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 36: 500 of 83,634)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ReturnBenchmarkAbnormal
UAA2012-07-242012-07-252012-07-26113.2613.260.00%market100.00%4.22%1.46%2.76%
UIS2012-07-242012-07-252012-07-26119.1019.100.00%market106.25%-0.78%1.46%-2.24%
UMBF2012-07-242012-07-252012-07-26151.0251.020.00%market4.35%-3.63%1.46%-5.09%
USNA2012-07-242012-07-252012-07-26121.5121.510.00%market21.74%1.99%1.46%0.53%
VMI2012-07-242012-07-252012-07-261129.78129.780.00%market3.70%-3.65%1.46%-5.11%
WAB2012-07-242012-07-252012-07-26138.8438.840.00%market8.06%0.96%1.46%-0.50%
WAT2012-07-242012-07-252012-07-26175.4875.480.00%market0.86%2.03%1.46%0.57%
WRB2012-07-242012-07-252012-07-26111.0511.050.00%market7.41%-2.00%1.46%-3.46%
WSBC2012-07-242012-07-252012-07-26120.9120.910.00%market2.27%-1.63%1.46%-3.09%
WU2012-07-242012-07-252012-07-26117.2417.240.00%market6.98%0.07%1.46%-1.39%
ACGL2012-07-252012-07-262012-07-27113.1313.130.00%market25.93%-0.40%2.05%-2.46%
AEM2012-07-252012-07-262012-07-27141.6441.640.00%market33.33%3.55%2.05%1.50%
AIZ2012-07-252012-07-262012-07-27134.0034.000.00%market13.67%4.43%2.05%2.38%
AKAM2012-07-252012-07-262012-07-27133.4533.450.00%market16.22%7.10%2.05%5.05%
AVB2012-07-252012-07-262012-07-271142.50142.500.00%market103.75%2.01%2.05%-0.04%
BA2012-07-252012-07-262012-07-27175.1375.130.00%market13.39%0.41%2.05%-1.65%
BANR2012-07-252012-07-262012-07-27121.7521.750.00%market107.14%2.66%2.05%0.61%
BKU2012-07-252012-07-262012-07-27124.0024.000.00%market9.09%0.07%2.05%-1.99%
CAKE2012-07-252012-07-262012-07-27132.8932.890.00%market4.08%2.94%2.05%0.89%
CAT2012-07-252012-07-262012-07-27183.8483.840.00%market11.40%2.67%2.05%0.61%
CCI2012-07-252012-07-262012-07-27159.7659.760.00%market5.26%3.13%2.05%1.08%
CDNS2012-07-252012-07-262012-07-27111.7611.760.00%market5.56%5.26%2.05%3.20%
CLW2012-07-252012-07-262012-07-27136.5936.590.00%market9.41%-4.28%2.05%-6.33%
CNI2012-07-252012-07-262012-07-27143.5643.560.00%market2.74%0.89%2.05%-1.17%
CNO2012-07-252012-07-262012-07-2717.897.890.00%market17.65%1.93%2.05%-0.13%
COP2012-07-252012-07-262012-07-27154.0354.030.00%market4.27%1.64%2.05%-0.41%
CRI2012-07-252012-07-262012-07-27152.2652.260.00%market23.33%-1.04%2.05%-3.09%
CROX2012-07-252012-07-262012-07-27114.8014.800.00%market7.94%6.59%2.05%4.54%
CVLG2012-07-252012-07-262012-07-2712.382.380.00%market480.00%2.84%2.05%0.79%
CYH2012-07-252012-07-262012-07-27125.8825.880.00%market4.49%-3.65%2.05%-5.71%
DAL2012-07-252012-07-262012-07-2719.589.580.00%market1.47%-1.77%2.05%-3.82%
DHX2012-07-252012-07-262012-07-2717.317.310.00%market7.69%6.60%2.05%4.55%
DLR2012-07-252012-07-262012-07-27175.5775.570.00%market194.59%3.19%2.05%1.14%
DRH2012-07-252012-07-262012-07-2719.379.370.00%market185.71%1.29%2.05%-0.77%
EFX2012-07-252012-07-262012-07-27148.8048.800.00%market2.78%-3.67%2.05%-5.72%
EQIX2012-07-252012-07-262012-07-271172.33172.330.00%market21.05%8.27%2.05%6.22%
EQR2012-07-252012-07-262012-07-27164.2564.250.00%market161.54%-2.08%2.05%-4.13%
F2012-07-252012-07-262012-07-2719.059.050.00%market7.14%-0.65%2.05%-2.71%
FBNC2012-07-252012-07-262012-07-2718.928.920.00%market25.00%2.70%2.05%0.65%
FCF2012-07-252012-07-262012-07-2716.916.910.00%market20.00%0.77%2.05%-1.28%
FLEX2012-07-252012-07-262012-07-2716.366.360.00%market4.55%1.94%2.05%-0.11%
FR2012-07-252012-07-262012-07-27112.0912.090.00%market225.00%5.52%2.05%3.47%
GD2012-07-252012-07-262012-07-27162.8562.850.00%market1.72%1.46%2.05%-0.59%
GEN2012-07-252012-07-262012-07-27114.9914.990.00%market126.32%6.17%2.05%4.12%
HMN2012-07-252012-07-262012-07-27118.2018.200.00%market23.08%-3.51%2.05%-5.56%
KALU2012-07-252012-07-262012-07-27151.6051.600.00%market35.90%7.30%2.05%5.25%
KBR2012-07-252012-07-262012-07-27128.5728.570.00%market22.81%-5.18%2.05%-7.23%
KEX2012-07-252012-07-262012-07-27150.0150.010.00%market3.66%9.46%2.05%7.40%
KNX2012-07-252012-07-262012-07-27115.0215.020.00%market3.13%2.30%2.05%0.24%
LAD2012-07-252012-07-262012-07-27127.7127.710.00%market20.63%-0.10%2.05%-2.15%
LLY2012-07-252012-07-262012-07-27143.7243.720.00%market7.79%1.39%2.05%-0.67%
MKTX2012-07-252012-07-262012-07-27130.7930.790.00%market6.25%1.69%2.05%-0.37%
MORN2012-07-252012-07-262012-07-27158.8458.840.00%market5.66%-0.47%2.05%-2.53%
MSI2012-07-252012-07-262012-07-27148.2048.200.00%market1.45%-1.01%2.05%-3.07%
NDAQ2012-07-252012-07-262012-07-2717.767.760.00%market5.00%-0.23%2.05%-2.28%
NOC2012-07-252012-07-262012-07-27165.1665.160.00%market16.77%0.88%2.05%-1.17%
OI2012-07-252012-07-262012-07-27118.6518.650.00%market6.58%-3.75%2.05%-5.80%
OMAB2012-07-252012-07-262012-07-27116.8016.800.00%market26.32%1.09%2.05%-0.96%
ORLY2012-07-252012-07-262012-07-2715.935.930.00%market0.88%-2.12%2.05%-4.18%
PAC2012-07-252012-07-262012-07-27138.2938.290.00%market2.17%3.32%2.05%1.27%
PDS2012-07-252012-07-262012-07-271149.60149.600.00%market50.00%6.32%2.05%4.26%
PEP2012-07-252012-07-262012-07-27170.7270.720.00%market2.75%2.08%2.05%0.02%
PIPR2012-07-252012-07-262012-07-2715.255.250.00%market34.78%1.61%2.05%-0.44%
PTC2012-07-252012-07-262012-07-27119.5619.560.00%market23.33%10.79%2.05%8.74%
REGN2012-07-252012-07-262012-07-271130.21130.210.00%market159.26%5.04%2.05%2.98%
RES2012-07-252012-07-262012-07-27112.9212.920.00%market10.00%7.64%2.05%5.59%
ROK2012-07-252012-07-262012-07-27163.4563.450.00%market1.53%6.91%2.05%4.86%
SCI2012-07-252012-07-262012-07-27112.7212.720.00%market5.88%1.55%2.05%-0.50%
SCL2012-07-252012-07-262012-07-27145.4145.410.00%market0.88%-2.57%2.05%-4.62%
SIGI2012-07-252012-07-262012-07-27117.7517.750.00%market75.25%-2.80%2.05%-4.86%
SLAB2012-07-252012-07-262012-07-27138.4338.430.00%market8.51%-2.10%2.05%-4.16%
SLG2012-07-252012-07-262012-07-27182.8082.800.00%market973.68%-0.33%2.05%-2.38%
SO2012-07-252012-07-262012-07-27147.5347.530.00%market1.47%1.77%2.05%-0.28%
ST2012-07-252012-07-262012-07-27128.1628.160.00%market1.89%3.95%2.05%1.90%
TCBI2012-07-252012-07-262012-07-27141.2041.200.00%market7.04%6.28%2.05%4.23%
TEL2012-07-252012-07-262012-07-27131.9831.980.00%market1.28%3.25%2.05%1.19%
TER2012-07-252012-07-262012-07-27113.8913.890.00%market32.76%7.68%2.05%5.62%
TEX2012-07-252012-07-262012-07-27116.0116.010.00%market55.10%19.51%2.05%17.46%
TMO2012-07-252012-07-262012-07-27154.7554.750.00%market5.17%2.37%2.05%0.31%
TNL2012-07-252012-07-262012-07-27122.8822.880.00%market3.57%3.00%2.05%0.95%
TRN2012-07-252012-07-262012-07-2719.099.090.00%market13.51%11.67%2.05%9.62%
TSCO2012-07-252012-07-262012-07-2718.958.950.00%market4.29%2.58%2.05%0.53%
TSLA2012-07-252012-07-262012-07-2711.991.990.00%market80.43%-1.11%2.05%-3.16%
UMC2012-07-252012-07-262012-07-2712.102.100.00%market33.33%1.33%2.05%-0.72%
WDC2012-07-252012-07-262012-07-27128.7828.780.00%market35.63%4.69%2.05%2.64%
ADC2012-07-262012-07-272012-07-30123.7023.700.00%market42.86%0.11%1.31%-1.20%
ADEA2012-07-262012-07-272012-07-3013.983.980.00%market100.00%0.15%1.31%-1.16%
AGCO2012-07-262012-07-272012-07-30143.9043.900.00%market15.56%0.90%1.31%-0.41%
ALK2012-07-262012-07-272012-07-30117.2917.290.00%market2.67%0.97%1.31%-0.34%
ALKS2012-07-262012-07-272012-07-30118.7718.770.00%market6.25%1.29%1.31%-0.02%
AMGN2012-07-262012-07-272012-07-30180.5180.510.00%market18.83%3.56%1.31%2.26%
AMKR2012-07-262012-07-272012-07-3014.924.920.00%market15.38%4.17%1.31%2.86%
AMZN2012-07-262012-07-272012-07-30111.2611.260.00%market533.33%4.70%1.31%3.39%
ASH2012-07-262012-07-272012-07-30133.2433.240.00%market17.24%5.44%1.31%4.13%
AXON2012-07-262012-07-272012-07-3015.355.350.00%market242.86%1.77%1.31%0.46%
AZN2012-07-262012-07-272012-07-30146.0546.050.00%market13.24%2.09%1.31%0.79%
BALL2012-07-262012-07-272012-07-30120.6120.610.00%market4.65%1.55%1.31%0.24%
BC2012-07-262012-07-272012-07-30120.5120.510.00%market12.50%8.33%1.31%7.03%
BELFB2012-07-262012-07-272012-07-30116.8116.810.00%market33.33%3.17%1.31%1.86%
BHE2012-07-262012-07-272012-07-30115.0115.010.00%market18.52%3.63%1.31%2.32%
BSBR2012-07-262012-07-272012-07-3016.916.910.00%market11.11%7.14%1.31%5.83%
BSX2012-07-262012-07-272012-07-3015.025.020.00%market70.00%2.69%1.31%1.38%
CHH2012-07-262012-07-272012-07-30140.2540.250.00%market5.77%0.67%1.31%-0.64%
CINF2012-07-262012-07-272012-07-30138.1338.130.00%market54.55%0.42%1.31%-0.88%
CME2012-07-262012-07-272012-07-30152.8552.850.00%market8.54%-1.10%1.31%-2.41%
CMPR2012-07-262012-07-272012-07-30130.1330.130.00%market90.48%13.08%1.31%11.77%
CMS2012-07-262012-07-272012-07-30124.6924.690.00%market5.26%0.39%1.31%-0.92%
COLB2012-07-262012-07-272012-07-30118.1218.120.00%market3.45%-0.21%1.31%-1.52%
COLM2012-07-262012-07-272012-07-30125.9325.930.00%market26.67%-1.41%1.31%-2.72%
COR2012-07-262012-07-272012-07-30138.0038.000.00%market2.90%1.29%1.31%-0.01%
DAN2012-07-262012-07-272012-07-30113.0413.040.00%market9.80%1.66%1.31%0.36%
DECK2012-07-262012-07-272012-07-3017.587.580.00%market85.00%-6.17%1.31%-7.48%
DGII2012-07-262012-07-272012-07-3018.508.500.00%market80.00%10.61%1.31%9.30%
DLX2012-07-262012-07-272012-07-30127.5127.510.00%market8.97%2.26%1.31%0.96%
EFOR2012-07-262012-07-272012-07-30116.2116.210.00%market21.74%-2.69%1.31%-4.00%
EFSC2012-07-262012-07-272012-07-30112.1812.180.00%market69.23%4.42%1.31%3.11%
EHC2012-07-262012-07-272012-07-30118.0218.020.00%market8.33%-2.21%1.31%-3.52%
ELME2012-07-262012-07-272012-07-30127.7127.710.00%market12.50%-4.03%1.31%-5.34%
EME2012-07-262012-07-272012-07-30126.4426.440.00%market8.89%-1.01%1.31%-2.32%
EPR2012-07-262012-07-272012-07-30143.0043.000.00%market6.56%6.39%1.31%5.08%
EVR2012-07-262012-07-272012-07-30121.6421.640.00%market2.08%6.00%1.31%4.69%
EXPE2012-07-262012-07-272012-07-30153.6853.680.00%market25.35%4.45%1.31%3.14%
FAF2012-07-262012-07-272012-07-30117.1817.180.00%market54.55%5.90%1.31%4.59%
FET2012-07-262012-07-272012-07-301372.40372.400.00%market3.92%10.53%1.31%9.23%
FRME2012-07-262012-07-272012-07-30112.8812.880.00%market21.74%7.35%1.31%6.05%
GBCI2012-07-262012-07-272012-07-30115.7015.700.00%market8.33%-3.09%1.31%-4.40%
GPI2012-07-262012-07-272012-07-30151.4751.470.00%market7.76%3.84%1.31%2.54%
GPK2012-07-262012-07-272012-07-3015.605.600.00%market22.22%0.61%1.31%-0.69%
GPN2012-07-262012-07-272012-07-30121.5021.500.00%market2.08%1.48%1.31%0.17%
HIW2012-07-262012-07-272012-07-30133.2833.280.00%market233.33%1.67%1.31%0.37%
HSY2012-07-262012-07-272012-07-30171.8671.860.00%market8.20%0.33%1.31%-0.98%
IRM2012-07-262012-07-272012-07-30132.4032.400.00%market10.34%-0.10%1.31%-1.41%
KDP2012-07-262012-07-272012-07-3017.247.240.00%market3.66%1.28%1.31%-0.03%
KLAC2012-07-262012-07-272012-07-3014.874.870.00%market13.74%5.03%1.31%3.73%
KMB2012-07-262012-07-272012-07-30182.2282.220.00%market1.56%2.41%1.31%1.10%
KMT2012-07-262012-07-272012-07-30136.0536.050.00%market4.85%4.09%1.31%2.78%
LEG2012-07-262012-07-272012-07-30122.8322.830.00%market8.33%0.51%1.31%-0.79%
LKQ2012-07-262012-07-272012-07-30117.8117.810.00%market4.76%0.35%1.31%-0.96%
LSTR2012-07-262012-07-272012-07-30148.2348.230.00%market2.70%3.63%1.31%2.32%
MCK2012-07-262012-07-272012-07-30193.2893.280.00%market4.73%-2.92%1.31%-4.23%
MCO2012-07-262012-07-272012-07-30140.3740.370.00%market8.57%0.97%1.31%-0.34%
MED2012-07-262012-07-272012-07-30122.3722.370.00%market24.32%19.39%1.31%18.08%
MHO2012-07-262012-07-272012-07-30117.6217.620.00%market54.55%-2.65%1.31%-3.96%
MMM2012-07-262012-07-272012-07-30176.0376.030.00%market0.61%0.28%1.31%-1.03%
MMSI2012-07-262012-07-272012-07-30113.4013.400.00%market16.67%0.12%1.31%-1.18%
MTH2012-07-262012-07-272012-07-30118.8118.810.00%market242.86%-1.38%1.31%-2.68%
MTX2012-07-262012-07-272012-07-30130.7130.710.00%market9.80%5.27%1.31%3.97%
NEE2012-07-262012-07-272012-07-30117.7317.730.00%market10.34%0.63%1.31%-0.67%
NOV2012-07-262012-07-272012-07-30168.2668.260.00%market4.29%0.62%1.31%-0.69%
NUS2012-07-262012-07-272012-07-30149.0849.080.00%market13.25%3.63%1.31%2.32%
NYT2012-07-262012-07-272012-07-3017.837.830.00%market7.69%-0.36%1.31%-1.66%
ONTO2012-07-262012-07-272012-07-30114.2314.230.00%market116.67%5.73%1.31%4.43%
OSK2012-07-262012-07-272012-07-30122.7622.760.00%market54.72%-1.02%1.31%-2.33%
OXY2012-07-262012-07-272012-07-30184.0984.090.00%market2.50%1.68%1.31%0.38%
PHM2012-07-262012-07-272012-07-30111.9111.910.00%market120.00%-2.70%1.31%-4.01%
PTEN2012-07-262012-07-272012-07-30115.7815.780.00%market11.36%0.85%1.31%-0.46%
RS2012-07-262012-07-272012-07-30148.4248.420.00%market1.41%3.62%1.31%2.31%
RSG2012-07-262012-07-272012-07-30127.4327.430.00%market20.41%4.02%1.31%2.71%
RTX2012-07-262012-07-272012-07-30143.3243.320.00%market14.89%1.98%1.31%0.67%
RYN2012-07-262012-07-272012-07-30134.9934.990.00%market12.50%0.61%1.31%-0.69%
SHOO2012-07-262012-07-272012-07-30117.4717.470.00%market7.14%1.50%1.31%0.20%
SIMO2012-07-262012-07-272012-07-30114.6014.600.00%market2.44%5.86%1.31%4.55%
SPGI2012-07-262012-07-272012-07-30146.4946.490.00%market11.84%0.87%1.31%-0.44%
STC2012-07-262012-07-272012-07-30115.4215.420.00%market191.67%7.10%1.31%5.79%
SUI2012-07-262012-07-272012-07-30146.0846.080.00%market50.00%0.33%1.31%-0.97%
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MMS2012-08-072012-08-082012-08-09126.5026.500.00%market10.71%0.16%0.54%-0.38%
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NXST2012-08-072012-08-082012-08-0918.208.200.00%market26.09%1.12%0.54%0.58%
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SIRI2012-08-072012-08-082012-08-09122.8022.800.00%market4.88%5.16%0.54%4.62%
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