EPS surp.>8 & ROE>20 & Debt / equity<0.5 (hold 10d) (lookback 50y) (max 100 pos)
Run 9a914f49 · view hypothesis
completed
Legacy run: publication dates, coverage and daily drawdown were not validated. Run this hypothesis again for updated results.
Trades
509
Win rate
51.87%
Avg return
2.95%
Median return
0.55%
Avg abnormal
2.30%
Median abnormal
0.07%
Best trade
164.19%
Worst trade
-45.61%
Sharpe (per-trade)
0.14
Daily portfolio drawdown
-1.94%
Portfolio (equal_weight)
Total return
15.00%
Max drawdown
-1.94%
Avg trade return
2.95%
Win rate
51.87%
Signals
509
Configured concurrent
100
Observed concurrent
19
Trades taken
509
Skipped (no capacity)
0
Excess vs benchmark
-437.92%
Avg entry slippage
0.00%
Return if filled at market
15.00%
VWAP fills
0
VWAP fallbacks
0
0 of 509 qualifying signals were dropped because no position slot or cash was available.
Equity curve — full run
Breakdowns
| Bucket | Trades | Avg return | Avg abnormal | Win rate |
|---|---|---|---|---|
| 2006 | 2 | -2.69% | -5.13% | 50.00% |
| 2007 | 1 | 6.77% | 6.55% | 100.00% |
| 2009 | 1 | 3.15% | 0.65% | 100.00% |
| 2016 | 9 | 11.02% | 9.53% | 88.89% |
| 2017 | 21 | 6.74% | 6.80% | 66.67% |
| 2018 | 33 | 1.47% | 1.35% | 48.48% |
| 2019 | 26 | 0.14% | -0.44% | 50.00% |
| 2020 | 47 | 10.34% | 8.95% | 55.32% |
| 2021 | 93 | 1.42% | 0.85% | 51.61% |
| 2022 | 61 | 2.39% | 2.83% | 47.54% |
| 2023 | 49 | 2.27% | 1.02% | 46.94% |
| 2024 | 64 | 3.90% | 1.91% | 59.38% |
| 2025 | 68 | 0.37% | 0.33% | 42.65% |
| 2026 | 34 | 1.58% | 1.31% | 50.00% |
Trades (page 2: 9 of 509)
| Symbol | Event | Entry date | Exit date | Δ days | Market entry | Actual buy-in | Diff % | Fill source | EPS surp. | ROE | Debt / equity | Return | Benchmark | Abnormal |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| CMPS | 2026-05-13 | 2026-05-14 | 2026-05-29 | 1 | 10.74 | 10.74 | 0.00% | market | 33.33% | — | — | 21.50% | 1.73% | 19.78% |
| ONDS | 2026-05-14 | 2026-05-15 | 2026-06-01 | 1 | 10.91 | 10.91 | 0.00% | market | 1597.67% | — | — | 23.27% | 2.26% | 21.02% |
| TMC | 2026-05-14 | 2026-05-15 | 2026-06-01 | 1 | 5.63 | 5.63 | 0.00% | market | 16.67% | — | — | 12.87% | 2.26% | 10.61% |
| EMAT | 2026-05-22 | 2026-05-26 | 2026-06-09 | 4 | 8.20 | 8.20 | 0.00% | market | 33.33% | — | — | -18.51% | -1.73% | -16.79% |
| ESTC | 2026-05-28 | 2026-05-29 | 2026-06-12 | 1 | 53.91 | 53.91 | 0.00% | market | 8.73% | — | — | 11.85% | -1.87% | 13.72% |
| CHPT | 2026-06-03 | 2026-06-04 | 2026-06-18 | 1 | 7.47 | 7.47 | 0.00% | market | 33.33% | — | — | 11.14% | -0.71% | 11.86% |
| SKIL | 2026-06-09 | 2026-06-10 | 2026-06-25 | 1 | 5.90 | 5.90 | 0.00% | market | 2220.00% | — | — | 4.14% | 0.12% | 4.01% |
| ANGX | 2026-06-11 | 2026-06-12 | 2026-06-29 | 1 | 2.90 | 2.90 | 0.00% | market | 41.43% | — | — | 22.66% | 0.04% | 22.62% |
| MU | 2026-06-24 | 2026-06-25 | 2026-07-10 | 1 | 1,233.00 | 1,233.00 | 0.00% | market | 19.69% | — | — | -20.68% | 2.17% | -22.85% |