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 44: 500 of 83,634)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ReturnBenchmarkAbnormal
PRGS2013-09-252013-09-262013-09-27126.9526.950.00%market8.00%-3.88%-0.24%-3.64%
SNX2013-09-252013-09-262013-09-27131.4531.450.00%market30.53%-1.50%-0.24%-1.26%
NKE2013-09-262013-09-272013-09-30137.4137.410.00%market10.26%-3.01%-0.49%-2.52%
THO2013-09-262013-09-272013-09-30156.9856.980.00%market12.63%1.76%-0.49%2.25%
BB2013-09-272013-09-302013-10-0137.927.920.00%market4.08%-0.10%1.11%-1.21%
PAYX2013-09-302013-10-012013-10-02139.9239.920.00%market2.33%-0.05%0.62%-0.67%
AYI2013-10-012013-10-022013-10-03197.7997.790.00%market1.98%-5.16%-0.43%-4.73%
GPN2013-10-012013-10-022013-10-03127.1327.130.00%market6.38%4.99%-0.43%5.42%
STZ2013-10-032013-10-042013-10-07160.1560.150.00%market7.87%1.50%-0.19%1.69%
HWM2013-10-082013-10-092013-10-10117.1817.180.00%market106.25%2.10%2.03%0.07%
MG2013-10-082013-10-092013-10-10119.3619.360.00%market25.00%-4.72%2.03%-6.76%
WWW2013-10-082013-10-092013-10-10129.5029.500.00%market13.73%0.98%2.03%-1.05%
RPM2013-10-092013-10-102013-10-11137.0237.020.00%market8.45%0.41%1.78%-1.36%
OZK2013-10-102013-10-112013-10-14122.8822.880.00%market3.33%6.81%1.20%5.60%
VAC2013-10-102013-10-112013-10-14147.0847.080.00%market84.62%3.45%1.20%2.25%
JPM2013-10-112013-10-142013-10-15351.9451.940.00%market11.81%0.61%0.29%0.32%
WBS2013-10-112013-10-142013-10-15326.3526.350.00%market2.04%2.18%0.29%1.89%
WFC2013-10-112013-10-142013-10-15341.1441.140.00%market2.06%0.87%0.29%0.58%
PKG2013-10-142013-10-152013-10-16159.9659.960.00%market2.25%-2.53%0.91%-3.45%
WTFC2013-10-142013-10-152013-10-16142.0842.080.00%market10.94%2.63%0.91%1.72%
CBSH2013-10-152013-10-162013-10-17123.4723.470.00%market4.55%3.61%1.46%2.14%
CSX2013-10-152013-10-162013-10-1718.748.740.00%market7.14%-3.30%1.46%-4.77%
INTC2013-10-152013-10-162013-10-17123.2623.260.00%market9.43%2.74%1.46%1.27%
JNJ2013-10-152013-10-162013-10-17190.4290.420.00%market3.03%1.61%1.46%0.15%
OMC2013-10-152013-10-162013-10-17163.5063.500.00%market2.50%2.51%1.46%1.05%
SCHW2013-10-152013-10-162013-10-17123.2823.280.00%market10.00%1.36%1.46%-0.10%
ABT2013-10-162013-10-172013-10-18135.8935.890.00%market7.84%3.80%1.76%2.04%
ALB2013-10-162013-10-172013-10-18164.6564.650.00%market2.83%4.00%1.76%2.24%
AXP2013-10-162013-10-172013-10-18177.9477.940.00%market2.46%3.21%1.76%1.45%
BAC2013-10-162013-10-172013-10-18114.4514.450.00%market11.11%1.15%1.76%-0.62%
BMI2013-10-162013-10-172013-10-18124.4624.460.00%market6.67%6.16%1.76%4.39%
BNY2013-10-162013-10-172013-10-18130.4530.450.00%market3.45%3.28%1.76%1.52%
CCK2013-10-162013-10-172013-10-18140.7840.780.00%market4.63%-1.30%1.76%-3.06%
CLB2013-10-162013-10-172013-10-181187.85187.850.00%market1.49%4.77%1.76%3.00%
CNS2013-10-162013-10-172013-10-18136.4036.400.00%market2.50%5.01%1.76%3.25%
EBAY2013-10-162013-10-172013-10-18121.1821.180.00%market1.59%3.63%1.76%1.87%
EXPO2013-10-162013-10-172013-10-18118.1518.150.00%market33.33%5.08%1.76%3.32%
HNI2013-10-162013-10-172013-10-18136.2136.210.00%market3.39%9.21%1.76%7.44%
IBM2013-10-162013-10-172013-10-181166.20166.200.00%market0.76%-0.14%1.76%-1.90%
KEY2013-10-162013-10-172013-10-18112.2812.280.00%market13.64%2.51%1.76%0.74%
MAT2013-10-162013-10-172013-10-18141.9141.910.00%market8.04%1.76%1.76%-0.00%
MTG2013-10-162013-10-172013-10-1818.288.280.00%market130.77%-0.22%1.76%-1.98%
PEP2013-10-162013-10-172013-10-18182.0582.050.00%market5.98%1.07%1.76%-0.69%
PIPR2013-10-162013-10-172013-10-1819.039.030.00%market18.75%4.22%1.76%2.46%
PNC2013-10-162013-10-172013-10-18173.5873.580.00%market10.49%1.88%1.76%0.12%
RLI2013-10-162013-10-172013-10-18122.6322.630.00%market45.83%5.07%1.76%3.31%
SLM2013-10-162013-10-172013-10-1819.179.170.00%market1.69%0.34%1.76%-1.43%
STLD2013-10-162013-10-172013-10-18117.3417.340.00%market4.17%4.23%1.76%2.46%
UFPI2013-10-162013-10-172013-10-18114.4814.480.00%market33.33%9.22%1.76%7.46%
URI2013-10-162013-10-172013-10-18159.7759.770.00%market1.87%8.47%1.76%6.70%
AAL2013-10-172013-10-182013-10-21121.2321.230.00%market2.24%-0.15%0.31%-0.46%
ALGN2013-10-172013-10-182013-10-21153.2053.200.00%market40.00%9.39%0.31%9.08%
AMD2013-10-172013-10-182013-10-2113.563.560.00%market86.57%-5.44%0.31%-5.75%
ASB2013-10-172013-10-182013-10-21116.3616.360.00%market3.85%0.27%0.31%-0.04%
BFH2013-10-172013-10-182013-10-211182.22182.220.00%market0.75%1.73%0.31%1.42%
COF2013-10-172013-10-182013-10-21172.8072.800.00%market3.33%-2.20%0.31%-2.51%
CVLG2013-10-172013-10-182013-10-2113.203.200.00%market44.44%-1.35%0.31%-1.66%
DHR2013-10-172013-10-182013-10-21148.8348.830.00%market1.20%-1.14%0.31%-1.46%
DOV2013-10-172013-10-182013-10-21158.9958.990.00%market2.67%1.43%0.31%1.12%
EGP2013-10-172013-10-182013-10-21164.8664.860.00%market1.22%-0.78%0.31%-1.09%
FCFS2013-10-172013-10-182013-10-21158.5058.500.00%market4.62%2.81%0.31%2.50%
FNB2013-10-172013-10-182013-10-21112.6912.690.00%market4.76%0.29%0.31%-0.02%
GOOG2013-10-172013-10-182013-10-21124.3224.320.00%market3.85%2.65%0.31%2.34%
GOOGL2013-10-172013-10-182013-10-21124.4424.440.00%market3.85%2.64%0.31%2.33%
GS2013-10-172013-10-182013-10-211158.84158.840.00%market18.52%0.49%0.31%0.17%
HBAN2013-10-172013-10-182013-10-2118.948.940.00%market5.88%-0.77%0.31%-1.08%
HOMB2013-10-172013-10-182013-10-21116.6316.630.00%market6.25%-1.00%0.31%-1.31%
HUBB2013-10-172013-10-182013-10-211106.55106.550.00%market1.25%0.51%0.31%0.20%
HUBG2013-10-172013-10-182013-10-21119.5219.520.00%market4.17%-5.22%0.31%-5.53%
INDB2013-10-172013-10-182013-10-21139.7339.730.00%market5.00%-6.97%0.31%-7.28%
ISRG2013-10-172013-10-182013-10-21141.1441.140.00%market15.79%0.39%0.31%0.08%
LVS2013-10-172013-10-182013-10-21171.8571.850.00%market7.89%1.82%0.31%1.51%
MTB2013-10-172013-10-182013-10-211112.46112.460.00%market1.44%1.27%0.31%0.96%
NTCT2013-10-172013-10-182013-10-21128.7628.760.00%market13.33%2.68%0.31%2.37%
NUE2013-10-172013-10-182013-10-21150.9950.990.00%market25.64%-0.61%0.31%-0.92%
PM2013-10-172013-10-182013-10-21186.8586.850.00%market0.70%-0.10%0.31%-0.41%
PPG2013-10-172013-10-182013-10-21187.6887.680.00%market4.27%0.62%0.31%0.31%
RMBS2013-10-172013-10-182013-10-2119.749.740.00%market199.94%-4.82%0.31%-5.13%
SFNC2013-10-172013-10-182013-10-21116.2816.280.00%market9.52%-1.57%0.31%-1.88%
SNA2013-10-172013-10-182013-10-211100.36100.360.00%market0.70%1.59%0.31%1.28%
SON2013-10-172013-10-182013-10-21140.0140.010.00%market3.28%0.30%0.31%-0.01%
SXT2013-10-172013-10-182013-10-21150.7750.770.00%market1.41%2.70%0.31%2.39%
UNP2013-10-172013-10-182013-10-21176.0076.000.00%market0.81%1.15%0.31%0.84%
VZ2013-10-172013-10-182013-10-21149.3649.360.00%market4.05%2.37%0.31%2.06%
WDFC2013-10-172013-10-182013-10-21170.2670.260.00%market17.78%-1.10%0.31%-1.41%
WGO2013-10-172013-10-182013-10-21129.2029.200.00%market35.71%1.54%0.31%1.23%
BKR2013-10-182013-10-212013-10-22338.8338.830.00%market3.85%2.91%0.55%2.36%
CE2013-10-182013-10-212013-10-22354.7354.730.00%market4.35%6.33%0.55%5.78%
GE2013-10-182013-10-212013-10-223123.80123.800.00%market1.77%0.48%0.55%-0.07%
MS2013-10-182013-10-212013-10-22329.5429.540.00%market25.00%-0.37%0.55%-0.92%
PH2013-10-182013-10-212013-10-223113.48113.480.00%market9.52%0.63%0.55%0.08%
SLB2013-10-182013-10-212013-10-22394.1294.120.00%market4.03%0.26%0.55%-0.29%
TT2013-10-182013-10-212013-10-22351.9851.980.00%market2.73%1.82%0.55%1.27%
ABCB2013-10-212013-10-222013-10-23117.9517.950.00%market4.00%-0.38%-0.19%-0.18%
AOS2013-10-212013-10-222013-10-23125.4025.400.00%market22.73%-1.16%-0.19%-0.97%
BCC2013-10-212013-10-222013-10-23126.7026.700.00%market25.81%2.71%-0.19%2.90%
CATY2013-10-212013-10-222013-10-23125.0025.000.00%market5.56%2.54%-0.19%2.73%
CHKP2013-10-212013-10-222013-10-23160.2460.240.00%market1.19%-2.64%-0.19%-2.45%
ELS2013-10-212013-10-222013-10-23118.5018.500.00%market28.00%2.98%-0.19%3.18%
FIBK2013-10-212013-10-222013-10-23125.0025.000.00%market25.58%1.98%-0.19%2.17%
HAL2013-10-212013-10-222013-10-23150.9150.910.00%market1.22%-0.43%-0.19%-0.24%
HAS2013-10-212013-10-222013-10-23150.1150.110.00%market3.15%-0.18%-0.19%0.01%
HLX2013-10-212013-10-222013-10-23124.5824.580.00%market31.03%-5.76%-0.19%-5.56%
HOPE2013-10-212013-10-222013-10-23115.0015.000.00%market7.14%1.70%-0.19%1.89%
HXL2013-10-212013-10-222013-10-23143.0043.000.00%market4.35%-2.33%-0.19%-2.14%
ICUI2013-10-212013-10-222013-10-23164.7764.770.00%market7.46%4.95%-0.19%5.14%
IEX2013-10-212013-10-222013-10-23167.8567.850.00%market1.35%-1.21%-0.19%-1.01%
ILMN2013-10-212013-10-222013-10-23184.0684.060.00%market12.50%6.85%-0.19%7.04%
ITW2013-10-212013-10-222013-10-23177.9077.900.00%market7.61%0.63%-0.19%0.83%
LII2013-10-212013-10-222013-10-23177.6877.680.00%market1.56%-0.25%-0.19%-0.06%
MAN2013-10-212013-10-222013-10-23178.9578.950.00%market15.60%-1.61%-0.19%-1.41%
MCD2013-10-212013-10-222013-10-23194.6894.680.00%market0.66%-0.60%-0.19%-0.40%
NFLX2013-10-212013-10-222013-10-2315.545.540.00%market5.26%-14.90%-0.19%-14.71%
NVR2013-10-212013-10-222013-10-231899.65899.650.00%market15.79%1.34%-0.19%1.54%
NWBI2013-10-212013-10-222013-10-23114.1014.100.00%market18.75%2.10%-0.19%2.29%
TXN2013-10-212013-10-222013-10-23140.1840.180.00%market5.66%-1.22%-0.19%-1.03%
UCTT2013-10-212013-10-222013-10-2318.488.480.00%market33.33%-1.28%-0.19%-1.08%
VFC2013-10-212013-10-222013-10-23149.9549.950.00%market4.26%-0.02%-0.19%0.17%
WRB2013-10-212013-10-222013-10-23113.2413.240.00%market9.52%-1.99%-0.19%-1.79%
ZION2013-10-212013-10-222013-10-23128.1028.100.00%market2.33%0.01%-0.19%0.20%
ABG2013-10-222013-10-232013-10-24150.4550.450.00%market4.60%-2.99%0.19%-3.19%
AMGN2013-10-222013-10-232013-10-241114.94114.940.00%market9.60%1.00%0.19%0.80%
BKU2013-10-222013-10-232013-10-24132.5032.500.00%market13.04%-2.81%0.19%-3.00%
CB2013-10-222013-10-232013-10-24195.3395.330.00%market11.66%1.38%0.19%1.18%
CBU2013-10-222013-10-232013-10-24136.0236.020.00%market3.85%1.29%0.19%1.09%
CLS2013-10-222013-10-232013-10-24110.6110.610.00%market4.76%6.31%0.19%6.11%
CNC2013-10-222013-10-232013-10-24116.2616.260.00%market4.76%-7.70%0.19%-7.89%
CNI2013-10-222013-10-232013-10-24154.4154.410.00%market6.17%1.65%0.19%1.45%
DAL2013-10-222013-10-232013-10-24125.4425.440.00%market3.68%3.36%0.19%3.16%
EEFT2013-10-222013-10-232013-10-24142.1542.150.00%market3.70%7.42%0.19%7.23%
ENTG2013-10-222013-10-232013-10-24110.0010.000.00%market7.69%1.10%0.19%0.91%
FCX2013-10-222013-10-232013-10-24135.9635.960.00%market25.81%3.93%0.19%3.74%
FULT2013-10-222013-10-232013-10-24112.5812.580.00%market5.00%-1.93%0.19%-2.12%
GLW2013-10-222013-10-232013-10-24118.0418.040.00%market3.13%-3.20%0.19%-3.40%
GNTX2013-10-222013-10-232013-10-24114.9514.950.00%market18.75%1.44%0.19%1.24%
IDXX2013-10-222013-10-232013-10-24151.1851.180.00%market4.88%1.46%0.19%1.27%
KMB2013-10-222013-10-232013-10-24197.9797.970.00%market2.86%1.85%0.19%1.66%
LMT2013-10-222013-10-232013-10-241130.00130.000.00%market13.72%1.92%0.19%1.72%
MANH2013-10-222013-10-232013-10-24124.1424.140.00%market23.81%10.80%0.19%10.60%
NBR2013-10-222013-10-232013-10-241875.00875.000.00%market5163.16%-4.73%0.19%-4.92%
NUS2013-10-222013-10-232013-10-241110.85110.850.00%market26.76%2.72%0.19%2.53%
PII2013-10-222013-10-232013-10-241130.86130.860.00%market1.86%1.59%0.19%1.39%
R2013-10-222013-10-232013-10-24163.1263.120.00%market1.39%3.32%0.19%3.13%
RTX2013-10-222013-10-232013-10-24162.6462.640.00%market0.65%0.71%0.19%0.52%
RUSHA2013-10-222013-10-232013-10-24112.8612.860.00%market8.70%0.06%0.19%-0.14%
SMCI2013-10-222013-10-232013-10-2411.411.410.00%market2.35%-2.94%0.19%-3.13%
SPGI2013-10-222013-10-232013-10-24169.9969.990.00%market3.90%1.94%0.19%1.75%
STT2013-10-222013-10-232013-10-24166.7666.760.00%market0.85%1.67%0.19%1.47%
TPR2013-10-222013-10-232013-10-24149.5949.590.00%market1.32%-1.11%0.19%-1.30%
TRV2013-10-222013-10-232013-10-24186.2186.210.00%market13.53%0.85%0.19%0.66%
UMBF2013-10-222013-10-232013-10-24159.0059.000.00%market12.16%1.70%0.19%1.50%
USNA2013-10-222013-10-232013-10-24141.0141.010.00%market1.75%-7.20%0.19%-7.39%
WHR2013-10-222013-10-232013-10-241145.76145.760.00%market4.21%0.93%0.19%0.73%
AEM2013-10-232013-10-242013-10-25128.3928.390.00%market337.50%8.60%0.59%8.01%
AEP2013-10-232013-10-242013-10-25146.5246.520.00%market0.92%1.53%0.59%0.94%
AIZ2013-10-232013-10-242013-10-25158.4058.400.00%market14.00%-1.21%0.59%-1.80%
AKAM2013-10-232013-10-242013-10-25146.7946.790.00%market8.70%-2.04%0.59%-2.63%
ALGT2013-10-232013-10-242013-10-251106.91106.910.00%market1.11%-0.46%0.59%-1.05%
AVB2013-10-232013-10-242013-10-251127.94127.940.00%market29.37%2.66%0.59%2.07%
BA2013-10-232013-10-242013-10-251129.01129.010.00%market16.13%1.59%0.59%1.00%
BMY2013-10-232013-10-242013-10-25149.3849.380.00%market4.55%-1.34%0.59%-1.92%
CBZ2013-10-232013-10-242013-10-2517.807.800.00%market257.14%1.05%0.59%0.47%
CHCO2013-10-232013-10-242013-10-25146.0046.000.00%market12.82%1.31%0.59%0.72%
CIGI2013-10-232013-10-242013-10-25128.6428.640.00%market4.62%-1.78%0.59%-2.36%
CMC2013-10-232013-10-242013-10-25117.6217.620.00%market47.06%3.31%0.59%2.72%
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