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 43: 500 of 83,634)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ReturnBenchmarkAbnormal
EMN2013-07-292013-07-302013-07-31179.5779.570.00%market9.76%0.98%-0.23%1.21%
ES2013-07-292013-07-302013-07-31144.1144.110.00%market8.00%0.58%-0.23%0.81%
GABC2013-07-292013-07-302013-07-31117.6317.630.00%market20.69%4.55%-0.23%4.78%
HLF2013-07-292013-07-302013-07-31132.3032.300.00%market20.34%1.29%-0.23%1.52%
JJSF2013-07-292013-07-302013-07-31181.9881.980.00%market0.90%-2.91%-0.23%-2.67%
KRC2013-07-292013-07-302013-07-31153.7453.740.00%market11.29%-2.71%-0.23%-2.47%
KWR2013-07-292013-07-302013-07-31166.7566.750.00%market8.70%-1.27%-0.23%-1.04%
LECO2013-07-292013-07-302013-07-31158.3558.350.00%market3.41%1.08%-0.23%1.31%
MAS2013-07-292013-07-302013-07-31118.1518.150.00%market15.00%-0.71%-0.23%-0.48%
MCY2013-07-292013-07-302013-07-31144.4044.400.00%market3.28%-0.55%-0.23%-0.32%
MTW2013-07-292013-07-302013-07-31117.3417.340.00%market25.00%7.17%-0.23%7.40%
NCLH2013-07-292013-07-302013-07-31130.3630.360.00%market7.41%-0.26%-0.23%-0.03%
ONB2013-07-292013-07-302013-07-31114.4914.490.00%market12.00%-0.65%-0.23%-0.42%
ROP2013-07-292013-07-302013-07-311127.32127.320.00%market0.77%-1.17%-0.23%-0.94%
SBCF2013-07-292013-07-302013-07-31111.8011.800.00%market42.86%-0.10%-0.23%0.13%
SIMO2013-07-292013-07-302013-07-31110.6410.640.00%market3.85%12.12%-0.23%12.35%
SPG2013-07-292013-07-302013-07-311154.32154.320.00%market1.93%-2.59%-0.23%-2.36%
TFII2013-07-292013-07-302013-07-31119.7219.720.00%market8.33%4.72%-0.23%4.95%
VRTX2013-07-292013-07-302013-07-31181.4981.490.00%market85.71%-2.17%-0.23%-1.94%
AAT2013-07-302013-07-312013-08-01133.0033.000.00%market2.78%-1.40%1.02%-2.42%
ACHC2013-07-302013-07-312013-08-01134.9934.990.00%market4.00%8.39%1.02%7.37%
AFL2013-07-302013-07-312013-08-01130.3930.390.00%market6.58%4.44%1.02%3.42%
AJG2013-07-302013-07-312013-08-01144.2544.250.00%market2.86%1.19%1.02%0.17%
AMG2013-07-302013-07-312013-08-011178.50178.500.00%market3.81%3.87%1.02%2.85%
AMGN2013-07-302013-07-312013-08-011107.88107.880.00%market8.62%1.30%1.02%0.28%
AVNT2013-07-302013-07-312013-08-01128.0028.000.00%market5.71%5.19%1.02%4.17%
BFH2013-07-302013-07-312013-08-011155.43155.430.00%market5.24%4.20%1.02%3.18%
BFS2013-07-302013-07-312013-08-01147.4647.460.00%market3.28%-3.07%1.02%-4.09%
BSBR2013-07-302013-07-312013-08-0115.855.850.00%market528.57%0.07%1.02%-0.95%
BXMT2013-07-302013-07-312013-08-01125.6525.650.00%market1219.74%-1.00%1.02%-2.01%
BXP2013-07-302013-07-312013-08-011108.74108.740.00%market0.78%-3.54%1.02%-4.56%
CACC2013-07-302013-07-312013-08-011112.51112.510.00%market2.81%1.10%1.02%0.08%
CALX2013-07-302013-07-312013-08-01111.9511.950.00%market66.67%-2.02%1.02%-3.04%
CIGI2013-07-302013-07-312013-08-01124.4024.400.00%market48.72%1.91%1.02%0.89%
CMI2013-07-302013-07-312013-08-011119.18119.180.00%market10.55%3.05%1.02%2.04%
CNA2013-07-302013-07-312013-08-01135.4235.420.00%market15.38%2.13%1.02%1.11%
CRS2013-07-302013-07-312013-08-01152.4052.400.00%market10.00%2.13%1.02%1.11%
CVLT2013-07-302013-07-312013-08-01185.2185.210.00%market17.65%2.85%1.02%1.83%
DIN2013-07-302013-07-312013-08-01169.7269.720.00%market10.87%2.17%1.02%1.15%
ECL2013-07-302013-07-312013-08-01193.9993.990.00%market2.38%-0.05%1.02%-1.06%
EXTR2013-07-302013-07-312013-08-0114.104.100.00%market16.67%1.85%1.02%0.83%
FELE2013-07-302013-07-312013-08-01137.2137.210.00%market3.51%1.94%1.02%0.92%
FIS2013-07-302013-07-312013-08-01142.9542.950.00%market8.57%4.32%1.02%3.31%
FISV2013-07-302013-07-312013-08-01123.9323.930.00%market5.56%1.11%1.02%0.09%
FTNT2013-07-302013-07-312013-08-0114.264.260.00%market4.60%0.13%1.02%-0.88%
GEN2013-07-302013-07-312013-08-01125.6125.610.00%market22.22%4.16%1.02%3.14%
GLW2013-07-302013-07-312013-08-01115.2415.240.00%market3.23%1.28%1.02%0.26%
GNRC2013-07-302013-07-312013-08-01143.5743.570.00%market25.00%-0.38%1.02%-1.39%
GT2013-07-302013-07-312013-08-01118.5418.540.00%market58.33%0.71%1.02%-0.31%
HURN2013-07-302013-07-312013-08-01150.0050.000.00%market22.95%6.18%1.02%5.16%
IPGP2013-07-302013-07-312013-08-01161.9061.900.00%market2.56%-0.91%1.02%-1.93%
KLIC2013-07-302013-07-312013-08-01111.7011.700.00%market78.57%4.17%1.02%3.16%
LHX2013-07-302013-07-312013-08-01157.0157.010.00%market22.61%0.74%1.02%-0.28%
LMAT2013-07-302013-07-312013-08-0116.976.970.00%market20.00%-0.82%1.02%-1.84%
LOPE2013-07-302013-07-312013-08-01136.7236.720.00%market12.50%-6.64%1.02%-7.65%
MD2013-07-302013-07-312013-08-01148.7148.710.00%market1.47%0.96%1.02%-0.06%
MRK2013-07-302013-07-312013-08-01146.2546.250.00%market2.44%0.05%1.02%-0.97%
MTSI2013-07-302013-07-312013-08-01115.8415.840.00%market4.35%1.92%1.02%0.90%
MX2013-07-302013-07-312013-08-01118.7918.790.00%market18.33%6.45%1.02%5.43%
NEE2013-07-302013-07-312013-08-01121.6621.660.00%market15.62%1.79%1.02%0.77%
NVMI2013-07-302013-07-312013-08-0119.159.150.00%market40.00%-2.61%1.02%-3.63%
OKE2013-07-302013-07-312013-08-01146.4546.450.00%market25.93%-0.16%1.02%-1.18%
ONTO2013-07-302013-07-312013-08-01115.0515.050.00%market15.00%3.16%1.02%2.14%
OSK2013-07-302013-07-312013-08-01144.6044.600.00%market53.21%4.29%1.02%3.28%
PBI2013-07-302013-07-312013-08-01116.5916.590.00%market15.56%1.83%1.02%0.81%
PEG2013-07-302013-07-312013-08-01134.2034.200.00%market6.67%0.31%1.02%-0.71%
PFE2013-07-302013-07-312013-08-01127.9127.910.00%market3.70%-1.25%1.02%-2.26%
POWI2013-07-302013-07-312013-08-01126.5526.550.00%market6.90%3.37%1.02%2.35%
QGEN2013-07-302013-07-312013-08-01121.1921.190.00%market20.00%6.13%1.02%5.11%
ROK2013-07-302013-07-312013-08-01194.8594.850.00%market10.79%4.47%1.02%3.45%
SKT2013-07-302013-07-312013-08-01133.8933.890.00%market2.33%-3.67%1.02%-4.69%
SM2013-07-302013-07-312013-08-01134.7134.710.00%market1.33%1.20%1.02%0.18%
SR2013-07-302013-07-312013-08-01146.2546.250.00%market71.43%-0.86%1.02%-1.87%
TFSL2013-07-302013-07-312013-08-01111.7011.700.00%market66.67%2.46%1.02%1.45%
TIMB2013-07-302013-07-312013-08-01118.7318.730.00%market20.59%1.72%1.02%0.70%
TRI2013-07-302013-07-312013-08-01139.6539.650.00%market10.00%1.11%1.02%0.09%
TRMB2013-07-302013-07-312013-08-01127.6827.680.00%market2.70%1.06%1.02%0.04%
TTWO2013-07-302013-07-312013-08-01117.5817.580.00%market6.90%1.66%1.02%0.65%
UDR2013-07-302013-07-312013-08-01125.6825.680.00%market2.94%-2.32%1.02%-3.34%
UGI2013-07-302013-07-312013-08-01127.8027.800.00%market73.34%3.10%1.02%2.08%
VRSK2013-07-302013-07-312013-08-01164.5264.520.00%market3.77%-0.19%1.02%-1.21%
WCN2013-07-302013-07-312013-08-01128.1728.170.00%market22.86%3.73%1.02%2.72%
WLK2013-07-302013-07-312013-08-01152.9452.940.00%market12.37%-1.08%1.02%-2.10%
WNC2013-07-302013-07-312013-08-01110.1410.140.00%market10.53%7.59%1.02%6.57%
WTS2013-07-302013-07-312013-08-01151.5551.550.00%market3.64%5.55%1.02%4.53%
WU2013-07-302013-07-312013-08-01117.8617.860.00%market5.88%1.52%1.02%0.51%
AGCO2013-07-312013-08-012013-08-02157.3057.300.00%market19.44%0.58%0.56%0.02%
AHT2013-07-312013-08-012013-08-0216,754.886,754.880.00%market4483.33%5.31%0.56%4.75%
ALL2013-07-312013-08-012013-08-02151.9351.930.00%market14.29%0.32%0.56%-0.24%
AMT2013-07-312013-08-012013-08-02171.4071.400.00%market73.58%-1.36%0.56%-1.93%
APTV2013-07-312013-08-012013-08-02141.3241.320.00%market8.77%2.62%0.56%2.06%
AXON2013-07-312013-08-012013-08-0218.988.980.00%market14.29%-1.66%0.56%-2.22%
BAH2013-07-312013-08-012013-08-02121.7621.760.00%market25.00%-3.59%0.56%-4.16%
BELFB2013-07-312013-08-012013-08-02115.8815.880.00%market3100.00%3.30%0.56%2.74%
BLKB2013-07-312013-08-012013-08-02135.2335.230.00%market17.86%-1.01%0.56%-1.57%
BRKR2013-07-312013-08-012013-08-02119.0019.000.00%market28.57%4.79%0.56%4.23%
CMCSA2013-07-312013-08-012013-08-02122.8922.890.00%market3.13%-0.23%0.56%-0.80%
COHU2013-07-312013-08-012013-08-02112.5312.530.00%market37.50%-7.44%0.56%-8.01%
CRL2013-07-312013-08-012013-08-02146.1846.180.00%market2.82%-0.42%0.56%-0.99%
CW2013-07-312013-08-012013-08-02141.3041.300.00%market10.94%7.16%0.56%6.60%
CWT2013-07-312013-08-012013-08-02121.9821.980.00%market3.70%-0.24%0.56%-0.80%
DOX2013-07-312013-08-012013-08-02138.3938.390.00%market13.70%0.63%0.56%0.06%
DX2013-07-312013-08-012013-08-02125.9225.920.00%market3.03%1.52%0.56%0.96%
EC2013-07-312013-08-012013-08-02146.0646.060.00%market3.66%-0.51%0.56%-1.08%
EPC2013-07-312013-08-012013-08-02176.3376.330.00%market18.94%-0.81%0.56%-1.37%
ESS2013-07-312013-08-012013-08-021162.66162.660.00%market0.53%-2.93%0.56%-3.50%
FIX2013-07-312013-08-012013-08-02115.8315.830.00%market61.54%2.93%0.56%2.37%
GIB2013-07-312013-08-012013-08-02134.4534.450.00%market8.62%-1.75%0.56%-2.32%
GRMN2013-07-312013-08-012013-08-02140.1240.120.00%market16.92%-0.85%0.56%-1.41%
H2013-07-312013-08-012013-08-02145.5445.540.00%market38.71%1.70%0.56%1.14%
HUM2013-07-312013-08-012013-08-02190.3990.390.00%market11.34%-0.65%0.56%-1.22%
HVT2013-07-312013-08-012013-08-02126.6026.600.00%market31.25%3.17%0.56%2.61%
HY2013-07-312013-08-012013-08-02167.4167.410.00%market83.05%16.23%0.56%15.67%
INGR2013-07-312013-08-012013-08-02170.0270.020.00%market2.56%0.61%0.56%0.05%
KGC2013-07-312013-08-012013-08-0215.295.290.00%market66.67%-3.69%0.56%-4.26%
LFUS2013-07-312013-08-012013-08-02180.5880.580.00%market1.77%-0.71%0.56%-1.27%
LNC2013-07-312013-08-012013-08-02144.5644.560.00%market10.43%-0.82%0.56%-1.38%
LRCX2013-07-312013-08-012013-08-0214.984.980.00%market14.29%0.50%0.56%-0.06%
MA2013-07-312013-08-012013-08-02161.8761.870.00%market11.11%4.25%0.56%3.68%
MAA2013-07-312013-08-012013-08-02167.6067.600.00%market210.20%-3.32%0.56%-3.89%
MATV2013-07-312013-08-012013-08-02154.5954.590.00%market7.95%1.68%0.56%1.11%
MCHP2013-07-312013-08-012013-08-02120.5020.500.00%market3.70%1.07%0.56%0.51%
MDU2013-07-312013-08-012013-08-02110.5810.580.00%market4.17%8.31%0.56%7.75%
MET2013-07-312013-08-012013-08-02143.7343.730.00%market8.27%3.42%0.56%2.86%
MMSI2013-07-312013-08-012013-08-02113.2813.280.00%market25.00%5.17%0.56%4.61%
MUR2013-07-312013-08-012013-08-02158.6858.680.00%market18.18%4.50%0.56%3.94%
NOW2013-07-312013-08-012013-08-0219.229.220.00%market36.32%-1.18%0.56%-1.75%
NXPI2013-07-312013-08-012013-08-02132.9532.950.00%market7.58%8.46%0.56%7.89%
PAG2013-07-312013-08-012013-08-02137.6737.670.00%market10.94%2.69%0.56%2.12%
PCG2013-07-312013-08-012013-08-02146.2446.240.00%market11.27%-0.23%0.56%-0.79%
PPC2013-07-312013-08-012013-08-02117.6317.630.00%market29.82%4.15%0.56%3.59%
PSKY2013-07-312013-08-012013-08-02154.2454.240.00%market5.56%0.43%0.56%-0.13%
RAMP2013-07-312013-08-012013-08-02125.4825.480.00%market13.33%0.45%0.56%-0.12%
REG2013-07-312013-08-012013-08-02153.0453.040.00%market4.69%-0.59%0.56%-1.15%
RGR2013-07-312013-08-012013-08-02153.9553.950.00%market38.14%-0.14%0.56%-0.70%
SAM2013-07-312013-08-012013-08-021192.72192.720.00%market8.21%5.97%0.56%5.41%
SBRA2013-07-312013-08-012013-08-02126.4526.450.00%market10.81%-3.81%0.56%-4.37%
SPXC2013-07-312013-08-012013-08-02119.6119.610.00%market69.23%-0.05%0.56%-0.61%
TCOM2013-07-312013-08-012013-08-02121.6321.630.00%market141.92%-0.01%0.56%-0.57%
TFX2013-07-312013-08-012013-08-02180.1080.100.00%market9.48%-1.36%0.56%-1.93%
THG2013-07-312013-08-012013-08-02154.8254.820.00%market52.17%1.92%0.56%1.36%
TRN2013-07-312013-08-012013-08-02114.5514.550.00%market12.50%-0.37%0.56%-0.94%
UGP2013-07-312013-08-012013-08-02112.1812.180.00%market8.33%-1.41%0.56%-1.98%
VSEC2013-07-312013-08-012013-08-02121.6021.600.00%market25.00%1.98%0.56%1.42%
WEC2013-07-312013-08-012013-08-02143.6943.690.00%market13.04%0.59%0.56%0.02%
WES2013-07-312013-08-012013-08-02139.0139.010.00%market23.08%-0.18%0.56%-0.74%
WEX2013-07-312013-08-012013-08-02188.0788.070.00%market0.96%0.57%0.56%0.01%
WMB2013-07-312013-08-012013-08-02134.7934.790.00%market26.67%4.01%0.56%3.45%
ACLS2013-08-012013-08-022013-08-0518.648.640.00%market20.00%-7.04%0.25%-7.29%
ADUS2013-08-012013-08-022013-08-05119.0019.000.00%market13.64%18.37%0.25%18.13%
AIG2013-08-012013-08-022013-08-05149.4649.460.00%market31.76%-1.90%0.25%-2.15%
AIV2013-08-012013-08-022013-08-0513.933.930.00%market3.28%-1.12%0.25%-1.36%
ALG2013-08-012013-08-022013-08-05144.1544.150.00%market24.36%3.50%0.25%3.25%
AMN2013-08-012013-08-022013-08-05114.9114.910.00%market20.00%6.54%0.25%6.29%
ATRC2013-08-012013-08-022013-08-0519.989.980.00%market10.00%-1.00%0.25%-1.25%
AZN2013-08-012013-08-022013-08-05150.8650.860.00%market106.90%-0.61%0.25%-0.86%
BDX2013-08-012013-08-022013-08-05179.2579.250.00%market4.05%-2.57%0.25%-2.82%
BZH2013-08-012013-08-022013-08-05117.2117.210.00%market38.89%-2.60%0.25%-2.85%
CAH2013-08-012013-08-022013-08-05151.0951.090.00%market2.60%0.78%0.25%0.53%
CI2013-08-012013-08-022013-08-05177.1477.140.00%market11.25%0.81%0.25%0.56%
CLX2013-08-012013-08-022013-08-05184.8084.800.00%market2.99%0.34%0.25%0.09%
CME2013-08-012013-08-022013-08-05172.0072.000.00%market4.49%-0.02%0.25%-0.26%
CMPR2013-08-012013-08-022013-08-05151.7151.710.00%market24.24%7.65%0.25%7.41%
CNP2013-08-012013-08-022013-08-05125.1825.180.00%market11.11%-2.48%0.25%-2.73%
CNXN2013-08-012013-08-022013-08-05117.4517.450.00%market2.94%-4.05%0.25%-4.30%
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