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 75: 500 of 83,634)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ReturnBenchmarkAbnormal
INFY2017-10-242017-10-252017-10-2617.347.340.00%market8.33%2.22%-0.22%2.43%
JBLU2017-10-242017-10-252017-10-26120.4320.430.00%market3.77%-4.21%-0.22%-3.99%
LLY2017-10-242017-10-252017-10-26185.9185.910.00%market1.94%-2.14%-0.22%-1.92%
MANH2017-10-242017-10-252017-10-26143.0543.050.00%market4.08%6.08%-0.22%6.30%
MCRI2017-10-242017-10-252017-10-26143.7043.700.00%market4.26%-1.82%-0.22%-1.60%
MKSI2017-10-242017-10-252017-10-261106.55106.550.00%market6.85%-0.71%-0.22%-0.49%
MMM2017-10-242017-10-252017-10-261196.49196.490.00%market5.43%-0.98%-0.22%-0.76%
MRCY2017-10-242017-10-252017-10-26154.0454.040.00%market42.31%-8.04%-0.22%-7.82%
NVS2017-10-242017-10-252017-10-26169.2169.210.00%market3.20%-2.30%-0.22%-2.08%
ONB2017-10-242017-10-252017-10-26118.7518.750.00%market11.54%-0.90%-0.22%-0.68%
PCAR2017-10-242017-10-252017-10-26146.6046.600.00%market5.56%3.01%-0.22%3.23%
PII2017-10-242017-10-252017-10-261120.82120.820.00%market18.70%0.28%-0.22%0.50%
PNR2017-10-242017-10-252017-10-26147.5847.580.00%market2.15%0.34%-0.22%0.56%
R2017-10-242017-10-252017-10-26182.2382.230.00%market3.10%0.99%-0.22%1.21%
RRC2017-10-242017-10-252017-10-26118.0918.090.00%market71.23%-2.15%-0.22%-1.93%
RTX2017-10-242017-10-252017-10-26170.6170.610.00%market2.98%0.08%-0.22%0.30%
SHW2017-10-242017-10-252017-10-261130.04130.040.00%market0.64%1.54%-0.22%1.76%
SSB2017-10-242017-10-252017-10-26191.2091.200.00%market0.83%2.75%-0.22%2.97%
ST2017-10-242017-10-252017-10-26150.0550.050.00%market1.25%-1.68%-0.22%-1.46%
SWK2017-10-242017-10-252017-10-261165.00165.000.00%market4.28%-0.28%-0.22%-0.06%
TRMK2017-10-242017-10-252017-10-26134.4834.480.00%market8.33%-2.71%-0.22%-2.49%
TXN2017-10-242017-10-252017-10-26195.0095.000.00%market12.50%1.11%-0.22%1.33%
UMBF2017-10-242017-10-252017-10-26176.4676.460.00%market5.43%-3.25%-0.22%-3.03%
USNA2017-10-242017-10-252017-10-26165.5065.500.00%market12.09%1.27%-0.22%1.49%
VNOM2017-10-242017-10-252017-10-26118.3918.390.00%market4.35%1.69%-0.22%1.91%
WAT2017-10-242017-10-252017-10-261188.19188.190.00%market1.72%3.32%-0.22%3.54%
WRB2017-10-242017-10-252017-10-26121.2721.270.00%market22.22%-1.79%-0.22%-1.57%
AEM2017-10-252017-10-262017-10-27145.6945.690.00%market81.25%-0.69%0.67%-1.36%
AFL2017-10-252017-10-262017-10-27142.5042.500.00%market3.66%-1.35%0.67%-2.02%
AGNC2017-10-252017-10-262017-10-27121.5621.560.00%market1.64%-4.18%0.67%-4.85%
AIT2017-10-252017-10-262017-10-27165.4565.450.00%market13.16%-1.17%0.67%-1.84%
ALGT2017-10-252017-10-262017-10-271141.35141.350.00%market5.30%-1.55%0.67%-2.22%
ALLY2017-10-252017-10-262017-10-27125.9025.900.00%market10.17%1.37%0.67%0.70%
AMGN2017-10-252017-10-262017-10-271170.87170.870.00%market5.14%2.48%0.67%1.81%
AOS2017-10-252017-10-262017-10-27159.5259.520.00%market1.89%0.03%0.67%-0.64%
APH2017-10-252017-10-262017-10-27121.8121.810.00%market10.00%-0.83%0.67%-1.51%
ARR2017-10-252017-10-262017-10-271131.55131.550.00%market422.73%-3.48%0.67%-4.15%
AVNT2017-10-252017-10-262017-10-27145.0045.000.00%market5.45%0.30%0.67%-0.37%
AVY2017-10-252017-10-262017-10-271103.50103.500.00%market4.13%2.42%0.67%1.75%
AXTI2017-10-252017-10-262017-10-2718.908.900.00%market22.22%6.64%0.67%5.97%
BA2017-10-252017-10-262017-10-271259.72259.720.00%market2.26%-1.36%0.67%-2.03%
BAX2017-10-252017-10-262017-10-27164.5364.530.00%market8.47%1.68%0.67%1.01%
BCO2017-10-252017-10-262017-10-27181.1581.150.00%market10.67%-2.13%0.67%-2.81%
BLKB2017-10-252017-10-262017-10-27193.9393.930.00%market7.69%8.91%0.67%8.23%
BTU2017-10-252017-10-262017-10-27131.3431.340.00%market8.76%-2.17%0.67%-2.85%
CNO2017-10-252017-10-262017-10-27125.0025.000.00%market15.38%-1.90%0.67%-2.57%
CSGP2017-10-252017-10-262017-10-27128.1528.150.00%market27.27%6.26%0.67%5.59%
CW2017-10-252017-10-262017-10-271115.00115.000.00%market18.18%0.73%0.67%0.06%
DLB2017-10-252017-10-262017-10-27156.9556.950.00%market73.08%0.66%0.67%-0.02%
DLR2017-10-252017-10-262017-10-271122.85122.850.00%market1.34%-5.23%0.67%-5.90%
EFOR2017-10-252017-10-262017-10-27157.6357.630.00%market10.67%4.60%0.67%3.93%
EIG2017-10-252017-10-262017-10-27145.7045.700.00%market14.04%4.39%0.67%3.71%
ELV2017-10-252017-10-262017-10-271206.00206.000.00%market9.50%2.49%0.67%1.82%
FBIN2017-10-252017-10-262017-10-27156.7656.760.00%market1.22%0.52%0.67%-0.16%
FCF2017-10-252017-10-262017-10-27114.1714.170.00%market10.00%3.22%0.67%2.54%
FCX2017-10-252017-10-262017-10-27114.8314.830.00%market17.24%-4.82%0.67%-5.49%
FFIV2017-10-252017-10-262017-10-271119.50119.500.00%market10.41%1.31%0.67%0.63%
FNF2017-10-252017-10-262017-10-27134.0634.060.00%market7.58%3.86%0.67%3.19%
FR2017-10-252017-10-262017-10-27130.8530.850.00%market106.25%0.52%0.67%-0.16%
FSV2017-10-252017-10-262017-10-27170.0070.000.00%market5.71%-0.20%0.67%-0.87%
GD2017-10-252017-10-262017-10-271208.18208.180.00%market3.28%-1.63%0.67%-2.30%
GGG2017-10-252017-10-262017-10-27143.7143.710.00%market8.57%1.23%0.67%0.56%
GHM2017-10-252017-10-262017-10-27120.2220.220.00%market100.00%-3.41%0.67%-4.09%
GSK2017-10-252017-10-262017-10-27137.2937.290.00%market0.95%-2.94%0.67%-3.61%
HDB2017-10-252017-10-262017-10-27123.1323.130.00%market3061.40%-0.71%0.67%-1.38%
IP2017-10-252017-10-262017-10-27155.4155.410.00%market1.89%-1.07%0.67%-1.75%
IR2017-10-252017-10-262017-10-27128.4828.480.00%market10.81%6.71%0.67%6.04%
KIM2017-10-252017-10-262017-10-27118.5018.500.00%market84.62%-0.86%0.67%-1.53%
KN2017-10-252017-10-262017-10-27115.6015.600.00%market7.69%2.34%0.67%1.66%
KO2017-10-252017-10-262017-10-27146.3246.320.00%market2.04%-0.64%0.67%-1.31%
KOF2017-10-252017-10-262017-10-27169.7169.710.00%market20.00%0.14%0.67%-0.53%
KRC2017-10-252017-10-262017-10-27171.9571.950.00%market123.33%-2.00%0.67%-2.68%
LEA2017-10-252017-10-262017-10-271172.16172.160.00%market5.88%1.51%0.67%0.84%
LH2017-10-252017-10-262017-10-271131.75131.750.00%market2.93%1.23%0.67%0.56%
LOB2017-10-252017-10-262017-10-27123.9523.950.00%market70.00%0.74%0.67%0.06%
LPL2017-10-252017-10-262017-10-27112.9412.940.00%market11.32%1.29%0.67%0.62%
LSTR2017-10-252017-10-262017-10-271101.00101.000.00%market5.21%0.79%0.67%0.12%
LVS2017-10-252017-10-262017-10-27164.0064.000.00%market13.24%-3.62%0.67%-4.29%
MAA2017-10-252017-10-262017-10-271102.75102.750.00%market2.04%-2.24%0.67%-2.91%
MC2017-10-252017-10-262017-10-27145.0045.000.00%market35.71%-5.10%0.67%-5.77%
MEOH2017-10-252017-10-262017-10-27150.7550.750.00%market9.09%-1.77%0.67%-2.45%
MMSI2017-10-252017-10-262017-10-27141.1541.150.00%market6.67%-10.19%0.67%-10.86%
NDAQ2017-10-252017-10-262017-10-27124.2024.200.00%market2.94%-0.47%0.67%-1.14%
NOC2017-10-252017-10-262017-10-271306.00306.000.00%market17.12%-2.83%0.67%-3.50%
NSC2017-10-252017-10-262017-10-271131.00131.000.00%market6.71%1.92%0.67%1.25%
NTB2017-10-252017-10-262017-10-27136.9236.920.00%market7.25%2.85%0.67%2.18%
O2017-10-252017-10-262017-10-27153.0053.000.00%market3.23%-1.57%0.67%-2.24%
OFG2017-10-252017-10-262017-10-2718.958.950.00%market42.86%-0.66%0.67%-1.33%
OII2017-10-252017-10-262017-10-27119.0719.070.00%market134.59%-0.26%0.67%-0.93%
ORLY2017-10-252017-10-262017-10-27112.8012.800.00%market2.22%12.95%0.67%12.27%
PAG2017-10-252017-10-262017-10-27148.2248.220.00%market1.85%-0.99%0.67%-1.66%
PB2017-10-252017-10-262017-10-27166.1566.150.00%market3.16%1.05%0.67%0.38%
PLXS2017-10-252017-10-262017-10-27159.0059.000.00%market2.44%5.78%0.67%5.11%
RJF2017-10-252017-10-262017-10-27157.1557.150.00%market11.36%-0.38%0.67%-1.05%
RUSHA2017-10-252017-10-262017-10-27123.1923.190.00%market52.38%-1.82%0.67%-2.50%
SCI2017-10-252017-10-262017-10-27133.8733.870.00%market22.22%5.07%0.67%4.39%
SEIC2017-10-252017-10-262017-10-27164.2464.240.00%market10.53%0.23%0.67%-0.45%
SIGI2017-10-252017-10-262017-10-27157.2557.250.00%market16.13%3.31%0.67%2.63%
SIRI2017-10-252017-10-262017-10-27156.2056.200.00%market50.00%-1.52%0.67%-2.20%
SKYW2017-10-252017-10-262017-10-27144.9044.900.00%market4.12%1.57%0.67%0.90%
SLAB2017-10-252017-10-262017-10-27192.4092.400.00%market11.11%1.52%0.67%0.85%
SRPT2017-10-252017-10-262017-10-27148.2048.200.00%market9.30%-0.95%0.67%-1.62%
SU2017-10-252017-10-262017-10-27133.3733.370.00%market48.57%1.07%0.67%0.40%
SYBT2017-10-252017-10-262017-10-27139.0039.000.00%market6.25%1.31%0.67%0.64%
TER2017-10-252017-10-262017-10-27141.0041.000.00%market25.58%4.14%0.67%3.47%
TILE2017-10-252017-10-262017-10-27122.2022.200.00%market6.67%4.63%0.67%3.96%
TKR2017-10-252017-10-262017-10-27149.1049.100.00%market4.41%-2.54%0.67%-3.22%
TMO2017-10-252017-10-262017-10-271199.72199.720.00%market3.12%-3.76%0.67%-4.43%
TRN2017-10-252017-10-262017-10-27123.0923.090.00%market38.71%-0.10%0.67%-0.77%
TT2017-10-252017-10-262017-10-27171.4171.410.00%market0.70%-1.08%0.67%-1.75%
TYL2017-10-252017-10-262017-10-271177.68177.680.00%market2.94%1.39%0.67%0.72%
UMC2017-10-252017-10-262017-10-2712.532.530.00%market150.00%0.30%0.67%-0.38%
UNM2017-10-252017-10-262017-10-27152.6652.660.00%market4.81%-0.50%0.67%-1.17%
UTHR2017-10-252017-10-262017-10-271121.80121.800.00%market62.02%-1.54%0.67%-2.21%
V2017-10-252017-10-262017-10-271110.38110.380.00%market5.88%-0.71%0.67%-1.38%
VLRS2017-10-252017-10-262017-10-27111.1611.160.00%market90.48%-4.58%0.67%-5.25%
VRTX2017-10-252017-10-262017-10-271144.88144.880.00%market43.24%3.51%0.67%2.84%
WCN2017-10-252017-10-262017-10-27170.7570.750.00%market5.26%1.48%0.67%0.81%
AAL2017-10-262017-10-272017-10-30148.4148.410.00%market1.43%-2.50%0.11%-2.61%
ABEV2017-10-262017-10-272017-10-3016.416.410.00%market20.00%-1.04%0.11%-1.15%
AIV2017-10-262017-10-272017-10-3015.775.770.00%market1.27%1.98%0.11%1.87%
AJG2017-10-262017-10-272017-10-30162.8562.850.00%market2.53%-0.28%0.11%-0.38%
ALGN2017-10-262017-10-272017-10-301225.64225.640.00%market23.17%4.30%0.11%4.19%
ALKS2017-10-262017-10-272017-10-30155.0055.000.00%market444.46%-11.21%0.11%-11.32%
ALV2017-10-262017-10-272017-10-30190.5190.510.00%market10.53%-2.20%0.11%-2.31%
AMZN2017-10-262017-10-272017-10-30152.9152.910.00%market1654.39%4.87%0.11%4.76%
APD2017-10-262017-10-272017-10-301161.30161.300.00%market4.76%-0.94%0.11%-1.05%
ATEN2017-10-262017-10-272017-10-3017.847.840.00%market263.64%-5.20%0.11%-5.31%
ATR2017-10-262017-10-272017-10-30189.4089.400.00%market3.75%-3.39%0.11%-3.50%
AVT2017-10-262017-10-272017-10-30141.8041.800.00%market7.04%-5.12%0.11%-5.23%
AXTA2017-10-262017-10-272017-10-30128.3828.380.00%market8.33%14.17%0.11%14.06%
BANC2017-10-262017-10-272017-10-30121.3021.300.00%market31.58%-0.80%0.11%-0.91%
BEN2017-10-262017-10-272017-10-30143.7643.760.00%market5.56%-2.89%0.11%-3.00%
BIDU2017-10-262017-10-272017-10-301241.82241.820.00%market77.63%-2.33%0.11%-2.44%
BMRN2017-10-262017-10-272017-10-30182.5282.520.00%market41.67%-0.77%0.11%-0.88%
BSAC2017-10-262017-10-272017-10-30130.7830.780.00%market4.55%2.60%0.11%2.49%
BUD2017-10-262017-10-272017-10-301120.42120.420.00%market3.15%0.22%0.11%0.11%
BWA2017-10-262017-10-272017-10-30146.9246.920.00%market7.95%-1.89%0.11%-2.00%
CB2017-10-262017-10-272017-10-301154.25154.250.00%market50.00%-0.98%0.11%-1.09%
CDNS2017-10-262017-10-272017-10-30141.8541.850.00%market2.94%2.41%0.11%2.30%
CFR2017-10-262017-10-272017-10-301101.62101.620.00%market8.40%-2.69%0.11%-2.80%
CHE2017-10-262017-10-272017-10-301218.04218.040.00%market6.97%2.01%0.11%1.91%
CINF2017-10-262017-10-272017-10-30174.9674.960.00%market11.54%-6.17%0.11%-6.28%
CMCSA2017-10-262017-10-272017-10-30135.9335.930.00%market4.00%1.49%0.11%1.38%
CME2017-10-262017-10-272017-10-301135.89135.890.00%market2.59%0.06%0.11%-0.05%
CMS2017-10-262017-10-272017-10-30147.9447.940.00%market10.71%-0.39%0.11%-0.50%
CNOB2017-10-262017-10-272017-10-30126.5526.550.00%market24.24%-0.48%0.11%-0.59%
COLB2017-10-262017-10-272017-10-30143.5143.510.00%market32.08%-1.25%0.11%-1.36%
COLM2017-10-262017-10-272017-10-30165.0365.030.00%market8.70%-2.31%0.11%-2.42%
COP2017-10-262017-10-272017-10-30151.1651.160.00%market77.78%0.35%0.11%0.24%
CPAC2017-10-262017-10-272017-10-30112.6712.670.00%market55.56%1.79%0.11%1.69%
CRI2017-10-262017-10-272017-10-30197.7697.760.00%market3.03%-0.54%0.11%-0.65%
CRS2017-10-262017-10-272017-10-30149.7149.710.00%market19.51%-1.49%0.11%-1.60%
CSTM2017-10-262017-10-272017-10-30111.6011.600.00%market33.31%4.21%0.11%4.10%
CTS2017-10-262017-10-272017-10-30126.3526.350.00%market6.90%-0.67%0.11%-0.78%
CUBE2017-10-262017-10-272017-10-30126.0026.000.00%market5.00%4.09%0.11%3.98%
CWT2017-10-262017-10-272017-10-30142.8042.800.00%market2.94%-1.15%0.11%-1.26%
CX2017-10-262017-10-272017-10-3018.128.120.00%market18.75%-1.09%0.11%-1.19%
CYTK2017-10-262017-10-272017-10-30113.1513.150.00%market6.25%5.60%0.11%5.49%
DAN2017-10-262017-10-272017-10-30129.7829.780.00%market7.27%-0.30%0.11%-0.41%
DB2017-10-262017-10-272017-10-30116.4616.460.00%market15.62%-1.32%0.11%-1.42%
DECK2017-10-262017-10-272017-10-30111.9811.980.00%market52.94%-1.85%0.11%-1.96%
DGII2017-10-262017-10-272017-10-30110.8010.800.00%market100.00%-2.88%0.11%-2.99%
DLX2017-10-262017-10-272017-10-30172.5472.540.00%market5.60%-4.59%0.11%-4.70%
EHC2017-10-262017-10-272017-10-30135.9035.900.00%market1.54%1.46%0.11%1.35%
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