EPS surp.>12 & EV/EBITDA<12 (hold 20d) (lookback 50y)
Run 5f77a4d4 · view hypothesis
completed
Legacy run: publication dates, coverage and daily drawdown were not validated. Run this hypothesis again for updated results.
Trades
520
Win rate
51.35%
Avg return
1.83%
Median return
0.34%
Avg abnormal
0.82%
Median abnormal
-1.13%
Best trade
218.49%
Worst trade
-61.84%
Sharpe (per-trade)
0.09
Daily portfolio drawdown
-54.52%
Portfolio (equal_weight)
Total return
190.60%
Max drawdown
-54.52%
Avg trade return
1.83%
Win rate
51.35%
Signals
5863
Configured concurrent
5
Observed concurrent
5
Trades taken
520
Skipped (no capacity)
5343
Excess vs benchmark
-197.23%
Avg entry slippage
0.00%
Return if filled at market
190.60%
VWAP fills
0
VWAP fallbacks
0
5343 of 5863 qualifying signals were dropped because no position slot or cash was available.
Equity curve — full run
Breakdowns
| Bucket | Trades | Avg return | Avg abnormal | Win rate |
|---|---|---|---|---|
| 2007 | 1 | 2.86% | 1.11% | 100.00% |
| 2009 | 1 | 2.29% | -2.80% | 100.00% |
| 2010 | 1 | 2.48% | -3.84% | 100.00% |
| 2011 | 1 | 12.02% | 9.60% | 100.00% |
| 2013 | 1 | -5.72% | -3.81% | 0.00% |
| 2016 | 23 | 0.27% | -0.77% | 52.17% |
| 2017 | 45 | 1.44% | 0.24% | 44.44% |
| 2018 | 47 | -0.88% | -0.08% | 42.55% |
| 2019 | 51 | -1.58% | -3.46% | 47.06% |
| 2020 | 54 | 6.16% | 4.56% | 59.26% |
| 2021 | 58 | -2.67% | -4.27% | 56.90% |
| 2022 | 54 | -1.34% | 0.26% | 44.44% |
| 2023 | 51 | 6.26% | 4.20% | 54.90% |
| 2024 | 51 | 3.66% | 1.76% | 47.06% |
| 2025 | 54 | 3.84% | 2.83% | 61.11% |
| 2026 | 27 | 6.34% | 5.25% | 48.15% |
Trades (page 2: 20 of 520)
| Symbol | Event | Entry date | Exit date | Δ days | Market entry | Actual buy-in | Diff % | Fill source | EPS surp. | EV/EBITDA | Return | Benchmark | Abnormal |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| AAOI | 2026-02-26 | 2026-02-27 | 2026-03-27 | — | 65.93 | 65.93 | 0.00% | market | 91.67% | — | 48.86% | -7.17% | 56.03% |
| ALHC | 2026-02-26 | 2026-02-27 | 2026-03-27 | — | 18.84 | 18.84 | 0.00% | market | 66.67% | — | -11.88% | -7.17% | -4.71% |
| CGON | 2026-02-27 | 2026-03-02 | 2026-03-30 | — | 57.11 | 57.11 | 0.00% | market | 16.39% | — | 11.89% | -6.89% | 18.78% |
| ATAI | 2026-03-06 | 2026-03-09 | 2026-04-07 | — | 3.40 | 3.40 | 0.00% | market | 58.33% | — | 11.37% | -1.08% | 12.45% |
| HTFL | 2026-03-18 | 2026-03-19 | 2026-04-17 | — | 25.00 | 25.00 | 0.00% | market | 36.04% | — | 25.26% | 8.09% | 17.17% |
| NMAX | 2026-03-26 | 2026-03-27 | 2026-04-27 | — | 6.90 | 6.90 | 0.00% | market | 64.29% | — | -13.58% | 11.31% | -24.89% |
| LGN | 2026-03-27 | 2026-03-30 | 2026-04-28 | — | 55.81 | 55.81 | 0.00% | market | 66.67% | — | 44.28% | 11.18% | 33.10% |
| AEHR | 2026-04-07 | 2026-04-08 | 2026-05-06 | — | 57.35 | 57.35 | 0.00% | market | 28.57% | — | 68.57% | 8.49% | 60.07% |
| BNY | 2026-04-16 | 2026-04-17 | 2026-05-15 | — | 135.96 | 135.96 | 0.00% | market | 14.80% | — | -0.79% | 4.68% | -5.47% |
| NTRS | 2026-04-21 | 2026-04-22 | 2026-05-20 | — | 171.74 | 171.74 | 0.00% | market | 16.81% | — | -3.47% | 4.53% | -7.99% |
| BBBY | 2026-04-27 | 2026-04-28 | 2026-05-27 | — | 7.12 | 7.12 | 0.00% | market | 19.35% | — | -10.21% | 5.43% | -15.64% |
| CBNA | 2026-04-28 | 2026-04-29 | 2026-05-28 | — | 36.70 | 36.70 | 0.00% | market | 13.68% | — | -0.67% | 6.13% | -6.80% |
| ADPT | 2026-05-05 | 2026-05-06 | 2026-06-04 | — | 14.64 | 14.64 | 0.00% | market | 18.75% | — | 23.40% | 3.97% | 19.42% |
| FIG | 2026-05-14 | 2026-05-15 | 2026-06-15 | — | 22.28 | 22.28 | 0.00% | market | 57.90% | — | -17.02% | 1.76% | -18.78% |
| BLTE | 2026-05-20 | 2026-05-21 | 2026-06-22 | — | 144.78 | 144.78 | 0.00% | market | 43.33% | — | 1.48% | 0.78% | 0.70% |
| APPS | 2026-05-26 | 2026-05-27 | 2026-06-25 | — | 6.49 | 6.49 | 0.00% | market | 77.78% | — | 56.45% | -2.21% | 58.66% |
| KC | 2026-05-27 | 2026-05-28 | 2026-06-26 | — | 12.70 | 12.70 | 0.00% | market | 12.60% | — | -32.54% | -2.83% | -29.71% |
| AI | 2026-06-03 | 2026-06-04 | 2026-07-06 | — | 11.22 | 11.22 | 0.00% | market | 13.16% | — | -17.39% | -0.11% | -17.28% |
| LZB | 2026-06-16 | 2026-06-17 | 2026-07-17 | — | 42.18 | 42.18 | 0.00% | market | 53.66% | — | -5.58% | -1.06% | -4.51% |
| AVAV | 2026-06-29 | 2026-06-30 | 2026-07-29 | — | 176.50 | 176.50 | 0.00% | market | 26.03% | — | -19.58% | -1.60% | -17.98% |