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 37: 500 of 83,634)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ReturnBenchmarkAbnormal
DXC2012-08-082012-08-092012-08-10114.7014.700.00%market63.64%5.78%0.39%5.39%
ENS2012-08-082012-08-092012-08-10136.7436.740.00%market6.74%3.93%0.39%3.54%
FOR2012-08-082012-08-092012-08-10112.0512.050.00%market333.44%-0.51%0.39%-0.91%
FTK2012-08-082012-08-092012-08-10165.1065.100.00%market25.00%8.38%0.39%7.99%
GLP2012-08-082012-08-092012-08-10123.4723.470.00%market230.00%-0.23%0.39%-0.62%
HII2012-08-082012-08-092012-08-10140.6340.630.00%market44.93%-0.49%0.39%-0.89%
IFF2012-08-082012-08-092012-08-10161.5561.550.00%market4.85%-0.29%0.39%-0.69%
LUMN2012-08-082012-08-092012-08-10142.4642.460.00%market4.84%0.65%0.39%0.26%
LXU2012-08-082012-08-092012-08-10127.4527.450.00%market21.43%4.55%0.39%4.16%
M2012-08-082012-08-092012-08-10137.8437.840.00%market4.69%0.32%0.39%-0.07%
MBI2012-08-082012-08-092012-08-1019.829.820.00%market1886.67%5.91%0.39%5.52%
MIDD2012-08-082012-08-092012-08-10128.1628.160.00%market19.15%8.28%0.39%7.89%
MKL2012-08-082012-08-092012-08-101434.51434.510.00%market121.69%-0.44%0.39%-0.83%
NNI2012-08-082012-08-092012-08-10123.8023.800.00%market12.38%-0.18%0.39%-0.58%
NRG2012-08-082012-08-092012-08-10120.1720.170.00%market620.00%3.32%0.39%2.93%
PDFS2012-08-082012-08-092012-08-10110.5010.500.00%market29.41%3.04%0.39%2.65%
PPL2012-08-082012-08-092012-08-10127.2627.260.00%market24.39%1.73%0.39%1.34%
PRIM2012-08-082012-08-092012-08-10113.6813.680.00%market4.55%-4.12%0.39%-4.51%
RL2012-08-082012-08-092012-08-101148.45148.450.00%market14.04%1.05%0.39%0.66%
SKYW2012-08-082012-08-092012-08-1018.078.070.00%market135.71%1.63%0.39%1.24%
SLF2012-08-082012-08-092012-08-10121.5421.540.00%market4.89%2.69%0.39%2.29%
STRL2012-08-082012-08-092012-08-10110.7810.780.00%market150.00%-5.48%0.39%-5.87%
TDW2012-08-082012-08-092012-08-1011,610.321,610.320.00%market6.40%0.46%0.39%0.07%
UHAL2012-08-082012-08-092012-08-1019.459.450.00%market3.99%-3.21%0.39%-3.60%
VPG2012-08-082012-08-092012-08-10113.4213.420.00%market10.53%-0.99%0.39%-1.39%
ACCO2012-08-092012-08-102012-08-1317.287.280.00%market30.00%-4.22%0.52%-4.74%
AGO2012-08-092012-08-102012-08-13112.2812.280.00%market24.49%5.03%0.52%4.51%
AIT2012-08-092012-08-102012-08-13141.3741.370.00%market5.63%-2.32%0.52%-2.85%
AX2012-08-092012-08-102012-08-1315.755.750.00%market23.08%-3.19%0.52%-3.71%
BDC2012-08-092012-08-102012-08-13135.6635.660.00%market26.03%-2.46%0.52%-2.98%
BR2012-08-092012-08-102012-08-13121.8221.820.00%market3.09%1.60%0.52%1.07%
CECO2012-08-092012-08-102012-08-1313.683.680.00%market7.14%-5.81%0.52%-6.33%
EAT2012-08-092012-08-102012-08-13134.1634.160.00%market5.17%-1.42%0.52%-1.94%
EFXT2012-08-092012-08-102012-08-13111.0711.070.00%market25.00%-0.10%0.52%-0.62%
FUN2012-08-092012-08-102012-08-13132.0532.050.00%market90.00%-0.22%0.52%-0.75%
GSAT2012-08-092012-08-102012-08-1315.395.390.00%market20.00%-9.38%0.52%-9.90%
INN2012-08-092012-08-102012-08-1317.997.990.00%market300.00%2.78%0.52%2.26%
KRO2012-08-092012-08-102012-08-13118.6418.640.00%market36.36%-1.12%0.52%-1.64%
KSS2012-08-092012-08-102012-08-13150.9750.970.00%market4.17%-0.77%0.52%-1.29%
MGA2012-08-092012-08-102012-08-13121.6021.600.00%market15.62%2.49%0.52%1.97%
MPT2012-08-092012-08-102012-08-1319.709.700.00%market69.23%1.65%0.52%1.13%
NJR2012-08-092012-08-102012-08-13122.6022.600.00%market50.02%-0.28%0.52%-0.80%
NKTR2012-08-092012-08-102012-08-131124.50124.500.00%market11.76%-1.55%0.52%-2.07%
OSIS2012-08-092012-08-102012-08-13171.3071.300.00%market18.75%2.97%0.52%2.45%
POST2012-08-092012-08-102012-08-13121.1021.100.00%market24.39%-6.26%0.52%-6.78%
RDNT2012-08-092012-08-102012-08-1312.512.510.00%market14.29%5.88%0.52%5.35%
SSNC2012-08-092012-08-102012-08-13111.0011.000.00%market6.25%4.08%0.52%3.56%
TK2012-08-092012-08-102012-08-13131.8231.820.00%market43.18%-0.07%0.52%-0.59%
TNK2012-08-092012-08-102012-08-13132.4832.480.00%market799.89%1.62%0.52%1.10%
TSEM2012-08-092012-08-102012-08-1318.838.830.00%market215.15%-10.52%0.52%-11.04%
UI2012-08-092012-08-102012-08-1318.958.950.00%market3.45%-6.92%0.52%-7.44%
WPM2012-08-092012-08-102012-08-13130.4830.480.00%market8.11%0.56%0.52%0.03%
BBAR2012-08-102012-08-132012-08-1433.843.840.00%market36.67%-3.22%0.14%-3.36%
CLDX2012-08-102012-08-132012-08-14368.2568.250.00%market8.97%3.86%0.14%3.72%
AMPY2012-08-132012-08-142012-08-15165.4565.450.00%market233.33%-4.91%-0.24%-4.67%
GSL2012-08-132012-08-142012-08-15125.0425.040.00%market23.08%-2.02%-0.24%-1.78%
IAG2012-08-132012-08-142012-08-15111.3411.340.00%market5.26%-0.10%-0.24%0.14%
SYY2012-08-132012-08-142012-08-15130.1930.190.00%market1.85%1.42%-0.24%1.66%
AXGN2012-08-142012-08-152012-08-1612.952.950.00%market11.11%4.98%0.96%4.02%
BTE2012-08-142012-08-152012-08-16145.2445.240.00%market92.54%3.57%0.96%2.61%
CPRI2012-08-142012-08-152012-08-16149.9349.930.00%market70.00%-0.90%0.96%-1.86%
DKS2012-08-142012-08-152012-08-16148.7048.700.00%market1.56%4.13%0.96%3.17%
EL2012-08-142012-08-152012-08-16159.4759.470.00%market6.25%2.96%0.96%2.00%
HD2012-08-142012-08-152012-08-16154.7554.750.00%market4.12%2.75%0.96%1.79%
JKHY2012-08-142012-08-152012-08-16136.6736.670.00%market8.70%1.07%0.96%0.11%
PLAB2012-08-142012-08-152012-08-1615.915.910.00%market6.67%6.84%0.96%5.88%
SID2012-08-142012-08-152012-08-1615.155.150.00%market375.00%3.78%0.96%2.82%
SLS2012-08-142012-08-152012-08-16147,400.0047,400.000.00%market95.63%8.76%0.96%7.80%
TJX2012-08-142012-08-152012-08-16122.5022.500.00%market3.70%0.34%0.96%-0.62%
VIAV2012-08-142012-08-152012-08-1616.426.420.00%market25.00%4.77%0.96%3.81%
AMAT2012-08-152012-08-162012-08-17111.3411.340.00%market9.09%5.72%0.73%4.99%
ANF2012-08-152012-08-162012-08-17135.3035.300.00%market11.76%1.68%0.73%0.95%
BBWI2012-08-152012-08-162012-08-17136.5336.530.00%market4.17%2.61%0.73%1.88%
CACI2012-08-152012-08-162012-08-17156.0056.000.00%market6.00%-6.96%0.73%-7.69%
CSCO2012-08-152012-08-162012-08-17118.6318.630.00%market2.22%2.21%0.73%1.48%
NTAP2012-08-152012-08-162012-08-17133.0433.040.00%market10.53%1.17%0.73%0.44%
SA2012-08-152012-08-162012-08-17114.9614.960.00%market16.67%0.17%0.73%-0.56%
TGT2012-08-152012-08-162012-08-17164.4464.440.00%market4.95%-0.57%0.73%-1.30%
VEON2012-08-152012-08-162012-08-171256.00256.000.00%market3.45%5.37%0.73%4.64%
CATO2012-08-162012-08-172012-08-20129.8829.880.00%market3.51%-1.47%-0.03%-1.44%
DLTR2012-08-162012-08-172012-08-20149.2049.200.00%market8.51%-1.18%-0.03%-1.15%
GGAL2012-08-162012-08-172012-08-2015.005.000.00%market15.09%-2.50%-0.03%-2.47%
GME2012-08-162012-08-172012-08-2014.504.500.00%market7.87%8.12%-0.03%8.15%
PRGO2012-08-162012-08-172012-08-201109.00109.000.00%market1.59%-0.43%-0.03%-0.40%
ROST2012-08-162012-08-172012-08-20134.3634.360.00%market2.50%1.33%-0.03%1.35%
VNET2012-08-162012-08-172012-08-2019.669.660.00%market1.69%-7.45%-0.03%-7.42%
WMT2012-08-162012-08-172012-08-20124.1424.140.00%market1.03%-0.27%-0.03%-0.24%
DQ2012-08-172012-08-202012-08-2130.990.990.00%market31.03%-3.13%-0.15%-2.98%
SJM2012-08-172012-08-202012-08-21383.1683.160.00%market17.00%1.05%-0.15%1.21%
FN2012-08-202012-08-212012-08-22113.7213.720.00%market19.23%-7.75%-0.51%-7.25%
NDSN2012-08-202012-08-212012-08-22160.5060.500.00%market7.07%1.21%-0.51%1.71%
URBN2012-08-202012-08-212012-08-22136.9136.910.00%market27.27%0.66%-0.51%1.16%
DBI2012-08-212012-08-222012-08-23132.1832.180.00%market6.45%-0.35%-0.52%0.17%
HEI2012-08-222012-08-232012-08-24114.9514.950.00%market5.88%-2.91%0.03%-2.94%
HPQ2012-08-222012-08-232012-08-2418.198.190.00%market2.04%-2.66%0.03%-2.69%
SNPS2012-08-222012-08-232012-08-24133.6933.690.00%market10.00%-1.32%0.03%-1.35%
TLYS2012-08-222012-08-232012-08-24116.7516.750.00%market42.86%12.74%0.03%12.71%
TOL2012-08-222012-08-232012-08-24132.8132.810.00%market44.44%-0.77%0.03%-0.80%
MZTI2012-08-232012-08-242012-08-27172.5372.530.00%market20.25%0.47%0.88%-0.41%
SIG2012-08-232012-08-242012-08-27146.6746.670.00%market2.41%-1.75%0.88%-2.63%
TTC2012-08-232012-08-242012-08-27118.7818.780.00%market9.68%-0.21%0.88%-1.08%
PVH2012-08-272012-08-282012-08-29193.1793.170.00%market4.17%0.60%0.23%0.36%
BMO2012-08-282012-08-292012-08-30159.0059.000.00%market6.43%-1.88%-0.73%-1.15%
BNS2012-08-282012-08-292012-08-30153.6553.650.00%market2.50%-1.89%-0.73%-1.16%
CAL2012-08-282012-08-292012-08-30114.1514.150.00%market433.33%4.71%-0.73%5.43%
MOV2012-08-282012-08-292012-08-30134.3634.360.00%market66.67%1.68%-0.73%2.40%
SFL2012-08-282012-08-292012-08-30116.1916.190.00%market121.05%-1.71%-0.73%-0.98%
SQM2012-08-282012-08-292012-08-30161.3361.330.00%market15.87%-0.34%-0.73%0.38%
SXI2012-08-282012-08-292012-08-30144.7044.700.00%market12.09%-0.08%-0.73%0.65%
BF-B2012-08-292012-08-302012-08-31125.5325.530.00%market12.00%0.33%0.18%0.15%
CHT2012-08-292012-08-302012-08-31129.9429.940.00%market16.67%0.23%0.18%0.05%
GCO2012-08-292012-08-302012-08-31171.6171.610.00%market85.19%-1.44%0.18%-1.63%
GEF2012-08-292012-08-302012-08-31140.5640.560.00%market4.17%9.61%0.18%9.43%
OXM2012-08-292012-08-302012-08-31149.6049.600.00%market3.17%9.84%0.18%9.65%
CM2012-08-302012-08-312012-09-04138.3538.350.00%market5.05%0.66%-0.18%0.84%
LDOS2012-08-302012-08-312012-09-04134.0934.090.00%market3.82%-2.59%-0.18%-2.41%
MEI2012-08-302012-08-312012-09-0419.509.500.00%market900.00%0.11%-0.18%0.29%
RY2012-08-302012-08-312012-09-04155.9055.900.00%market9.17%-0.51%-0.18%-0.33%
TD2012-08-302012-08-312012-09-04140.8840.880.00%market5.49%-0.52%-0.18%-0.33%
CPB2012-09-042012-09-052012-09-06135.1435.140.00%market7.89%0.01%1.90%-1.89%
GWRE2012-09-042012-09-052012-09-06132.9432.940.00%market163.16%-3.01%1.90%-4.91%
DG2012-09-052012-09-062012-09-07151.5951.590.00%market1.56%-3.47%1.81%-5.29%
HRB2012-09-052012-09-062012-09-07116.4016.400.00%market2.56%-0.53%1.81%-2.34%
KFY2012-09-052012-09-062012-09-07115.5015.500.00%market22.22%-3.07%1.81%-4.88%
COO2012-09-062012-09-072012-09-10123.2923.290.00%market12.40%-0.27%-0.35%0.08%
DSGX2012-09-062012-09-072012-09-1018.498.490.00%market7.14%2.37%-0.35%2.72%
HOV2012-09-062012-09-072012-09-10178.2578.250.00%market84.33%5.65%-0.35%6.00%
ULTA2012-09-062012-09-072012-09-101102.75102.750.00%market5.88%-2.59%-0.35%-2.24%
KR2012-09-072012-09-102012-09-11311.4011.400.00%market4.00%2.53%-0.19%2.73%
LULU2012-09-072012-09-102012-09-11377.0077.000.00%market9.68%-0.76%-0.19%-0.57%
CASY2012-09-102012-09-112012-09-12160.0060.000.00%market6.32%-2.03%0.55%-2.58%
FIVE2012-09-102012-09-112012-09-12133.0033.000.00%market424.93%1.42%0.55%0.87%
LRN2012-09-122012-09-132012-09-14123.1023.100.00%market266.57%-6.38%1.99%-8.37%
FDX2012-09-182012-09-192012-09-20169.6669.660.00%market3.57%-1.65%-0.05%-1.60%
AIR2012-09-192012-09-202012-09-21117.7217.720.00%market15.38%-6.03%-0.11%-5.92%
AZO2012-09-192012-09-202012-09-211376.67376.670.00%market0.71%-1.46%-0.11%-1.35%
GIS2012-09-192012-09-202012-09-21140.0840.080.00%market6.45%0.45%-0.11%0.56%
CAG2012-09-202012-09-212012-09-24121.2321.230.00%market22.22%0.28%-0.68%0.95%
DRI2012-09-212012-09-242012-09-25350.3950.390.00%market2.38%-0.85%-0.72%-0.13%
KBH2012-09-212012-09-242012-09-25315.0715.070.00%market125.00%-4.48%-0.72%-3.76%
PKE2012-09-212012-09-242012-09-25326.5826.580.00%market3.70%-3.37%-0.72%-2.65%
LEN2012-09-242012-09-252012-09-26136.8336.830.00%market25.93%-6.05%-1.83%-4.22%
PAYX2012-09-242012-09-252012-09-26133.1333.130.00%market2.44%0.02%-1.83%1.85%
CCL2012-09-252012-09-262012-09-27137.4637.460.00%market6.99%-2.66%0.40%-3.06%
CPRT2012-09-252012-09-262012-09-2713.593.590.00%market12.50%-3.44%0.40%-3.84%
EBF2012-09-252012-09-262012-09-27116.3916.390.00%market7.41%1.91%0.40%1.52%
FDS2012-09-252012-09-262012-09-27197.2497.240.00%market1.89%0.19%0.40%-0.21%
MTN2012-09-252012-09-262012-09-27158.0258.020.00%market3.85%-0.20%0.40%-0.60%
PRGS2012-09-262012-09-272012-09-28120.0820.080.00%market29.17%6.42%0.06%6.37%
THO2012-09-262012-09-272012-09-28137.2537.250.00%market9.09%-2.60%0.06%-2.65%
AZZ2012-09-272012-09-282012-10-01139.3539.350.00%market19.23%-5.44%0.18%-5.62%
BB2012-09-272012-09-282012-10-0118.208.200.00%market41.30%-4.25%0.18%-4.43%
EPAC2012-09-272012-09-282012-10-01128.8028.800.00%market1.85%-0.27%0.18%-0.45%
MKC2012-09-272012-09-282012-10-01130.8830.880.00%market2.63%1.16%0.18%0.98%
MKC-V2012-09-272012-09-282012-10-01130.5630.560.00%market2.63%1.96%0.18%1.78%
NKE2012-09-272012-09-282012-10-01123.2623.260.00%market10.71%2.61%0.18%2.43%
WOR2012-09-272012-09-282012-10-01113.5113.510.00%market6.38%-0.84%0.18%-1.02%
CALM2012-10-012012-10-022012-10-03123.0323.030.00%market11.11%-0.40%0.12%-0.52%
MAR2012-10-032012-10-042012-10-05139.8839.880.00%market10.00%-4.09%0.34%-4.43%
STZ2012-10-052012-10-082012-10-09336.3636.360.00%market31.48%-4.45%-0.96%-3.48%
YUM2012-10-092012-10-102012-10-11150.4650.460.00%market2.06%-0.46%-0.57%0.11%
COST2012-10-102012-10-112012-10-121101.83101.830.00%market6.11%-4.30%-0.96%-3.34%
PGR2012-10-102012-10-112012-10-12122.2022.200.00%market7.69%-0.10%-0.96%0.86%
OZK2012-10-112012-10-122012-10-15116.9316.930.00%market3.70%-4.29%0.43%-4.73%
JPM2012-10-122012-10-152012-10-16341.9141.910.00%market15.70%2.10%1.61%0.48%
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KOF2012-10-242012-10-252012-10-261132.68132.680.00%market11.57%-3.68%-0.47%-3.21%
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