EPS surp.>12 & ROE>18 & Op. margin<12 & EPS surp.<20 (hold 20d) (lookback 50y) (fill slippage 20bps)

Run 5f77e7ca · view hypothesis

completed
Trades
119
Win rate
46.22%
Avg return
4.48%
Median return
-1.32%
Avg abnormal
2.79%
Median abnormal
-2.11%
Best trade
124.89%
Worst trade
-50.20%
Sharpe (per-trade)
0.18
Max drawdown
-82.19%
Portfolio (equal_weight)
Total return
106.69%
Max drawdown
-24.38%
Avg trade return
4.48%
Win rate
46.22%
Signals
126
Configured concurrent
5
Observed concurrent
5
Trades taken
119
Skipped (no capacity)
7
Excess vs benchmark
-145.86%
Avg entry slippage
0.20%
Return if filled at market
111.66%
VWAP fills
0
VWAP fallbacks
0

7 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
201628.46%3.31%50.00%
20177-4.44%-5.39%57.14%
201812-1.20%-0.83%41.67%
20194-2.01%-1.86%25.00%
2020159.32%8.18%46.67%
202115-0.13%-1.89%40.00%
202270.13%-0.55%42.86%
2023166.97%3.84%43.75%
2024172.03%-0.95%41.18%
20251715.82%14.30%58.82%
202672.33%0.27%57.14%
Trades (119)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ROEOp. marginReturnBenchmarkAbnormal
HALO2016-11-072016-11-082016-12-079.179.170.00%market14.81%241.38%-71.40%23.26%5.60%17.66%
ADMA2016-11-102016-11-112016-12-125.635.630.00%market15.00%2846.88%-127.20%-6.34%4.71%-11.04%
SRI2017-03-022017-03-032017-03-3118.9418.940.00%market17.24%27.12%5.89%-4.31%-1.02%-3.29%
SRPT2017-04-272017-04-282017-05-2638.0838.080.00%market14.12%19.59%-240.15%-21.28%1.18%-22.46%
MARA2017-05-152017-05-162017-06-145.775.770.00%market13.33%31.94%-3595.85%-50.20%1.50%-51.70%
CWST2017-08-022017-08-032017-08-3116.1616.160.00%market19.05%71.92%10.93%3.91%0.07%3.83%
ENR2017-08-022017-08-032017-08-3143.5243.520.00%market19.44%28.62%11.72%1.35%0.07%1.28%
NSP2017-11-012017-11-022017-12-0149.9349.930.00%market16.33%18.84%3.75%14.62%2.74%11.88%
BHC2017-11-072017-11-082017-12-0714.1114.110.00%market16.85%24.42%1.71%24.86%2.17%22.70%
COR2018-02-062018-02-072018-03-0891.7891.780.00%market14.81%29.98%1.11%4.76%2.09%2.67%
NSP2018-02-122018-02-132018-03-1461.4261.420.00%market19.57%23.45%2.87%12.32%4.29%8.03%
WK2018-02-222018-02-232018-03-2320.8920.890.00%market13.64%84.57%-26.92%11.67%-5.06%16.72%
ASIX2018-02-232018-02-262018-03-2643.0943.090.00%market20.00%19.23%6.98%-19.42%-3.92%-15.50%
HRB2018-03-062018-03-072018-04-0528.9528.950.00%market12.78%35.19%-19.92%-10.84%-1.77%-9.07%
BURL2018-05-312018-06-012018-06-29147.53147.530.00%market15.60%74.22%7.42%1.93%-0.41%2.35%
KR2018-06-212018-06-222018-07-2328.8928.890.00%market15.87%29.07%2.73%-2.17%1.65%-3.82%
NSP2018-08-012018-08-022018-08-30104.41104.410.00%market13.33%20.84%3.64%13.59%3.90%9.68%
BURL2018-08-302018-08-312018-10-01166.84166.840.00%market19.79%46.29%6.07%-4.56%0.65%-5.21%
GIC2018-10-302018-10-312018-11-2930.9630.960.00%market17.65%48.16%7.80%-9.54%1.23%-10.77%
NSP2018-11-012018-11-022018-12-03113.08113.080.00%market17.07%23.83%5.20%-8.93%1.66%-10.59%
BURL2018-11-282018-11-292018-12-31167.78167.780.00%market14.15%39.74%6.52%-3.15%-8.69%5.54%
W2019-02-222019-02-252019-03-25151.60151.600.00%market13.85%43.49%-6.44%6.46%-0.60%7.06%
SYY2019-05-062019-05-072019-06-0572.9872.980.00%market12.86%18.63%3.61%-3.03%-2.48%-0.55%
BURL2019-08-292019-08-302019-09-30208.14208.140.00%market19.30%26.83%6.47%-4.10%0.87%-4.96%
PBI2019-11-052019-11-062019-12-055.235.230.00%market14.29%59.15%8.53%-7.37%1.63%-9.00%
AVNT2020-01-282020-01-292020-02-2735.9635.960.00%market13.33%44.23%3.11%-32.25%-9.40%-22.85%
NTNX2020-02-262020-02-272020-03-2624.5324.530.00%market13.04%329.13%-59.71%-28.27%-14.49%-13.78%
JD2020-03-022020-03-032020-03-3143.6543.650.00%market14.29%30.92%0.31%-7.31%-16.72%9.41%
CMPR2020-05-052020-05-062020-06-0468.6168.610.00%market15.09%20.99%-14.67%17.99%8.10%9.90%
BE2020-05-112020-05-122020-06-108.728.720.00%market19.05%22.80%-30.09%17.71%8.58%9.13%
CAH2020-05-112020-05-122020-06-1053.5753.570.00%market13.29%29.09%1.44%3.45%8.58%-5.13%
NTNX2020-05-272020-05-282020-06-2523.2023.200.00%market18.82%130.77%-72.32%-6.81%0.89%-7.70%
NIO2020-05-282020-05-292020-06-263.833.830.00%market15.03%21.00%-114.46%80.17%-0.80%80.96%
MUSA2020-07-212020-07-222020-08-19135.42135.420.00%market19.62%18.40%9.90%5.17%3.88%1.29%
GDDY2020-08-052020-08-062020-09-0383.7583.750.00%market17.65%257.63%2.84%-2.35%4.20%-6.55%
CAH2020-08-062020-08-072020-09-0452.7352.730.00%market14.29%36.67%0.74%-5.80%2.79%-8.59%
JILL2020-09-032020-09-042020-10-053.013.010.00%market16.22%38.38%-23.56%-3.96%-1.84%-2.12%
AHT2020-10-272020-10-282020-11-25147.29147.290.00%market18.68%77.44%-176.83%102.22%9.20%93.01%
UPS2020-10-282020-10-292020-11-27158.39158.390.00%market20.00%35.00%11.17%6.53%11.24%-4.71%
JD2020-11-162020-11-172020-12-1687.5587.550.00%market16.28%34.21%2.52%-6.71%2.83%-9.54%
PGNY2021-02-242021-02-252021-03-2548.6048.600.00%market16.67%23.28%0.95%-8.76%-0.18%-8.58%
DAO2021-02-252021-02-262021-03-2632.2132.210.00%market17.26%31.80%-40.91%-22.62%3.03%-25.64%
LYV2021-02-252021-02-262021-03-2689.0089.000.00%market15.70%93.97%-163.45%-5.67%3.03%-8.70%
BURL2021-03-042021-03-052021-04-05287.36287.360.00%market15.09%33.56%9.28%4.33%6.81%-2.48%
CTOS2021-03-092021-03-102021-04-088.328.320.00%market16.67%23.60%3.57%16.29%4.83%11.46%
NSP2021-05-032021-05-042021-06-0289.1989.190.00%market16.67%84.08%6.51%-0.56%1.02%-1.58%
AMPY2021-05-052021-05-062021-06-042.692.690.00%market20.00%36.28%-22.33%39.55%1.63%37.92%
CDW2021-05-052021-05-062021-06-04171.40171.400.00%market13.73%19.88%6.69%-2.38%1.63%-4.01%
MELI2021-05-052021-05-062021-06-041,555.121,555.120.00%market14.81%111.83%6.60%-14.87%1.63%-16.50%
LYV2021-05-062021-05-072021-06-0774.5174.510.00%market13.25%42.05%-104.32%20.29%0.55%19.74%
OI2021-08-032021-08-042021-09-0115.2115.210.00%market12.50%29.57%9.76%0.88%2.73%-1.85%
CDW2021-08-042021-08-052021-09-02190.39190.390.00%market12.22%26.13%7.19%6.66%2.95%3.71%
TEAM2021-10-282021-10-292021-11-29453.41453.410.00%market17.95%1509.78%9.20%-12.39%1.92%-14.30%
RHP2021-11-012021-11-022021-12-0184.6784.670.00%market17.50%21.78%8.37%-12.25%-2.11%-10.14%
BJ2021-11-182021-11-192021-12-2072.3272.320.00%market13.75%22.28%3.99%-10.49%-3.12%-7.37%
EXTR2022-01-272022-01-282022-02-2812.4312.430.00%market16.67%19.17%6.43%-7.70%0.91%-8.61%
IRON2022-03-102022-03-112022-04-0814.5314.530.00%market17.51%27.76%0.00%-5.12%4.54%-9.66%
ULTA2022-03-102022-03-112022-04-08385.77385.770.00%market18.12%18.85%11.91%3.99%4.54%-0.55%
NSP2022-08-012022-08-022022-08-30113.43113.430.00%market17.17%95.64%3.38%-4.56%-2.67%-1.89%
CWH2022-08-022022-08-032022-08-3128.7728.770.00%market15.51%44.05%11.72%4.60%-3.69%8.29%
WYNN2022-08-092022-08-102022-09-0864.9964.990.00%market12.77%21.34%-5.72%-5.21%-4.39%-0.81%
PII2022-10-252022-10-262022-11-2398.1098.100.00%market14.84%18.38%10.33%14.87%5.45%9.42%
EXTR2023-01-252023-01-262023-02-2417.0717.070.00%market12.50%21.20%7.36%10.24%-1.67%11.92%
CVI2023-02-212023-02-222023-03-2232.5732.570.00%market12.75%21.09%8.84%-4.88%-1.85%-3.02%
ESTA2023-02-272023-02-282023-03-2868.7868.780.00%market19.12%165.69%-30.04%-0.26%-0.41%0.15%
MLCO2023-03-012023-03-022023-03-3013.5313.530.00%market15.00%29.63%-59.18%-8.58%2.81%-11.39%
OWLT2023-03-152023-03-162023-04-145.195.190.00%market12.50%183.34%-173.46%-18.31%6.63%-24.93%
QBTS2023-03-162023-03-172023-04-170.520.520.00%market14.29%46.37%-900.21%-2.03%5.27%-7.30%
ACI2023-04-112023-04-122023-05-1020.8620.860.00%market17.91%19.31%2.37%-1.93%0.24%-2.17%
SQNS2023-05-032023-05-042023-06-0248.9048.900.00%market17.86%399.37%-33.58%14.22%5.16%9.06%
IMOS2023-05-042023-05-052023-06-0524.8124.810.00%market18.11%24.60%3.79%5.71%4.45%1.26%
REAL2023-05-092023-05-102023-06-081.281.280.00%market16.28%33.88%-57.64%32.45%3.68%28.76%
AVAH2023-05-112023-05-122023-06-121.061.060.00%market16.67%94.86%3.78%20.41%4.93%15.48%
JD2023-05-112023-05-122023-06-1237.0137.010.00%market15.00%20.34%2.65%-0.95%4.93%-5.88%
LW2023-07-252023-07-262023-08-23105.76105.760.00%market16.19%35.34%11.03%-8.71%-2.52%-6.20%
MAX2023-11-012023-11-022023-12-019.659.650.00%market14.71%83.11%-19.78%6.54%7.62%-1.08%
EDN2023-11-082023-11-092023-12-0810.1810.180.00%market12.48%76.22%0.45%72.78%4.97%67.82%
INDV2023-11-092023-11-102023-12-1115.8915.890.00%market13.33%562.50%-67.53%-5.14%5.97%-11.11%
COR2024-01-312024-02-012024-03-01233.12233.120.00%market13.49%65.98%1.04%1.58%5.82%-4.24%
HRB2024-02-062024-02-072024-03-0745.5145.510.00%market19.62%24.56%-149.33%6.14%3.73%2.41%
ESTC2024-02-292024-03-012024-04-01116.19116.190.00%market16.13%24.88%-8.05%-13.55%2.59%-16.14%
BLND2024-03-152024-03-182024-04-162.892.890.00%market12.50%165.32%-60.57%-17.63%-2.04%-15.59%
ANVS2024-03-292024-04-012024-04-2912.0212.020.00%market19.26%286.59%0.00%-39.55%-2.63%-36.93%
CPS2024-05-062024-05-072024-06-0517.0017.000.00%market12.94%27.33%0.51%-22.88%3.31%-26.19%
INSM2024-05-092024-05-102024-06-1026.6226.620.00%market14.52%33.80%-192.72%124.89%2.65%122.24%
ANVS2024-05-132024-05-142024-06-127.047.040.00%market17.24%31.81%0.00%-13.79%3.89%-17.67%
PACS2024-05-132024-05-142024-06-1225.8425.840.00%market13.71%38.39%8.55%14.21%3.89%10.33%
RBRK2024-06-112024-06-122024-07-1236.6436.640.00%market13.66%142.26%-386.96%-7.72%3.39%-11.11%
TNET2024-07-262024-07-292024-08-26111.16111.160.00%market19.53%60.00%6.44%-9.17%2.71%-11.87%
APPN2024-08-012024-08-022024-08-3028.2928.290.00%market16.13%95.48%-26.76%14.58%5.21%9.37%
ADCT2024-08-062024-08-072024-09-052.962.960.00%market13.64%27.75%-166.81%-4.36%4.00%-8.36%
BL2024-08-062024-08-072024-09-0548.9048.900.00%market16.00%23.54%1.38%-1.22%4.00%-5.22%
GH2024-08-072024-08-082024-09-0632.1232.120.00%market15.79%6362.55%-56.77%-26.23%3.14%-29.37%
RBRK2024-09-092024-09-102024-10-0829.9129.910.00%market17.70%35.44%-82.11%15.68%4.52%11.16%
GH2024-11-062024-11-072024-12-0632.4532.450.00%market18.18%179.30%-61.28%13.50%2.48%11.02%
GH2025-02-202025-02-212025-03-2148.6048.600.00%market17.33%79.49%-62.42%-5.24%-7.57%2.33%
BCO2025-02-262025-02-272025-03-2794.9794.970.00%market13.98%20.82%8.27%-7.43%-4.99%-2.44%
TMC2025-03-272025-03-282025-04-281.981.980.00%market16.67%93.83%0.00%66.74%-2.60%69.33%
EAF2025-04-252025-04-282025-05-277.067.060.00%market13.33%37.36%-16.33%59.86%7.21%52.65%
TNET2025-04-252025-04-282025-05-2777.7977.790.00%market19.16%134.92%9.98%5.88%7.21%-1.33%
GH2025-04-302025-05-012025-05-3052.7652.760.00%market19.67%37.94%-54.57%-23.10%5.18%-28.28%
CLPR2025-05-122025-05-132025-06-114.064.060.00%market18.75%66.48%-59.85%-4.00%3.08%-7.07%
PGEN2025-05-142025-05-152025-06-131.271.270.00%market12.50%385.16%-1685.01%19.35%1.95%17.39%
TNET2025-07-252025-07-282025-08-2569.4269.420.00%market15.00%34.58%5.33%-1.32%0.78%-2.11%
GH2025-07-302025-07-312025-08-2844.9544.950.00%market15.38%32.70%-45.85%43.33%1.48%41.85%
CYTK2025-08-072025-08-082025-09-0835.9235.920.00%market16.42%36.44%-167.00%44.91%2.33%42.58%
GPGI2025-08-072025-08-082025-09-0815.4915.490.00%market19.05%24.56%0.00%25.13%2.33%22.81%
SRFM2025-08-122025-08-132025-09-114.654.650.00%market14.68%24.24%-58.08%-11.05%1.97%-13.03%
NIO2025-09-022025-09-032025-10-016.396.390.00%market16.57%426.42%-25.82%19.57%4.01%15.56%
GH2025-10-292025-10-302025-11-2890.1790.170.00%market18.75%26.16%-37.33%20.14%-0.07%20.21%
HRB2025-11-062025-11-072025-12-0851.9151.910.00%market14.29%30.10%-46.89%-20.64%2.35%-22.99%
BHVN2025-11-102025-11-112025-12-107.757.750.00%market14.14%1010.74%0.00%36.75%1.12%35.63%
EAT2026-01-282026-01-292026-02-27158.57158.570.00%market13.44%33.88%11.60%-6.64%-1.49%-5.14%
MUSA2026-02-042026-02-052026-03-06437.73437.730.00%market12.89%22.76%4.58%0.06%-1.26%1.32%
BOBS2026-03-172026-03-182026-04-1613.6713.670.00%market16.67%25.03%9.19%-13.03%4.98%-18.01%
CVLT2026-04-282026-04-292026-05-2898.6798.670.00%market17.43%195.48%11.31%12.13%6.13%5.99%
TDC2026-05-052026-05-062026-06-0427.2527.250.00%market14.29%60.14%-8.11%27.88%3.97%23.91%
URGN2026-05-062026-05-072026-06-0526.4626.460.00%market16.07%18.97%-39.76%1.36%0.34%1.02%
TMC2026-05-142026-05-152026-06-155.645.640.00%market16.67%75.32%0.00%-5.44%1.76%-7.20%