P/E>10 & P/E after earn.<7 (hold 1d) (lookback 50y) (exit open) (min cap 10000000000)
Run 5f77e8c5 · view hypothesis
completed
Legacy run: publication dates, coverage and daily drawdown were not validated. Run this hypothesis again for updated results.
Trades
79
Win rate
54.43%
Avg return
1.39%
Median return
0.33%
Avg abnormal
1.43%
Median abnormal
0.62%
Best trade
21.62%
Worst trade
-5.91%
Sharpe (per-trade)
0.32
Daily portfolio drawdown
-1.63%
Portfolio (equal_weight)
Total return
22.04%
Max drawdown
-1.63%
Avg trade return
1.39%
Win rate
54.43%
Signals
79
Configured concurrent
5
Observed concurrent
2
Trades taken
79
Skipped (no capacity)
0
Excess vs benchmark
-233.15%
Avg entry slippage
0.00%
Return if filled at market
22.04%
VWAP fills
0
VWAP fallbacks
0
0 of 79 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 |
|---|---|---|---|---|
| 2016 | 1 | 21.62% | 19.30% | 100.00% |
| 2017 | 2 | 6.20% | 6.38% | 100.00% |
| 2018 | 6 | -0.75% | -0.39% | 50.00% |
| 2019 | 6 | 2.08% | 1.75% | 66.67% |
| 2020 | 6 | 1.20% | 0.55% | 16.67% |
| 2021 | 7 | 2.50% | 2.85% | 71.43% |
| 2022 | 7 | 1.35% | 0.85% | 57.14% |
| 2023 | 17 | 1.22% | 1.39% | 58.82% |
| 2024 | 15 | 0.98% | 1.41% | 53.33% |
| 2025 | 8 | 0.13% | -0.07% | 50.00% |
| 2026 | 4 | -0.62% | -0.25% | 25.00% |
Trades (79)
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| COKE | 2016-11-08 | 2016-11-09 | 2016-11-10 | — | 12.80 | 12.80 | 0.00% | market | — | 5.22 | 21.62% | 2.32% | 19.30% |
| ORLY | 2017-07-26 | 2017-07-27 | 2017-07-28 | — | 13.09 | 13.09 | 0.00% | market | — | 4.31 | 1.96% | -0.53% | 2.49% |
| ORLY | 2017-10-25 | 2017-10-26 | 2017-10-27 | — | 12.80 | 12.80 | 0.00% | market | — | 3.98 | 10.45% | 0.19% | 10.26% |
| ORLY | 2018-02-07 | 2018-02-08 | 2018-02-09 | — | 17.07 | 17.07 | 0.00% | market | — | 5.89 | -0.57% | -2.69% | 2.12% |
| ORLY | 2018-04-25 | 2018-04-26 | 2018-04-27 | — | 17.00 | 17.00 | 0.00% | market | — | 4.71 | 1.55% | 0.83% | 0.71% |
| SBS | 2018-05-10 | 2018-05-11 | 2018-05-14 | — | 1.72 | 1.72 | 0.00% | market | — | 6.88 | -5.91% | 0.43% | -6.35% |
| ORLY | 2018-07-25 | 2018-07-26 | 2018-07-27 | — | 20.33 | 20.33 | 0.00% | market | — | 4.75 | -0.54% | 0.18% | -0.72% |
| ORLY | 2018-10-24 | 2018-10-25 | 2018-10-26 | — | 21.20 | 21.20 | 0.00% | market | — | 4.71 | 0.32% | -0.55% | 0.87% |
| COKE | 2018-11-07 | 2018-11-08 | 2018-11-09 | — | 18.21 | 18.21 | 0.00% | market | — | 6.22 | 0.67% | -0.39% | 1.05% |
| ORLY | 2019-02-06 | 2019-02-07 | 2019-02-08 | — | 24.11 | 24.11 | 0.00% | market | — | 6.48 | 0.15% | -0.81% | 0.96% |
| YPF | 2019-03-08 | 2019-03-11 | 2019-03-12 | — | 13.34 | 13.34 | 0.00% | market | — | 3.00 | 2.97% | 1.38% | 1.59% |
| ORLY | 2019-04-24 | 2019-04-25 | 2019-04-26 | — | 25.36 | 25.36 | 0.00% | market | — | 6.26 | -0.02% | -0.01% | -0.01% |
| ORLY | 2019-07-24 | 2019-07-25 | 2019-07-26 | — | 25.70 | 25.70 | 0.00% | market | — | 5.70 | -2.63% | -0.06% | -2.57% |
| COKE | 2019-08-06 | 2019-08-07 | 2019-08-08 | — | 30.14 | 30.14 | 0.00% | market | — | 6.68 | 8.10% | 1.84% | 6.26% |
| ORLY | 2019-10-23 | 2019-10-24 | 2019-10-25 | — | 28.00 | 28.00 | 0.00% | market | — | 5.51 | 3.90% | -0.39% | 4.29% |
| ORLY | 2020-02-05 | 2020-02-06 | 2020-02-07 | — | 26.95 | 26.95 | 0.00% | market | — | 6.34 | -2.07% | -0.33% | -1.74% |
| ORLY | 2020-04-22 | 2020-04-23 | 2020-04-24 | — | 25.76 | 25.76 | 0.00% | market | — | 6.49 | -1.23% | 0.09% | -1.31% |
| ORLY | 2020-07-29 | 2020-07-30 | 2020-07-31 | — | 32.00 | 32.00 | 0.00% | market | — | 4.51 | -0.26% | 1.24% | -1.50% |
| COKE | 2020-08-04 | 2020-08-05 | 2020-08-06 | — | 23.23 | 23.23 | 0.00% | market | — | 4.45 | 14.45% | 0.00% | 14.45% |
| ORLY | 2020-10-28 | 2020-10-29 | 2020-10-30 | — | 29.33 | 29.33 | 0.00% | market | — | 4.15 | -2.08% | 0.42% | -2.50% |
| COKE | 2020-11-03 | 2020-11-04 | 2020-11-05 | — | 24.00 | 24.00 | 0.00% | market | — | 3.34 | -1.64% | 2.46% | -4.10% |
| ORLY | 2021-02-10 | 2021-02-11 | 2021-02-12 | — | 30.39 | 30.39 | 0.00% | market | — | 5.63 | -5.30% | -0.36% | -4.94% |
| ORLY | 2021-04-28 | 2021-04-29 | 2021-04-30 | — | 35.48 | 35.48 | 0.00% | market | — | 5.03 | 2.10% | -0.64% | 2.74% |
| COKE | 2021-05-11 | 2021-05-12 | 2021-05-13 | — | 29.54 | 29.54 | 0.00% | market | — | 4.52 | 6.33% | -1.01% | 7.34% |
| ORLY | 2021-07-28 | 2021-07-29 | 2021-07-30 | — | 39.33 | 39.33 | 0.00% | market | — | 4.72 | 1.10% | -0.43% | 1.53% |
| COKE | 2021-08-10 | 2021-08-11 | 2021-08-12 | — | 39.00 | 39.00 | 0.00% | market | — | 4.45 | 3.46% | -0.05% | 3.51% |
| ORLY | 2021-10-27 | 2021-10-28 | 2021-10-29 | — | 42.93 | 42.93 | 0.00% | market | — | 5.32 | -3.15% | 0.09% | -3.24% |
| COKE | 2021-11-09 | 2021-11-10 | 2021-11-11 | — | 42.29 | 42.29 | 0.00% | market | — | 4.21 | 12.93% | -0.08% | 13.01% |
| ORLY | 2022-02-09 | 2022-02-10 | 2022-02-11 | — | 42.17 | 42.17 | 0.00% | market | — | 5.52 | 4.33% | -0.43% | 4.76% |
| ORLY | 2022-04-27 | 2022-04-28 | 2022-04-29 | — | 43.61 | 43.61 | 0.00% | market | — | 6.08 | -4.57% | 0.31% | -4.88% |
| COKE | 2022-05-03 | 2022-05-04 | 2022-05-05 | — | 46.47 | 46.47 | 0.00% | market | — | 5.52 | 7.17% | 1.79% | 5.38% |
| ORLY | 2022-07-27 | 2022-07-28 | 2022-07-29 | — | 44.93 | 44.93 | 0.00% | market | — | 5.12 | 4.11% | 1.42% | 2.69% |
| COKE | 2022-08-02 | 2022-08-03 | 2022-08-04 | — | 51.74 | 51.74 | 0.00% | market | — | 4.33 | -3.35% | 0.99% | -4.34% |
| ORLY | 2022-10-26 | 2022-10-27 | 2022-10-28 | — | 54.47 | 54.47 | 0.00% | market | — | 5.94 | -0.80% | -0.84% | 0.04% |
| HLN | 2022-11-10 | 2022-11-11 | 2022-11-14 | — | 6.38 | 6.38 | 0.00% | market | — | 1.17 | 2.56% | 0.27% | 2.29% |
| ORLY | 2023-02-08 | 2023-02-09 | 2023-02-10 | — | 53.75 | 53.75 | 0.00% | market | — | 6.42 | 1.65% | -2.06% | 3.71% |
| HLN | 2023-02-17 | 2023-02-21 | 2023-02-22 | — | 8.27 | 8.27 | 0.00% | market | — | 2.45 | -1.31% | -0.88% | -0.43% |
| COKE | 2023-02-22 | 2023-02-23 | 2023-02-24 | — | 52.11 | 52.11 | 0.00% | market | — | 3.85 | 8.77% | -1.53% | 10.29% |
| COKE | 2023-05-03 | 2023-05-04 | 2023-05-05 | — | 62.00 | 62.00 | 0.00% | market | — | 3.82 | 6.38% | 0.49% | 5.90% |
| HLN | 2023-05-03 | 2023-05-04 | 2023-05-05 | — | 8.74 | 8.74 | 0.00% | market | — | 1.79 | -0.56% | 0.49% | -1.04% |
| AIZN | 2023-06-30 | 2023-07-03 | 2023-07-05 | — | 18.85 | 18.85 | 0.00% | market | — | 6.50 | 1.23% | -0.23% | 1.45% |
| ELC | 2023-06-30 | 2023-07-03 | 2023-07-05 | — | 22.25 | 22.25 | 0.00% | market | — | 0.01 | 1.79% | -0.23% | 2.02% |
| ORLY | 2023-07-26 | 2023-07-27 | 2023-07-28 | — | 63.30 | 63.30 | 0.00% | market | — | 6.19 | -2.98% | -0.68% | -2.29% |
| AIZN | 2023-08-01 | 2023-08-02 | 2023-08-03 | — | 18.74 | 18.74 | 0.00% | market | — | 4.82 | -0.53% | -1.15% | 0.62% |
| PFH | 2023-08-01 | 2023-08-02 | 2023-08-03 | — | 19.85 | 19.85 | 0.00% | market | — | 6.75 | -0.55% | -1.15% | 0.60% |
| COKE | 2023-08-02 | 2023-08-03 | 2023-08-04 | — | 66.90 | 66.90 | 0.00% | market | — | 3.63 | 4.80% | 0.60% | 4.20% |
| HLN | 2023-08-02 | 2023-08-03 | 2023-08-04 | — | 8.32 | 8.32 | 0.00% | market | — | 2.30 | 0.50% | 0.60% | -0.10% |
| AIZN | 2023-09-30 | 2023-10-02 | 2023-10-03 | — | 19.47 | 19.47 | 0.00% | market | — | 5.50 | -1.23% | -0.37% | -0.86% |
| ORLY | 2023-10-25 | 2023-10-26 | 2023-10-27 | — | 60.27 | 60.27 | 0.00% | market | — | 5.62 | 2.49% | -0.54% | 3.03% |
| AIZN | 2023-10-31 | 2023-11-01 | 2023-11-02 | — | 18.72 | 18.72 | 0.00% | market | — | 4.36 | 0.33% | 1.76% | -1.43% |
| COKE | 2023-11-01 | 2023-11-02 | 2023-11-03 | — | 64.75 | 64.75 | 0.00% | market | — | 3.69 | -1.13% | 1.54% | -2.67% |
| HLN | 2023-11-02 | 2023-11-03 | 2023-11-06 | — | 7.96 | 7.96 | 0.00% | market | — | 1.59 | 1.16% | 0.54% | 0.62% |
| AIZN | 2023-12-31 | 2024-01-02 | 2024-01-03 | — | 19.94 | 19.94 | 0.00% | market | — | 5.83 | 0.40% | -0.37% | 0.77% |
| AIZN | 2024-02-06 | 2024-02-07 | 2024-02-08 | — | 20.60 | 20.60 | 0.00% | market | — | 4.50 | -0.15% | 0.36% | -0.51% |
| COKE | 2024-02-21 | 2024-02-22 | 2024-02-23 | — | 83.11 | 83.11 | 0.00% | market | — | 6.21 | -2.16% | 1.04% | -3.20% |
| HLN | 2024-02-29 | 2024-03-01 | 2024-03-04 | — | 8.43 | 8.43 | 0.00% | market | — | 2.58 | -1.29% | 0.60% | -1.89% |
| HLN | 2024-05-01 | 2024-05-02 | 2024-05-03 | — | 8.28 | 8.28 | 0.00% | market | — | 1.60 | 1.23% | 1.39% | -0.16% |
| COKE | 2024-05-06 | 2024-05-07 | 2024-05-08 | — | 91.70 | 91.70 | 0.00% | market | — | 5.30 | 9.14% | -0.44% | 9.58% |
| AIZN | 2024-05-07 | 2024-05-08 | 2024-05-09 | — | 21.20 | 21.20 | 0.00% | market | — | 4.44 | -1.66% | 0.41% | -2.07% |
| ORLY | 2024-07-24 | 2024-07-25 | 2024-07-26 | — | 70.05 | 70.05 | 0.00% | market | — | 6.64 | 4.04% | 0.17% | 3.87% |
| COKE | 2024-07-31 | 2024-08-01 | 2024-08-02 | — | 116.73 | 116.73 | 0.00% | market | — | 5.64 | 3.89% | -3.04% | 6.94% |
| HLN | 2024-08-01 | 2024-08-02 | 2024-08-05 | — | 9.61 | 9.61 | 0.00% | market | — | 2.50 | -0.20% | -4.50% | 4.30% |
| AIZN | 2024-08-06 | 2024-08-07 | 2024-08-08 | — | 21.60 | 21.60 | 0.00% | market | — | 5.29 | 1.43% | -0.86% | 2.29% |
| ORLY | 2024-10-23 | 2024-10-24 | 2024-10-25 | — | 78.79 | 78.79 | 0.00% | market | — | 6.91 | 2.13% | 0.26% | 1.87% |
| COKE | 2024-10-30 | 2024-10-31 | 2024-11-01 | — | 116.35 | 116.35 | 0.00% | market | — | 6.19 | -2.44% | -0.74% | -1.70% |
| PFH | 2024-10-30 | 2024-10-31 | 2024-11-01 | — | 20.30 | 20.30 | 0.00% | market | — | 5.83 | -0.10% | -0.74% | 0.64% |
| HLN | 2024-10-31 | 2024-11-01 | 2024-11-04 | — | 9.80 | 9.80 | 0.00% | market | — | 2.14 | 0.41% | -0.02% | 0.43% |
| AIZN | 2025-02-11 | 2025-02-12 | 2025-02-13 | — | 20.51 | 20.51 | 0.00% | market | — | 4.28 | 0.83% | 0.88% | -0.05% |
| PFH | 2025-04-30 | 2025-05-01 | 2025-05-02 | — | 17.29 | 17.29 | 0.00% | market | — | 5.26 | -0.79% | 0.78% | -1.57% |
| RZC | 2025-05-01 | 2025-05-02 | 2025-05-05 | — | 25.88 | 25.88 | 0.00% | market | — | 6.06 | -0.29% | -0.38% | 0.09% |
| AIZN | 2025-05-06 | 2025-05-07 | 2025-05-08 | — | 19.66 | 19.66 | 0.00% | market | — | 5.80 | -0.61% | 0.91% | -1.52% |
| PFH | 2025-07-30 | 2025-07-31 | 2025-08-01 | — | 17.58 | 17.58 | 0.00% | market | — | 4.91 | 0.87% | -2.06% | 2.92% |
| AIZN | 2025-08-05 | 2025-08-06 | 2025-08-07 | — | 19.81 | 19.81 | 0.00% | market | — | 3.88 | 0.40% | 1.14% | -0.74% |
| RZC | 2025-10-30 | 2025-10-31 | 2025-11-03 | — | 25.61 | 25.61 | 0.00% | market | — | 6.72 | -0.26% | 0.09% | -0.35% |
| AIZN | 2025-11-04 | 2025-11-05 | 2025-11-06 | — | 20.10 | 20.10 | 0.00% | market | — | 3.51 | 0.90% | 0.22% | 0.67% |
| PFH | 2026-02-03 | 2026-02-04 | 2026-02-05 | — | 17.71 | 17.71 | 0.00% | market | — | 5.37 | -0.55% | -1.36% | 0.81% |
| AIZN | 2026-02-10 | 2026-02-11 | 2026-02-12 | — | 21.75 | 21.75 | 0.00% | market | — | 3.88 | -1.53% | -0.31% | -1.22% |
| PFH | 2026-05-05 | 2026-05-06 | 2026-05-07 | — | 16.84 | 16.84 | 0.00% | market | — | 4.66 | 0.02% | 0.95% | -0.93% |
| AIZN | 2026-08-04 | 2026-08-05 | 2026-08-06 | — | 19.23 | 19.23 | 0.00% | market | — | 3.00 | -0.41% | -0.73% | 0.31% |