EPS surp.>8 & ROE>20 & Debt / equity<0.5 (hold 20d) (lookback 50y) (max 100 pos)
Run 9a95e3f9 · 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
51.47%
Avg return
5.80%
Median return
0.86%
Avg abnormal
4.37%
Median abnormal
-0.84%
Best trade
744.34%
Worst trade
-50.10%
Sharpe (per-trade)
0.14
Daily portfolio drawdown
-2.02%
Portfolio (equal_weight)
Total return
29.53%
Max drawdown
-2.02%
Avg trade return
5.80%
Win rate
51.47%
Signals
509
Configured concurrent
100
Observed concurrent
22
Trades taken
509
Skipped (no capacity)
0
Excess vs benchmark
-411.65%
Avg entry slippage
0.00%
Return if filled at market
29.53%
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 | -0.18% | -3.44% | 50.00% |
| 2007 | 1 | -12.41% | -12.62% | 0.00% |
| 2009 | 1 | 2.29% | -2.80% | 100.00% |
| 2016 | 9 | 7.40% | 4.75% | 55.56% |
| 2017 | 21 | 8.73% | 7.85% | 71.43% |
| 2018 | 33 | 3.18% | 3.62% | 45.45% |
| 2019 | 26 | 1.13% | -0.42% | 53.85% |
| 2020 | 47 | 28.64% | 26.15% | 61.70% |
| 2021 | 93 | 2.59% | 1.12% | 47.31% |
| 2022 | 61 | 1.58% | 1.27% | 50.82% |
| 2023 | 49 | 5.15% | 2.36% | 48.98% |
| 2024 | 64 | 4.71% | 1.84% | 51.56% |
| 2025 | 68 | 4.71% | 3.94% | 51.47% |
| 2026 | 34 | 0.64% | 0.49% | 44.12% |
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 | 2026-06-12 | 1 | 10.74 | 10.74 | 0.00% | market | 33.33% | — | — | 12.38% | -0.26% | 12.63% |
| ONDS | 2026-05-14 | 2026-05-15 | 2026-06-15 | 1 | 10.91 | 10.91 | 0.00% | market | 1597.67% | — | — | -12.93% | 1.76% | -14.69% |
| TMC | 2026-05-14 | 2026-05-15 | 2026-06-15 | 1 | 5.63 | 5.63 | 0.00% | market | 16.67% | — | — | -5.25% | 1.76% | -7.01% |
| EMAT | 2026-05-22 | 2026-05-26 | 2026-06-24 | 4 | 8.20 | 8.20 | 0.00% | market | 33.33% | — | — | -16.08% | -2.24% | -13.84% |
| ESTC | 2026-05-28 | 2026-05-29 | 2026-06-29 | 1 | 53.91 | 53.91 | 0.00% | market | 8.73% | — | — | 5.54% | -1.97% | 7.51% |
| CHPT | 2026-06-03 | 2026-06-04 | 2026-07-06 | 1 | 7.47 | 7.47 | 0.00% | market | 33.33% | — | — | -16.30% | -0.11% | -16.19% |
| SKIL | 2026-06-09 | 2026-06-10 | 2026-07-10 | 1 | 5.90 | 5.90 | 0.00% | market | 2220.00% | — | — | 20.58% | 2.94% | 17.64% |
| ANGX | 2026-06-11 | 2026-06-12 | 2026-07-14 | 1 | 2.90 | 2.90 | 0.00% | market | 41.43% | — | — | 40.93% | 1.50% | 39.43% |
| MU | 2026-06-24 | 2026-06-25 | 2026-07-24 | 1 | 1,233.00 | 1,233.00 | 0.00% | market | 19.69% | — | — | -25.41% | 0.00% | -25.41% |