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 35: 500 of 83,634)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ReturnBenchmarkAbnormal
CCU2012-05-022012-05-032012-05-04128.8228.820.00%market10.64%-4.06%-2.38%-1.68%
CLH2012-05-022012-05-032012-05-04164.9664.960.00%market5.26%-4.06%-2.38%-1.68%
CMCSA2012-05-022012-05-032012-05-04115.2515.250.00%market9.52%-3.51%-2.38%-1.13%
CRL2012-05-022012-05-032012-05-04135.5035.500.00%market7.69%-2.92%-2.38%-0.54%
CVS2012-05-022012-05-032012-05-04145.8145.810.00%market3.17%-0.95%-2.38%1.43%
DHT2012-05-022012-05-032012-05-0419.429.420.00%market71.43%-2.01%-2.38%0.37%
DX2012-05-022012-05-032012-05-04128.2928.290.00%market1.02%0.01%-2.38%2.39%
DXPE2012-05-022012-05-032012-05-04148.3848.380.00%market24.19%0.25%-2.38%2.63%
ENSG2012-05-022012-05-032012-05-0417.247.240.00%market10.71%-6.87%-2.38%-4.49%
EPC2012-05-022012-05-032012-05-04157.1957.190.00%market12.96%-1.76%-2.38%0.62%
EPD2012-05-022012-05-032012-05-04126.4226.420.00%market6.90%-0.78%-2.38%1.60%
ESS2012-05-022012-05-032012-05-041158.10158.100.00%market288.10%-1.38%-2.38%1.00%
FELE2012-05-022012-05-032012-05-04125.6225.620.00%market15.38%-6.03%-2.38%-3.65%
FMX2012-05-022012-05-032012-05-04183.0283.020.00%market2.00%-2.26%-2.38%0.12%
GEN2012-05-022012-05-032012-05-04116.4116.410.00%market100.00%-3.70%-2.38%-1.32%
GRMN2012-05-022012-05-032012-05-04149.1949.190.00%market9.76%-4.94%-2.38%-2.56%
HIG2012-05-022012-05-032012-05-04120.3520.350.00%market37.36%-3.49%-2.38%-1.11%
HVT2012-05-022012-05-032012-05-04112.1912.190.00%market120.00%-1.66%-2.38%0.72%
ICFI2012-05-022012-05-032012-05-04124.0124.010.00%market6.82%-7.68%-2.38%-5.30%
KIM2012-05-022012-05-032012-05-04119.6819.680.00%market85.71%-1.07%-2.38%1.31%
LNC2012-05-022012-05-032012-05-04124.5924.590.00%market2.04%-6.12%-2.38%-3.74%
MA2012-05-022012-05-032012-05-04145.3045.300.00%market1.89%-3.04%-2.38%-0.66%
MAC2012-05-022012-05-032012-05-04162.5362.530.00%market660.00%-1.01%-2.38%1.37%
MXL2012-05-022012-05-032012-05-0415.015.010.00%market14.29%-1.30%-2.38%1.08%
NC2012-05-022012-05-032012-05-0418.318.310.00%market51.52%-4.91%-2.38%-2.53%
NLY2012-05-022012-05-032012-05-04165.6865.680.00%market8.33%-0.53%-2.38%1.85%
NRP2012-05-022012-05-032012-05-041237.00237.000.00%market14.63%-2.38%-2.38%0.00%
NVMI2012-05-022012-05-032012-05-0418.638.630.00%market50.00%-2.88%-2.38%-0.50%
ON2012-05-022012-05-032012-05-0418.978.970.00%market33.33%-8.46%-2.38%-6.08%
PCG2012-05-022012-05-032012-05-04144.4844.480.00%market18.67%-0.21%-2.38%2.17%
PEG2012-05-022012-05-032012-05-04131.3631.360.00%market26.87%0.79%-2.38%3.17%
REG2012-05-022012-05-032012-05-04145.6445.640.00%market785.71%2.95%-2.38%5.33%
RIG2012-05-022012-05-032012-05-04152.1052.100.00%market106.06%-8.07%-2.38%-5.69%
RNR2012-05-022012-05-032012-05-04180.5380.530.00%market20.16%-1.50%-2.38%0.88%
SAM2012-05-022012-05-032012-05-041108.61108.610.00%market36.59%0.65%-2.38%3.03%
SCCO2012-05-022012-05-032012-05-04131.6831.680.00%market19.67%-3.26%-2.38%-0.88%
SHO2012-05-022012-05-032012-05-04110.8210.820.00%market163.16%-2.04%-2.38%0.34%
SKYW2012-05-022012-05-032012-05-0419.309.300.00%market91.07%-4.19%-2.38%-1.81%
TGS2012-05-022012-05-032012-05-0412.552.550.00%market83.33%1.86%-2.38%4.24%
TTEK2012-05-022012-05-032012-05-0415.535.530.00%market6.06%-4.62%-2.38%-2.24%
V2012-05-022012-05-032012-05-04130.5030.500.00%market5.26%-3.54%-2.38%-1.16%
VC2012-05-022012-05-032012-05-04148.4048.400.00%market6.15%-3.90%-2.38%-1.52%
VSH2012-05-022012-05-032012-05-04112.5112.510.00%market23.53%-6.34%-2.38%-3.96%
WEX2012-05-022012-05-032012-05-04159.9359.930.00%market1.11%-3.80%-2.38%-1.42%
YELP2012-05-022012-05-032012-05-04123.2423.240.00%market76.67%-8.45%-2.38%-6.07%
ZG2012-05-022012-05-032012-05-04111.5811.580.00%market233.33%5.43%-2.38%7.81%
ACIW2012-05-032012-05-042012-05-07113.4013.400.00%market80.00%-1.79%-1.03%-0.77%
AIG2012-05-032012-05-042012-05-07132.8832.880.00%market47.32%-3.26%-1.03%-2.24%
AIV2012-05-032012-05-042012-05-0713.603.600.00%market264.52%1.57%-1.03%2.59%
ALNY2012-05-032012-05-042012-05-07110.3910.390.00%market30.56%-4.14%-1.03%-3.12%
AMN2012-05-032012-05-042012-05-0716.956.950.00%market61.55%4.22%-1.03%5.24%
AMT2012-05-032012-05-042012-05-07166.7966.790.00%market40.00%0.59%-1.03%1.61%
ARI2012-05-032012-05-042012-05-07115.9815.980.00%market4.88%0.34%-1.03%1.36%
AROC2012-05-032012-05-042012-05-0718.068.060.00%market17.31%-5.81%-1.03%-4.78%
AVD2012-05-032012-05-042012-05-07125.0225.020.00%market29.17%-4.50%-1.03%-3.47%
AVNT2012-05-032012-05-042012-05-07113.3913.390.00%market11.54%-1.15%-1.03%-0.12%
AX2012-05-032012-05-042012-05-0714.484.480.00%market27.27%3.08%-1.03%4.11%
B2012-05-032012-05-042012-05-07137.9537.950.00%market121.28%-0.13%-1.03%0.90%
BBW2012-05-032012-05-042012-05-0714.334.330.00%market70.00%9.14%-1.03%10.16%
BCE2012-05-032012-05-042012-05-07140.5640.560.00%market1.35%1.33%-1.03%2.36%
BHC2012-05-032012-05-042012-05-07150.3250.320.00%market3.13%3.52%-1.03%4.54%
CAH2012-05-032012-05-042012-05-07143.1643.160.00%market6.82%-0.80%-1.03%0.23%
CF2012-05-032012-05-042012-05-07138.8538.850.00%market24.74%-5.43%-1.03%-4.40%
CNXN2012-05-032012-05-042012-05-0718.308.300.00%market9.52%3.39%-1.03%4.42%
DK2012-05-032012-05-042012-05-07116.2816.280.00%market29.51%-0.04%-1.03%0.99%
DLB2012-05-032012-05-042012-05-07145.1845.180.00%market8.00%-1.03%-1.03%-0.00%
DSX2012-05-032012-05-042012-05-0717.687.680.00%market25.00%0.29%-1.03%1.32%
EBS2012-05-032012-05-042012-05-07113.7113.710.00%market86.67%5.37%-1.03%6.40%
FLR2012-05-032012-05-042012-05-07159.6559.650.00%market4.60%-5.53%-1.03%-4.51%
FMS2012-05-032012-05-042012-05-07135.2835.280.00%market2.56%-2.03%-1.03%-1.00%
GIL2012-05-032012-05-042012-05-07113.8513.850.00%market20.00%-6.53%-1.03%-5.50%
GM2012-05-032012-05-042012-05-07122.2022.200.00%market10.59%0.85%-1.03%1.87%
IT2012-05-032012-05-042012-05-07143.8343.830.00%market2.86%0.33%-1.03%1.36%
KTOS2012-05-032012-05-042012-05-0715.535.530.00%market25.00%-10.41%-1.03%-9.38%
LAMR2012-05-032012-05-042012-05-07128.6628.660.00%market150.00%-5.54%-1.03%-4.52%
LCII2012-05-032012-05-042012-05-07128.8928.890.00%market12.77%-2.94%-1.03%-1.91%
LEA2012-05-032012-05-042012-05-07141.5841.580.00%market13.11%2.47%-1.03%3.50%
LFUS2012-05-032012-05-042012-05-07163.7863.780.00%market9.46%-5.89%-1.03%-4.86%
MAA2012-05-032012-05-042012-05-07168.6368.630.00%market229.41%0.54%-1.03%1.57%
MAIN2012-05-032012-05-042012-05-07125.4025.400.00%market31.11%0.88%-1.03%1.91%
MDLZ2012-05-032012-05-042012-05-07125.7125.710.00%market1.79%-0.18%-1.03%0.85%
MFC2012-05-032012-05-042012-05-07112.9412.940.00%market77.14%-2.03%-1.03%-1.01%
MGM2012-05-032012-05-042012-05-07112.8312.830.00%market43.75%-5.32%-1.03%-4.30%
MHK2012-05-032012-05-042012-05-07172.8072.800.00%market5.45%1.11%-1.03%2.13%
MMS2012-05-032012-05-042012-05-07122.8922.890.00%market8.70%2.30%-1.03%3.33%
MTD2012-05-032012-05-042012-05-071168.59168.590.00%market2.47%0.58%-1.03%1.60%
MTZ2012-05-032012-05-042012-05-07116.7616.760.00%market6.25%4.20%-1.03%5.22%
NJR2012-05-032012-05-042012-05-07121.5321.530.00%market15.38%0.18%-1.03%1.20%
NNN2012-05-032012-05-042012-05-07127.2727.270.00%market50.00%-1.20%-1.03%-0.17%
NPO2012-05-032012-05-042012-05-07142.3042.300.00%market16.36%-3.48%-1.03%-2.46%
ORN2012-05-032012-05-042012-05-0716.896.890.00%market8.00%-3.73%-1.03%-2.70%
PDFS2012-05-032012-05-042012-05-0719.499.490.00%market33.33%10.96%-1.03%11.99%
PDM2012-05-032012-05-042012-05-07117.4217.420.00%market84.21%-1.82%-1.03%-0.80%
PEGA2012-05-032012-05-042012-05-0718.598.590.00%market100.00%-2.20%-1.03%-1.17%
PFLT2012-05-032012-05-042012-05-07111.6911.690.00%market4.17%0.84%-1.03%1.87%
PRLB2012-05-032012-05-042012-05-07128.7828.780.00%market14.29%6.15%-1.03%7.18%
PSA2012-05-032012-05-042012-05-071143.00143.000.00%market71.43%-1.70%-1.03%-0.68%
PWR2012-05-032012-05-042012-05-07123.4823.480.00%market46.67%-0.01%-1.03%1.01%
RWT2012-05-032012-05-042012-05-07111.8111.810.00%market76.19%0.92%-1.03%1.94%
SBH2012-05-032012-05-042012-05-07127.3827.380.00%market9.37%-1.41%-1.03%-0.39%
SBSI2012-05-032012-05-042012-05-07116.6916.690.00%market19.51%3.61%-1.03%4.64%
STNG2012-05-032012-05-042012-05-07165.9065.900.00%market77.78%-1.31%-1.03%-0.29%
TDC2012-05-032012-05-042012-05-07176.5976.590.00%market7.14%-5.84%-1.03%-4.82%
UFPT2012-05-032012-05-042012-05-07117.7717.770.00%market6.45%-5.45%-1.03%-4.42%
USPH2012-05-032012-05-042012-05-07123.9423.940.00%market11.76%1.65%-1.03%2.68%
VAC2012-05-032012-05-042012-05-07130.3430.340.00%market22.73%-0.30%-1.03%0.73%
ZD2012-05-032012-05-042012-05-07122.8622.860.00%market3.23%-2.15%-1.03%-1.13%
ABR2012-05-042012-05-072012-05-0835.875.870.00%market105.41%5.86%0.03%5.83%
AES2012-05-042012-05-072012-05-08312.0012.000.00%market37.04%-0.02%0.03%-0.05%
CHD2012-05-042012-05-072012-05-08325.6825.680.00%market10.00%2.20%0.03%2.17%
DUK2012-05-042012-05-072012-05-08364.5664.560.00%market4.59%0.04%0.03%0.01%
EL2012-05-042012-05-072012-05-08360.7460.740.00%market15.15%-1.53%0.03%-1.56%
EXC2012-05-042012-05-072012-05-08327.4127.410.00%market4.94%-0.83%0.03%-0.86%
FSS2012-05-042012-05-072012-05-0835.005.000.00%market50.00%9.70%0.03%9.67%
ITT2012-05-042012-05-072012-05-08321.9121.910.00%market21.88%0.58%0.03%0.56%
KOP2012-05-042012-05-072012-05-08339.5039.500.00%market29.82%0.56%0.03%0.53%
NFG2012-05-042012-05-072012-05-08345.9245.920.00%market1.14%0.29%0.03%0.26%
PPL2012-05-042012-05-072012-05-08325.3825.380.00%market6.06%0.73%0.03%0.70%
TDS2012-05-042012-05-072012-05-08322.6922.690.00%market37.14%0.34%0.03%0.31%
ANDE2012-05-072012-05-082012-05-09132.0732.070.00%market12.07%-1.53%-0.40%-1.14%
AWR2012-05-072012-05-082012-05-09118.2918.290.00%market35.00%0.34%-0.40%0.73%
BCRX2012-05-072012-05-082012-05-0913.673.670.00%market50.00%-0.37%-0.40%0.02%
BEP2012-05-072012-05-082012-05-09114.8014.800.00%market22.22%1.66%-0.40%2.05%
CAR2012-05-072012-05-082012-05-09116.5016.500.00%market1150.00%-3.37%-0.40%-2.98%
CDE2012-05-072012-05-082012-05-09118.3618.360.00%market70.37%-0.26%-0.40%0.13%
CHDN2012-05-072012-05-082012-05-09110.2410.240.00%market127.42%-0.10%-0.40%0.30%
CNK2012-05-072012-05-082012-05-09123.6723.670.00%market8.82%1.59%-0.40%1.99%
CTSH2012-05-072012-05-082012-05-09128.7228.720.00%market2.50%5.40%-0.40%5.80%
EA2012-05-072012-05-082012-05-09114.2514.250.00%market6.25%-1.01%-0.40%-0.62%
EFC2012-05-072012-05-082012-05-09120.9020.900.00%market179.41%0.86%-0.40%1.25%
FN2012-05-072012-05-082012-05-09114.2414.240.00%market21.74%-3.61%-0.40%-3.21%
GEO2012-05-072012-05-082012-05-09114.7314.730.00%market5.00%1.80%-0.40%2.20%
HLIO2012-05-072012-05-082012-05-09125.8025.800.00%market5.13%1.33%-0.40%1.73%
HPP2012-05-072012-05-082012-05-091108.64108.640.00%market122.22%-0.16%-0.40%0.23%
IBOC2012-05-072012-05-082012-05-09118.9618.960.00%market13.51%0.11%-0.40%0.51%
IOSP2012-05-072012-05-082012-05-09129.0229.020.00%market36.99%7.48%-0.40%7.88%
IVR2012-05-072012-05-082012-05-091170.01170.010.00%market11.13%1.97%-0.40%2.37%
LOPE2012-05-072012-05-082012-05-09117.5917.590.00%market23.08%5.59%-0.40%5.98%
LPX2012-05-072012-05-082012-05-0919.589.580.00%market60.00%-2.08%-0.40%-1.69%
MGEE2012-05-072012-05-082012-05-09130.1630.160.00%market6.98%1.46%-0.40%1.85%
OTTR2012-05-072012-05-082012-05-09121.4021.400.00%market17.39%1.96%-0.40%2.35%
PBI2012-05-072012-05-082012-05-09116.8516.850.00%market4.00%-9.60%-0.40%-9.20%
SBRA2012-05-072012-05-082012-05-09116.0016.000.00%market123.53%-3.35%-0.40%-2.95%
STAG2012-05-072012-05-082012-05-09113.7013.700.00%market400.00%4.57%-0.40%4.97%
SYY2012-05-072012-05-082012-05-09127.9427.940.00%market2.33%-0.89%-0.40%-0.49%
TREX2012-05-072012-05-082012-05-0913.723.720.00%market50.00%0.03%-0.40%0.43%
TSN2012-05-072012-05-082012-05-09118.6018.600.00%market12.82%4.74%-0.40%5.13%
WPC2012-05-072012-05-082012-05-09145.3345.330.00%market80.00%-2.92%-0.40%-2.53%
AAON2012-05-082012-05-092012-05-1015.655.650.00%market12.50%1.49%0.68%0.81%
AER2012-05-082012-05-092012-05-10111.1411.140.00%market8.89%3.22%0.68%2.54%
APO2012-05-082012-05-092012-05-10112.8012.800.00%market41.03%-6.12%0.68%-6.80%
BR2012-05-082012-05-092012-05-10121.5821.580.00%market12.00%-1.44%0.68%-2.12%
CVLT2012-05-082012-05-092012-05-10153.7153.710.00%market11.54%-0.58%0.68%-1.27%
DIS2012-05-082012-05-092012-05-10144.4644.460.00%market5.45%1.74%0.68%1.06%
EGY2012-05-082012-05-092012-05-1017.967.960.00%market6.67%2.79%0.68%2.11%
ENOV2012-05-082012-05-092012-05-10153.3253.320.00%market15.00%1.58%0.68%0.90%
EOG2012-05-082012-05-092012-05-10151.9151.910.00%market1.72%2.48%0.68%1.80%
EPAM2012-05-082012-05-092012-05-10117.9217.920.00%market6.90%-1.77%0.68%-2.46%
EXK2012-05-082012-05-092012-05-1017.937.930.00%market37.50%10.24%0.68%9.56%
GNRC2012-05-082012-05-092012-05-10118.4018.400.00%market35.21%-3.42%0.68%-4.10%
HCI2012-05-082012-05-092012-05-10116.0516.050.00%market44.26%-0.41%0.68%-1.09%
HE2012-05-082012-05-092012-05-10126.5826.580.00%market11.11%-0.02%0.68%-0.71%
HL2012-05-082012-05-092012-05-1014.034.030.00%market20.00%3.13%0.68%2.44%
HSIC2012-05-082012-05-092012-05-10130.2030.200.00%market6.52%-1.26%0.68%-1.94%
HTGC2012-05-082012-05-092012-05-10111.4011.400.00%market4.35%-2.56%0.68%-3.24%
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