P/E>10 & P/E after earn.<5 (lookback 50y) (exit open) (min cap 10000000000)
Run 5f77e89d · view hypothesis
completed
Legacy run: publication dates, coverage and daily drawdown were not validated. Run this hypothesis again for updated results.
Trades
39
Win rate
69.23%
Avg return
2.89%
Median return
1.32%
Avg abnormal
1.88%
Median abnormal
0.41%
Best trade
22.81%
Worst trade
-4.94%
Sharpe (per-trade)
0.53
Daily portfolio drawdown
-0.84%
Portfolio (equal_weight)
Total return
22.51%
Max drawdown
-0.84%
Avg trade return
2.89%
Win rate
69.23%
Signals
39
Configured concurrent
5
Observed concurrent
3
Trades taken
39
Skipped (no capacity)
0
Excess vs benchmark
-177.78%
Avg entry slippage
0.00%
Return if filled at market
22.51%
VWAP fills
0
VWAP fallbacks
0
0 of 39 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 | 7.40% | 7.25% | 100.00% |
| 2018 | 3 | 0.14% | 0.38% | 66.67% |
| 2019 | 1 | 8.45% | 6.16% | 100.00% |
| 2020 | 4 | 6.17% | 2.28% | 75.00% |
| 2021 | 4 | 10.83% | 10.93% | 100.00% |
| 2022 | 2 | 1.78% | 0.47% | 50.00% |
| 2023 | 11 | 1.74% | 1.27% | 81.82% |
| 2024 | 6 | -0.28% | -1.83% | 33.33% |
| 2025 | 4 | 0.55% | -0.83% | 75.00% |
| 2026 | 2 | -1.20% | -1.00% | 0.00% |
Trades (39)
| 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 | 2017-08-03 | — | 13.09 | 13.09 | 0.00% | market | — | 4.31 | 6.85% | -0.26% | 7.11% |
| ORLY | 2017-10-25 | 2017-10-26 | 2017-11-02 | — | 12.80 | 12.80 | 0.00% | market | — | 3.98 | 7.95% | 0.55% | 7.39% |
| ORLY | 2018-04-25 | 2018-04-26 | 2018-05-03 | — | 17.00 | 17.00 | 0.00% | market | — | 4.71 | 1.31% | -0.96% | 2.27% |
| ORLY | 2018-07-25 | 2018-07-26 | 2018-08-02 | — | 20.33 | 20.33 | 0.00% | market | — | 4.75 | -1.13% | -1.35% | 0.21% |
| ORLY | 2018-10-24 | 2018-10-25 | 2018-11-01 | — | 21.20 | 21.20 | 0.00% | market | — | 4.71 | 0.23% | 1.58% | -1.35% |
| YPF | 2019-03-08 | 2019-03-11 | 2019-03-18 | — | 13.34 | 13.34 | 0.00% | market | — | 3.00 | 8.45% | 2.29% | 6.16% |
| ORLY | 2020-07-29 | 2020-07-30 | 2020-08-06 | — | 32.00 | 32.00 | 0.00% | market | — | 4.51 | -2.85% | 2.98% | -5.83% |
| COKE | 2020-08-04 | 2020-08-05 | 2020-08-12 | — | 23.23 | 23.23 | 0.00% | market | — | 4.45 | 17.08% | 1.20% | 15.88% |
| ORLY | 2020-10-28 | 2020-10-29 | 2020-11-05 | — | 29.33 | 29.33 | 0.00% | market | — | 4.15 | 3.38% | 6.83% | -3.45% |
| COKE | 2020-11-03 | 2020-11-04 | 2020-11-11 | — | 24.00 | 24.00 | 0.00% | market | — | 3.34 | 7.07% | 4.56% | 2.51% |
| COKE | 2021-05-11 | 2021-05-12 | 2021-05-19 | — | 29.54 | 29.54 | 0.00% | market | — | 4.52 | 13.00% | -1.05% | 14.05% |
| ORLY | 2021-07-28 | 2021-07-29 | 2021-08-05 | — | 39.33 | 39.33 | 0.00% | market | — | 4.72 | 2.75% | 0.09% | 2.66% |
| COKE | 2021-08-10 | 2021-08-11 | 2021-08-18 | — | 39.00 | 39.00 | 0.00% | market | — | 4.45 | 4.75% | -0.19% | 4.94% |
| COKE | 2021-11-09 | 2021-11-10 | 2021-11-17 | — | 42.29 | 42.29 | 0.00% | market | — | 4.21 | 22.81% | 0.73% | 22.08% |
| COKE | 2022-08-02 | 2022-08-03 | 2022-08-10 | — | 51.74 | 51.74 | 0.00% | market | — | 4.33 | -2.61% | 2.07% | -4.68% |
| HLN | 2022-11-10 | 2022-11-11 | 2022-11-18 | — | 6.38 | 6.38 | 0.00% | market | — | 1.17 | 6.17% | 0.54% | 5.63% |
| HLN | 2023-02-17 | 2023-02-21 | 2023-02-28 | — | 8.27 | 8.27 | 0.00% | market | — | 2.45 | -4.94% | -1.45% | -3.49% |
| COKE | 2023-02-22 | 2023-02-23 | 2023-03-02 | — | 52.11 | 52.11 | 0.00% | market | — | 3.85 | 5.87% | -2.21% | 8.08% |
| COKE | 2023-05-03 | 2023-05-04 | 2023-05-11 | — | 62.00 | 62.00 | 0.00% | market | — | 3.82 | 1.51% | 1.23% | 0.28% |
| HLN | 2023-05-03 | 2023-05-04 | 2023-05-11 | — | 8.74 | 8.74 | 0.00% | market | — | 1.79 | 0.24% | 1.23% | -0.99% |
| ELC | 2023-06-30 | 2023-07-03 | 2023-07-11 | — | 22.25 | 22.25 | 0.00% | market | — | 0.01 | -0.82% | -0.56% | -0.26% |
| AIZN | 2023-08-01 | 2023-08-02 | 2023-08-09 | — | 18.74 | 18.74 | 0.00% | market | — | 4.82 | 1.98% | -0.93% | 2.91% |
| COKE | 2023-08-02 | 2023-08-03 | 2023-08-10 | — | 66.90 | 66.90 | 0.00% | market | — | 3.63 | 4.10% | 0.03% | 4.07% |
| HLN | 2023-08-02 | 2023-08-03 | 2023-08-10 | — | 8.32 | 8.32 | 0.00% | market | — | 2.30 | 4.23% | 0.03% | 4.19% |
| AIZN | 2023-10-31 | 2023-11-01 | 2023-11-08 | — | 18.72 | 18.72 | 0.00% | market | — | 4.36 | 1.18% | 4.38% | -3.20% |
| COKE | 2023-11-01 | 2023-11-02 | 2023-11-09 | — | 64.75 | 64.75 | 0.00% | market | — | 3.69 | 4.67% | 2.78% | 1.89% |
| HLN | 2023-11-02 | 2023-11-03 | 2023-11-10 | — | 7.96 | 7.96 | 0.00% | market | — | 1.59 | 1.16% | 0.66% | 0.50% |
| AIZN | 2024-02-06 | 2024-02-07 | 2024-02-14 | — | 20.60 | 20.60 | 0.00% | market | — | 4.50 | -0.25% | 0.10% | -0.35% |
| HLN | 2024-02-29 | 2024-03-01 | 2024-03-08 | — | 8.43 | 8.43 | 0.00% | market | — | 2.58 | 1.32% | 1.27% | 0.05% |
| HLN | 2024-05-01 | 2024-05-02 | 2024-05-09 | — | 8.28 | 8.28 | 0.00% | market | — | 1.60 | -0.34% | 2.62% | -2.97% |
| AIZN | 2024-05-07 | 2024-05-08 | 2024-05-15 | — | 21.20 | 21.20 | 0.00% | market | — | 4.44 | -1.00% | 2.05% | -3.05% |
| HLN | 2024-08-01 | 2024-08-02 | 2024-08-09 | — | 9.61 | 9.61 | 0.00% | market | — | 2.50 | 1.15% | -1.11% | 2.26% |
| HLN | 2024-10-31 | 2024-11-01 | 2024-11-08 | — | 9.80 | 9.80 | 0.00% | market | — | 2.14 | -2.55% | 4.35% | -6.90% |
| AIZN | 2025-02-11 | 2025-02-12 | 2025-02-20 | — | 20.51 | 20.51 | 0.00% | market | — | 4.28 | -2.44% | 2.06% | -4.50% |
| PFH | 2025-07-30 | 2025-07-31 | 2025-08-07 | — | 17.58 | 17.58 | 0.00% | market | — | 4.91 | 1.38% | -0.50% | 1.88% |
| AIZN | 2025-08-05 | 2025-08-06 | 2025-08-13 | — | 19.81 | 19.81 | 0.00% | market | — | 3.88 | 2.93% | 2.52% | 0.41% |
| AIZN | 2025-11-04 | 2025-11-05 | 2025-11-12 | — | 20.10 | 20.10 | 0.00% | market | — | 3.51 | 0.35% | 1.45% | -1.11% |
| AIZN | 2026-02-10 | 2026-02-11 | 2026-02-19 | — | 21.75 | 21.75 | 0.00% | market | — | 3.88 | -2.35% | -1.80% | -0.55% |
| PFH | 2026-05-05 | 2026-05-06 | 2026-05-13 | — | 16.84 | 16.84 | 0.00% | market | — | 4.66 | -0.04% | 1.42% | -1.46% |