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 39: 500 of 83,634)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ReturnBenchmarkAbnormal
WOR2013-01-032013-01-042013-01-07116.1916.190.00%market9.76%4.59%0.00%4.59%
MOS2013-01-042013-01-072013-01-08358.2458.240.00%market12.90%0.29%-0.21%0.50%
CMC2013-01-072013-01-082013-01-09116.0116.010.00%market64.71%-4.16%0.14%-4.30%
TISI2013-01-072013-01-082013-01-091387.20387.200.00%market10.00%11.68%0.14%11.53%
GPN2013-01-082013-01-092013-01-10125.0925.090.00%market9.30%-2.25%0.83%-3.08%
HWM2013-01-082013-01-092013-01-10119.4219.420.00%market5.88%-3.96%0.83%-4.79%
LNN2013-01-082013-01-092013-01-10186.5786.570.00%market53.33%4.64%0.83%3.81%
WDFC2013-01-082013-01-092013-01-10151.7451.740.00%market23.21%-1.20%0.83%-2.03%
AZZ2013-01-092013-01-102013-01-11140.3940.390.00%market5.26%1.26%0.23%1.03%
GBX2013-01-092013-01-102013-01-11118.0518.050.00%market12.90%-3.48%0.23%-3.71%
PSMT2013-01-092013-01-102013-01-11181.5981.590.00%market6.45%-3.38%0.23%-3.62%
STZ2013-01-092013-01-102013-01-11136.3336.330.00%market14.55%-2.03%0.23%-2.26%
SNX2013-01-102013-01-112013-01-14118.0318.030.00%market11.54%-1.65%-0.05%-1.61%
INFY2013-01-112013-01-142013-01-1536.446.440.00%market11.11%-1.03%0.12%-1.15%
WFC2013-01-132013-01-142013-01-15134.9934.990.00%market3.41%0.24%0.12%0.12%
SAR2013-01-142013-01-152013-01-16115.5015.500.00%market28.57%4.03%0.52%3.51%
LEN2013-01-152013-01-162013-01-17140.7540.750.00%market27.27%2.82%0.84%1.98%
PNFP2013-01-152013-01-162013-01-17119.2919.290.00%market3.03%9.08%0.84%8.24%
WAFD2013-01-152013-01-162013-01-17117.3117.310.00%market3.13%0.07%0.84%-0.76%
AAL2013-01-162013-01-172013-01-18114.8314.830.00%market55.77%-2.73%0.43%-3.16%
EBAY2013-01-162013-01-172013-01-18122.7822.780.00%market1.45%0.08%0.43%-0.35%
FUL2013-01-162013-01-172013-01-18136.6336.630.00%market14.29%7.79%0.43%7.36%
GS2013-01-162013-01-172013-01-181140.89140.890.00%market48.15%2.43%0.43%2.00%
JPM2013-01-162013-01-172013-01-18146.4046.400.00%market19.83%0.03%0.43%-0.40%
OZK2013-01-162013-01-172013-01-18117.3517.350.00%market7.14%2.49%0.43%2.07%
SLM2013-01-162013-01-172013-01-1816.116.110.00%market3.77%-1.41%0.43%-1.84%
APH2013-01-172013-01-182013-01-2218.528.520.00%market9.09%-0.57%0.78%-1.35%
AXP2013-01-172013-01-182013-01-22159.8759.870.00%market0.93%-0.89%0.78%-1.67%
BAC2013-01-172013-01-182013-01-22111.2611.260.00%market34.71%0.70%0.78%-0.08%
FITB2013-01-172013-01-182013-01-22116.4416.440.00%market4.88%0.26%0.78%-0.52%
HBAN2013-01-172013-01-182013-01-2217.077.070.00%market11.76%0.04%0.78%-0.74%
IIIN2013-01-172013-01-182013-01-22113.6313.630.00%market254.51%1.00%0.78%0.22%
INTC2013-01-172013-01-182013-01-22121.3621.360.00%market6.67%-0.99%0.78%-1.77%
NTCT2013-01-172013-01-182013-01-22125.3525.350.00%market2.86%0.29%0.78%-0.49%
PNC2013-01-172013-01-182013-01-22162.2662.260.00%market8.23%-0.32%0.78%-1.11%
TFC2013-01-172013-01-182013-01-22131.1731.170.00%market1.43%-1.13%0.78%-1.91%
UNH2013-01-172013-01-182013-01-22154.4054.400.00%market0.84%2.88%0.78%2.09%
WTFC2013-01-172013-01-182013-01-22138.1738.170.00%market3.39%-0.70%0.78%-1.49%
GE2013-01-182013-01-222013-01-234106.14106.140.00%market2.03%-1.18%0.70%-1.88%
MS2013-01-182013-01-222013-01-23422.1322.130.00%market66.67%2.34%0.70%1.64%
PH2013-01-182013-01-222013-01-23493.2693.260.00%market7.21%-0.33%0.70%-1.03%
SLB2013-01-182013-01-222013-01-23476.5776.570.00%market0.93%1.99%0.70%1.29%
STT2013-01-182013-01-222013-01-23453.4253.420.00%market11.00%3.48%0.70%2.77%
ALB2013-01-222013-01-232013-01-24165.7365.730.00%market18.18%-5.61%0.19%-5.80%
AMD2013-01-222013-01-232013-01-2412.622.620.00%market30.00%6.39%0.19%6.20%
CLS2013-01-222013-01-232013-01-2418.648.640.00%market38.89%-3.80%0.19%-3.99%
ETD2013-01-222013-01-232013-01-24130.0030.000.00%market5.41%-7.40%0.19%-7.59%
FCX2013-01-222013-01-232013-01-24135.1635.160.00%market11.43%-1.55%0.19%-1.74%
IBM2013-01-222013-01-232013-01-241194.55194.550.00%market2.67%0.35%0.19%0.16%
ISRG2013-01-222013-01-232013-01-24162.8562.850.00%market4.44%2.62%0.19%2.43%
JNJ2013-01-222013-01-232013-01-24172.5272.520.00%market1.71%0.70%0.19%0.51%
NSC2013-01-222013-01-232013-01-24167.0167.010.00%market9.24%4.11%0.19%3.92%
SMCI2013-01-222013-01-232013-01-2411.151.150.00%market28.53%8.60%0.19%8.41%
TAL2013-01-222013-01-232013-01-2411.481.480.00%market135.57%-2.13%0.19%-2.31%
TRV2013-01-222013-01-232013-01-24178.0678.060.00%market414.29%-0.06%0.19%-0.25%
TXN2013-01-222013-01-232013-01-24133.2533.250.00%market5.88%-0.58%0.19%-0.77%
WAT2013-01-222013-01-232013-01-24191.0791.070.00%market0.63%-0.23%0.19%-0.42%
AAPL2013-01-232013-01-242013-01-25116.4316.430.00%market2.08%-4.48%0.74%-5.22%
ABBV2013-01-232013-01-242013-01-25137.7937.790.00%market1.01%-0.60%0.74%-1.34%
ABT2013-01-232013-01-242013-01-25132.6532.650.00%market1.33%0.33%0.74%-0.41%
APD2013-01-232013-01-242013-01-25181.4381.430.00%market0.78%0.22%0.74%-0.52%
BKR2013-01-232013-01-242013-01-25131.6831.680.00%market1.64%0.69%0.74%-0.05%
CCI2013-01-232013-01-242013-01-25174.9174.910.00%market57.14%-2.05%0.74%-2.79%
CHKP2013-01-232013-01-242013-01-25148.2848.280.00%market3.41%2.10%0.74%1.36%
CMRE2013-01-232013-01-242013-01-25111.5011.500.00%market10.34%-1.23%0.74%-1.97%
CNS2013-01-232013-01-242013-01-25132.7332.730.00%market16.67%0.63%0.74%-0.10%
ELV2013-01-232013-01-242013-01-25164.6164.610.00%market8.42%2.31%0.74%1.58%
FCFS2013-01-232013-01-242013-01-25151.4351.430.00%market2.20%4.10%0.74%3.36%
FNB2013-01-232013-01-242013-01-25111.2911.290.00%market4.55%1.49%0.74%0.76%
GEN2013-01-232013-01-242013-01-25121.2021.200.00%market18.42%4.29%0.74%3.55%
J2013-01-232013-01-242013-01-25138.4638.460.00%market1.33%4.11%0.74%3.37%
KNX2013-01-232013-01-242013-01-25116.1716.170.00%market47.22%2.19%0.74%1.45%
MCD2013-01-232013-01-242013-01-25193.5893.580.00%market3.76%0.05%0.74%-0.69%
MSI2013-01-232013-01-242013-01-25158.4258.420.00%market7.84%0.21%0.74%-0.53%
NFLX2013-01-232013-01-242013-01-2512.062.060.00%market203.49%17.38%0.74%16.64%
PTC2013-01-232013-01-242013-01-25122.6922.690.00%market9.09%2.24%0.74%1.50%
RES2013-01-232013-01-242013-01-25114.2614.260.00%market8.33%1.93%0.74%1.20%
RLI2013-01-232013-01-242013-01-25117.3517.350.00%market100.00%-2.52%0.74%-3.26%
RTX2013-01-232013-01-242013-01-25151.9151.910.00%market0.97%1.92%0.74%1.19%
SYK2013-01-232013-01-242013-01-25162.0162.010.00%market1.79%2.38%0.74%1.65%
TEL2013-01-232013-01-242013-01-25139.2539.250.00%market1.56%0.46%0.74%-0.28%
TER2013-01-232013-01-242013-01-25115.9015.900.00%market1213.32%4.05%0.74%3.31%
URI2013-01-232013-01-242013-01-25149.1949.190.00%market23.30%3.82%0.74%3.09%
WDC2013-01-232013-01-242013-01-25135.7035.700.00%market14.84%1.66%0.74%0.93%
AME2013-01-242013-01-252013-01-28141.4641.460.00%market2.08%-1.23%0.13%-1.36%
AOS2013-01-242013-01-252013-01-28117.3817.380.00%market15.00%0.94%0.13%0.81%
AVT2013-01-242013-01-252013-01-28134.9134.910.00%market21.69%1.25%0.13%1.12%
BC2013-01-242013-01-252013-01-28135.1835.180.00%market125.00%3.23%0.13%3.10%
BMY2013-01-242013-01-252013-01-28135.8635.860.00%market9.30%1.43%0.13%1.31%
BPOP2013-01-242013-01-252013-01-28126.0626.060.00%market58.82%1.55%0.13%1.42%
CRUS2013-01-242013-01-252013-01-28127.7827.780.00%market16.31%3.79%0.13%3.66%
DGII2013-01-242013-01-252013-01-2819.489.480.00%market17.65%0.32%0.13%0.20%
DLX2013-01-242013-01-252013-01-28136.3436.340.00%market11.76%4.80%0.13%4.67%
DOV2013-01-242013-01-252013-01-28145.0645.060.00%market1.87%0.30%0.13%0.17%
EQT2013-01-242013-01-252013-01-28133.3033.300.00%market11.63%-1.69%0.13%-1.82%
FHI2013-01-242013-01-252013-01-28123.0423.040.00%market10.00%0.51%0.13%0.38%
FLEX2013-01-242013-01-252013-01-2816.106.100.00%market10.00%2.03%0.13%1.90%
GATX2013-01-242013-01-252013-01-28146.1946.190.00%market3.70%1.70%0.13%1.57%
GBCI2013-01-242013-01-252013-01-28115.4315.430.00%market3.57%1.78%0.13%1.65%
JBHT2013-01-242013-01-252013-01-28167.6067.600.00%market1.45%0.11%0.13%-0.02%
KEY2013-01-242013-01-252013-01-2819.269.260.00%market4.76%-0.75%0.13%-0.87%
LMT2013-01-242013-01-252013-01-28193.2493.240.00%market4.95%-4.30%0.13%-4.43%
LPL2013-01-242013-01-252013-01-28112.8612.860.00%market2.63%0.21%0.13%0.08%
LSCC2013-01-242013-01-252013-01-2814.454.450.00%market66.67%4.62%0.13%4.49%
LUV2013-01-242013-01-252013-01-28111.4611.460.00%market12.50%-0.36%0.13%-0.49%
MSFT2013-01-242013-01-252013-01-28127.5827.580.00%market1.33%1.10%0.13%0.97%
NOK2013-01-242013-01-252013-01-2814.214.210.00%market33.33%0.85%0.13%0.72%
NVR2013-01-242013-01-252013-01-281996.11996.110.00%market8.12%2.70%0.13%2.57%
OSIS2013-01-242013-01-252013-01-28157.7857.780.00%market4.48%3.02%0.13%2.89%
OTEX2013-01-242013-01-252013-01-28114.1614.160.00%market17.65%5.62%0.13%5.49%
RMBS2013-01-242013-01-252013-01-2815.205.200.00%market158.33%7.40%0.13%7.27%
RMD2013-01-242013-01-252013-01-28146.8646.860.00%market5.88%3.12%0.13%3.00%
RYN2013-01-242013-01-252013-01-28140.6340.630.00%market1.72%-3.67%0.13%-3.80%
SWK2013-01-242013-01-252013-01-28177.3077.300.00%market3.79%-1.03%0.13%-1.16%
SYNA2013-01-242013-01-252013-01-28137.3437.340.00%market15.22%-4.33%0.13%-4.46%
TDY2013-01-242013-01-252013-01-28171.9271.920.00%market8.33%-2.77%0.13%-2.90%
TKR2013-01-242013-01-252013-01-28137.5137.510.00%market29.03%-0.26%0.13%-0.39%
UNP2013-01-242013-01-252013-01-28167.2767.270.00%market1.85%-1.33%0.13%-1.46%
VRSN2013-01-242013-01-252013-01-28140.9840.980.00%market15.69%4.54%0.13%4.41%
HAL2013-01-252013-01-282013-01-29340.1540.150.00%market5.00%1.72%0.25%1.47%
KMB2013-01-252013-01-282013-01-29382.8782.870.00%market0.74%1.84%0.25%1.60%
OSK2013-01-252013-01-282013-01-29340.2440.240.00%market93.55%0.07%0.25%-0.17%
PB2013-01-252013-01-282013-01-29344.6844.680.00%market1.19%1.42%0.25%1.18%
PG2013-01-252013-01-282013-01-29373.7373.730.00%market9.91%1.62%0.25%1.38%
WY2013-01-252013-01-282013-01-29330.8930.890.00%market23.81%-1.10%0.25%-1.35%
BZH2013-01-282013-01-292013-01-30118.3918.390.00%market24.27%1.10%0.20%0.90%
CE2013-01-282013-01-292013-01-30147.9447.940.00%market6.35%-1.64%0.20%-1.84%
ELS2013-01-282013-01-292013-01-30118.0418.040.00%market55.56%0.68%0.20%0.48%
FIBK2013-01-282013-01-292013-01-30116.5216.520.00%market5.71%2.62%0.20%2.42%
GGG2013-01-282013-01-292013-01-30119.0019.000.00%market15.00%0.01%0.20%-0.20%
HOPE2013-01-282013-01-292013-01-30112.2712.270.00%market7.69%-0.34%0.20%-0.54%
ILMN2013-01-282013-01-292013-01-30149.5149.510.00%market2.44%-0.24%0.20%-0.44%
JJSF2013-01-282013-01-292013-01-30167.0067.000.00%market22.73%0.50%0.20%0.30%
OLN2013-01-282013-01-292013-01-30121.7921.790.00%market22.86%3.30%0.20%3.10%
ROP2013-01-282013-01-292013-01-301118.58118.580.00%market1.37%-0.83%0.20%-1.03%
RYAAY2013-01-282013-01-292013-01-30116.4216.420.00%market200.00%-0.71%0.20%-0.91%
STLD2013-01-282013-01-292013-01-30115.2715.270.00%market42.86%-1.08%0.20%-1.28%
STX2013-01-282013-01-292013-01-30135.1435.140.00%market8.66%-3.66%0.20%-3.86%
WRB2013-01-282013-01-292013-01-30112.1912.190.00%market26.67%-1.08%0.20%-1.28%
ZION2013-01-282013-01-292013-01-30122.9722.970.00%market15.79%2.38%0.20%2.18%
ABCB2013-01-292013-01-302013-01-31113.1513.150.00%market114.29%0.74%-0.62%1.36%
AMG2013-01-292013-01-302013-01-311145.71145.710.00%market4.94%-1.32%-0.62%-0.70%
ARLP2013-01-292013-01-302013-01-31132.0032.000.00%market42.42%-0.10%-0.62%0.52%
BKU2013-01-292013-01-302013-01-31126.9126.910.00%market58.33%-0.14%-0.62%0.49%
BSX2013-01-292013-01-302013-01-3117.127.120.00%market63.64%4.82%-0.62%5.44%
BXP2013-01-292013-01-302013-01-311108.58108.580.00%market2.42%-3.14%-0.62%-2.52%
CB2013-01-292013-01-302013-01-31184.3184.310.00%market10.00%1.11%-0.62%1.73%
DHI2013-01-292013-01-302013-01-31123.5423.540.00%market42.86%0.41%-0.62%1.03%
DHR2013-01-292013-01-302013-01-31140.8740.870.00%market1.16%-1.59%-0.62%-0.97%
DHT2013-01-292013-01-302013-01-3114.684.680.00%market192.40%-2.66%-0.62%-2.04%
DLB2013-01-292013-01-302013-01-31132.9432.940.00%market11.11%-2.01%-0.62%-1.39%
F2013-01-292013-01-302013-01-31113.0113.010.00%market24.00%-0.56%-0.62%0.06%
FFBC2013-01-292013-01-302013-01-31115.3015.300.00%market12.00%-0.17%-0.62%0.46%
GLW2013-01-292013-01-302013-01-31112.2512.250.00%market3.03%-2.14%-0.62%-1.52%
GNTX2013-01-292013-01-302013-01-3119.769.760.00%market15.38%-2.05%-0.62%-1.42%
HUBG2013-01-292013-01-302013-01-31117.1117.110.00%market4.08%7.50%-0.62%8.12%
HZO2013-01-292013-01-302013-01-31111.6511.650.00%market14.29%0.16%-0.62%0.78%
IDXX2013-01-292013-01-302013-01-31148.7148.710.00%market5.71%-2.36%-0.62%-1.73%
IP2013-01-292013-01-302013-01-31138.8238.820.00%market6.15%-0.49%-0.62%0.14%
JCI2013-01-292013-01-302013-01-31128.6228.620.00%market2.44%-1.11%-0.62%-0.49%
LHX2013-01-292013-01-302013-01-31146.7846.780.00%market4.17%-1.34%-0.62%-0.72%
LLY2013-01-292013-01-302013-01-31154.2354.230.00%market8.97%-1.10%-0.62%-0.47%
MANH2013-01-292013-01-302013-01-31116.8516.850.00%market5.88%1.55%-0.62%2.17%
MRCY2013-01-292013-01-302013-01-3117.857.850.00%market10.00%-6.47%-0.62%-5.85%
NEE2013-01-292013-01-302013-01-31118.1318.130.00%market8.33%-0.76%-0.62%-0.14%
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CNMD2013-02-142013-02-152013-02-19130.4330.430.00%market4.00%0.92%0.54%0.38%
DVA2013-02-142013-02-152013-02-19159.2559.250.00%market5.00%-2.29%0.54%-2.83%