EPS surp.>12 & ROE>18 & Op. margin<12 & EPS surp.<20 (hold 20d) (lookback 50y) (max 10 pos) (fill delayed 1d, 10bps)

Run 5f77e74b · view hypothesis

completed
Trades
126
Win rate
49.21%
Avg return
5.41%
Median return
-0.37%
Avg abnormal
3.78%
Median abnormal
-1.21%
Best trade
135.72%
Worst trade
-54.64%
Sharpe (per-trade)
0.20
Max drawdown
-84.90%
Portfolio (equal_weight)
Total return
68.17%
Max drawdown
-13.78%
Avg trade return
5.41%
Win rate
49.21%
Signals
126
Configured concurrent
10
Observed concurrent
8
Trades taken
126
Skipped (no capacity)
0
Excess vs benchmark
-178.60%
Avg entry slippage
0.10%
Return if filled at market
69.50%
VWAP fills
0
VWAP fallbacks
0

0 of 126qualifying signals were dropped because every slot was already taken. Raise “Max concurrent positions” to open more of them — or lower it to see how the strategy behaves when it can only run one trade at a time.

Equity curve
Breakdowns
BucketTradesAvg returnAvg abnormalWin rate
20162-1.74%-7.22%50.00%
20177-3.09%-4.17%57.14%
201812-2.66%-1.84%33.33%
20194-2.35%-3.03%25.00%
20201510.28%9.60%46.67%
2021201.20%-0.56%55.00%
20227-0.63%-0.58%28.57%
2023178.20%4.97%52.94%
2024172.76%0.04%41.18%
20251820.79%18.97%66.67%
202671.96%-0.19%57.14%
Trades (126)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ROEOp. marginReturnBenchmarkAbnormal
HALO2016-11-072016-11-092016-12-0810.0810.080.00%market14.81%241.38%-71.40%15.28%6.02%9.26%
ADMA2016-11-102016-11-142016-12-136.476.470.00%market15.00%2846.88%-127.20%-18.76%4.94%-23.70%
SRI2017-03-022017-03-062017-04-0318.8218.820.00%market17.24%27.12%5.89%-5.25%-0.91%-4.33%
SRPT2017-04-272017-05-012017-05-3036.4336.430.00%market14.12%19.59%-240.15%-20.16%1.18%-21.34%
MARA2017-05-152017-05-172017-06-155.455.450.00%market13.33%31.94%-3595.85%-53.09%1.54%-54.63%
CWST2017-08-022017-08-042017-09-0115.9115.910.00%market19.05%71.92%10.93%7.03%0.13%6.90%
ENR2017-08-022017-08-042017-09-0142.5842.580.00%market19.44%28.62%11.72%5.65%0.13%5.52%
NSP2017-11-012017-11-032017-12-0451.5051.500.00%market16.33%18.84%3.75%11.41%2.47%8.94%
BHC2017-11-072017-11-092017-12-0814.8214.820.00%market16.85%24.42%1.71%32.79%3.02%29.77%
COR2018-02-062018-02-082018-03-0994.6594.650.00%market14.81%29.98%1.11%4.49%4.05%0.44%
NSP2018-02-122018-02-142018-03-1561.2161.210.00%market19.57%23.45%2.87%13.44%4.04%9.40%
WK2018-02-222018-02-262018-03-2622.2222.220.00%market13.64%84.57%-26.92%5.43%-3.92%9.35%
ASIX2018-02-232018-02-272018-03-2740.8140.810.00%market20.00%19.23%6.98%-16.94%-6.30%-10.64%
HRB2018-03-062018-03-082018-04-0628.8628.860.00%market12.78%35.19%-19.92%-11.70%-5.06%-6.65%
BURL2018-05-312018-06-042018-07-02150.93150.930.00%market15.60%74.22%7.42%-1.16%-0.97%-0.19%
KR2018-06-212018-06-252018-07-2429.0129.010.00%market15.87%29.07%2.73%-3.72%2.99%-6.70%
NSP2018-08-012018-08-032018-08-31101.85101.850.00%market13.33%20.84%3.64%17.57%2.75%14.82%
BURL2018-08-302018-09-042018-10-02168.17168.170.00%market19.79%46.29%6.07%-8.20%0.59%-8.80%
GIC2018-10-302018-11-012018-11-3032.5232.520.00%market17.65%48.16%7.80%-14.34%1.49%-15.84%
NSP2018-11-012018-11-052018-12-04110.79110.790.00%market17.07%23.83%5.20%-11.59%-0.80%-10.79%
BURL2018-11-282018-11-302019-01-02168.68168.680.00%market14.15%39.74%6.52%-5.15%-8.63%3.48%
W2019-02-222019-02-262019-03-26158.26158.260.00%market13.85%43.49%-6.44%0.05%0.71%-0.66%
SYY2019-05-062019-05-082019-06-0672.7372.730.00%market12.86%18.63%3.61%-2.55%-0.95%-1.60%
BURL2019-08-292019-09-032019-10-01202.39202.390.00%market19.30%26.83%6.47%-1.82%0.92%-2.74%
PBI2019-11-052019-11-072019-12-065.135.130.00%market14.29%59.15%8.53%-5.08%2.04%-7.12%
AVNT2020-01-282020-01-302020-02-2834.6334.630.00%market13.33%44.23%3.11%-28.61%-8.66%-19.95%
NTNX2020-02-262020-02-282020-03-2722.7622.760.00%market13.04%329.13%-59.71%-25.72%-12.22%-13.50%
JD2020-03-022020-03-042020-04-0142.5342.530.00%market14.29%30.92%0.31%-3.91%-19.59%15.68%
CMPR2020-05-052020-05-072020-06-0574.3874.380.00%market15.09%20.99%-14.67%9.61%10.98%-1.36%
BE2020-05-112020-05-132020-06-118.808.800.00%market19.05%22.80%-30.09%-1.34%5.09%-6.42%
CAH2020-05-112020-05-132020-06-1150.0850.080.00%market13.29%29.09%1.44%4.71%5.09%-0.37%
NTNX2020-05-272020-05-292020-06-2622.9722.970.00%market18.82%130.77%-72.32%-1.51%-0.80%-0.71%
NIO2020-05-282020-06-012020-06-294.004.000.00%market15.03%21.00%-114.46%80.47%0.28%80.19%
MUSA2020-07-212020-07-232020-08-20140.69140.690.00%market19.62%18.40%9.90%-0.70%3.62%-4.32%
GDDY2020-08-052020-08-072020-09-0476.2376.230.00%market17.65%257.63%2.84%4.22%2.79%1.43%
CAH2020-08-062020-08-102020-09-0852.6352.630.00%market14.29%36.67%0.74%-6.49%-0.55%-5.94%
JILL2020-09-032020-09-082020-10-062.502.500.00%market16.22%38.38%-23.56%14.19%-0.53%14.71%
AHT2020-10-272020-10-292020-11-27136.14136.140.00%market18.68%77.44%-176.83%107.78%11.24%96.54%
UPS2020-10-282020-10-302020-11-30160.17160.170.00%market20.00%35.00%11.17%6.71%10.29%-3.58%
JD2020-11-162020-11-182020-12-1787.2287.220.00%market16.28%34.21%2.52%-5.27%3.14%-8.41%
PGNY2021-02-242021-02-262021-03-2643.4943.490.00%market16.67%23.28%0.95%0.81%3.03%-2.21%
DAO2021-02-252021-03-012021-03-2932.0332.030.00%market17.26%31.80%-40.91%-28.33%2.64%-30.97%
LYV2021-02-252021-03-012021-03-2991.1991.190.00%market15.70%93.97%-163.45%-10.45%2.64%-13.10%
BURL2021-03-042021-03-082021-04-06280.13280.130.00%market15.09%33.56%9.28%8.95%5.58%3.37%
CTOS2021-03-092021-03-112021-04-098.448.440.00%market16.67%23.60%3.57%15.80%4.91%10.89%
MDB2021-03-092021-03-112021-04-09303.30303.300.00%market17.50%1506.08%-34.73%-1.86%4.91%-6.77%
ASAN2021-03-102021-03-122021-04-1232.7232.720.00%market15.38%480.96%-74.54%3.28%4.99%-1.71%
NSP2021-05-032021-05-052021-06-0388.2288.220.00%market16.67%84.08%6.51%0.84%0.33%0.51%
AMPY2021-05-052021-05-072021-06-072.942.940.00%market20.00%36.28%-22.33%31.40%0.55%30.85%
CDW2021-05-052021-05-072021-06-07172.84172.840.00%market13.73%19.88%6.69%-4.20%0.55%-4.75%
MELI2021-05-052021-05-072021-06-071,470.141,470.140.00%market14.81%111.83%6.60%-9.96%0.55%-10.51%
LYV2021-05-062021-05-102021-06-0882.1982.190.00%market13.25%42.05%-104.32%8.54%-0.05%8.59%
UIS2021-05-062021-05-102021-06-0823.8823.880.00%market15.00%47.59%8.55%17.76%-0.05%17.81%
NOG2021-05-072021-05-112021-06-0915.3215.320.00%market16.98%50.01%-40.91%26.83%2.07%24.76%
DAO2021-05-182021-05-202021-06-1823.6323.630.00%market17.80%169.59%-22.61%-3.12%0.76%-3.88%
OI2021-08-032021-08-052021-09-0215.1515.150.00%market12.50%29.57%9.76%1.78%2.95%-1.17%
CDW2021-08-042021-08-062021-09-03190.14190.140.00%market12.22%26.13%7.19%6.51%2.48%4.02%
TEAM2021-10-282021-11-012021-11-30455.66455.660.00%market17.95%1509.78%9.20%-17.51%-1.03%-16.48%
RHP2021-11-012021-11-032021-12-0291.0991.090.00%market17.50%21.78%8.37%-14.66%-0.85%-13.81%
BJ2021-11-182021-11-222021-12-2169.6669.660.00%market13.75%22.28%3.99%-8.38%-1.66%-6.72%
EXTR2022-01-272022-01-312022-03-0112.0112.010.00%market16.67%19.17%6.43%-9.02%-2.55%-6.47%
IRON2022-03-102022-03-142022-04-1114.8114.810.00%market17.51%27.76%0.00%-8.64%4.52%-13.16%
ULTA2022-03-102022-03-142022-04-11369.99369.990.00%market18.12%18.85%11.91%9.03%4.52%4.51%
NSP2022-08-012022-08-032022-08-31109.11109.110.00%market17.17%95.64%3.38%-0.18%-3.69%3.50%
CWH2022-08-022022-08-042022-09-0130.0330.030.00%market15.51%44.05%11.72%-1.30%-4.33%3.03%
WYNN2022-08-092022-08-112022-09-0966.4766.470.00%market12.77%21.34%-5.72%-5.65%-3.87%-1.77%
PII2022-10-252022-10-272022-11-25100.86100.860.00%market14.84%18.38%10.33%11.32%5.03%6.29%
EXTR2023-01-252023-01-272023-02-2717.5517.550.00%market12.50%21.20%7.36%6.35%-1.47%7.82%
CVI2023-02-212023-02-232023-03-2332.2332.230.00%market12.75%21.09%8.84%-6.90%-2.09%-4.81%
ESTA2023-02-272023-03-012023-03-2971.5271.520.00%market19.12%165.69%-30.04%-6.42%1.50%-7.92%
MLCO2023-03-012023-03-032023-03-3113.8813.880.00%market15.00%29.63%-59.18%-8.41%2.42%-10.83%
OWLT2023-03-152023-03-172023-04-175.025.020.00%market12.50%183.34%-173.46%-7.31%5.27%-12.58%
QBTS2023-03-162023-03-202023-04-180.530.530.00%market14.29%46.37%-900.21%13.96%5.99%7.97%
ACI2023-04-112023-04-132023-05-1120.6320.630.00%market17.91%19.31%2.37%-1.41%0.72%-2.13%
SQNS2023-05-032023-05-052023-06-0555.0555.050.00%market17.86%399.37%-33.58%-0.56%4.45%-5.01%
IMOS2023-05-042023-05-082023-06-0625.1525.150.00%market18.11%24.60%3.79%5.01%3.65%1.36%
REAL2023-05-092023-05-112023-06-091.221.220.00%market16.28%33.88%-57.64%37.06%4.36%32.70%
AVAH2023-05-112023-05-152023-06-131.131.130.00%market16.67%94.86%3.78%21.02%5.93%15.09%
JD2023-05-112023-05-152023-06-1336.2636.260.00%market15.00%20.34%2.65%4.68%5.93%-1.25%
TSHA2023-05-112023-05-152023-06-130.700.700.00%market20.00%117.89%-351.87%12.52%5.93%6.59%
LW2023-07-252023-07-272023-08-24102.00102.000.00%market16.19%35.34%11.03%-6.27%-4.82%-1.45%
MAX2023-11-012023-11-032023-12-049.859.850.00%market14.71%83.11%-19.78%6.50%5.44%1.06%
EDN2023-11-082023-11-102023-12-1110.4010.400.00%market12.48%76.22%0.45%74.11%5.97%68.15%
INDV2023-11-092023-11-132023-12-1215.5115.510.00%market13.33%562.50%-67.53%-4.52%5.66%-10.18%
COR2024-01-312024-02-022024-03-04237.47237.470.00%market13.49%65.98%1.04%-0.80%4.63%-5.43%
HRB2024-02-062024-02-082024-03-0846.6646.660.00%market19.62%24.56%-149.33%3.19%2.73%0.45%
ESTC2024-02-292024-03-042024-04-02116.81116.810.00%market16.13%24.88%-8.05%-16.22%1.33%-17.55%
BLND2024-03-152024-03-192024-04-173.043.040.00%market12.50%165.32%-60.57%-21.23%-2.26%-18.97%
ANVS2024-03-292024-04-022024-04-3012.2512.250.00%market19.26%286.59%0.00%-54.64%-3.14%-51.50%
CPS2024-05-062024-05-082024-06-0614.6714.670.00%market12.94%27.33%0.51%-10.22%3.77%-13.98%
INSM2024-05-092024-05-132024-06-1126.2426.240.00%market14.52%33.80%-192.72%135.72%2.75%132.97%
ANVS2024-05-132024-05-152024-06-138.518.510.00%market17.24%31.81%0.00%-29.46%3.16%-32.63%
PACS2024-05-132024-05-152024-06-1327.3127.310.00%market13.71%38.39%8.55%8.85%3.16%5.68%
RBRK2024-06-112024-06-132024-07-1532.7932.790.00%market13.66%142.26%-386.96%4.47%3.38%1.08%
TNET2024-07-262024-07-302024-08-27104.60104.600.00%market19.53%60.00%6.44%-2.53%2.80%-5.33%
APPN2024-08-012024-08-052024-09-0327.5327.530.00%market16.13%95.48%-26.76%14.73%7.90%6.83%
ADCT2024-08-062024-08-082024-09-062.772.770.00%market13.64%27.75%-166.81%-2.72%3.14%-5.86%
BL2024-08-062024-08-082024-09-0649.7249.720.00%market16.00%23.54%1.38%-3.72%3.14%-6.86%
GH2024-08-072024-08-092024-09-0930.2330.230.00%market15.79%6362.55%-56.77%-21.47%3.13%-24.60%
RBRK2024-09-092024-09-112024-10-0930.9930.990.00%market17.70%35.44%-82.11%16.03%5.18%10.85%
GH2024-11-062024-11-082024-12-0928.6128.610.00%market18.18%179.30%-61.28%27.03%1.43%25.60%
GH2025-02-202025-02-242025-03-2443.2843.280.00%market17.33%79.49%-62.42%7.89%-4.64%12.53%
BCO2025-02-262025-02-282025-03-2892.4592.450.00%market13.98%20.82%8.27%-5.81%-5.11%-0.71%
TMC2025-03-272025-03-312025-04-291.691.690.00%market16.67%93.83%0.00%93.79%0.82%92.97%
EAF2025-04-252025-04-292025-05-286.196.190.00%market13.33%37.36%-16.33%76.10%7.07%69.03%
TNET2025-04-252025-04-292025-05-2878.7578.750.00%market19.16%134.92%9.98%3.10%7.07%-3.97%
GH2025-04-302025-05-022025-06-0250.2650.260.00%market19.67%37.94%-54.57%-16.34%4.95%-21.29%
CLPR2025-05-122025-05-142025-06-124.134.130.00%market18.75%66.48%-59.85%-4.31%2.71%-7.02%
PGEN2025-05-142025-05-162025-06-161.321.320.00%market12.50%385.16%-1685.01%16.45%1.93%14.52%
VIK2025-05-202025-05-222025-06-2343.5443.540.00%market18.36%39.00%-1.03%14.04%3.00%11.04%
TNET2025-07-252025-07-292025-08-2670.5970.590.00%market15.00%34.58%5.33%-1.36%1.07%-2.43%
GH2025-07-302025-08-012025-08-2940.7940.790.00%market15.38%32.70%-45.85%65.18%2.99%62.19%
CYTK2025-08-072025-08-112025-09-0934.0834.080.00%market16.42%36.44%-167.00%51.00%2.02%48.98%
GPGI2025-08-072025-08-112025-09-0917.9617.960.00%market19.05%24.56%0.00%5.20%2.02%3.18%
SRFM2025-08-122025-08-142025-09-124.724.720.00%market14.68%24.24%-58.08%-7.18%2.27%-9.46%
NIO2025-09-022025-09-042025-10-026.086.080.00%market16.57%426.42%-25.82%29.75%3.85%25.91%
GH2025-10-292025-10-312025-12-0191.4891.480.00%market18.75%26.16%-37.33%14.92%-0.70%15.61%
HRB2025-11-062025-11-102025-12-0949.3049.300.00%market14.29%30.10%-46.89%-15.19%0.86%-16.05%
BHVN2025-11-102025-11-122025-12-117.787.780.00%market14.14%1010.74%0.00%46.99%0.64%46.35%
EAT2026-01-282026-01-302026-03-02159.27159.270.00%market13.44%33.88%11.60%-10.69%-0.78%-9.90%
MUSA2026-02-042026-02-062026-03-09393.67393.670.00%market12.89%22.76%4.58%10.85%-0.47%11.32%
BOBS2026-03-172026-03-192026-04-1714.5114.510.00%market16.67%25.03%9.19%-10.40%8.09%-18.49%
CVLT2026-04-282026-04-302026-05-29100.18100.180.00%market17.43%195.48%11.31%18.44%5.86%12.58%
TDC2026-05-052026-05-072026-06-0530.8730.870.00%market14.29%60.14%-8.11%9.06%0.34%8.72%
URGN2026-05-062026-05-082026-06-0826.9826.980.00%market16.07%18.97%-39.76%0.91%0.58%0.33%
TMC2026-05-142026-05-182026-06-165.435.430.00%market16.67%75.32%0.00%-4.44%1.42%-5.86%