test of data

Run 9a8ee174 · view hypothesis

completed

Legacy run: publication dates, coverage and daily drawdown were not validated. Run this hypothesis again for updated results.

Trades
83634
Win rate
49.54%
Avg return
0.13%
Median return
-0.04%
Avg abnormal
0.06%
Median abnormal
-0.12%
Best trade
126.28%
Worst trade
-46.77%
Sharpe (per-trade)
0.02
Daily portfolio drawdown
-21.49%
Portfolio (equal_weight)
Total return
110.64%
Max drawdown
-21.49%
Avg trade return
0.13%
Win rate
49.54%
Signals
88896
Configured concurrent
100
Observed concurrent
100
Trades taken
83634
Skipped (no capacity)
5262
Excess vs benchmark
-375.74%
Avg entry slippage
0.00%
Return if filled at market
110.64%
VWAP fills
0
VWAP fallbacks
0

5262 of 88896 qualifying signals were dropped because no position slot or cash was available.

Equity curve — full run
Breakdowns
BucketTradesAvg returnAvg abnormalWin rate
20067000.27%0.24%52.29%
20072718-0.16%0.14%46.47%
200826460.74%0.69%52.23%
200929870.60%0.41%52.16%
201034260.32%0.24%50.50%
20113265-0.16%0.10%47.41%
201232560.21%0.16%51.26%
201333640.53%0.29%54.85%
201435550.14%-0.02%51.81%
201537820.31%0.30%51.56%
201640270.46%0.33%52.17%
20174171-0.04%-0.14%47.40%
20184614-0.02%0.03%48.81%
201945550.19%0.13%51.37%
20204819-0.72%-0.71%42.87%
202153580.09%-0.09%48.99%
202253630.47%0.45%51.91%
202354960.05%-0.06%48.25%
202457500.20%0.06%49.55%
20255784-0.11%-0.23%47.74%
202639980.02%-0.21%46.87%
Trades (page 34: 500 of 83,634)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ReturnBenchmarkAbnormal
SLS2012-03-282012-03-292012-03-30169,000.0069,000.000.00%market126.67%-3.58%0.84%-4.42%
UNF2012-03-282012-03-292012-03-30161.6861.680.00%market7.87%-0.31%0.84%-1.15%
FC2012-03-292012-03-302012-04-0219.709.700.00%market66.67%-2.37%0.65%-3.02%
MOV2012-03-292012-03-302012-04-02124.7624.760.00%market140.00%4.26%0.65%3.61%
WOR2012-03-292012-03-302012-04-02111.8111.810.00%market5.71%3.03%0.65%2.38%
BBBY2012-04-042012-04-052012-04-0915.415.410.00%market11.28%-3.43%-0.83%-2.59%
KMX2012-04-052012-04-092012-04-10432.7532.750.00%market2.50%-4.34%-1.54%-2.80%
RPM2012-04-052012-04-092012-04-10425.8125.810.00%market400.00%-2.11%-1.54%-0.57%
STZ2012-04-052012-04-092012-04-10421.3721.370.00%market76.92%-1.04%-1.54%0.51%
WDFC2012-04-052012-04-092012-04-10445.1045.100.00%market20.37%-2.05%-1.54%-0.51%
GBX2012-04-092012-04-102012-04-11118.1018.100.00%market21.28%-4.24%-0.69%-3.55%
HWM2012-04-102012-04-112012-04-12120.4620.460.00%market350.00%2.27%1.09%1.17%
CBSH2012-04-122012-04-132012-04-16120.3220.320.00%market10.26%-0.64%-1.03%0.38%
GOOGL2012-04-122012-04-132012-04-16116.2016.200.00%market4.17%-6.46%-1.03%-5.43%
INDB2012-04-122012-04-132012-04-16128.1528.150.00%market12.00%0.57%-1.03%1.60%
JBHT2012-04-122012-04-132012-04-16155.2555.250.00%market9.62%2.90%-1.03%3.93%
WAFD2012-04-122012-04-132012-04-16116.9216.920.00%market3.23%0.67%-1.03%1.69%
BBY2012-04-142012-04-162012-04-17222.0522.050.00%market14.35%-0.69%0.90%-1.59%
JPM2012-04-132012-04-162012-04-17343.3843.380.00%market11.02%1.10%0.90%0.20%
WFC2012-04-132012-04-162012-04-17333.1833.180.00%market2.74%1.41%0.90%0.51%
BANF2012-04-162012-04-172012-04-18121.5221.520.00%market13.89%-0.19%0.56%-0.75%
C2012-04-162012-04-172012-04-18134.8234.820.00%market11.00%0.65%0.56%0.09%
ELS2012-04-162012-04-172012-04-18117.0817.080.00%market357.14%-1.62%0.56%-2.18%
ICUI2012-04-162012-04-172012-04-18150.0050.000.00%market10.42%-1.28%0.56%-1.84%
MTB2012-04-162012-04-172012-04-18186.4886.480.00%market1.35%0.61%0.56%0.05%
PNFP2012-04-162012-04-172012-04-18116.9716.970.00%market31.25%3.32%0.56%2.76%
CATY2012-04-172012-04-182012-04-19117.7417.740.00%market6.67%-1.40%-0.53%-0.86%
CSX2012-04-172012-04-182012-04-1917.507.500.00%market7.69%-4.23%-0.53%-3.70%
EWBC2012-04-172012-04-182012-04-19122.5622.560.00%market4.65%-2.45%-0.53%-1.91%
FULT2012-04-172012-04-182012-04-19110.3010.300.00%market5.56%-1.27%-0.53%-0.73%
GS2012-04-172012-04-182012-04-191114.76114.760.00%market10.42%-1.11%-0.53%-0.58%
GWW2012-04-172012-04-182012-04-191216.08216.080.00%market1.98%-1.41%-0.53%-0.87%
IBM2012-04-172012-04-182012-04-191193.53193.530.00%market4.91%-1.54%-0.53%-1.01%
INTC2012-04-172012-04-182012-04-19127.5827.580.00%market6.00%0.30%-0.53%0.83%
ISRG2012-04-172012-04-182012-04-19163.7963.790.00%market11.43%0.79%-0.53%1.33%
JNJ2012-04-172012-04-182012-04-19163.9063.900.00%market1.48%-1.46%-0.53%-0.93%
KO2012-04-172012-04-182012-04-19136.9136.910.00%market2.27%-0.10%-0.53%0.43%
NTRS2012-04-172012-04-182012-04-19146.6546.650.00%market3.08%-0.51%-0.53%0.03%
OMC2012-04-172012-04-182012-04-19148.5848.580.00%market4.35%1.57%-0.53%2.10%
PKG2012-04-172012-04-182012-04-19128.9928.990.00%market5.00%0.00%-0.53%0.54%
STX2012-04-172012-04-182012-04-19128.6028.600.00%market25.12%0.49%-0.53%1.03%
URI2012-04-172012-04-182012-04-19144.3844.380.00%market620.00%1.64%-0.53%2.17%
USB2012-04-172012-04-182012-04-19131.2031.200.00%market4.69%-0.04%-0.53%0.50%
WBS2012-04-172012-04-182012-04-19121.4821.480.00%market5.00%-0.38%-0.53%0.16%
ABT2012-04-182012-04-192012-04-20128.6228.620.00%market3.00%0.00%-0.49%0.50%
ALB2012-04-182012-04-192012-04-20164.9764.970.00%market3.45%0.62%-0.49%1.11%
ASML2012-04-182012-04-192012-04-20165.9065.900.00%market4.08%-2.38%-0.49%-1.89%
AXP2012-04-182012-04-192012-04-20157.7257.720.00%market7.00%-0.57%-0.49%-0.08%
BLK2012-04-182012-04-192012-04-201195.51195.510.00%market3.95%-2.71%-0.49%-2.22%
BLX2012-04-182012-04-192012-04-20121.6921.690.00%market56.36%-0.79%-0.49%-0.30%
BMI2012-04-182012-04-192012-04-20119.3019.300.00%market61.54%-5.02%-0.49%-4.53%
CCK2012-04-182012-04-192012-04-20137.7237.720.00%market2.22%-0.23%-0.49%0.26%
CNS2012-04-182012-04-192012-04-20135.0035.000.00%market2.50%-0.33%-0.49%0.16%
CVBF2012-04-182012-04-192012-04-20111.3811.380.00%market5.00%1.39%-0.49%1.88%
DGX2012-04-182012-04-192012-04-20159.2859.280.00%market5.94%-1.35%-0.49%-0.86%
DOV2012-04-182012-04-192012-04-20140.9140.910.00%market2.94%-1.66%-0.49%-1.17%
EBAY2012-04-182012-04-192012-04-20116.4716.470.00%market5.77%2.88%-0.49%3.37%
EXPO2012-04-182012-04-192012-04-20112.0612.060.00%market7.69%-2.09%-0.49%-1.60%
FCFS2012-04-182012-04-192012-04-20141.4141.410.00%market5.45%-4.23%-0.49%-3.74%
FFIV2012-04-182012-04-192012-04-201133.79133.790.00%market1.87%-1.71%-0.49%-1.22%
HAL2012-04-182012-04-192012-04-20134.4634.460.00%market4.71%-3.50%-0.49%-3.00%
HBAN2012-04-182012-04-192012-04-2016.436.430.00%market21.43%1.77%-0.49%2.26%
KMI2012-04-182012-04-192012-04-20137.4537.450.00%market80.65%-3.54%-0.49%-3.05%
LRCX2012-04-182012-04-192012-04-2014.174.170.00%market8.70%-3.22%-0.49%-2.73%
MAR2012-04-182012-04-192012-04-20138.7938.790.00%market3.45%0.18%-0.49%0.67%
PII2012-04-182012-04-192012-04-20180.4280.420.00%market10.39%-1.00%-0.49%-0.50%
PIPR2012-04-182012-04-192012-04-2016.156.150.00%market3.13%-1.56%-0.49%-1.07%
PLXS2012-04-182012-04-192012-04-20133.9533.950.00%market3.70%-4.25%-0.49%-3.76%
PNC2012-04-182012-04-192012-04-20163.9663.960.00%market4.93%2.12%-0.49%2.61%
QCOM2012-04-182012-04-192012-04-20163.4763.470.00%market5.21%-2.02%-0.49%-1.53%
SLM2012-04-182012-04-192012-04-2015.385.380.00%market5.77%-0.10%-0.49%0.39%
STLD2012-04-182012-04-192012-04-20113.4413.440.00%market9.52%-4.19%-0.49%-3.70%
SYBT2012-04-182012-04-192012-04-20114.9714.970.00%market3.57%0.70%-0.49%1.19%
TXT2012-04-182012-04-192012-04-20126.8026.800.00%market17.14%-0.29%-0.49%0.20%
WTFC2012-04-182012-04-192012-04-20134.2534.250.00%market21.95%3.26%-0.49%3.75%
YUM2012-04-182012-04-192012-04-20151.3751.370.00%market4.11%3.38%-0.49%3.88%
AAL2012-04-192012-04-202012-04-2319.779.770.00%market48.25%-7.67%-1.11%-6.56%
ALK2012-04-192012-04-202012-04-23117.5517.550.00%market11.11%-3.75%-1.11%-2.63%
AMD2012-04-192012-04-202012-04-2318.168.160.00%market33.33%-9.54%-1.11%-8.42%
ASB2012-04-192012-04-202012-04-23113.5913.590.00%market4.35%-2.90%-1.11%-1.78%
BAC2012-04-192012-04-202012-04-2318.788.780.00%market100.00%-6.93%-1.11%-5.82%
BAX2012-04-192012-04-202012-04-23129.5429.540.00%market1.00%-0.57%-1.11%0.54%
BFH2012-04-192012-04-202012-04-231101.41101.410.00%market8.68%0.58%-1.11%1.69%
BLDR2012-04-192012-04-202012-04-2314.314.310.00%market21.43%-19.01%-1.11%-17.90%
BSX2012-04-192012-04-202012-04-2315.895.890.00%market87.50%-0.61%-1.11%0.50%
CMG2012-04-192012-04-202012-04-2318.598.590.00%market2.07%-3.01%-1.11%-1.90%
COF2012-04-192012-04-202012-04-23154.7854.780.00%market12.23%-1.38%-1.11%-0.26%
DHR2012-04-192012-04-202012-04-23135.8235.820.00%market2.82%-1.22%-1.11%-0.10%
EGP2012-04-192012-04-202012-04-23151.8651.860.00%market230.43%-5.69%-1.11%-4.58%
ENTG2012-04-192012-04-202012-04-2318.808.800.00%market7.69%-3.74%-1.11%-2.62%
FCX2012-04-192012-04-202012-04-23138.4538.450.00%market11.63%-3.46%-1.11%-2.34%
GBCI2012-04-192012-04-202012-04-23115.2115.210.00%market9.52%-3.19%-1.11%-2.08%
GPC2012-04-192012-04-202012-04-23163.6063.600.00%market6.90%-1.45%-1.11%-0.34%
HOMB2012-04-192012-04-202012-04-2317.017.010.00%market8.33%1.18%-1.11%2.30%
HUBB2012-04-192012-04-202012-04-23179.0079.000.00%market8.25%-1.37%-1.11%-0.25%
HUBG2012-04-192012-04-202012-04-23118.7418.740.00%market2.78%-6.72%-1.11%-5.60%
KEY2012-04-192012-04-202012-04-2318.008.000.00%market5.26%-1.60%-1.11%-0.49%
LH2012-04-192012-04-202012-04-23176.4576.450.00%market4.19%-2.32%-1.11%-1.21%
LSCC2012-04-192012-04-202012-04-2316.256.250.00%market28.57%-11.94%-1.11%-10.83%
LUV2012-04-192012-04-202012-04-2318.228.220.00%market60.00%-4.24%-1.11%-3.12%
MS2012-04-192012-04-202012-04-23118.1318.130.00%market68.89%-6.44%-1.11%-5.33%
MSFT2012-04-192012-04-202012-04-23132.1532.150.00%market5.26%-0.19%-1.11%0.92%
MYE2012-04-192012-04-202012-04-23117.1117.110.00%market30.43%-1.56%-1.11%-0.45%
NUE2012-04-192012-04-202012-04-23140.2340.230.00%market7.69%-3.36%-1.11%-2.24%
NYT2012-04-192012-04-202012-04-2316.486.480.00%market300.00%-1.33%-1.11%-0.22%
PENN2012-04-192012-04-202012-04-23110.0910.090.00%market23.33%1.29%-1.11%2.40%
PM2012-04-192012-04-202012-04-23186.3886.380.00%market5.04%0.55%-1.11%1.66%
POOL2012-04-192012-04-202012-04-23139.4139.410.00%market814.29%-7.41%-1.11%-6.29%
PPG2012-04-192012-04-202012-04-23150.6550.650.00%market7.06%-0.40%-1.11%0.72%
RBCAA2012-04-192012-04-202012-04-23124.2724.270.00%market11.68%-4.01%-1.11%-2.90%
RMBS2012-04-192012-04-202012-04-2315.645.640.00%market113.04%-20.76%-1.11%-19.64%
SFNC2012-04-192012-04-202012-04-23112.4612.460.00%market5.56%-3.79%-1.11%-2.68%
SHW2012-04-192012-04-202012-04-23138.9638.960.00%market10.34%0.88%-1.11%1.99%
SNA2012-04-192012-04-202012-04-23161.6561.650.00%market4.31%-1.71%-1.11%-0.59%
SON2012-04-192012-04-202012-04-23133.0933.090.00%market8.33%-0.67%-1.11%0.44%
TFC2012-04-192012-04-202012-04-23131.2631.260.00%market3.39%1.12%-1.11%2.23%
TRV2012-04-192012-04-202012-04-23161.9161.910.00%market32.24%1.52%-1.11%2.63%
UNH2012-04-192012-04-202012-04-23159.1659.160.00%market11.97%-0.05%-1.11%1.06%
UNP2012-04-192012-04-202012-04-23152.9552.950.00%market9.76%2.83%-1.11%3.94%
VMI2012-04-192012-04-202012-04-231126.12126.120.00%market28.10%-2.91%-1.11%-1.79%
VZ2012-04-192012-04-202012-04-23138.2438.240.00%market1.72%0.76%-1.11%1.88%
WCC2012-04-192012-04-202012-04-23165.6265.620.00%market3.13%-0.80%-1.11%0.31%
AEP2012-04-202012-04-232012-04-24338.2238.220.00%market1.27%0.03%0.56%-0.53%
AOS2012-04-202012-04-232012-04-24311.9011.900.00%market13.33%-1.28%0.56%-1.84%
BPOP2012-04-202012-04-232012-04-24318.3018.300.00%market51.52%0.45%0.56%-0.12%
GE2012-04-202012-04-232012-04-24391.2191.210.00%market3.42%2.42%0.56%1.86%
HLX2012-04-222012-04-232012-04-24117.4717.470.00%market69.77%10.49%0.56%9.93%
HON2012-04-202012-04-232012-04-24356.1756.170.00%market7.07%1.47%0.56%0.90%
IDXX2012-04-202012-04-232012-04-24343.6543.650.00%market2.86%-2.16%0.56%-2.73%
KMB2012-04-202012-04-232012-04-24372.7472.740.00%market5.98%3.60%0.56%3.03%
MAN2012-04-202012-04-232012-04-24344.0244.020.00%market42.86%-1.89%0.56%-2.46%
RCL2012-04-202012-04-232012-04-24326.4926.490.00%market40.00%-1.72%0.56%-2.29%
SLB2012-04-202012-04-232012-04-24370.7770.770.00%market1.03%2.64%0.56%2.08%
SXT2012-04-202012-04-232012-04-24337.7437.740.00%market1.75%-2.80%0.56%-3.37%
TT2012-04-202012-04-232012-04-24331.0231.020.00%market24.00%3.58%0.56%3.01%
UAA2012-04-202012-04-232012-04-24312.5112.510.00%market33.33%-4.82%0.56%-5.38%
UFPI2012-04-202012-04-232012-04-24311.4311.430.00%market530.06%4.27%0.56%3.71%
ALGN2012-04-232012-04-242012-04-25132.8632.860.00%market28.57%-3.23%1.67%-4.90%
AMP2012-04-232012-04-242012-04-25152.4252.420.00%market3.57%2.15%1.67%0.49%
BANR2012-04-232012-04-242012-04-25121.2521.250.00%market81.82%3.43%1.67%1.76%
BBD2012-04-232012-04-242012-04-2515.825.820.00%market7.14%-2.68%1.67%-4.34%
BOH2012-04-232012-04-242012-04-25148.3148.310.00%market17.28%2.57%1.67%0.90%
CHKP2012-04-232012-04-242012-04-25160.7760.770.00%market2.78%-1.58%1.67%-3.25%
CNI2012-04-232012-04-242012-04-25140.5540.550.00%market15.69%3.57%1.67%1.91%
DHI2012-04-232012-04-242012-04-25115.1915.190.00%market236.44%3.32%1.67%1.66%
EAT2012-04-232012-04-242012-04-25131.0131.010.00%market7.14%2.74%1.67%1.07%
EBF2012-04-232012-04-242012-04-25115.2015.200.00%market160.00%2.99%1.67%1.33%
ETN2012-04-232012-04-242012-04-25147.7447.740.00%market2.22%2.08%1.67%0.41%
HOPE2012-04-232012-04-242012-04-25110.3510.350.00%market135.29%10.43%1.67%8.77%
HXL2012-04-232012-04-242012-04-25127.7827.780.00%market18.18%-0.64%1.67%-2.31%
IEX2012-04-232012-04-242012-04-25141.1441.140.00%market3.13%3.30%1.67%1.64%
ILMN2012-04-232012-04-242012-04-25141.9241.920.00%market9.09%2.55%1.67%0.88%
JJSF2012-04-232012-04-242012-04-25153.6353.630.00%market30.95%3.31%1.67%1.65%
MTG2012-04-232012-04-242012-04-2513.413.410.00%market78.26%0.78%1.67%-0.89%
NBTB2012-04-232012-04-242012-04-25121.0421.040.00%market2.50%-1.38%1.67%-3.05%
OFG2012-04-232012-04-242012-04-25111.5711.570.00%market27.78%4.57%1.67%2.90%
PAC2012-04-232012-04-242012-04-25138.2938.290.00%market7.27%1.62%1.67%-0.04%
QCRH2012-04-232012-04-242012-04-25111.3811.380.00%market84.62%2.10%1.67%0.43%
ROP2012-04-232012-04-242012-04-25198.2498.240.00%market4.81%2.95%1.67%1.29%
TXN2012-04-232012-04-242012-04-25132.7132.710.00%market10.34%-2.36%1.67%-4.03%
UCTT2012-04-232012-04-242012-04-2517.067.060.00%market17.65%-7.61%1.67%-9.27%
WRB2012-04-232012-04-242012-04-25111.1611.160.00%market6.67%-0.46%1.67%-2.12%
WWW2012-04-232012-04-242012-04-25118.0618.060.00%market3.70%4.55%1.67%2.89%
AAPL2012-04-242012-04-252012-04-26121.9921.990.00%market22.22%-1.42%1.09%-2.51%
ABCB2012-04-242012-04-252012-04-26112.1712.170.00%market533.33%2.69%1.09%1.60%
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HMN2012-04-252012-04-262012-04-27117.3917.390.00%market28.00%0.82%1.08%-0.26%
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KBR2012-04-252012-04-262012-04-27134.4334.430.00%market3.39%-0.33%1.08%-1.41%
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AMZN2012-04-262012-04-272012-04-30111.2411.240.00%market293.59%3.10%-0.51%3.61%
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DLX2012-04-262012-04-272012-04-30124.1724.170.00%market11.39%-1.59%-0.51%-1.08%
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EME2012-04-262012-04-272012-04-30129.2129.210.00%market14.29%0.28%-0.51%0.78%
EMN2012-04-262012-04-272012-04-30153.0453.040.00%market8.93%1.65%-0.51%2.16%
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FHI2012-04-262012-04-272012-04-30121.6521.650.00%market5.13%1.89%-0.51%2.39%
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GATX2012-04-262012-04-272012-04-30142.6742.670.00%market40.82%0.37%-0.51%0.87%
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IRM2012-04-262012-04-272012-04-30130.1630.160.00%market3.85%0.60%-0.51%1.10%
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MOH2012-04-302012-05-012012-05-02125.5725.570.00%market2.63%2.99%0.38%2.61%
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THG2012-04-302012-05-012012-05-02139.9939.990.00%market3.06%-1.20%0.38%-1.58%
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VSEC2012-04-302012-05-012012-05-02111.6311.630.00%market12.50%0.85%0.38%0.47%
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