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 66: 500 of 83,634)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ReturnBenchmarkAbnormal
ACM2016-08-092016-08-102016-08-11135.0335.030.00%market14.08%0.13%0.16%-0.03%
AER2016-08-092016-08-102016-08-11137.6537.650.00%market3.38%1.23%0.16%1.07%
AGM2016-08-092016-08-102016-08-11139.9039.900.00%market7.89%-0.70%0.16%-0.86%
AMRC2016-08-092016-08-102016-08-1115.085.080.00%market100.00%-4.04%0.16%-4.19%
ARES2016-08-092016-08-102016-08-11116.7516.750.00%market51.72%2.11%0.16%1.95%
ARWR2016-08-092016-08-102016-08-1115.925.920.00%market13.51%-3.14%0.16%-3.30%
AXSM2016-08-092016-08-102016-08-1117.587.580.00%market7.69%-4.59%0.16%-4.74%
BMA2016-08-092016-08-102016-08-11173.7373.730.00%market26.01%3.36%0.16%3.20%
CECO2016-08-092016-08-102016-08-1117.337.330.00%market10.53%-2.96%0.16%-3.12%
CHMI2016-08-092016-08-102016-08-11115.7015.700.00%market8.16%1.11%0.16%0.95%
CHTR2016-08-092016-08-102016-08-111255.77255.770.00%market350.00%0.80%0.16%0.64%
CQP2016-08-092016-08-102016-08-11127.1027.100.00%market44.74%-0.14%0.16%-0.29%
DHT2016-08-092016-08-102016-08-1115.185.180.00%market13.33%-0.29%0.16%-0.45%
DIS2016-08-092016-08-102016-08-11196.7096.700.00%market0.62%1.01%0.16%0.85%
DOC2016-08-092016-08-102016-08-11139.0839.080.00%market5.71%-1.43%0.16%-1.59%
DQ2016-08-092016-08-102016-08-1114.784.780.00%market68.00%-3.16%0.16%-3.31%
DXPE2016-08-092016-08-102016-08-11119.6119.610.00%market780.00%44.47%0.16%44.31%
ECHO2016-08-092016-08-102016-08-11131.7531.750.00%market30.43%-5.17%0.16%-5.33%
EXC2016-08-092016-08-102016-08-11125.6625.660.00%market16.07%-3.37%0.16%-3.53%
FF2016-08-092016-08-102016-08-11111.7711.770.00%market37.50%0.07%0.16%-0.09%
FSK2016-08-092016-08-102016-08-11137.9237.920.00%market125.24%-0.94%0.16%-1.10%
GGAL2016-08-092016-08-102016-08-11129.8229.820.00%market2.74%-1.17%0.16%-1.33%
HALO2016-08-092016-08-102016-08-11110.7010.700.00%market19.23%-5.15%0.16%-5.30%
INCY2016-08-092016-08-102016-08-11186.9686.960.00%market1196.04%-6.71%0.16%-6.87%
IONS2016-08-092016-08-102016-08-11136.3136.310.00%market11.32%-1.23%0.16%-1.38%
IPAR2016-08-092016-08-102016-08-11134.3734.370.00%market5.56%0.16%0.16%0.01%
J2016-08-092016-08-102016-08-11145.8145.810.00%market4.00%-1.85%0.16%-2.00%
LAMR2016-08-092016-08-102016-08-11161.4761.470.00%market3.79%2.21%0.16%2.05%
LBRDA2016-08-092016-08-102016-08-11166.0466.040.00%market14066.48%-0.18%0.16%-0.33%
LITE2016-08-092016-08-102016-08-11133.4133.410.00%market17.14%-4.89%0.16%-5.04%
NCLH2016-08-092016-08-102016-08-11138.0738.070.00%market2.41%1.76%0.16%1.61%
NXRT2016-08-092016-08-102016-08-11119.8819.880.00%market30.77%-3.52%0.16%-3.68%
OCUL2016-08-092016-08-102016-08-1116.086.080.00%market18.37%3.52%0.16%3.36%
OSG2016-08-092016-08-102016-08-11119.2119.210.00%market141.90%-7.65%0.16%-7.80%
PEN2016-08-092016-08-102016-08-11173.5073.500.00%market116.67%1.04%0.16%0.89%
PPL2016-08-092016-08-102016-08-11136.0936.090.00%market5.66%0.76%0.16%0.60%
RDNT2016-08-092016-08-102016-08-1116.266.260.00%market84.63%-0.90%0.16%-1.05%
SEDG2016-08-092016-08-102016-08-11117.4017.400.00%market7.32%3.41%0.16%3.25%
SGRY2016-08-092016-08-102016-08-11117.0017.000.00%market14.29%2.02%0.16%1.86%
SLS2016-08-092016-08-102016-08-11113,500.0013,500.000.00%market164.00%-8.99%0.16%-9.14%
SNDX2016-08-092016-08-102016-08-11114.2814.280.00%market11.32%-1.57%0.16%-1.73%
STE2016-08-092016-08-102016-08-11172.3172.310.00%market1.28%-1.12%0.16%-1.28%
TDG2016-08-092016-08-102016-08-111287.50287.500.00%market9.57%-0.62%0.16%-0.77%
TPR2016-08-092016-08-102016-08-11140.6540.650.00%market9.76%-2.02%0.16%-2.17%
USFD2016-08-092016-08-102016-08-11124.1224.120.00%market12.50%-1.43%0.16%-1.58%
VATE2016-08-092016-08-102016-08-11146.9046.900.00%market183.33%-8.42%0.16%-8.57%
VNOM2016-08-092016-08-102016-08-11116.3016.300.00%market12.50%0.33%0.16%0.17%
VRNS2016-08-092016-08-102016-08-1119.179.170.00%market33.33%-0.54%0.16%-0.69%
VTRS2016-08-092016-08-102016-08-11149.3049.300.00%market2.65%-1.30%0.16%-1.45%
YELP2016-08-092016-08-102016-08-11136.1736.170.00%market114.29%2.39%0.16%2.23%
YRD2016-08-092016-08-102016-08-11130.1830.180.00%market179.17%-5.37%0.16%-5.52%
ZBRA2016-08-092016-08-102016-08-11163.4963.490.00%market27.62%2.17%0.16%2.01%
AG2016-08-102016-08-112016-08-12118.2018.200.00%market14.50%-0.65%0.09%-0.74%
ARMK2016-08-102016-08-112016-08-12126.8926.890.00%market3.03%0.94%0.09%0.85%
CAE2016-08-102016-08-112016-08-12113.6513.650.00%market25.00%-0.32%0.09%-0.41%
CPRI2016-08-102016-08-112016-08-12149.2249.220.00%market18.92%-0.97%0.09%-1.07%
ENS2016-08-102016-08-112016-08-12166.2066.200.00%market3.64%4.63%0.09%4.54%
GLOB2016-08-102016-08-112016-08-12143.0943.090.00%market3.57%-1.93%0.09%-2.03%
ICL2016-08-102016-08-112016-08-1214.144.140.00%market66.67%-1.31%0.09%-1.40%
IMOS2016-08-102016-08-112016-08-12117.8417.840.00%market20.00%9.88%0.09%9.79%
JD2016-08-102016-08-112016-08-12123.6523.650.00%market255.87%4.13%0.09%4.04%
MG2016-08-102016-08-112016-08-12125.3325.330.00%market10.00%-1.64%0.09%-1.73%
MIDD2016-08-102016-08-112016-08-121108.05108.050.00%market15.32%-2.90%0.09%-2.99%
RL2016-08-102016-08-112016-08-121104.88104.880.00%market19.10%3.06%0.09%2.96%
SHAK2016-08-102016-08-112016-08-12138.3638.360.00%market7.69%-1.14%0.09%-1.23%
SSRM2016-08-102016-08-112016-08-12114.4214.420.00%market177.78%6.28%0.09%6.19%
UGP2016-08-102016-08-112016-08-12111.7711.770.00%market11.11%-0.27%0.09%-0.36%
VKTX2016-08-102016-08-112016-08-1211.301.300.00%market15.38%0.67%0.09%0.58%
AQN2016-08-112016-08-122016-08-1519.349.340.00%market80.00%1.08%0.37%0.71%
BABA2016-08-112016-08-122016-08-15192.9892.980.00%market21.31%4.41%0.37%4.04%
DAR2016-08-112016-08-122016-08-15114.9614.960.00%market5.56%-2.04%0.37%-2.40%
DDS2016-08-112016-08-122016-08-15161.6961.690.00%market6.45%12.85%0.37%12.49%
EAT2016-08-112016-08-122016-08-15153.0653.060.00%market1.64%3.07%0.37%2.70%
GPRK2016-08-112016-08-122016-08-1513.243.240.00%market81.82%4.22%0.37%3.85%
HIMX2016-08-112016-08-122016-08-1518.908.900.00%market20.00%11.36%0.37%10.99%
KSS2016-08-112016-08-122016-08-15144.5544.550.00%market17.31%3.18%0.37%2.81%
M2016-08-112016-08-122016-08-15139.2339.230.00%market35.00%3.04%0.37%2.67%
PAAS2016-08-112016-08-122016-08-15120.4020.400.00%market379.53%1.81%0.37%1.45%
PLNT2016-08-112016-08-122016-08-15121.6721.670.00%market13.33%2.58%0.37%2.21%
RUN2016-08-112016-08-122016-08-1516.396.390.00%market177.50%-2.92%0.37%-3.28%
SA2016-08-112016-08-122016-08-15113.4013.400.00%market40.00%-2.26%0.37%-2.63%
VIAV2016-08-112016-08-122016-08-1517.017.010.00%market11.11%7.46%0.37%7.09%
CIG2016-08-122016-08-152016-08-1632.252.250.00%market667.26%1.23%-0.42%1.66%
SBS2016-08-122016-08-152016-08-1631.881.880.00%market166.67%-1.16%-0.42%-0.74%
ALRM2016-08-152016-08-162016-08-17131.3531.350.00%market36.36%-4.69%-0.11%-4.59%
IBRX2016-08-152016-08-162016-08-1717.567.560.00%market29.31%-7.38%-0.11%-7.27%
SID2016-08-152016-08-162016-08-1713.453.450.00%market67.81%-7.06%-0.11%-6.95%
SYY2016-08-152016-08-162016-08-17151.6551.650.00%market6.67%1.04%-0.11%1.15%
VIPS2016-08-152016-08-162016-08-17117.3117.310.00%market6.25%-6.22%-0.11%-6.12%
WLFC2016-08-152016-08-162016-08-1718.958.950.00%market87.80%0.24%-0.11%0.34%
ATHM2016-08-162016-08-172016-08-18126.3026.300.00%market29.15%-4.24%0.39%-4.64%
CIG-C2016-08-162016-08-172016-08-1811.551.550.00%market720.00%-0.75%0.39%-1.14%
COTY2016-08-162016-08-172016-08-18128.3328.330.00%market116.67%0.78%0.39%0.39%
DKS2016-08-162016-08-172016-08-18158.1158.110.00%market18.84%0.40%0.39%0.00%
HTHT2016-08-162016-08-172016-08-18110.2710.270.00%market88.89%4.28%0.39%3.89%
JKHY2016-08-162016-08-172016-08-18187.3087.300.00%market5.00%-0.29%0.39%-0.69%
OSIS2016-08-162016-08-172016-08-18165.8065.800.00%market12.24%3.23%0.39%2.83%
TJX2016-08-162016-08-172016-08-18138.9138.910.00%market2.44%-0.10%0.39%-0.49%
URBN2016-08-162016-08-172016-08-18135.3735.370.00%market17.86%3.86%0.39%3.46%
A2016-08-172016-08-182016-08-19146.8846.880.00%market4.26%1.48%0.09%1.39%
ADI2016-08-172016-08-182016-08-19164.3064.300.00%market7.89%-0.35%0.09%-0.44%
AEO2016-08-172016-08-182016-08-19118.4218.420.00%market9.52%3.21%0.09%3.12%
BBWI2016-08-172016-08-182016-08-19162.0962.090.00%market18.64%1.11%0.09%1.02%
CACI2016-08-172016-08-182016-08-19192.6592.650.00%market10.13%5.33%0.09%5.24%
CSCO2016-08-172016-08-182016-08-19130.4130.410.00%market5.00%0.26%0.09%0.17%
JOYY2016-08-172016-08-182016-08-19149.5149.510.00%market40.85%-3.21%0.09%-3.30%
KEYS2016-08-172016-08-182016-08-19126.9526.950.00%market5.00%11.92%0.09%11.83%
NTAP2016-08-172016-08-182016-08-19131.0631.060.00%market27.78%11.65%0.09%11.56%
NTES2016-08-172016-08-182016-08-19143.4043.400.00%market43.14%-3.44%0.09%-3.53%
SNPS2016-08-172016-08-182016-08-19157.7557.750.00%market2.70%1.35%0.09%1.26%
TGT2016-08-172016-08-182016-08-19170.4370.430.00%market9.82%-0.54%0.09%-0.63%
AMAT2016-08-182016-08-192016-08-22128.9928.990.00%market4.17%0.45%0.10%0.35%
CATO2016-08-182016-08-192016-08-22135.1635.160.00%market5.56%-0.16%0.10%-0.26%
HRL2016-08-182016-08-192016-08-22137.2537.250.00%market2.86%5.97%0.10%5.87%
MZTI2016-08-182016-08-192016-08-221130.45130.450.00%market8.74%2.48%0.10%2.37%
ROST2016-08-182016-08-192016-08-22164.5064.500.00%market5.97%-0.18%0.10%-0.28%
WMT2016-08-182016-08-192016-08-22124.7024.700.00%market5.88%-2.00%0.10%-2.10%
DE2016-08-192016-08-222016-08-23386.9086.900.00%market64.89%1.27%0.33%0.94%
EL2016-08-192016-08-222016-08-23390.8990.890.00%market7.50%0.65%0.33%0.32%
NDSN2016-08-222016-08-232016-08-24197.0097.000.00%market10.53%2.97%-0.64%3.61%
BBY2016-08-232016-08-242016-08-25139.2039.200.00%market32.56%0.69%-0.50%1.19%
BMO2016-08-232016-08-242016-08-25166.7266.720.00%market7.97%0.47%-0.50%0.97%
DY2016-08-232016-08-242016-08-25186.0086.000.00%market5.81%-2.76%-0.50%-2.26%
INTU2016-08-232016-08-242016-08-251108.38108.380.00%market541.54%1.39%-0.50%1.90%
SJM2016-08-232016-08-242016-08-251143.63143.630.00%market6.90%-1.94%-0.50%-1.44%
HEI2016-08-242016-08-252016-08-26138.4038.400.00%market6.67%-8.02%-0.05%-7.97%
HPQ2016-08-242016-08-252016-08-26113.6413.640.00%market9.09%5.40%-0.05%5.45%
PVH2016-08-242016-08-252016-08-261110.18110.180.00%market14.84%-2.46%-0.05%-2.41%
RY2016-08-242016-08-252016-08-26163.2563.250.00%market0.76%-0.87%-0.05%-0.82%
SQM2016-08-242016-08-252016-08-26125.1825.180.00%market14.81%3.43%-0.05%3.49%
TLYS2016-08-242016-08-252016-08-2617.907.900.00%market273.97%1.17%-0.05%1.22%
ADSK2016-08-252016-08-262016-08-29166.0066.000.00%market138.46%3.42%0.20%3.21%
BURL2016-08-252016-08-262016-08-29181.3381.330.00%market30.00%-0.49%0.20%-0.70%
CM2016-08-252016-08-262016-08-29140.1340.130.00%market13.94%-0.32%0.20%-0.53%
MDT2016-08-252016-08-262016-08-29185.6285.620.00%market1.98%2.05%0.20%1.85%
MESO2016-08-252016-08-262016-08-29110.2610.260.00%market4000.00%4.77%0.20%4.57%
NOMD2016-08-252016-08-262016-08-29110.9010.900.00%market11.76%1.46%0.20%1.26%
P2016-08-252016-08-262016-08-29113.5113.510.00%market30.43%-13.57%0.20%-13.77%
REX2016-08-252016-08-262016-08-29113.4213.420.00%market70.32%0.57%0.20%0.37%
TD2016-08-252016-08-262016-08-29144.4444.440.00%market4.30%0.33%0.20%0.13%
ULTA2016-08-252016-08-262016-08-291270.11270.110.00%market2.88%-6.03%0.20%-6.23%
BNS2016-08-302016-08-312016-09-01153.5153.510.00%market5.26%0.11%-0.10%0.21%
DBI2016-08-302016-08-312016-09-01123.2523.250.00%market16.67%1.88%-0.10%1.98%
OOMA2016-08-302016-08-312016-09-0118.678.670.00%market37.50%0.02%-0.10%0.12%
PKX2016-08-302016-08-312016-09-01150.5650.560.00%market37.93%1.54%-0.10%1.64%
VEEV2016-08-302016-08-312016-09-01140.9940.990.00%market15.38%-1.95%-0.10%-1.85%
ASND2016-08-312016-09-012016-09-02118.7018.700.00%market13.04%3.64%0.46%3.18%
BOX2016-08-312016-09-012016-09-02113.2513.250.00%market30.00%6.62%0.46%6.16%
CRM2016-08-312016-09-012016-09-02175.4575.450.00%market9.09%-0.56%0.46%-1.02%
FIVE2016-08-312016-09-012016-09-02142.2042.200.00%market5.88%2.74%0.46%2.28%
FRO2016-08-312016-09-012016-09-0217.327.320.00%market14.81%-1.33%0.46%-1.79%
GEF2016-08-312016-09-012016-09-02143.3943.390.00%market26.39%6.10%0.46%5.64%
OLLI2016-08-312016-09-012016-09-02128.3728.370.00%market16.67%-3.24%0.46%-3.70%
OXM2016-08-312016-09-012016-09-02167.8567.850.00%market7.25%4.81%0.46%4.35%
PI2016-08-312016-09-012016-09-02126.5226.520.00%market275.00%23.09%0.46%22.63%
SMTC2016-08-312016-09-012016-09-02126.7026.700.00%market6.06%5.03%0.46%4.57%
TCOM2016-08-312016-09-012016-09-02147.0547.050.00%market14.71%1.71%0.46%1.25%
AMBA2016-09-012016-09-022016-09-06170.2770.270.00%market45.95%-2.08%0.29%-2.37%
AVAL2016-09-012016-09-022016-09-0618.498.490.00%market5.88%4.02%0.29%3.73%
AVGO2016-09-012016-09-022016-09-06117.7017.700.00%market3.57%-3.43%0.29%-3.73%
CIEN2016-09-012016-09-022016-09-06122.9322.930.00%market10.53%0.12%0.29%-0.17%
GCO2016-09-012016-09-022016-09-06148.0448.040.00%market30.77%1.38%0.29%1.08%
MEI2016-09-012016-09-022016-09-06133.6033.600.00%market7.55%5.88%0.29%5.59%
KNSL2016-09-022016-09-062016-09-07420.6520.650.00%market14.71%2.32%0.14%2.18%
AGX2016-09-062016-09-072016-09-08150.0050.000.00%market63.29%6.06%-0.15%6.21%
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