P/E>20 & P/E after earn.<15 (lookback 50y) (min cap 10000000000)
Run 5f77e86b · view hypothesis
completed
Trades
49
Win rate
53.06%
Avg return
0.37%
Median return
0.06%
Avg abnormal
-0.43%
Median abnormal
-0.84%
Best trade
15.20%
Worst trade
-13.68%
Sharpe (per-trade)
0.06
Max drawdown
-40.72%
Portfolio (equal_weight)
Total return
3.66%
Max drawdown
-9.52%
Avg trade return
0.37%
Win rate
53.06%
Signals
49
Configured concurrent
5
Observed concurrent
4
Trades taken
49
Skipped (no capacity)
0
Excess vs benchmark
-462.38%
Avg entry slippage
0.00%
Return if filled at market
3.66%
VWAP fills
0
VWAP fallbacks
0
0 of 49qualifying 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
| Bucket | Trades | Avg return | Avg abnormal | Win rate |
|---|---|---|---|---|
| 2008 | 1 | -1.50% | -3.90% | 0.00% |
| 2016 | 2 | 5.02% | 4.97% | 100.00% |
| 2017 | 2 | -10.62% | -10.32% | 0.00% |
| 2018 | 1 | -1.97% | -6.00% | 0.00% |
| 2019 | 6 | 5.20% | 4.87% | 83.33% |
| 2020 | 6 | -6.16% | -6.77% | 0.00% |
| 2021 | 1 | 0.89% | 1.20% | 100.00% |
| 2022 | 5 | 1.50% | 1.13% | 60.00% |
| 2023 | 7 | 2.66% | 2.59% | 71.43% |
| 2024 | 10 | 1.29% | -0.18% | 70.00% |
| 2025 | 6 | -0.10% | -0.91% | 50.00% |
| 2026 | 2 | -0.32% | -3.37% | 0.00% |
Trades (49)
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| HMY | 2008-03-31 | 2008-04-01 | 2008-04-08 | — | 11.43 | 11.43 | 0.00% | market | 80.03 | 13.28 | -1.50% | 2.40% | -3.90% |
| ORLY | 2016-07-27 | 2016-07-28 | 2016-08-04 | — | 18.59 | 18.59 | 0.00% | market | 23.78 | 7.02 | 3.45% | 0.06% | 3.39% |
| COKE | 2016-08-09 | 2016-08-10 | 2016-08-17 | — | 14.22 | 14.22 | 0.00% | market | 21.55 | 7.00 | 6.58% | 0.03% | 6.55% |
| COKE | 2017-08-08 | 2017-08-09 | 2017-08-16 | — | 24.19 | 24.19 | 0.00% | market | 82.46 | 10.25 | -11.88% | 0.19% | -12.07% |
| COKE | 2017-11-07 | 2017-11-08 | 2017-11-15 | — | 22.03 | 22.03 | 0.00% | market | 29.30 | 9.45 | -9.36% | -0.79% | -8.57% |
| YPF | 2018-03-02 | 2018-03-05 | 2018-03-12 | — | 22.45 | 22.45 | 0.00% | market | 68.40 | 7.34 | -1.97% | 4.03% | -6.00% |
| ORLY | 2019-02-06 | 2019-02-07 | 2019-02-14 | — | 24.11 | 24.11 | 0.00% | market | 22.90 | 6.48 | 5.83% | 1.27% | 4.56% |
| YPF | 2019-03-08 | 2019-03-11 | 2019-03-18 | — | 13.34 | 13.34 | 0.00% | market | 57.52 | 3.00 | 10.02% | 2.57% | 7.45% |
| ORLY | 2019-04-24 | 2019-04-25 | 2019-05-02 | — | 25.36 | 25.36 | 0.00% | market | 23.93 | 6.26 | 0.06% | -0.32% | 0.38% |
| ORLY | 2019-07-24 | 2019-07-25 | 2019-08-01 | — | 25.70 | 25.70 | 0.00% | market | 20.53 | 5.70 | -2.86% | -2.03% | -0.84% |
| COKE | 2019-08-06 | 2019-08-07 | 2019-08-14 | — | 30.14 | 30.14 | 0.00% | market | 47.42 | 6.68 | 15.20% | -0.18% | 15.37% |
| COKE | 2019-11-05 | 2019-11-06 | 2019-11-13 | — | 26.60 | 26.60 | 0.00% | market | 54.66 | 7.73 | 2.98% | 0.67% | 2.31% |
| ORLY | 2020-02-05 | 2020-02-06 | 2020-02-13 | — | 26.95 | 26.95 | 0.00% | market | 25.53 | 6.34 | -2.99% | 0.94% | -3.94% |
| VTRS | 2020-02-27 | 2020-02-28 | 2020-03-06 | — | 17.82 | 17.82 | 0.00% | market | 126.57 | 12.73 | -13.68% | 3.03% | -16.71% |
| COKE | 2020-05-05 | 2020-05-06 | 2020-05-13 | — | 24.00 | 24.00 | 0.00% | market | 33.29 | 12.50 | -5.27% | -2.24% | -3.03% |
| RPRX | 2020-06-17 | 2020-06-18 | 2020-06-25 | — | 56.39 | 56.39 | 0.00% | market | 55.63 | 14.06 | -7.69% | -0.86% | -6.83% |
| VTRS | 2020-08-06 | 2020-08-07 | 2020-08-14 | — | 16.21 | 16.21 | 0.00% | market | 52.46 | 14.60 | -0.22% | 1.07% | -1.29% |
| SBS | 2020-08-17 | 2020-08-18 | 2020-08-25 | — | 2.00 | 2.00 | 0.00% | market | 25.97 | 8.70 | -7.10% | 1.71% | -8.81% |
| ORLY | 2021-02-10 | 2021-02-11 | 2021-02-19 | — | 30.39 | 30.39 | 0.00% | market | 20.77 | 5.63 | 0.89% | -0.31% | 1.20% |
| ORLY | 2022-02-09 | 2022-02-10 | 2022-02-17 | — | 42.17 | 42.17 | 0.00% | market | 22.89 | 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 | 75.88 | 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 | 23.65 | 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 | 40.35 | 14.10 | 13.84% | 5.71% | 8.14% |
| HLN | 2022-11-10 | 2022-11-11 | 2022-11-18 | — | 6.38 | 6.38 | 0.00% | market | 20.75 | 1.17 | 6.80% | 0.11% | 6.69% |
| DTW | 2022-12-31 | 2023-01-03 | 2023-01-10 | — | 21.44 | 21.44 | 0.00% | market | 21.60 | 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 | 24.98 | 6.42 | 6.82% | -1.48% | 8.30% |
| HLN | 2023-02-17 | 2023-02-21 | 2023-02-28 | — | 8.27 | 8.27 | 0.00% | market | 22.10 | 2.45 | -4.82% | -1.69% | -3.13% |
| ORLY | 2023-04-26 | 2023-04-27 | 2023-05-04 | — | 58.93 | 58.93 | 0.00% | market | 25.39 | 7.12 | 5.52% | -0.46% | 5.98% |
| HLN | 2023-05-03 | 2023-05-04 | 2023-05-11 | — | 8.74 | 8.74 | 0.00% | market | 22.10 | 1.79 | 0.01% | 1.28% | -1.26% |
| ORLY | 2023-07-26 | 2023-07-27 | 2023-08-03 | — | 63.30 | 63.30 | 0.00% | market | 23.15 | 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 | 21.01 | 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 | 25.45 | 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 | 28.65 | 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 | 20.64 | 2.58 | 2.27% | 0.54% | 1.73% |
| ORLY | 2024-04-24 | 2024-04-25 | 2024-05-02 | — | 68.00 | 68.00 | 0.00% | market | 30.47 | 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 | 23.94 | 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 | 25.09 | 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 | 24.55 | 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 | 24.42 | 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 | 22.98 | 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 | 24.21 | 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 | 31.02 | 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 | 23.63 | 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 | 38.20 | 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 | 50.35 | 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 | 34.43 | 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 | 84.54 | 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 | 30.72 | 11.18 | -0.05% | 2.27% | -2.32% |
| SOJE | 2026-07-30 | 2026-07-31 | 2026-08-07 | — | 16.47 | 16.47 | 0.00% | market | 23.23 | 14.58 | -0.59% | 3.84% | -4.42% |