market | — | 6.19 | -2.07% | -2.22% | 0.14% |
| ORLY | 2023-10-25 | 2023-10-26 | 2023-11-02 | — | 60.27 | 60.27 | 0.00% | market | — | 5.62 | 4.78% | 3.44% | 1.34% |
| ORLY | 2024-02-07 | 2024-02-08 | 2024-02-15 | — | 67.37 | 67.37 | 0.00% | market | — | 7.28 | 3.60% | 0.78% | 2.81% |
| COKE | 2024-02-21 | 2024-02-22 | 2024-02-29 | — | 83.11 | 83.11 | 0.00% | market | — | 6.21 | 1.07% | 0.81% | 0.26% |
| HLN | 2024-02-29 | 2024-03-01 | 2024-03-08 | — | 8.43 | 8.43 | 0.00% | market | — | 1.29 | 2.27% | 0.54% | 1.73% |
| ORLY | 2024-04-24 | 2024-04-25 | 2024-05-02 | — | 68.00 | 68.00 | 0.00% | market | — | 7.39 | -1.45% | 1.17% | -2.62% |
| ORLY | 2024-07-24 | 2024-07-25 | 2024-08-01 | — | 70.05 | 70.05 | 0.00% | market | — | 6.64 | 7.77% | 0.31% | 7.46% |
| ORLY | 2024-10-23 | 2024-10-24 | 2024-10-31 | — | 78.79 | 78.79 | 0.00% | market | — | 6.91 | -2.52% | -1.96% | -0.57% |
| COKE | 2024-10-30 | 2024-10-31 | 2024-11-07 | — | 116.35 | 116.35 | 0.00% | market | — | 6.19 | 1.99% | 3.48% | -1.50% |
| PFH | 2024-10-30 | 2024-10-31 | 2024-11-07 | — | 20.30 | 20.30 | 0.00% | market | — | 5.83 | 0.10% | 3.48% | -3.39% |
| RZC | 2024-10-31 | 2024-11-01 | 2024-11-08 | — | 26.77 | 26.77 | 0.00% | market | — | 11.34 | 0.80% | 4.70% | -3.91% |
| APOS | 2024-11-05 | 2024-11-06 | 2024-11-13 | — | 27.25 | 27.25 | 0.00% | market | — | 14.73 | -0.69% | 1.36% | -2.04% |
| ORLY | 2025-02-05 | 2025-02-06 | 2025-02-13 | — | 89.13 | 89.13 | 0.00% | market | — | 8.95 | -0.19% | 0.62% | -0.81% |
| RZC | 2025-02-06 | 2025-02-07 | 2025-02-14 | — | 26.40 | 26.40 | 0.00% | market | — | 11.73 | -0.90% | 0.46% | -1.36% |
| TCOM | 2025-02-24 | 2025-02-25 | 2025-03-04 | — | 59.04 | 59.04 | 0.00% | market | — | 13.57 | 0.44% | -3.40% | 3.84% |
| APOS | 2025-05-02 | 2025-05-05 | 2025-05-12 | — | 26.50 | 26.50 | 0.00% | market | — | 14.56 | -0.89% | 3.63% | -4.52% |
| APOS | 2025-08-05 | 2025-08-06 | 2025-08-13 | — | 27.00 | 27.00 | 0.00% | market | — | 14.06 | 0.31% | 2.52% | -2.21% |
| UNMA | 2025-11-03 | 2025-11-04 | 2025-11-11 | — | 23.65 | 23.65 | 0.00% | market | — | 11.32 | 0.62% | 1.02% | -0.40% |
| DTW | 2026-04-30 | 2026-05-01 | 2026-05-08 | — | 21.80 | 21.80 | 0.00% | market | — | 11.18 | -0.05% | 2.27% | -2.32% |