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 64: 500 of 83,634)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ReturnBenchmarkAbnormal
KGC2016-05-102016-05-112016-05-1215.795.790.00%market99.93%-12.19%-0.65%-11.54%
NTRA2016-05-102016-05-112016-05-12110.8710.870.00%market63.04%3.76%-0.65%4.41%
NXRT2016-05-102016-05-112016-05-12114.4114.410.00%market125.03%-1.07%-0.65%-0.42%
OCUL2016-05-102016-05-112016-05-12110.1510.150.00%market13.33%-6.21%-0.65%-5.56%
OSG2016-05-102016-05-112016-05-12116.1216.120.00%market367.96%-4.50%-0.65%-3.86%
PLNT2016-05-102016-05-112016-05-12116.5016.500.00%market15.38%-1.31%-0.65%-0.66%
PLUG2016-05-102016-05-112016-05-1211.811.810.00%market16.67%-0.65%-0.65%-0.00%
RDNT2016-05-102016-05-112016-05-1215.375.370.00%market500.00%-5.69%-0.65%-5.04%
SLF2016-05-102016-05-112016-05-12133.5233.520.00%market4.39%1.03%-0.65%1.68%
TDG2016-05-102016-05-112016-05-121249.49249.490.00%market10.85%-1.10%-0.65%-0.45%
TGTX2016-05-102016-05-112016-05-1217.997.990.00%market20.00%-7.86%-0.65%-7.21%
TREX2016-05-102016-05-112016-05-12110.9510.950.00%market17.65%-3.71%-0.65%-3.06%
TRGP2016-05-102016-05-112016-05-12139.5839.580.00%market230.77%3.79%-0.65%4.44%
VCEL2016-05-102016-05-112016-05-1213.053.050.00%market66.67%-4.03%-0.65%-3.39%
VKTX2016-05-102016-05-112016-05-1211.271.270.00%market11.11%-4.04%-0.65%-3.39%
VVX2016-05-102016-05-112016-05-12122.5522.550.00%market10.91%0.74%-0.65%1.39%
YPF2016-05-102016-05-112016-05-12119.9419.940.00%market20.95%4.81%-0.65%5.46%
ARMK2016-05-112016-05-122016-05-13124.0024.000.00%market2.63%-0.47%-1.22%0.75%
AUPH2016-05-112016-05-122016-05-1312.372.370.00%market7.14%-8.54%-1.22%-7.32%
BBAR2016-05-112016-05-122016-05-13121.1321.130.00%market4.65%-7.25%-1.22%-6.03%
CTRE2016-05-112016-05-122016-05-13113.1013.100.00%market10.00%1.50%-1.22%2.72%
EGO2016-05-112016-05-122016-05-13123.7023.700.00%market42.33%2.64%-1.22%3.86%
EVTC2016-05-112016-05-122016-05-13113.5013.500.00%market2.50%0.27%-1.22%1.49%
HTHT2016-05-112016-05-122016-05-1319.309.300.00%market148.39%-8.92%-1.22%-7.70%
M2016-05-112016-05-122016-05-13131.2131.210.00%market11.11%-0.07%-1.22%1.15%
MIDD2016-05-112016-05-122016-05-13190.5190.510.00%market14.29%4.35%-1.22%5.57%
NTES2016-05-112016-05-122016-05-13129.8329.830.00%market34.78%2.75%-1.22%3.97%
PAAS2016-05-112016-05-122016-05-13115.2915.290.00%market138.38%2.25%-1.22%3.47%
RIOT2016-05-112016-05-122016-05-1313.123.120.00%market37.50%2.46%-1.22%3.68%
SSRM2016-05-112016-05-122016-05-1319.049.040.00%market780.00%4.66%-1.22%5.88%
TM2016-05-112016-05-122016-05-131101.99101.990.00%market15.94%-2.26%-1.22%-1.04%
WB2016-05-112016-05-122016-05-13124.6024.600.00%market76.46%-5.38%-1.22%-4.16%
XHR2016-05-112016-05-122016-05-13115.7915.790.00%market330.00%-0.04%-1.22%1.18%
YRD2016-05-112016-05-122016-05-13112.2112.210.00%market126.67%-15.17%-1.22%-13.95%
AER2016-05-122016-05-132016-05-16136.1736.170.00%market2.68%3.05%0.28%2.78%
AQN2016-05-122016-05-132016-05-1618.948.940.00%market5.00%-1.67%0.28%-1.94%
ENB2016-05-122016-05-132016-05-16140.0040.000.00%market19.57%1.10%0.28%0.82%
EVH2016-05-122016-05-132016-05-16111.3111.310.00%market15.79%18.64%0.28%18.37%
HIMX2016-05-122016-05-132016-05-1619.199.190.00%market14.29%-5.11%0.28%-5.38%
IMOS2016-05-122016-05-132016-05-16116.3416.340.00%market11.54%5.71%0.28%5.44%
MARA2016-05-122016-05-132016-05-16132.0032.000.00%market33.33%6.90%0.28%6.62%
PBH2016-05-122016-05-132016-05-16157.0857.080.00%market6.12%-1.08%0.28%-1.36%
PBR2016-05-122016-05-132016-05-1617.237.230.00%market50.00%-1.21%0.28%-1.48%
RL2016-05-122016-05-132016-05-16186.0186.010.00%market6.02%0.47%0.28%0.19%
RUN2016-05-122016-05-132016-05-1617.177.170.00%market127.08%-11.54%0.28%-11.81%
SBS2016-05-122016-05-132016-05-1611.551.550.00%market21.05%-2.04%0.28%-2.31%
SHAK2016-05-122016-05-132016-05-16136.8636.860.00%market60.00%-3.11%0.28%-3.39%
ADMA2016-05-132016-05-162016-05-1736.036.030.00%market4.44%-0.27%-0.05%-0.21%
MANU2016-05-132016-05-162016-05-17316.1416.140.00%market42.86%4.05%-0.05%4.10%
PAM2016-05-132016-05-162016-05-17322.8522.850.00%market5.08%-1.98%-0.05%-1.93%
SA2016-05-132016-05-162016-05-17313.8813.880.00%market20.00%0.62%-0.05%0.67%
A2016-05-162016-05-172016-05-18144.9644.960.00%market12.82%-1.52%-0.75%-0.77%
LPL2016-05-162016-05-172016-05-18110.3110.310.00%market101.35%0.68%-0.75%1.43%
VRDN2016-05-162016-05-172016-05-181135.23135.230.00%market7.14%1.22%-0.75%1.97%
HD2016-05-172016-05-182016-05-191131.03131.030.00%market5.88%0.43%-0.12%0.55%
RAMP2016-05-172016-05-182016-05-19119.8819.880.00%market50.00%-3.62%-0.12%-3.50%
SAR2016-05-172016-05-182016-05-19116.4816.480.00%market35.00%-0.71%-0.12%-0.59%
TJX2016-05-172016-05-182016-05-19137.5137.510.00%market8.57%0.94%-0.12%1.06%
ADI2016-05-182016-05-192016-05-20155.6755.670.00%market3.23%1.46%0.70%0.76%
AEO2016-05-182016-05-192016-05-20115.5515.550.00%market22.22%2.79%0.70%2.09%
BBWI2016-05-182016-05-192016-05-20148.4948.490.00%market7.27%5.80%0.70%5.10%
CRM2016-05-182016-05-192016-05-20182.2682.260.00%market4.35%-1.61%0.70%-2.31%
CSCO2016-05-182016-05-192016-05-20127.9927.990.00%market3.64%-0.17%0.70%-0.87%
EXP2016-05-182016-05-192016-05-20174.6974.690.00%market25.00%1.24%0.70%0.54%
HRL2016-05-182016-05-192016-05-20135.4735.470.00%market2.56%-1.82%0.70%-2.52%
LOW2016-05-182016-05-192016-05-20178.6178.610.00%market2.35%1.44%0.70%0.74%
SNPS2016-05-182016-05-192016-05-20149.1949.190.00%market2.53%1.38%0.70%0.68%
TGT2016-05-182016-05-192016-05-20168.1668.160.00%market8.40%0.63%0.70%-0.07%
TTWO2016-05-182016-05-192016-05-20133.3233.320.00%market76.92%9.05%0.70%8.35%
ADSK2016-05-192016-05-202016-05-23157.3057.300.00%market28.57%-0.69%0.14%-0.83%
AMAT2016-05-192016-05-202016-05-23121.7221.720.00%market6.25%5.33%0.14%5.19%
BRC2016-05-192016-05-202016-05-23130.1030.100.00%market23.53%1.36%0.14%1.22%
CAE2016-05-192016-05-202016-05-23112.2412.240.00%market11.11%0.15%0.14%0.00%
CATO2016-05-192016-05-202016-05-23136.7336.730.00%market3.20%1.37%0.14%1.23%
DKS2016-05-192016-05-202016-05-23142.4242.420.00%market2.04%-0.93%0.14%-1.07%
ECC2016-05-192016-05-202016-05-23116.4016.400.00%market5.26%-1.75%0.14%-1.89%
KEYS2016-05-192016-05-202016-05-23127.2527.250.00%market8.93%10.47%0.14%10.33%
TTC2016-05-192016-05-202016-05-23141.7241.720.00%market5.56%3.23%0.14%3.09%
WMT2016-05-192016-05-202016-05-23123.1123.110.00%market13.79%0.16%0.14%0.02%
ZWS2016-05-192016-05-202016-05-2319.569.560.00%market2.78%-0.62%0.14%-0.76%
CPB2016-05-202016-05-232016-05-24360.0060.000.00%market1.56%1.42%1.15%0.27%
DE2016-05-202016-05-232016-05-24377.5077.500.00%market6.12%2.66%1.15%1.51%
NDSN2016-05-232016-05-242016-05-25183.7483.740.00%market29.35%4.84%1.51%3.34%
NOAH2016-05-232016-05-242016-05-25122.9822.980.00%market9.80%6.91%1.51%5.40%
BBY2016-05-242016-05-252016-05-26130.3030.300.00%market25.71%5.35%0.32%5.02%
DXC2016-05-242016-05-252016-05-26141.0141.010.00%market7.35%1.55%0.32%1.22%
DY2016-05-242016-05-252016-05-26181.7581.750.00%market45.95%4.02%0.32%3.70%
INTU2016-05-242016-05-252016-05-261103.03103.030.00%market6.85%3.59%0.32%3.27%
TOL2016-05-242016-05-252016-05-26129.7829.780.00%market10.87%-3.06%0.32%-3.38%
BMO2016-05-252016-05-262016-05-27165.1865.180.00%market1.55%-1.93%0.38%-2.31%
COST2016-05-252016-05-262016-05-271149.01149.010.00%market1.64%-0.05%0.38%-0.43%
CPRT2016-05-252016-05-262016-05-2715.755.750.00%market14.29%6.16%0.38%5.78%
HPQ2016-05-252016-05-262016-05-27112.5012.500.00%market7.89%5.26%0.38%4.88%
MOD2016-05-252016-05-262016-05-27111.7511.750.00%market12.50%-12.01%0.38%-12.40%
NOMD2016-05-252016-05-262016-05-27110.1010.100.00%market20.83%-3.07%0.38%-3.45%
P2016-05-252016-05-262016-05-27111.9511.950.00%market4.35%-1.02%0.38%-1.40%
PLUS2016-05-252016-05-262016-05-27122.2222.220.00%market13.33%-3.34%0.38%-3.72%
PVH2016-05-252016-05-262016-05-27196.1396.130.00%market7.14%-1.75%0.38%-2.14%
TDW2016-05-252016-05-262016-05-271148.39148.390.00%market1.99%-7.93%0.38%-8.31%
TLYS2016-05-252016-05-262016-05-2716.326.320.00%market14.29%-1.37%0.38%-1.75%
WSM2016-05-252016-05-262016-05-27127.2427.240.00%market8.00%-1.35%0.38%-1.73%
BURL2016-05-262016-05-272016-05-31160.3960.390.00%market18.75%-0.15%0.15%-0.30%
CM2016-05-262016-05-272016-05-31139.4139.410.00%market3.48%-1.62%0.15%-1.77%
CVCO2016-05-262016-05-272016-05-31194.6294.620.00%market1.32%4.87%0.15%4.72%
DECK2016-05-262016-05-272016-05-3118.058.050.00%market86.22%8.84%0.15%8.70%
DG2016-05-262016-05-272016-05-31188.8988.890.00%market8.42%1.04%0.15%0.89%
DLTR2016-05-262016-05-272016-05-31188.9788.970.00%market9.88%1.66%0.15%1.52%
GCO2016-05-262016-05-272016-05-31164.4964.490.00%market55.00%0.07%0.15%-0.08%
GME2016-05-262016-05-272016-05-3117.017.010.00%market13.33%3.75%0.15%3.60%
MOV2016-05-262016-05-272016-05-31121.4821.480.00%market18.75%-4.57%0.15%-4.72%
RBC2016-05-262016-05-272016-05-31156.5856.580.00%market2.38%0.87%0.15%0.72%
RY2016-05-262016-05-272016-05-31161.2961.290.00%market0.83%-1.86%0.15%-2.01%
SIG2016-05-262016-05-272016-05-31196.0896.080.00%market0.52%2.91%0.15%2.76%
TD2016-05-262016-05-272016-05-31144.2544.250.00%market3.45%-1.57%0.15%-1.72%
ULTA2016-05-262016-05-272016-05-311230.75230.750.00%market12.40%0.88%0.15%0.73%
VEEV2016-05-262016-05-272016-05-31132.5832.580.00%market36.36%1.04%0.15%0.89%
JKS2016-05-272016-05-312016-06-01422.3022.300.00%market18.02%-2.97%-0.14%-2.83%
NGL2016-05-272016-05-312016-06-01414.6314.630.00%market63.04%5.71%-0.14%5.85%
BNS2016-05-312016-06-012016-06-02148.6948.690.00%market1.83%2.57%0.86%1.71%
FRO2016-05-312016-06-012016-06-0218.768.760.00%market54.84%2.64%0.86%1.78%
MDT2016-05-312016-06-012016-06-02180.1180.110.00%market0.79%3.50%0.86%2.64%
NX2016-05-312016-06-012016-06-02119.7919.790.00%market25.00%-0.76%0.86%-1.61%
OOMA2016-05-312016-06-012016-06-0216.936.930.00%market20.00%9.57%0.86%8.71%
TEN2016-05-312016-06-012016-06-02131.7531.750.00%market5.41%-4.19%0.86%-5.05%
WDAY2016-05-312016-06-012016-06-02174.5074.500.00%market350.00%4.84%0.86%3.98%
ATHM2016-06-012016-06-022016-06-03124.4824.480.00%market77.27%1.53%0.23%1.31%
BOX2016-06-012016-06-022016-06-03111.6311.630.00%market21.74%0.07%0.23%-0.16%
CPRI2016-06-012016-06-022016-06-03145.4245.420.00%market2.08%6.57%0.23%6.34%
FRO2016-06-012016-06-022016-06-0318.668.660.00%market127.27%3.36%0.23%3.14%
GWRE2016-06-012016-06-022016-06-03161.8661.860.00%market100.00%-1.51%0.23%-1.74%
OLLI2016-06-012016-06-022016-06-03125.7525.750.00%market17.65%-0.99%0.23%-1.22%
SMTC2016-06-012016-06-022016-06-03124.5324.530.00%market7.14%-2.67%0.23%-2.90%
AMBA2016-06-022016-06-032016-06-06146.3846.380.00%market25.93%0.27%0.52%-0.26%
AVGO2016-06-022016-06-032016-06-06116.5816.580.00%market4.17%-1.91%0.52%-2.43%
CIEN2016-06-022016-06-032016-06-06119.9819.980.00%market25.93%6.36%0.52%5.83%
COO2016-06-022016-06-032016-06-06142.7642.760.00%market6.25%-4.75%0.52%-5.28%
DCI2016-06-022016-06-032016-06-06135.8435.840.00%market10.26%2.80%0.52%2.28%
FIVE2016-06-022016-06-032016-06-06143.5343.530.00%market20.00%0.06%0.52%-0.46%
THO2016-06-062016-06-072016-06-08166.7466.740.00%market5.59%2.06%0.40%1.66%
UNFI2016-06-062016-06-072016-06-08142.0042.000.00%market16.67%2.71%0.40%2.31%
AGX2016-06-072016-06-082016-06-09135.5035.500.00%market26.56%17.08%0.11%16.97%
HQY2016-06-072016-06-082016-06-09129.5029.500.00%market15.38%-4.51%0.11%-4.62%
ABM2016-06-082016-06-092016-06-10135.7335.730.00%market10.71%4.29%-0.68%4.97%
AVAL2016-06-082016-06-092016-06-1017.887.880.00%market14.29%-1.62%-0.68%-0.94%
BF-B2016-06-082016-06-092016-06-10140.3240.320.00%market17.24%-2.68%-0.68%-2.00%
KEN2016-06-082016-06-092016-06-10110.1010.100.00%market40.18%-1.09%-0.68%-0.41%
HRB2016-06-092016-06-102016-06-13121.7621.760.00%market2.27%9.05%-0.96%10.00%
MTN2016-06-092016-06-102016-06-131139.35139.350.00%market0.71%-0.08%-0.96%0.88%
SJM2016-06-092016-06-102016-06-131142.36142.360.00%market20.00%1.21%-0.96%2.16%
SAIC2016-06-132016-06-142016-06-15158.3958.390.00%market8.11%-2.89%-0.12%-2.77%
JBL2016-06-152016-06-162016-06-17118.1418.140.00%market6.25%4.37%-0.59%4.96%
KFY2016-06-152016-06-162016-06-17124.0724.070.00%market7.41%-6.91%-0.59%-6.32%
TCOM2016-06-152016-06-162016-06-17140.8340.830.00%market1.98%-6.88%-0.59%-6.29%
TPB2016-06-152016-06-162016-06-1717.207.200.00%market35.00%1.84%-0.59%2.44%
KR2016-06-162016-06-172016-06-20135.3735.370.00%market1.45%-1.97%0.33%-2.29%
ADBE2016-06-212016-06-222016-06-23195.5395.530.00%market4.41%0.61%1.04%-0.42%
FDX2016-06-212016-06-222016-06-231130.51130.510.00%market1.23%-2.68%1.04%-3.72%
KBH2016-06-212016-06-222016-06-23114.7414.740.00%market21.43%2.21%1.04%1.17%
LEN2016-06-212016-06-222016-06-23146.1446.140.00%market10.47%0.85%1.04%-0.18%
EPAC2016-06-222016-06-232016-06-24124.9924.990.00%market8.11%-8.86%-3.13%-5.73%
MLKN2016-06-222016-06-232016-06-24133.1833.180.00%market28.85%-11.64%-3.13%-8.51%
WGO2016-06-222016-06-232016-06-24123.2723.270.00%market20.45%-3.15%-3.13%-0.02%
CMC2016-06-232016-06-242016-06-27115.7015.700.00%market24.00%-0.04%-1.98%1.94%
MEI2016-06-232016-06-242016-06-27132.0432.040.00%market15.38%-4.47%-1.98%-2.49%
SNX2016-06-232016-06-242016-06-27148.0148.010.00%market4.58%-5.85%-1.98%-3.87%
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TBI2016-07-202016-07-212016-07-22123.4423.440.00%market18.60%-1.93%0.13%-2.06%
TCBI2016-07-202016-07-212016-07-22150.0650.060.00%market1.30%-1.84%0.13%-1.97%
TEL2016-07-202016-07-212016-07-22161.7161.710.00%market3.85%-0.81%0.13%-0.94%
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WBS2016-07-202016-07-212016-07-22136.1536.150.00%market1.92%-0.43%0.13%-0.56%
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AMD2016-07-212016-07-222016-07-2515.735.730.00%market44.44%16.83%0.11%16.72%
ASB2016-07-212016-07-222016-07-25118.0018.000.00%market3.33%2.96%0.11%2.84%
BANC2016-07-212016-07-222016-07-25119.8219.820.00%market7.50%10.44%0.11%10.33%
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