EPS surp.>10 (hold 10d) (lookback 50y) (max 100 pos)

Run 9a92dc5a · view hypothesis

completed

Legacy run: publication dates, coverage and daily drawdown were not validated. Run this hypothesis again for updated results.

Trades
25159
Win rate
51.14%
Avg return
0.58%
Median return
0.21%
Avg abnormal
0.28%
Median abnormal
-0.23%
Best trade
164.19%
Worst trade
-70.07%
Sharpe (per-trade)
0.05
Daily portfolio drawdown
-21.41%
Portfolio (equal_weight)
Total return
146.12%
Max drawdown
-21.41%
Avg trade return
0.58%
Win rate
51.14%
Signals
50914
Configured concurrent
100
Observed concurrent
100
Trades taken
25159
Skipped (no capacity)
25755
Excess vs benchmark
-340.26%
Avg entry slippage
0.00%
Return if filled at market
146.12%
VWAP fills
0
VWAP fallbacks
0

25755 of 50914 qualifying signals were dropped because no position slot or cash was available.

Equity curve — full run
Breakdowns
BucketTradesAvg returnAvg abnormalWin rate
20062382.58%1.81%65.13%
20071066-0.56%0.22%46.25%
200810681.16%1.95%56.18%
200911562.18%1.56%54.50%
201012020.20%0.32%49.33%
20111114-1.33%0.08%43.99%
201210720.25%-0.01%48.97%
201311441.70%0.61%59.09%
201411220.88%-0.27%53.92%
201511690.54%0.55%52.52%
201611852.73%1.78%58.40%
201711830.59%-0.04%49.70%
20181260-0.32%-0.18%48.49%
20191259-0.10%-0.81%51.87%
20201488-0.28%-0.49%47.85%
202115690.53%-0.31%51.37%
202214850.92%1.43%51.04%
202315130.38%-0.42%48.38%
202414591.33%0.00%51.82%
20251475-0.06%-0.34%48.27%
20269320.72%0.36%50.00%
Trades (page 24: 500 of 25,159)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ReturnBenchmarkAbnormal
UTI2016-11-292016-11-302016-12-1412.602.600.00%market55.17%21.05%1.92%19.14%
BL2016-11-302016-12-012016-12-15126.0626.060.00%market66.67%-5.51%2.75%-8.27%
BOX2016-11-302016-12-012016-12-15115.6015.600.00%market26.32%-8.69%2.75%-11.44%
FIZZ2016-11-302016-12-012016-12-15125.4725.470.00%market35.00%-3.01%2.75%-5.76%
GLNG2016-11-302016-12-012016-12-15125.2725.270.00%market53.66%-7.62%2.75%-10.37%
LZB2016-11-302016-12-012016-12-15128.0528.050.00%market10.53%12.56%2.75%9.80%
P2016-11-302016-12-012016-12-15113.9113.910.00%market33.33%-13.26%2.75%-16.01%
TLYS2016-11-302016-12-012016-12-15111.8811.880.00%market100.00%20.94%2.75%18.19%
AMBA2016-12-012016-12-022016-12-16156.9956.990.00%market18.09%-5.33%2.44%-7.77%
CENT2016-12-012016-12-022016-12-16123.4923.490.00%market160.01%8.50%2.44%6.05%
FIVE2016-12-012016-12-022016-12-16144.4544.450.00%market11.11%-11.15%2.44%-13.59%
WDAY2016-12-012016-12-022016-12-16168.9268.920.00%market175.00%0.02%2.44%-2.43%
GCO2016-12-022016-12-052016-12-19366.4066.400.00%market37.63%0.13%2.21%-2.09%
AGX2016-12-062016-12-072016-12-21167.7567.750.00%market56.76%8.90%1.92%6.99%
BMO2016-12-062016-12-072016-12-21169.8069.800.00%market15.94%3.61%1.92%1.69%
HQY2016-12-062016-12-072016-12-21139.4839.480.00%market11.11%1.60%1.92%-0.32%
OXM2016-12-062016-12-072016-12-21162.3662.360.00%market22.22%-1.08%1.92%-3.00%
PLAB2016-12-062016-12-072016-12-21110.4010.400.00%market100.00%10.48%1.92%8.56%
POWL2016-12-062016-12-072016-12-21115.4015.400.00%market1700.00%-13.80%1.92%-15.72%
OLLI2016-12-072016-12-082016-12-22131.0031.000.00%market21.43%-4.62%0.36%-4.98%
WLY2016-12-072016-12-082016-12-22156.1556.150.00%market15.15%-3.48%0.36%-3.84%
HOV2016-12-082016-12-092016-12-23159.7559.750.00%market22.32%19.98%0.13%19.85%
MEI2016-12-082016-12-092016-12-23142.8042.800.00%market20.00%-1.15%0.13%-1.28%
RH2016-12-082016-12-092016-12-23131.5031.500.00%market18.75%-4.29%0.13%-4.42%
TTC2016-12-082016-12-092016-12-23157.7957.790.00%market28.57%-3.09%0.13%-3.23%
CSR2016-12-122016-12-132016-12-28164.3064.300.00%market600.00%10.01%-1.15%11.16%
BLBD2016-12-132016-12-142016-12-29117.4017.400.00%market16.67%-8.15%-1.35%-6.80%
NDSN2016-12-132016-12-142016-12-291110.56110.560.00%market12.10%2.03%-1.35%3.37%
NX2016-12-152016-12-162017-01-03120.7520.750.00%market15.38%1.10%-0.34%1.45%
SMMT2016-12-152016-12-162017-01-0318.358.350.00%market43.75%1.34%-0.34%1.68%
BB2016-12-202016-12-212017-01-0617.527.520.00%market373.93%-4.89%0.42%-5.31%
CCL2016-12-202016-12-212017-01-06152.2752.270.00%market15.52%2.54%0.42%2.12%
NKE2016-12-202016-12-212017-01-06152.9052.900.00%market16.28%1.81%0.42%1.38%
EPAC2016-12-212016-12-222017-01-09128.1528.150.00%market17.65%-7.38%0.38%-7.76%
MU2016-12-212016-12-222017-01-09122.9122.910.00%market14.29%-2.59%0.38%-2.97%
WGO2016-12-212016-12-222017-01-09135.3535.350.00%market71.43%-9.86%0.38%-10.24%
STZ2017-01-052017-01-062017-01-231146.99146.990.00%market13.95%3.00%-0.17%3.17%
LW2017-01-102017-01-112017-01-26136.7036.700.00%market14.55%-1.11%1.31%-2.42%
SNX2017-01-102017-01-112017-01-26161.7661.760.00%market22.97%-2.50%1.31%-3.81%
WMS2017-01-122017-01-132017-01-30125.6025.600.00%market25.00%-5.57%0.36%-5.93%
JPM2017-01-132017-01-172017-01-31484.9384.930.00%market18.75%-0.45%0.54%-0.99%
MS2017-01-172017-01-182017-02-01142.2942.290.00%market24.62%0.87%0.48%0.39%
ASML2017-01-182017-01-192017-02-021120.86120.860.00%market33.33%1.46%0.41%1.05%
FAST2017-01-182017-01-192017-02-02112.7212.720.00%market11.11%-3.79%0.41%-4.20%
NFLX2017-01-182017-01-192017-02-02114.2014.200.00%market13.25%-2.07%0.41%-2.48%
CHCO2017-01-192017-01-202017-02-03165.8265.820.00%market11.49%-0.89%1.16%-2.05%
CHKP2017-01-192017-01-202017-02-03196.9996.990.00%market16.80%2.38%1.16%1.22%
MTG2017-01-192017-01-202017-02-03110.4510.450.00%market27.27%6.02%1.16%4.86%
TAL2017-01-192017-01-202017-02-03113.4713.470.00%market18.52%1.09%1.16%-0.08%
TEAM2017-01-192017-01-202017-02-03127.2127.210.00%market12.50%3.39%1.16%2.23%
ABCB2017-01-202017-01-232017-02-06343.0043.000.00%market23.53%7.23%0.97%6.26%
EFSC2017-01-232017-01-242017-02-07139.1039.100.00%market21.31%7.57%1.12%6.45%
HAL2017-01-232017-01-242017-02-07155.2455.240.00%market113.68%-0.75%1.12%-1.87%
JJSF2017-01-232017-01-242017-02-071134.60134.600.00%market16.13%-5.63%1.12%-6.75%
MRCY2017-01-232017-01-242017-02-07134.2934.290.00%market18.18%-1.32%1.12%-2.45%
WWD2017-01-232017-01-242017-02-07168.0068.000.00%market46.00%2.44%1.12%1.32%
ZION2017-01-232017-01-242017-02-07142.4242.420.00%market15.38%0.84%1.12%-0.28%
ATI2017-01-242017-01-252017-02-08122.0022.000.00%market63.64%-7.37%0.24%-7.61%
BABA2017-01-242017-01-252017-02-081102.46102.460.00%market13.04%0.98%0.24%0.75%
COHR2017-01-242017-01-252017-02-08136.4536.450.00%market42.31%6.21%0.24%5.97%
DHI2017-01-242017-01-252017-02-08130.9130.910.00%market17.02%-3.40%0.24%-3.64%
FITB2017-01-242017-01-252017-02-08126.8026.800.00%market13.95%-3.50%0.24%-3.73%
GLW2017-01-242017-01-252017-02-08126.1426.140.00%market13.64%1.20%0.24%0.96%
HDB2017-01-242017-01-252017-02-08116.8016.800.00%market1708.51%6.39%0.24%6.15%
HZO2017-01-242017-01-252017-02-08121.4521.450.00%market588.79%-4.06%0.24%-4.30%
ONB2017-01-242017-01-252017-02-08118.0018.000.00%market25.00%-2.88%0.24%-3.11%
STX2017-01-242017-01-252017-02-08142.4542.450.00%market28.97%7.79%0.24%7.56%
TRV2017-01-242017-01-252017-02-081117.33117.330.00%market17.22%0.31%0.24%0.07%
DLB2017-01-252017-01-262017-02-09150.6250.620.00%market30.77%-3.85%0.52%-4.38%
MEOH2017-01-252017-01-262017-02-09148.5048.500.00%market206.67%0.31%0.52%-0.21%
MUR2017-01-252017-01-262017-02-09130.5930.590.00%market15.79%-7.78%0.52%-8.31%
NVR2017-01-252017-01-262017-02-0911,870.001,870.000.00%market14.23%0.71%0.52%0.19%
PGR2017-01-252017-01-262017-02-09137.8737.870.00%market23.53%-1.55%0.52%-2.08%
RES2017-01-252017-01-262017-02-09123.0423.040.00%market23.08%-5.61%0.52%-6.14%
RLI2017-01-252017-01-262017-02-09131.0031.000.00%market16.67%-4.00%0.52%-4.53%
ROK2017-01-252017-01-262017-02-091153.67153.670.00%market21.53%-2.26%0.52%-2.78%
ROL2017-01-252017-01-262017-02-09115.6515.650.00%market14.29%2.84%0.52%2.32%
TEL2017-01-252017-01-262017-02-09175.2975.290.00%market15.00%-0.07%0.52%-0.60%
TER2017-01-252017-01-262017-02-09128.5128.510.00%market45.45%0.71%0.52%0.18%
URI2017-01-252017-01-262017-02-091123.42123.420.00%market16.09%1.54%0.52%1.01%
VRTX2017-01-252017-01-262017-02-09185.7585.750.00%market34.62%4.00%0.52%3.48%
WDC2017-01-252017-01-262017-02-09160.3360.330.00%market11.65%-2.34%0.52%-2.86%
AEP2017-01-262017-01-272017-02-10162.7862.780.00%market21.82%1.76%0.91%0.85%
ASH2017-01-262017-01-272017-02-10157.8157.810.00%market16.00%0.33%0.91%-0.58%
CAT2017-01-262017-01-272017-02-10197.6997.690.00%market27.69%-1.51%0.91%-2.42%
CLS2017-01-262017-01-272017-02-10113.2113.210.00%market28.12%2.10%0.91%1.18%
CMRE2017-01-262017-01-272017-02-1014.454.450.00%market16.67%-7.07%0.91%-7.98%
CNOB2017-01-262017-01-272017-02-10126.0026.000.00%market600.00%-4.14%0.91%-5.05%
DD2017-01-262017-01-272017-02-101109.68109.680.00%market12.50%-0.46%0.91%-1.37%
DGII2017-01-262017-01-272017-02-10113.7013.700.00%market28.57%-7.40%0.91%-8.31%
FRME2017-01-262017-01-272017-02-10138.6138.610.00%market10.00%3.47%0.91%2.56%
LEA2017-01-262017-01-272017-02-101144.73144.730.00%market10.47%-2.44%0.91%-3.35%
LRN2017-01-262017-01-272017-02-10117.1117.110.00%market11.11%10.01%0.91%9.10%
LUV2017-01-262017-01-272017-02-10154.0854.080.00%market10.29%1.06%0.91%0.15%
NBHC2017-01-262017-01-272017-02-10133.0233.020.00%market63.64%-3.76%0.91%-4.68%
NOC2017-01-262017-01-272017-02-101227.03227.030.00%market18.88%3.96%0.91%3.05%
ORI2017-01-262017-01-272017-02-10120.7120.710.00%market38.71%0.19%0.91%-0.72%
OSIS2017-01-262017-01-272017-02-10176.7076.700.00%market15.25%-0.19%0.91%-1.10%
OSK2017-01-262017-01-272017-02-10172.1472.140.00%market136.36%-6.27%0.91%-7.18%
PHM2017-01-262017-01-272017-02-10121.3621.360.00%market13.56%1.12%0.91%0.21%
STM2017-01-262017-01-272017-02-10113.1313.130.00%market15.38%3.78%0.91%2.87%
SYNA2017-01-262017-01-272017-02-10161.9561.950.00%market10.37%-9.20%0.91%-10.12%
VVV2017-01-262017-01-272017-02-10123.4923.490.00%market16.67%-0.48%0.91%-1.39%
BEN2017-01-272017-01-302017-02-13340.2540.250.00%market13.24%3.03%2.02%1.01%
MOG-A2017-01-272017-01-302017-02-13365.4965.490.00%market13.75%3.23%2.02%1.21%
AEIS2017-01-302017-01-312017-02-14163.5063.500.00%market30.86%-2.56%2.96%-5.52%
ARLP2017-01-302017-01-312017-02-14124.4524.450.00%market54.76%-5.21%2.96%-8.17%
BANC2017-01-302017-01-312017-02-14115.2515.250.00%market12.50%31.70%2.96%28.74%
DHT2017-01-302017-01-312017-02-1414.784.780.00%market80.00%1.78%2.96%-1.18%
GGG2017-01-302017-01-312017-02-14130.0030.000.00%market17.86%0.80%2.96%-2.16%
PFG2017-01-302017-01-312017-02-14158.2558.250.00%market10.43%6.44%2.96%3.48%
SANM2017-01-302017-01-312017-02-14139.2039.200.00%market11.94%3.09%2.96%0.13%
WERN2017-01-302017-01-312017-02-14128.9028.900.00%market15.38%-5.46%2.96%-8.42%
EA2017-01-312017-02-012017-02-15183.4383.430.00%market11.69%5.32%3.25%2.07%
EQR2017-01-312017-02-012017-02-15160.7460.740.00%market87.50%1.41%3.25%-1.83%
FICO2017-01-312017-02-012017-02-151124.32124.320.00%market73.13%3.50%3.25%0.26%
MMYT2017-01-312017-02-012017-02-15133.4533.450.00%market76.00%1.39%3.25%-1.85%
NUE2017-01-312017-02-012017-02-15158.5758.570.00%market26.47%8.95%3.25%5.70%
OLN2017-01-312017-02-012017-02-15127.5527.550.00%market11.11%11.95%3.25%8.70%
RAMP2017-01-312017-02-012017-02-15128.0028.000.00%market60.00%1.94%3.25%-1.31%
RNR2017-01-312017-02-012017-02-151140.00140.000.00%market105.63%3.12%3.25%-0.13%
SMG2017-01-312017-02-012017-02-15192.5592.550.00%market23.20%1.92%3.25%-1.33%
SPG2017-01-312017-02-012017-02-151185.38185.380.00%market15.94%-3.79%3.25%-7.04%
VIAV2017-01-312017-02-012017-02-1519.159.150.00%market42.86%17.50%3.25%14.25%
XOM2017-01-312017-02-012017-02-15184.0084.000.00%market25.00%-1.10%3.25%-4.35%
ACLS2017-02-012017-02-022017-02-16116.4516.450.00%market30.00%-4.05%3.12%-7.17%
AFG2017-02-012017-02-022017-02-16189.3589.350.00%market22.22%4.57%3.12%1.45%
ALL2017-02-012017-02-022017-02-16176.7476.740.00%market33.13%5.19%3.12%2.07%
AMP2017-02-012017-02-022017-02-161116.18116.180.00%market12.35%11.07%3.12%7.95%
AVB2017-02-012017-02-022017-02-161171.34171.340.00%market49.15%4.41%3.12%1.29%
AXS2017-02-012017-02-022017-02-16166.2866.280.00%market31.03%3.42%3.12%0.30%
BIP2017-02-012017-02-022017-02-16121.0421.040.00%market42.11%3.37%3.12%0.25%
CACI2017-02-012017-02-022017-02-161131.45131.450.00%market15.75%-3.03%3.12%-6.15%
CBT2017-02-012017-02-022017-02-16157.6357.630.00%market20.00%1.13%3.12%-1.99%
CRUS2017-02-012017-02-022017-02-16156.6456.640.00%market14.72%-3.14%3.12%-6.26%
ENR2017-02-012017-02-022017-02-16152.6352.630.00%market22.76%1.86%3.12%-1.26%
EXPO2017-02-012017-02-022017-02-16127.8827.880.00%market17.65%4.10%3.12%0.98%
EXTR2017-02-012017-02-022017-02-1615.355.350.00%market71.43%15.04%3.12%11.92%
FNF2017-02-012017-02-022017-02-16125.5825.580.00%market14.52%3.93%3.12%0.81%
GEN2017-02-012017-02-022017-02-16126.6226.620.00%market14.29%6.85%3.12%3.73%
GHM2017-02-012017-02-022017-02-16123.0023.000.00%market171.43%-0.67%3.12%-3.78%
HLI2017-02-012017-02-022017-02-16133.1333.130.00%market14.00%-1.97%3.12%-5.09%
KEX2017-02-012017-02-022017-02-16165.7565.750.00%market15.38%7.73%3.12%4.61%
MDU2017-02-012017-02-022017-02-16110.5010.500.00%market17.86%-4.67%3.12%-7.79%
MPC2017-02-012017-02-022017-02-16148.4448.440.00%market65.38%3.04%3.12%-0.08%
AMZN2017-02-022017-02-032017-02-17140.3440.340.00%market14.29%4.63%2.74%1.89%
APTV2017-02-022017-02-032017-02-17159.4359.430.00%market14.37%1.82%2.74%-0.92%
AZN2017-02-022017-02-032017-02-17155.1055.100.00%market106.78%2.08%2.74%-0.66%
CENT2017-02-022017-02-032017-02-17127.0227.020.00%market349.94%2.93%2.74%0.19%
COP2017-02-022017-02-032017-02-17148.8548.850.00%market31.58%-2.84%2.74%-5.58%
APO2017-02-032017-02-062017-02-21322.3322.330.00%market28.95%-0.68%3.33%-4.01%
ALSN2017-02-062017-02-072017-02-22137.2037.200.00%market38.46%-0.34%3.01%-3.35%
CVCO2017-02-062017-02-072017-02-221106.00106.000.00%market39.18%8.39%3.01%5.38%
FN2017-02-062017-02-072017-02-22144.4744.470.00%market15.19%5.99%3.01%2.99%
HAS2017-02-062017-02-072017-02-22194.2894.280.00%market29.13%4.72%3.01%1.71%
HMN2017-02-062017-02-072017-02-22141.2041.200.00%market30.00%2.69%3.01%-0.32%
L2017-02-062017-02-072017-02-22146.5946.590.00%market15.87%1.04%3.01%-1.97%
AGCO2017-02-072017-02-082017-02-23164.0164.010.00%market18.31%-4.40%3.28%-7.67%
AIZ2017-02-072017-02-082017-02-23194.9894.980.00%market58.62%3.96%3.28%0.69%
ATKR2017-02-072017-02-082017-02-23126.3826.380.00%market56.52%-1.54%3.28%-4.82%
BAP2017-02-072017-02-082017-02-231167.45167.450.00%market11.22%1.49%3.28%-1.78%
CTS2017-02-072017-02-082017-02-23123.1023.100.00%market16.00%-2.26%3.28%-5.54%
EMR2017-02-072017-02-082017-02-23162.0062.000.00%market16.67%-2.34%3.28%-5.62%
GOLD2017-02-072017-02-082017-02-2319.859.850.00%market53.85%0.81%3.28%-2.46%
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ADC2017-04-242017-04-252017-05-09150.6450.640.00%market43.59%-9.58%0.64%-10.22%
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MCD2017-04-252017-04-262017-05-101141.70141.700.00%market10.53%1.89%0.57%1.32%
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SCL2017-04-252017-04-262017-05-10188.0088.000.00%market14.29%-3.12%0.57%-3.69%
SPGI2017-04-252017-04-262017-05-101135.97135.970.00%market16.55%1.30%0.57%0.73%
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TROW2017-04-252017-04-262017-05-10169.5069.500.00%market18.33%3.57%0.57%3.00%
TRU2017-04-252017-04-262017-05-10139.0239.020.00%market10.53%5.95%0.57%5.38%
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