P/E>10 & P/E after earn.<5 (hold 1d) (lookback 50y) (min cap 10000000000)
Run 5f77e842 · view hypothesis
completed
Legacy run: publication dates, coverage and daily drawdown were not validated. Run this hypothesis again for updated results.
Trades
40
Win rate
55.00%
Avg return
1.94%
Median return
0.50%
Avg abnormal
1.78%
Median abnormal
0.34%
Best trade
15.25%
Worst trade
-3.41%
Sharpe (per-trade)
0.45
Daily portfolio drawdown
-1.38%
Portfolio (equal_weight)
Total return
15.50%
Max drawdown
-1.38%
Avg trade return
1.94%
Win rate
55.00%
Signals
40
Configured concurrent
5
Observed concurrent
2
Trades taken
40
Skipped (no capacity)
0
Excess vs benchmark
-195.41%
Avg entry slippage
0.00%
Return if filled at market
15.50%
VWAP fills
0
VWAP fallbacks
0
0 of 40 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 |
|---|---|---|---|---|
| 2017 | 2 | 7.38% | 7.25% | 100.00% |
| 2018 | 3 | 1.34% | 1.58% | 66.67% |
| 2019 | 1 | 3.20% | 1.66% | 100.00% |
| 2020 | 4 | 2.50% | 1.27% | 50.00% |
| 2021 | 4 | 8.54% | 8.70% | 100.00% |
| 2022 | 2 | 0.16% | -0.26% | 50.00% |
| 2023 | 11 | 1.74% | 1.36% | 63.64% |
| 2024 | 6 | -0.75% | -0.71% | 16.67% |
| 2025 | 4 | 0.59% | 0.89% | 50.00% |
| 2026 | 3 | -1.98% | -1.10% | 0.00% |
Trades (40)
| 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 | 2017-07-26 | 2017-07-27 | 2017-07-28 | — | 13.09 | 13.09 | 0.00% | market | — | 4.31 | 1.81% | -0.42% | 2.23% |
| ORLY | 2017-10-25 | 2017-10-26 | 2017-10-27 | — | 12.80 | 12.80 | 0.00% | market | — | 3.98 | 12.95% | 0.67% | 12.27% |
| ORLY | 2018-04-25 | 2018-04-26 | 2018-04-27 | — | 17.00 | 17.00 | 0.00% | market | — | 4.71 | 3.14% | 0.67% | 2.47% |
| ORLY | 2018-07-25 | 2018-07-26 | 2018-07-27 | — | 20.33 | 20.33 | 0.00% | market | — | 4.75 | -1.58% | -0.63% | -0.95% |
| ORLY | 2018-10-24 | 2018-10-25 | 2018-10-26 | — | 21.20 | 21.20 | 0.00% | market | — | 4.71 | 2.45% | -0.77% | 3.21% |
| YPF | 2019-03-08 | 2019-03-11 | 2019-03-12 | — | 13.34 | 13.34 | 0.00% | market | — | 3.00 | 3.20% | 1.54% | 1.66% |
| ORLY | 2020-07-29 | 2020-07-30 | 2020-07-31 | — | 32.00 | 32.00 | 0.00% | market | — | 4.51 | -0.63% | 1.44% | -2.07% |
| COKE | 2020-08-04 | 2020-08-05 | 2020-08-06 | — | 23.23 | 23.23 | 0.00% | market | — | 4.45 | 10.96% | 0.86% | 10.10% |
| ORLY | 2020-10-28 | 2020-10-29 | 2020-10-30 | — | 29.33 | 29.33 | 0.00% | market | — | 4.15 | -0.85% | -0.11% | -0.74% |
| COKE | 2020-11-03 | 2020-11-04 | 2020-11-05 | — | 24.00 | 24.00 | 0.00% | market | — | 3.34 | 0.52% | 2.75% | -2.23% |
| COKE | 2021-05-11 | 2021-05-12 | 2021-05-13 | — | 29.54 | 29.54 | 0.00% | market | — | 4.52 | 10.87% | -0.23% | 11.10% |
| ORLY | 2021-07-28 | 2021-07-29 | 2021-07-30 | — | 39.33 | 39.33 | 0.00% | market | — | 4.72 | 2.26% | -0.30% | 2.56% |
| COKE | 2021-08-10 | 2021-08-11 | 2021-08-12 | — | 39.00 | 39.00 | 0.00% | market | — | 4.45 | 5.80% | 0.29% | 5.51% |
| COKE | 2021-11-09 | 2021-11-10 | 2021-11-11 | — | 42.29 | 42.29 | 0.00% | market | — | 4.21 | 15.25% | -0.39% | 15.64% |
| COKE | 2022-08-02 | 2022-08-03 | 2022-08-04 | — | 51.74 | 51.74 | 0.00% | market | — | 4.33 | -3.19% | 0.94% | -4.14% |
| HLN | 2022-11-10 | 2022-11-11 | 2022-11-14 | — | 6.38 | 6.38 | 0.00% | market | — | 1.17 | 3.51% | -0.12% | 3.62% |
| HLN | 2023-02-17 | 2023-02-21 | 2023-02-22 | — | 8.27 | 8.27 | 0.00% | market | — | 2.45 | -1.67% | -1.12% | -0.55% |
| COKE | 2023-02-22 | 2023-02-23 | 2023-02-24 | — | 52.11 | 52.11 | 0.00% | market | — | 3.85 | 8.27% | -1.29% | 9.56% |
| COKE | 2023-05-03 | 2023-05-04 | 2023-05-05 | — | 62.00 | 62.00 | 0.00% | market | — | 3.82 | 5.67% | 1.40% | 4.27% |
| HLN | 2023-05-03 | 2023-05-04 | 2023-05-05 | — | 8.74 | 8.74 | 0.00% | market | — | 1.79 | 0.47% | 1.40% | -0.93% |
| ELC | 2023-06-30 | 2023-07-03 | 2023-07-05 | — | 22.25 | 22.25 | 0.00% | market | — | 0.01 | 1.25% | 0.05% | 1.20% |
| AIZN | 2023-08-01 | 2023-08-02 | 2023-08-03 | — | 18.74 | 18.74 | 0.00% | market | — | 4.82 | -0.05% | -0.97% | 0.93% |
| COKE | 2023-08-02 | 2023-08-03 | 2023-08-04 | — | 66.90 | 66.90 | 0.00% | market | — | 3.63 | 3.80% | -0.27% | 4.08% |
| HLN | 2023-08-02 | 2023-08-03 | 2023-08-04 | — | 8.32 | 8.32 | 0.00% | market | — | 2.30 | -0.82% | -0.27% | -0.55% |
| AIZN | 2023-10-31 | 2023-11-01 | 2023-11-02 | — | 18.72 | 18.72 | 0.00% | market | — | 4.36 | -0.37% | 2.76% | -3.12% |
| COKE | 2023-11-01 | 2023-11-02 | 2023-11-03 | — | 64.75 | 64.75 | 0.00% | market | — | 3.69 | 0.75% | 1.90% | -1.15% |
| HLN | 2023-11-02 | 2023-11-03 | 2023-11-06 | — | 7.96 | 7.96 | 0.00% | market | — | 1.59 | 1.78% | 0.59% | 1.20% |
| AIZN | 2024-02-06 | 2024-02-07 | 2024-02-08 | — | 20.60 | 20.60 | 0.00% | market | — | 4.50 | -0.15% | 0.41% | -0.56% |
| HLN | 2024-02-29 | 2024-03-01 | 2024-03-04 | — | 8.43 | 8.43 | 0.00% | market | — | 2.58 | -1.52% | 0.65% | -2.18% |
| HLN | 2024-05-01 | 2024-05-02 | 2024-05-03 | — | 8.28 | 8.28 | 0.00% | market | — | 1.60 | 0.14% | 1.42% | -1.27% |
| AIZN | 2024-05-07 | 2024-05-08 | 2024-05-09 | — | 21.20 | 21.20 | 0.00% | market | — | 4.44 | -1.33% | 0.95% | -2.28% |
| HLN | 2024-08-01 | 2024-08-02 | 2024-08-05 | — | 9.61 | 9.61 | 0.00% | market | — | 2.50 | -1.14% | -3.43% | 2.29% |
| HLN | 2024-10-31 | 2024-11-01 | 2024-11-04 | — | 9.80 | 9.80 | 0.00% | market | — | 2.14 | -0.51% | -0.26% | -0.24% |
| AIZN | 2025-02-11 | 2025-02-12 | 2025-02-13 | — | 20.51 | 20.51 | 0.00% | market | — | 4.28 | -0.78% | 1.76% | -2.54% |
| PFH | 2025-07-30 | 2025-07-31 | 2025-08-01 | — | 17.58 | 17.58 | 0.00% | market | — | 4.91 | 1.21% | -2.77% | 3.98% |
| AIZN | 2025-08-05 | 2025-08-06 | 2025-08-07 | — | 19.81 | 19.81 | 0.00% | market | — | 3.88 | -0.15% | 0.51% | -0.66% |
| AIZN | 2025-11-04 | 2025-11-05 | 2025-11-06 | — | 20.10 | 20.10 | 0.00% | market | — | 3.51 | 2.09% | -0.69% | 2.78% |
| AIZN | 2026-02-10 | 2026-02-11 | 2026-02-12 | — | 21.75 | 21.75 | 0.00% | market | — | 3.88 | -3.41% | -2.17% | -1.24% |
| PFH | 2026-05-05 | 2026-05-06 | 2026-05-07 | — | 16.84 | 16.84 | 0.00% | market | — | 4.66 | -0.34% | 0.47% | -0.81% |
| AIZN | 2026-08-04 | 2026-08-05 | 2026-08-06 | — | 19.23 | 19.23 | 0.00% | market | — | 3.00 | -2.18% | -0.94% | -1.24% |