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 65: 500 of 83,634)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ReturnBenchmarkAbnormal
NSC2016-07-272016-07-282016-07-29189.7589.750.00%market0.74%-0.07%0.38%-0.45%
NXPI2016-07-272016-07-282016-07-29184.6884.680.00%market2.21%-0.80%0.38%-1.18%
OC2016-07-272016-07-282016-07-29152.8452.840.00%market50.00%0.03%0.38%-0.35%
OI2016-07-272016-07-282016-07-29119.2119.210.00%market3.17%-2.29%0.38%-2.67%
R2016-07-272016-07-282016-07-29163.7863.780.00%market1.30%3.22%0.38%2.84%
RES2016-07-272016-07-282016-07-29114.5614.560.00%market4.17%-0.58%0.38%-0.96%
ROK2016-07-272016-07-282016-07-291116.20116.200.00%market6.16%-1.65%0.38%-2.03%
SBCF2016-07-272016-07-282016-07-29116.2216.220.00%market4.55%-1.64%0.38%-2.03%
SIGI2016-07-272016-07-282016-07-29140.1140.110.00%market22.03%-2.47%0.38%-2.85%
SLAB2016-07-272016-07-282016-07-29154.7354.730.00%market17.19%-2.75%0.38%-3.13%
SLGN2016-07-272016-07-282016-07-29124.5924.590.00%market7.14%0.71%0.38%0.33%
SO2016-07-272016-07-282016-07-29153.5353.530.00%market5.71%-0.16%0.38%-0.54%
SPSC2016-07-272016-07-282016-07-29132.0032.000.00%market20.00%-1.16%0.38%-1.55%
SSNC2016-07-272016-07-282016-07-29131.8031.800.00%market2.63%1.22%0.38%0.84%
STT2016-07-272016-07-282016-07-29163.8363.830.00%market15.87%2.95%0.38%2.57%
SYBT2016-07-272016-07-282016-07-29129.3029.300.00%market7.14%0.72%0.38%0.34%
TER2016-07-272016-07-282016-07-29119.7419.740.00%market10.00%-0.05%0.38%-0.43%
TILE2016-07-272016-07-282016-07-29116.6916.690.00%market10.34%6.91%0.38%6.53%
TMUS2016-07-272016-07-282016-07-29145.6145.610.00%market25.00%1.50%0.38%1.12%
TNL2016-07-272016-07-282016-07-29131.8031.800.00%market2.19%0.69%0.38%0.30%
TT2016-07-272016-07-282016-07-29150.9450.940.00%market6.15%0.80%0.38%0.42%
TTMI2016-07-272016-07-282016-07-2919.149.140.00%market47.37%8.76%0.38%8.38%
TYL2016-07-272016-07-282016-07-291168.90168.900.00%market4.82%-3.58%0.38%-3.97%
UNM2016-07-272016-07-282016-07-29132.4932.490.00%market5.32%2.73%0.38%2.35%
VRTX2016-07-272016-07-282016-07-29195.3595.350.00%market9.09%1.63%0.38%1.25%
WEC2016-07-272016-07-282016-07-29163.9363.930.00%market1.79%1.43%0.38%1.05%
WEX2016-07-272016-07-282016-07-29195.3795.370.00%market6.93%-1.87%0.38%-2.26%
WIX2016-07-272016-07-282016-07-29136.5036.500.00%market30.77%-2.57%0.38%-2.95%
WM2016-07-272016-07-282016-07-29166.4266.420.00%market4.23%-0.55%0.38%-0.94%
ADP2016-07-282016-07-292016-08-01191.3891.380.00%market2.99%-3.07%0.22%-3.29%
AEP2016-07-282016-07-292016-08-01168.8468.840.00%market5.56%0.58%0.22%0.36%
AFL2016-07-282016-07-292016-08-01135.9435.940.00%market2.38%-0.52%0.22%-0.74%
AIV2016-07-282016-07-292016-08-0115.945.940.00%market2.74%3.27%0.22%3.05%
AJG2016-07-282016-07-292016-08-01149.0549.050.00%market1.04%0.92%0.22%0.70%
ALGN2016-07-282016-07-292016-08-01185.2585.250.00%market29.17%5.11%0.22%4.89%
ALKS2016-07-282016-07-292016-08-01149.0049.000.00%market90.00%1.04%0.22%0.82%
ALLE2016-07-282016-07-292016-08-01172.8272.820.00%market10.00%-0.68%0.22%-0.90%
AMZN2016-07-282016-07-292016-08-01138.2538.250.00%market50.00%0.27%0.22%0.04%
APD2016-07-282016-07-292016-08-011137.58137.580.00%market0.52%0.13%0.22%-0.10%
ATEN2016-07-282016-07-292016-08-0117.567.560.00%market60.00%5.72%0.22%5.50%
ATR2016-07-282016-07-292016-08-01179.9279.920.00%market1.11%-3.33%0.22%-3.55%
AZN2016-07-282016-07-292016-08-01166.6566.650.00%market9.21%1.45%0.22%1.22%
BBD2016-07-282016-07-292016-08-0114.364.360.00%market63.64%2.19%0.22%1.97%
BC2016-07-282016-07-292016-08-01149.0649.060.00%market1.71%0.88%0.22%0.66%
BCC2016-07-282016-07-292016-08-01126.9926.990.00%market28.95%3.79%0.22%3.57%
BCO2016-07-282016-07-292016-08-01132.6132.610.00%market35.71%1.03%0.22%0.81%
BEN2016-07-282016-07-292016-08-01134.9134.910.00%market14.93%3.11%0.22%2.89%
BG2016-07-282016-07-292016-08-01165.2065.200.00%market107.89%-3.43%0.22%-3.65%
BGS2016-07-282016-07-292016-08-01149.1149.110.00%market23.91%4.85%0.22%4.63%
BIDU2016-07-282016-07-292016-08-011161.01161.010.00%market29.79%1.28%0.22%1.06%
BMY2016-07-282016-07-292016-08-01174.5774.570.00%market2.99%2.07%0.22%1.85%
BUSE2016-07-282016-07-292016-08-01123.0023.000.00%market11.11%-2.36%0.22%-2.58%
BWA2016-07-282016-07-292016-08-01128.6428.640.00%market2.44%1.58%0.22%1.35%
BZH2016-07-282016-07-292016-08-0119.509.500.00%market300.00%3.06%0.22%2.84%
CBRE2016-07-282016-07-292016-08-01128.6028.600.00%market1.96%-0.20%0.22%-0.43%
CENX2016-07-282016-07-292016-08-0117.027.020.00%market44.44%1.18%0.22%0.96%
CL2016-07-282016-07-292016-08-01173.1273.120.00%market1.45%2.62%0.22%2.40%
CLF2016-07-282016-07-292016-08-0117.977.970.00%market311.76%0.65%0.22%0.43%
CME2016-07-282016-07-292016-08-011102.23102.230.00%market2.70%0.74%0.22%0.52%
CMS2016-07-282016-07-292016-08-01145.0045.000.00%market25.00%0.23%0.22%0.01%
CNXN2016-07-282016-07-292016-08-01127.7527.750.00%market6.52%-5.87%0.22%-6.09%
COHU2016-07-282016-07-292016-08-01111.0211.020.00%market4.76%-3.73%0.22%-3.95%
COLM2016-07-282016-07-292016-08-01160.4760.470.00%market33.33%-6.00%0.22%-6.23%
CPF2016-07-282016-07-292016-08-01124.5024.500.00%market11.43%-0.22%0.22%-0.44%
CPS2016-07-282016-07-292016-08-01188.7588.750.00%market27.23%1.76%0.22%1.54%
CRS2016-07-282016-07-292016-08-01139.1239.120.00%market2.94%-0.36%0.22%-0.58%
CUBE2016-07-282016-07-292016-08-01129.4429.440.00%market5.88%0.65%0.22%0.43%
CVE2016-07-282016-07-292016-08-01114.1514.150.00%market20.00%-4.69%0.22%-4.92%
CVI2016-07-282016-07-292016-08-01111.2711.270.00%market725.08%-4.27%0.22%-4.49%
CWST2016-07-282016-07-292016-08-0119.149.140.00%market140.00%3.40%0.22%3.18%
DD2016-07-282016-07-292016-08-01196.4596.450.00%market11.76%-0.75%0.22%-0.97%
DECK2016-07-282016-07-292016-08-01111.1011.100.00%market11.76%-1.27%0.22%-1.49%
DGII2016-07-282016-07-292016-08-01111.9511.950.00%market60.00%-8.05%0.22%-8.27%
DLNG2016-07-282016-07-292016-08-01113.9213.920.00%market4.88%-1.75%0.22%-1.97%
DLR2016-07-282016-07-292016-08-011105.05105.050.00%market4.41%1.45%0.22%1.23%
DLX2016-07-282016-07-292016-08-01168.0268.020.00%market1.69%-0.88%0.22%-1.10%
EFSC2016-07-282016-07-292016-08-01128.0728.070.00%market15.09%2.43%0.22%2.21%
EHC2016-07-282016-07-292016-08-01133.0833.080.00%market15.00%0.96%0.22%0.74%
EME2016-07-282016-07-292016-08-01156.2256.220.00%market33.80%-1.43%0.22%-1.66%
ENOV2016-07-282016-07-292016-08-01150.1550.150.00%market6.03%-2.26%0.22%-2.48%
ENVA2016-07-282016-07-292016-08-0118.658.650.00%market13.64%5.10%0.22%4.88%
EQT2016-07-282016-07-292016-08-01139.9639.960.00%market23.91%-3.80%0.22%-4.03%
ERIE2016-07-282016-07-292016-08-01197.8197.810.00%market11.43%0.71%0.22%0.49%
ESS2016-07-282016-07-292016-08-011221.47221.470.00%market1.48%5.84%0.22%5.62%
EVTC2016-07-282016-07-292016-08-01116.4116.410.00%market2.38%4.78%0.22%4.55%
EXPE2016-07-282016-07-292016-08-011113.74113.740.00%market13.70%3.09%0.22%2.87%
FCFS2016-07-282016-07-292016-08-01151.0051.000.00%market8.51%0.08%0.22%-0.15%
FCN2016-07-282016-07-292016-08-01142.7642.760.00%market10.00%1.12%0.22%0.89%
FE2016-07-282016-07-292016-08-01135.2235.220.00%market5.66%-2.68%0.22%-2.91%
FET2016-07-282016-07-292016-08-011302.20302.200.00%market29.63%2.15%0.22%1.93%
FHI2016-07-282016-07-292016-08-01132.1032.100.00%market2.08%-1.31%0.22%-1.54%
FICO2016-07-282016-07-292016-08-011120.00120.000.00%market50.00%8.42%0.22%8.19%
FITB2016-07-282016-07-292016-08-01118.9318.930.00%market7.89%-0.89%0.22%-1.11%
FIX2016-07-282016-07-292016-08-01131.7631.760.00%market9.30%-4.73%0.22%-4.95%
FR2016-07-282016-07-292016-08-01128.6728.670.00%market330.00%3.18%0.22%2.96%
GOOG2016-07-282016-07-292016-08-01138.6438.640.00%market5.00%-0.10%0.22%-0.32%
GOOGL2016-07-282016-07-292016-08-01139.8939.890.00%market5.00%0.30%0.22%0.08%
GPI2016-07-282016-07-292016-08-01159.1959.190.00%market3.35%5.93%0.22%5.71%
HCA2016-07-282016-07-292016-08-01176.7376.730.00%market6.41%-1.68%0.22%-1.90%
HOG2016-07-282016-07-292016-08-01150.0050.000.00%market1.31%3.22%0.22%3.00%
HSY2016-07-282016-07-292016-08-011111.02111.020.00%market8.97%-0.22%0.22%-0.44%
IDA2016-07-282016-07-292016-08-01180.4880.480.00%market13.13%1.27%0.22%1.05%
INGR2016-07-282016-07-292016-08-011133.25133.250.00%market4.85%0.19%0.22%-0.04%
IP2016-07-282016-07-292016-08-01143.1543.150.00%market9.52%-0.26%0.22%-0.48%
IPGP2016-07-282016-07-292016-08-01184.4284.420.00%market5.04%0.28%0.22%0.06%
IVZ2016-07-282016-07-292016-08-01128.6928.690.00%market1.82%1.12%0.22%0.90%
KLAC2016-07-282016-07-292016-08-0117.727.720.00%market28.57%-0.88%0.22%-1.10%
LAD2016-07-282016-07-292016-08-01185.7885.780.00%market1.55%-0.07%0.22%-0.29%
LAZ2016-07-282016-07-292016-08-01134.3934.390.00%market5.17%2.14%0.22%1.92%
LEA2016-07-282016-07-292016-08-011110.58110.580.00%market10.24%2.69%0.22%2.46%
LEG2016-07-282016-07-292016-08-01153.5353.530.00%market6.45%-3.20%0.22%-3.42%
LIN2016-07-282016-07-292016-08-011116.49116.490.00%market2.21%-0.61%0.22%-0.83%
LKQ2016-07-282016-07-292016-08-01133.6633.660.00%market12.24%2.34%0.22%2.11%
LPLA2016-07-282016-07-292016-08-01126.2626.260.00%market20.45%-1.47%0.22%-1.69%
LYV2016-07-282016-07-292016-08-01126.8426.840.00%market62.50%-0.29%0.22%-0.51%
MA2016-07-282016-07-292016-08-01196.0796.070.00%market6.67%-1.14%0.22%-1.36%
MCS2016-07-282016-07-292016-08-01122.5622.560.00%market17.24%0.21%0.22%-0.01%
MKTX2016-07-282016-07-292016-08-011160.14160.140.00%market3.53%0.73%0.22%0.51%
MPC2016-07-282016-07-292016-08-01138.0138.010.00%market10.31%1.98%0.22%1.76%
MRSH2016-07-282016-07-292016-08-01166.3266.320.00%market1.11%-0.67%0.22%-0.89%
MSCI2016-07-282016-07-292016-08-01184.9184.910.00%market6.94%1.18%0.22%0.96%
MTD2016-07-282016-07-292016-08-011401.33401.330.00%market2.88%2.24%0.22%2.02%
MTH2016-07-282016-07-292016-08-01118.6418.640.00%market20.00%-1.55%0.22%-1.77%
MTRN2016-07-282016-07-292016-08-01126.3526.350.00%market6.90%0.73%0.22%0.51%
NICE2016-07-282016-07-292016-08-01167.9667.960.00%market5.33%0.71%0.22%0.49%
NOV2016-07-282016-07-292016-08-01131.8131.810.00%market9.09%-1.26%0.22%-1.48%
NTCT2016-07-282016-07-292016-08-01127.6327.630.00%market12.00%-0.35%0.22%-0.58%
ODFL2016-07-282016-07-292016-08-01123.2423.240.00%market6.45%-0.57%0.22%-0.80%
OMCL2016-07-282016-07-292016-08-01137.0037.000.00%market18.75%4.66%0.22%4.44%
ABBV2016-07-292016-08-012016-08-02366.2366.230.00%market5.00%0.73%-0.76%1.49%
ALGT2016-07-292016-08-012016-08-023128.77128.770.00%market3.66%-4.39%-0.76%-3.64%
AN2016-07-292016-08-012016-08-02351.3551.350.00%market2.86%-5.18%-0.76%-4.43%
AWI2016-07-292016-08-012016-08-02342.3242.320.00%market9.80%-0.12%-0.76%0.63%
BCS2016-07-292016-08-012016-08-0238.068.060.00%market173.68%-2.83%-0.76%-2.07%
BSAC2016-07-292016-08-012016-08-02320.6320.630.00%market2.78%-0.29%-0.76%0.46%
CACC2016-07-292016-08-012016-08-023191.90191.900.00%market13.47%-0.86%-0.76%-0.10%
CVX2016-07-292016-08-012016-08-023101.33101.330.00%market54.84%-1.82%-0.76%-1.06%
DCH2016-07-292016-08-012016-08-02317.3517.350.00%market11.11%-2.06%-0.76%-1.30%
FOR2016-07-292016-08-012016-08-02312.2312.230.00%market1085.71%-5.99%-0.76%-5.23%
FTS2016-07-292016-08-012016-08-02333.1733.170.00%market2.25%-1.16%-0.76%-0.40%
GHM2016-07-292016-08-012016-08-02318.1318.130.00%market150.00%-1.87%-0.76%-1.11%
GRC2016-07-292016-08-012016-08-02326.6926.690.00%market13.64%0.84%-0.76%1.59%
HST2016-07-292016-08-012016-08-02317.6517.650.00%market9.30%-1.29%-0.76%-0.53%
JCI2016-07-292016-08-012016-08-02342.7042.700.00%market1.79%-1.32%-0.76%-0.56%
KT2016-07-292016-08-012016-08-02315.3315.330.00%market24.62%-0.23%-0.76%0.52%
MOG-A2016-07-292016-08-012016-08-02355.0555.050.00%market13.64%3.19%-0.76%3.94%
MRK2016-07-292016-08-012016-08-02356.1056.100.00%market1.09%-0.96%-0.76%-0.20%
MT2016-07-292016-08-012016-08-02319.2319.230.00%market375.00%-4.78%-0.76%-4.03%
NWL2016-07-292016-08-012016-08-02352.5852.580.00%market6.85%2.26%-0.76%3.01%
PRG2016-07-292016-08-012016-08-02323.8223.820.00%market5.36%-0.60%-0.76%0.15%
PSX2016-07-292016-08-012016-08-02375.3075.300.00%market1.08%1.03%-0.76%1.78%
SNY2016-07-292016-08-012016-08-02342.2242.220.00%market2.78%-1.64%-0.76%-0.88%
SONY2016-07-292016-08-012016-08-0236.606.600.00%market153.57%-1.62%-0.76%-0.86%
TTE2016-07-292016-08-012016-08-02347.4647.460.00%market21.62%-1.68%-0.76%-0.93%
UBS2016-07-292016-08-012016-08-02313.7013.700.00%market14.81%-5.43%-0.76%-4.67%
AEIS2016-08-012016-08-022016-08-03143.5443.540.00%market8.96%-6.92%-0.22%-6.70%
AMG2016-08-012016-08-022016-08-031143.81143.810.00%market1.66%-0.23%-0.22%-0.01%
AMKR2016-08-012016-08-022016-08-0317.337.330.00%market125.00%2.49%-0.22%2.71%
BCH2016-08-012016-08-022016-08-03121.1121.110.00%market45.00%0.61%-0.22%0.83%
CGNX2016-08-012016-08-022016-08-03125.7525.750.00%market13.64%-5.85%-0.22%-5.63%
CHGG2016-08-012016-08-022016-08-0316.006.000.00%market70.94%4.90%-0.22%5.12%
CNA2016-08-012016-08-022016-08-03131.3131.310.00%market4.23%2.10%-0.22%2.32%
DAC2016-08-012016-08-022016-08-03161.1861.180.00%market3.08%-2.16%-0.22%-1.94%
GKOS2016-08-012016-08-022016-08-03136.5036.500.00%market220.00%-9.96%-0.22%-9.75%
HVT2016-08-012016-08-022016-08-03122.3022.300.00%market26.32%-11.13%-0.22%-10.91%
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