EPS surp.>10 (hold 20d) (lookback 50y) (max 100 pos)

Run 9a94331c · view hypothesis

completed

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

Trades
16000
Win rate
52.44%
Avg return
0.96%
Median return
0.53%
Avg abnormal
0.31%
Median abnormal
-0.35%
Best trade
744.34%
Worst trade
-81.63%
Sharpe (per-trade)
0.06
Daily portfolio drawdown
-24.66%
Portfolio (equal_weight)
Total return
152.83%
Max drawdown
-24.66%
Avg trade return
0.96%
Win rate
52.44%
Signals
50808
Configured concurrent
100
Observed concurrent
100
Trades taken
16000
Skipped (no capacity)
34808
Excess vs benchmark
-333.55%
Avg entry slippage
0.00%
Return if filled at market
152.83%
VWAP fills
0
VWAP fallbacks
0

34808 of 50808 qualifying signals were dropped because no position slot or cash was available.

Equity curve — full run
Breakdowns
BucketTradesAvg returnAvg abnormalWin rate
20061604.69%2.93%69.38%
2007693-0.95%-0.03%45.31%
20086900.39%2.06%50.87%
20097674.52%2.28%59.97%
20107660.90%0.34%53.92%
2011680-3.03%-1.18%41.47%
20126890.62%-0.35%51.96%
20137313.32%1.43%63.20%
20147091.17%-0.47%55.85%
20157440.51%0.79%50.13%
20167503.52%1.95%62.00%
20177371.17%-0.06%52.37%
2018812-1.10%-0.01%46.67%
20197990.20%-1.36%52.44%
20209560.68%0.30%52.72%
20219811.31%-0.37%57.49%
20229500.41%1.79%49.89%
20239660.78%-0.79%47.31%
20249541.61%-0.38%51.68%
20259590.66%-0.35%50.36%
20265071.53%0.70%48.72%
Trades (page 16: 500 of 16,000)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.ReturnBenchmarkAbnormal
AXTI2017-02-222017-02-232017-03-2317.057.050.00%market114.29%-19.25%-1.20%-18.05%
DINO2017-02-222017-02-232017-03-23129.1729.170.00%market14.29%-7.40%-1.20%-6.20%
EIG2017-02-222017-02-232017-03-23139.1039.100.00%market72.73%-6.49%-1.20%-5.29%
ESRT2017-02-222017-02-232017-03-23121.6421.640.00%market13.64%-3.80%-1.20%-2.59%
FPI2017-02-222017-02-232017-03-23111.0011.000.00%market940.00%-0.74%-1.20%0.47%
GDOT2017-02-222017-02-232017-03-23127.8027.800.00%market26.67%18.64%-1.20%19.84%
GEO2017-02-222017-02-232017-03-23131.8331.830.00%market35.29%-3.12%-1.20%-1.91%
GGB2017-02-222017-02-232017-03-2313.403.400.00%market88.89%-15.98%-1.20%-14.78%
GRMN2017-02-222017-02-232017-03-23154.5054.500.00%market28.07%-5.64%-1.20%-4.44%
HBM2017-02-222017-02-232017-03-2317.957.950.00%market50.00%-12.05%-1.20%-10.85%
NGVT2017-02-222017-02-232017-03-23157.0057.000.00%market13.33%6.34%-1.20%7.54%
AAOI2017-02-232017-02-242017-03-24142.1142.110.00%market12.00%30.56%-0.68%31.24%
ADC2017-02-232017-02-242017-03-24148.9648.960.00%market31.58%-1.77%-0.68%-1.10%
AGO2017-02-232017-02-242017-03-24141.9041.900.00%market54.41%-12.15%-0.68%-11.47%
AMH2017-02-232017-02-242017-03-24123.3823.380.00%market73.33%-0.10%-0.68%0.58%
BIDU2017-02-232017-02-242017-03-241181.00181.000.00%market105.38%-7.14%-0.68%-6.46%
BIO2017-02-232017-02-242017-03-241189.10189.100.00%market25.00%5.88%-0.68%6.56%
BL2017-02-232017-02-242017-03-24130.0230.020.00%market33.33%-4.00%-0.68%-3.32%
BRC2017-02-232017-02-242017-03-24139.1039.100.00%market14.29%-2.15%-0.68%-1.47%
CCO2017-02-232017-02-242017-03-2414.554.550.00%market366.67%31.99%-0.68%32.67%
CENX2017-02-232017-02-242017-03-24113.0413.040.00%market25.00%-9.61%-0.68%-8.93%
CM2017-02-232017-02-242017-03-24145.4045.400.00%market12.02%-4.64%-0.68%-3.96%
CNK2017-02-232017-02-242017-03-24142.7142.710.00%market50.00%1.19%-0.68%1.87%
CWT2017-02-232017-02-242017-03-24136.2536.250.00%market55.00%-3.41%-0.68%-2.73%
EBS2017-02-232017-02-242017-03-24131.1131.110.00%market54.17%-7.46%-0.68%-6.78%
ARES2017-02-242017-02-272017-03-27323.2523.250.00%market18.92%-21.61%-1.28%-20.33%
BCC2017-02-242017-02-272017-03-27325.9525.950.00%market183.29%1.25%-1.28%2.52%
APPF2017-02-272017-02-282017-03-28126.0026.000.00%market45.29%0.09%-0.57%0.66%
ARI2017-02-272017-02-282017-03-28118.0618.060.00%market11.36%4.72%-0.57%5.29%
BCRX2017-02-272017-02-282017-03-2815.475.470.00%market76.00%56.94%-0.57%57.51%
BWXT2017-02-272017-02-282017-03-28144.5044.500.00%market24.32%6.96%-0.57%7.53%
CCU2017-02-272017-02-282017-03-28123.4323.430.00%market32.35%6.34%-0.57%6.92%
DK2017-02-272017-02-282017-03-28122.6922.690.00%market22.81%6.25%-0.57%6.82%
EOG2017-02-272017-02-282017-03-28199.5099.500.00%market92.86%-4.33%-0.57%-3.76%
EXEL2017-02-272017-02-282017-03-28121.7021.700.00%market1900.00%-2.04%-0.57%-1.47%
JEF2017-02-272017-02-282017-03-28123.3823.380.00%market60.87%-0.23%-0.57%0.34%
KTOS2017-02-272017-02-282017-03-2818.778.770.00%market137.53%-10.25%-0.57%-9.68%
OMAB2017-02-272017-02-282017-03-28137.5837.580.00%market26.53%13.13%-0.57%13.70%
STGW2017-02-272017-02-282017-03-2818.758.750.00%market150.00%5.61%-0.57%6.18%
VEON2017-02-272017-02-282017-03-281102.50102.500.00%market2385.00%-4.49%-0.57%-3.92%
WDAY2017-02-272017-02-282017-03-28182.2082.200.00%market800.00%1.76%-0.57%2.33%
AMBA2017-02-282017-03-012017-03-29160.5460.540.00%market22.67%-8.59%-1.20%-7.39%
AR2017-02-282017-03-012017-03-29124.4024.400.00%market15.79%-5.30%-1.20%-4.11%
ATRC2017-02-282017-03-012017-03-29118.0318.030.00%market15.62%4.78%-1.20%5.98%
BLDR2017-02-282017-03-012017-03-29113.9913.990.00%market100.00%6.12%-1.20%7.31%
BMO2017-02-282017-03-012017-03-29176.9976.990.00%market10.64%-2.58%-1.20%-1.39%
CQP2017-02-282017-03-012017-03-29133.1933.190.00%market657.14%-2.51%-1.20%-1.31%
CRM2017-02-282017-03-012017-03-29182.8782.870.00%market12.00%-0.69%-1.20%0.50%
DAR2017-02-282017-03-012017-03-29114.1014.100.00%market38.89%2.67%-1.20%3.86%
DDD2017-02-282017-03-012017-03-29115.2715.270.00%market25.00%-2.52%-1.20%-1.33%
ESI2017-02-282017-03-012017-03-29113.6713.670.00%market11.11%-5.22%-1.20%-4.03%
ETSY2017-02-282017-03-012017-03-29111.4611.460.00%market1207.01%-9.79%-1.20%-8.59%
EVH2017-02-282017-03-012017-03-29119.6019.600.00%market10.00%6.02%-1.20%7.22%
FRO2017-02-282017-03-012017-03-2917.007.000.00%market175.00%-1.24%-1.20%-0.05%
FWONA2017-02-282017-03-012017-03-29129.9229.920.00%market200.00%5.88%-1.20%7.08%
GIC2017-02-282017-03-012017-03-2918.098.090.00%market700.00%40.20%-1.20%41.39%
BBY2017-03-012017-03-022017-03-30142.2242.220.00%market16.77%14.99%-1.37%16.35%
BOX2017-03-012017-03-022017-03-30117.8617.860.00%market23.08%-8.67%-1.37%-7.30%
CWST2017-03-012017-03-022017-03-30112.3712.370.00%market261.13%12.59%-1.37%13.96%
DY2017-03-012017-03-022017-03-30196.2096.200.00%market18.84%-3.38%-1.37%-2.02%
E2017-03-012017-03-022017-03-30131.8731.870.00%market316.67%2.28%-1.37%3.65%
KNSL2017-03-012017-03-022017-03-30130.2630.260.00%market22.22%6.28%-1.37%7.64%
MNST2017-03-012017-03-022017-03-30123.9223.920.00%market20.00%-3.40%-1.37%-2.04%
NVGS2017-03-012017-03-022017-03-30111.7011.700.00%market133.33%17.42%-1.37%18.79%
P2017-03-012017-03-022017-03-30110.6010.600.00%market71.43%-8.31%-1.37%-6.94%
TDOC2017-03-012017-03-022017-03-30121.8021.800.00%market11.43%15.50%-1.37%16.86%
TVTX2017-03-012017-03-022017-03-30120.4520.450.00%market11.54%-11.88%-1.37%-10.52%
VCYT2017-03-012017-03-022017-03-3018.088.080.00%market46.15%11.90%-1.37%13.27%
ABEV2017-03-022017-03-032017-03-3115.425.420.00%market12.50%6.17%-1.02%7.19%
ADSK2017-03-022017-03-032017-03-31187.0087.000.00%market15.15%-0.71%-1.02%0.31%
AMRC2017-03-022017-03-032017-03-3115.905.900.00%market61.55%10.92%-1.02%11.94%
AQN2017-03-022017-03-032017-03-3119.359.350.00%market100.00%2.36%-1.02%3.38%
ATHM2017-03-022017-03-032017-03-31133.2133.210.00%market45.12%-4.44%-1.02%-3.42%
CNQ2017-03-022017-03-032017-03-31115.2215.220.00%market55.56%7.65%-1.02%8.67%
GDS2017-03-022017-03-032017-03-3117.977.970.00%market54.51%3.66%-1.02%4.68%
GWRE2017-03-022017-03-032017-03-31158.2658.260.00%market100.00%-3.41%-1.02%-2.39%
JD2017-03-022017-03-032017-03-31131.3231.320.00%market220.00%-0.77%-1.02%0.25%
JOE2017-03-022017-03-032017-03-31116.6516.650.00%market300.00%2.30%-1.02%3.32%
MEI2017-03-022017-03-032017-03-31144.6544.650.00%market18.87%2.03%-1.02%3.05%
ADUS2017-03-062017-03-072017-04-04134.2534.250.00%market13.16%-8.71%-0.79%-7.92%
BLFS2017-03-092017-03-102017-04-0712.412.410.00%market50.00%-15.37%-1.16%-14.21%
CECO2017-03-092017-03-102017-04-0718.318.310.00%market75.00%10.73%-1.16%11.89%
ACR2017-03-132017-03-142017-04-11121.0021.000.00%market71.74%18.33%-0.89%19.22%
CLDX2017-03-142017-03-152017-04-12150.4050.400.00%market11.76%-3.08%-1.49%-1.59%
ALRM2017-03-152017-03-162017-04-13133.0033.000.00%market46.15%-6.04%-2.76%-3.28%
PTCT2017-03-162017-03-172017-04-1718.918.910.00%market21.21%19.77%-1.34%21.10%
TEN2017-03-172017-03-202017-04-18324.7024.700.00%market66.67%-2.93%-1.33%-1.60%
DB2017-03-202017-03-212017-04-19117.7117.710.00%market350.07%-9.30%-1.70%-7.61%
HQY2017-03-212017-03-222017-04-20146.0346.030.00%market57.52%-1.16%0.67%-1.84%
NKE2017-03-212017-03-222017-04-20154.7654.760.00%market28.30%2.89%0.67%2.22%
VKTX2017-03-212017-03-222017-04-2011.211.210.00%market18.18%13.12%0.67%12.45%
WPM2017-03-212017-03-222017-04-20120.0120.010.00%market18.75%6.10%0.67%5.43%
FNV2017-03-222017-03-232017-04-21164.6964.690.00%market20.00%6.69%0.13%6.55%
MLKN2017-03-222017-03-232017-04-21131.8031.800.00%market21.88%0.53%0.13%0.40%
PBR-A2017-03-222017-03-232017-04-2118.668.660.00%market180.00%0.94%0.13%0.81%
CMC2017-03-232017-03-242017-04-24118.7218.720.00%market150.00%1.45%1.19%0.26%
KBH2017-03-232017-03-242017-04-24119.8519.850.00%market15.38%2.87%1.19%1.68%
REX2017-03-242017-03-272017-04-25313.6513.650.00%market210.00%14.77%2.85%11.92%
OLLI2017-03-282017-03-292017-04-27134.0034.000.00%market11.43%11.37%1.54%9.83%
LPL2017-03-292017-03-302017-04-28113.4813.480.00%market92.00%-4.63%1.11%-5.73%
PRGS2017-03-292017-03-302017-04-28130.2230.220.00%market21.43%-1.75%1.11%-2.86%
SMMT2017-03-292017-03-302017-04-28113.4613.460.00%market29.58%-18.38%1.11%-19.48%
UNF2017-03-292017-03-302017-04-281140.80140.800.00%market10.00%-1.24%1.11%-2.34%
CLPR2017-03-302017-03-312017-05-01113.4113.410.00%market40.00%-16.36%1.18%-17.53%
LNN2017-03-302017-03-312017-05-01188.9288.920.00%market20.51%-2.06%1.18%-3.24%
AMR2017-03-312017-04-032017-05-02358.8558.850.00%market1442.86%5.13%1.26%3.87%
GBX2017-04-052017-04-062017-05-05147.8547.850.00%market29.76%-9.92%2.03%-11.95%
YUMC2017-04-052017-04-062017-05-05131.4531.450.00%market18.92%7.47%2.03%5.44%
RPM2017-04-062017-04-072017-05-08151.5151.510.00%market27.27%0.87%1.92%-1.05%
AGX2017-04-102017-04-112017-05-10169.0569.050.00%market59.26%2.36%2.12%0.25%
BAC2017-04-182017-04-192017-05-17122.9222.920.00%market17.14%-1.63%0.55%-2.18%
LECO2017-04-182017-04-192017-05-17187.5087.500.00%market11.39%-1.27%0.55%-1.82%
LRCX2017-04-182017-04-192017-05-17113.3913.390.00%market12.00%9.91%0.55%9.35%
RCI2017-04-182017-04-192017-05-17146.5146.510.00%market11.63%-2.85%0.55%-3.41%
WTFC2017-04-182017-04-192017-05-17167.5167.510.00%market11.11%1.84%0.55%1.29%
ABT2017-04-192017-04-202017-05-18143.6943.690.00%market11.63%-1.73%1.12%-2.84%
ASML2017-04-192017-04-202017-05-181130.10130.100.00%market10.09%2.90%1.12%1.78%
BHE2017-04-192017-04-202017-05-18130.9530.950.00%market30.77%-0.58%1.12%-1.70%
BMI2017-04-192017-04-202017-05-18138.1038.100.00%market15.38%-0.89%1.12%-2.01%
CSX2017-04-192017-04-202017-05-18116.7316.730.00%market21.43%-0.04%1.12%-1.16%
EWBC2017-04-192017-04-202017-05-18152.4952.490.00%market18.92%2.91%1.12%1.79%
HNI2017-04-192017-04-202017-05-18146.9846.980.00%market18.18%-11.40%1.12%-12.52%
IEX2017-04-192017-04-202017-05-18196.9996.990.00%market10.75%8.75%1.12%7.63%
KALU2017-04-192017-04-202017-05-18183.5783.570.00%market34.51%-3.77%1.12%-4.89%
MS2017-04-192017-04-202017-05-18142.6142.610.00%market13.64%-3.15%1.12%-4.27%
PLXS2017-04-192017-04-202017-05-18151.0451.040.00%market10.53%-2.76%1.12%-3.88%
QCOM2017-04-192017-04-202017-05-18153.2253.220.00%market11.67%5.35%1.12%4.23%
SLM2017-04-192017-04-202017-05-18112.9012.900.00%market40.00%-17.93%1.12%-19.05%
ASR2017-04-202017-04-212017-05-191181.05181.050.00%market13.40%6.35%1.30%5.04%
BANF2017-04-202017-04-212017-05-19146.9046.900.00%market19.30%-1.64%1.30%-2.94%
BX2017-04-202017-04-212017-05-19130.5930.590.00%market20.59%-2.45%1.30%-3.75%
CFG2017-04-202017-04-212017-05-19135.2835.280.00%market11.76%-2.11%1.30%-3.41%
CVLG2017-04-202017-04-212017-05-1918.528.520.00%market33.33%-0.69%1.30%-1.99%
DGX2017-04-202017-04-212017-05-191104.20104.200.00%market12.71%1.52%1.30%0.22%
DOV2017-04-202017-04-212017-05-19164.5364.530.00%market12.90%3.88%1.30%2.58%
FFBC2017-04-202017-04-212017-05-19127.8027.800.00%market11.43%-8.37%1.30%-9.67%
GATX2017-04-202017-04-212017-05-19162.2662.260.00%market29.73%-4.95%1.30%-6.25%
KEY2017-04-202017-04-212017-05-19118.0918.090.00%market14.29%-2.09%1.30%-3.39%
MANH2017-04-202017-04-212017-05-19147.8947.890.00%market10.53%-0.91%1.30%-2.22%
MTG2017-04-202017-04-212017-05-19111.0311.030.00%market29.17%-4.00%1.30%-5.30%
NBHC2017-04-202017-04-212017-05-19132.4832.480.00%market30.43%-4.56%1.30%-5.87%
NVR2017-04-202017-04-212017-05-1912,047.012,047.010.00%market19.45%13.53%1.30%12.23%
SHW2017-04-202017-04-212017-05-191107.81107.810.00%market10.14%2.66%1.30%1.36%
SRCE2017-04-202017-04-212017-05-19146.6746.670.00%market12.73%-2.56%1.30%-3.86%
STC2017-04-202017-04-212017-05-19145.2945.290.00%market162.50%-3.21%1.30%-4.51%
SXC2017-04-202017-04-212017-05-1919.909.900.00%market120.00%-12.93%1.30%-14.23%
CDNA2017-04-212017-04-242017-05-2231.051.050.00%market23.53%3.71%0.99%2.72%
GE2017-04-212017-04-242017-05-223142.85142.850.00%market23.53%-5.69%0.99%-6.68%
HDB2017-04-212017-04-242017-05-22319.9819.980.00%market1375.69%6.11%0.99%5.12%
MAN2017-04-212017-04-242017-05-223103.00103.000.00%market24.11%0.84%0.99%-0.14%
NEE2017-04-212017-04-242017-05-22333.1633.160.00%market12.82%4.21%0.99%3.23%
AA2017-04-242017-04-252017-05-23134.2334.230.00%market14.55%-2.93%0.90%-3.83%
ADC2017-04-242017-04-252017-05-23150.6450.640.00%market43.59%-9.54%0.90%-10.44%
BOH2017-04-242017-04-252017-05-23183.3483.340.00%market11.11%-4.50%0.90%-5.40%
CHCO2017-04-242017-04-252017-05-23172.6772.670.00%market30.00%-9.29%0.90%-10.19%
FBK2017-04-242017-04-252017-05-23136.3736.370.00%market16.67%4.08%0.90%3.18%
HAL2017-04-242017-04-252017-05-23146.8846.880.00%market37.93%1.44%0.90%0.54%
HAS2017-04-242017-04-252017-05-231101.17101.170.00%market13.16%-0.29%0.90%-1.19%
LII2017-04-242017-04-252017-05-231168.33168.330.00%market16.88%4.09%0.90%3.19%
MCHB2017-04-242017-04-252017-05-23127.8527.850.00%market26.92%-1.54%0.90%-2.44%
PDS2017-04-242017-04-252017-05-23183.8083.800.00%market45.45%-6.54%0.90%-7.44%
RMBS2017-04-242017-04-252017-05-23113.2813.280.00%market13.33%-8.76%0.90%-9.66%
RRC2017-04-242017-04-252017-05-23127.1527.150.00%market31.58%-7.69%0.90%-8.59%
RUSHA2017-04-242017-04-252017-05-23116.5216.520.00%market33.33%-0.89%0.90%-1.79%
SANM2017-04-242017-04-252017-05-23140.6040.600.00%market10.14%-9.58%0.90%-10.48%
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