EPS surp.>12 & Curr. earn. vs next-Q est.>10 (hold 20d) (lookback 50y) (max 100 pos) (4)

Run 9a969d0f · view hypothesis

completed

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

Trades
11180
Win rate
54.02%
Avg return
1.56%
Median return
0.87%
Avg abnormal
0.95%
Median abnormal
0.09%
Best trade
744.34%
Worst trade
-71.32%
Sharpe (per-trade)
0.10
Daily portfolio drawdown
-23.64%
Portfolio (equal_weight)
Total return
174.88%
Max drawdown
-23.64%
Avg trade return
1.56%
Win rate
54.02%
Signals
16999
Configured concurrent
100
Observed concurrent
100
Trades taken
11180
Skipped (no capacity)
5819
Excess vs benchmark
-307.93%
Avg entry slippage
0.00%
Return if filled at market
174.88%
VWAP fills
0
VWAP fallbacks
0

5819 of 16999 qualifying signals were dropped because no position slot or cash was available.

Equity curve — full run
Breakdowns
BucketTradesAvg returnAvg abnormalWin rate
20061334.76%2.96%69.92%
2007568-1.19%-0.20%44.54%
20085560.42%2.59%51.62%
20096433.64%2.36%57.39%
20106450.37%0.41%51.01%
2011563-3.56%-0.94%38.37%
20125630.69%0.15%53.64%
20135793.17%1.21%64.77%
20145622.19%0.06%62.28%
20155550.56%1.33%53.87%
20165854.85%2.82%64.44%
20175651.01%-0.21%52.57%
20185040.23%0.04%50.60%
2019454-0.38%-0.77%48.90%
20205395.75%3.80%58.44%
20216020.92%-0.29%50.83%
20225722.07%2.74%52.97%
20235621.72%-0.11%52.49%
20245703.67%0.78%57.72%
20255472.30%1.70%56.49%
20263131.46%0.59%50.48%
Trades (page 12: 500 of 11,180)
SymbolEventEntry dateExit dateΔ daysMarket entryActual buy-inDiff %Fill sourceEPS surp.Curr. earn. vs next-Q est.ReturnBenchmarkAbnormal
CORT2016-03-012016-03-022016-03-3113.933.930.00%market200.30%1700.00%18.98%3.93%15.05%
GWRE2016-03-012016-03-022016-03-31155.7055.700.00%market60.00%187.50%-2.29%3.93%-6.22%
MIDD2016-03-012016-03-022016-03-31176.6476.640.00%market18.37%51.91%11.98%3.93%8.05%
SRI2016-03-012016-03-022016-03-31112.8312.830.00%market13.64%60.00%13.38%3.93%9.45%
VEEV2016-03-012016-03-022016-03-31124.3324.330.00%market36.36%197.50%2.82%3.93%-1.12%
WK2016-03-012016-03-022016-03-31112.6512.650.00%market25.00%75.93%-8.01%3.93%-11.94%
CABO2016-03-022016-03-032016-04-011429.50429.500.00%market21.64%44.14%2.70%4.09%-1.39%
NOVT2016-03-022016-03-032016-04-01112.9612.960.00%market38.10%13.79%8.31%4.09%4.22%
P2016-03-022016-03-032016-04-01116.4016.400.00%market25.00%176.41%-11.93%4.09%-16.02%
SMTC2016-03-022016-03-032016-04-01122.0022.000.00%market13.33%95.48%2.49%4.09%-1.60%
SUPN2016-03-022016-03-032016-04-01114.0414.040.00%market133.33%35.71%15.36%4.09%11.27%
WB2016-03-022016-03-032016-04-01114.7114.710.00%market25.00%246.67%22.13%4.09%18.04%
CIEN2016-03-032016-03-042016-04-04117.1717.170.00%market28.57%65.28%8.52%3.12%5.40%
CNQ2016-03-032016-03-042016-04-04112.2112.210.00%market87.50%2035.60%3.26%3.12%0.14%
COO2016-03-032016-03-042016-04-04137.7537.750.00%market15.00%35.94%3.66%3.12%0.54%
PLNT2016-03-032016-03-042016-04-04115.5515.550.00%market13.33%99.95%0.93%3.12%-2.19%
WING2016-03-032016-03-042016-04-04126.0026.000.00%market18.18%48.72%-8.68%3.12%-11.80%
EXK2016-03-042016-03-072016-04-0532.262.260.00%market60.00%376.25%10.96%2.43%8.53%
GEF2016-03-072016-03-082016-04-06128.8328.830.00%market21.21%56.07%10.48%3.56%6.92%
NIC2016-03-072016-03-082016-04-06131.5031.500.00%market12.28%59.38%17.96%3.56%14.40%
NX2016-03-072016-03-082016-04-06118.9618.960.00%market83.33%1150.00%-6.75%3.56%-10.31%
SHAK2016-03-072016-03-082016-04-06138.4338.430.00%market14.29%62.50%-2.10%3.56%-5.67%
THO2016-03-072016-03-082016-04-06160.5760.570.00%market56.45%146.39%2.54%3.56%-1.02%
AVAV2016-03-082016-03-092016-04-07127.2527.250.00%market440.00%34.16%-0.39%2.30%-2.70%
PEN2016-03-082016-03-092016-04-07147.7547.750.00%market150.00%144.00%-1.69%2.30%-3.99%
WTI2016-03-082016-03-092016-04-0713.173.170.00%market48.84%124.14%-35.12%2.30%-37.42%
HOV2016-03-092016-03-102016-04-08137.2537.250.00%market40.00%85.33%2.58%2.27%0.31%
YRD2016-03-092016-03-102016-04-0816.306.300.00%market108.33%288.21%74.50%2.27%72.23%
CRD-A2016-03-102016-03-112016-04-1115.395.390.00%market45.45%81.25%6.21%1.37%4.84%
HTHT2016-03-102016-03-112016-04-1117.487.480.00%market25.00%1515.72%26.10%1.37%24.73%
ORN2016-03-102016-03-112016-04-1114.394.390.00%market218.27%440.00%17.67%1.37%16.30%
RUN2016-03-102016-03-112016-04-1116.166.160.00%market72.73%65.22%9.32%1.37%7.94%
LIND2016-03-112016-03-142016-04-12310.3710.370.00%market83.95%2328.14%-2.41%1.86%-4.27%
CAL2016-03-152016-03-162016-04-14127.0027.000.00%market13.04%34.98%-3.80%3.18%-6.98%
DBI2016-03-152016-03-162016-04-14127.9627.960.00%market100.00%196.78%-4.82%3.18%-8.00%
MDGL2016-03-152016-03-162016-04-1418.758.750.00%market50.00%25.00%63.90%3.18%60.72%
MLKN2016-03-162016-03-172016-04-15128.7628.760.00%market17.95%29.81%7.27%2.23%5.04%
VRDN2016-03-162016-03-172016-04-151135.00135.000.00%market22.22%91.61%-14.26%2.23%-16.50%
HQY2016-03-222016-03-232016-04-21123.7023.700.00%market64.69%40.00%9.48%2.38%7.10%
KBH2016-03-232016-03-242016-04-22113.8413.840.00%market27.27%79.59%3.95%3.45%0.50%
ACN2016-03-242016-03-282016-04-254114.43114.430.00%market13.56%31.34%-0.39%2.46%-2.84%
CMC2016-03-242016-03-282016-04-25416.4616.460.00%market36.36%106.67%6.64%2.46%4.19%
SBS2016-03-252016-03-282016-04-2531.311.310.00%market54.55%43.66%9.06%2.46%6.60%
LEN2016-03-292016-03-302016-04-27148.6348.630.00%market21.15%19.62%-2.01%1.48%-3.49%
SAIC2016-03-292016-03-302016-04-27152.2852.280.00%market21.31%21.68%2.33%1.48%0.85%
SID2016-03-292016-03-302016-04-2712.052.050.00%market233.33%98.82%78.44%1.48%76.96%
CCL2016-03-302016-03-312016-04-28152.2952.290.00%market25.81%12.96%-6.95%0.75%-7.69%
CIG2016-03-302016-03-312016-04-2811.821.820.00%market90.15%1177.96%-15.48%0.75%-16.23%
MU2016-03-302016-03-312016-04-28110.3110.310.00%market44.44%3347.50%12.61%0.75%11.86%
BB2016-04-012016-04-042016-05-0237.387.380.00%market70.00%105.95%-4.44%0.55%-4.99%
MG2016-04-062016-04-072016-05-05125.9025.900.00%market400.00%70.00%-9.83%-0.08%-9.75%
HWM2016-04-112016-04-122016-05-10120.1620.160.00%market200.00%41.23%3.74%2.07%1.67%
BBD2016-04-152016-04-182016-05-1633.713.710.00%market46.57%211.96%2.33%-0.48%2.81%
BMI2016-04-182016-04-192016-05-17135.2035.200.00%market33.33%35.00%2.31%-2.33%4.65%
CE2016-04-182016-04-192016-05-17172.6072.600.00%market22.82%30.78%-2.26%-2.33%0.07%
MS2016-04-182016-04-192016-05-17125.8625.860.00%market19.57%111.51%1.06%-2.33%3.39%
RMBS2016-04-182016-04-192016-05-17112.1012.100.00%market18.18%69.23%-7.12%-2.33%-4.79%
WTFC2016-04-182016-04-192016-05-17150.0050.000.00%market12.33%41.46%-1.92%-2.33%0.41%
HWC2016-04-192016-04-202016-05-18124.7524.750.00%market80.00%877.78%6.93%-2.40%9.33%
IBKR2016-04-192016-04-202016-05-18110.2510.250.00%market18.18%23.85%-8.88%-2.40%-6.48%
INTC2016-04-192016-04-202016-05-18131.3231.320.00%market14.89%112.22%-4.35%-2.40%-1.95%
EXPO2016-04-202016-04-212016-05-19125.3125.310.00%market17.65%78.00%-1.96%-2.82%0.86%
FBIN2016-04-202016-04-212016-05-19150.9650.960.00%market14.71%27.67%-5.05%-2.82%-2.23%
KALU2016-04-202016-04-212016-05-19187.5487.540.00%market18.90%18.33%-4.04%-2.82%-1.22%
MCRI2016-04-202016-04-212016-05-19119.6519.650.00%market14.81%19.96%-1.58%-2.82%1.24%
RJF2016-04-202016-04-212016-05-19134.4734.470.00%market20.00%114.32%-0.36%-2.82%2.46%
RUSHA2016-04-202016-04-212016-05-1917.907.900.00%market14.29%357.14%12.81%-2.82%15.63%
SLM2016-04-202016-04-212016-05-1917.217.210.00%market27.27%114.49%-14.94%-2.82%-12.12%
TFII2016-04-202016-04-212016-05-19117.6017.600.00%market23.10%103.93%5.70%-2.82%8.51%
UFPI2016-04-202016-04-212016-05-19128.6728.670.00%market14.29%54.69%-7.15%-2.82%-4.33%
URI2016-04-202016-04-212016-05-19157.1557.150.00%market18.64%116.20%12.06%-2.82%14.88%
CX2016-04-212016-04-222016-05-2016.946.940.00%market150.00%133.33%-10.47%-1.47%-9.01%
EQBK2016-04-212016-04-222016-05-20121.0021.000.00%market13.89%70.73%4.66%-1.47%6.13%
FAF2016-04-212016-04-222016-05-20135.9135.910.00%market18.92%52.27%4.02%-1.47%5.49%
NSC2016-04-212016-04-222016-05-20189.3189.310.00%market32.99%74.30%-4.43%-1.47%-2.97%
PHM2016-04-212016-04-222016-05-20119.2519.250.00%market20.00%96.85%-6.28%-1.47%-4.81%
POOL2016-04-212016-04-222016-05-20190.0990.090.00%market52.00%68.42%-2.18%-1.47%-0.71%
RBCAA2016-04-212016-04-222016-05-20126.0526.050.00%market16.44%29.41%5.54%-1.47%7.01%
RS2016-04-212016-04-222016-05-20171.9771.970.00%market17.05%241.62%0.05%-1.47%1.52%
SSD2016-04-212016-04-222016-05-20139.5239.520.00%market25.93%60.29%-4.71%-1.47%-3.24%
FBP2016-04-252016-04-262016-05-2413.613.610.00%market50.00%44.98%17.35%-0.56%17.91%
KN2016-04-252016-04-262016-05-24116.2216.220.00%market199.96%38.75%-17.24%-0.56%-16.68%
MKSI2016-04-252016-04-262016-05-24138.3138.310.00%market15.15%185.13%2.80%-0.56%3.36%
PDS2016-04-252016-04-262016-05-24191.4091.400.00%market53.85%30.14%-5.57%-0.56%-5.01%
AIZ2016-04-262016-04-272016-05-25180.6680.660.00%market16.92%40.22%8.68%0.39%8.29%
AVNT2016-04-262016-04-272016-05-25135.6935.690.00%market14.29%10.71%5.00%0.39%4.61%
BAX2016-04-262016-04-272016-05-25144.3444.340.00%market24.14%89.18%-1.99%0.39%-2.38%
BP2016-04-262016-04-272016-05-25133.5633.560.00%market165.38%155.26%-2.19%0.39%-2.57%
BYD2016-04-262016-04-272016-05-25120.1520.150.00%market20.00%37.73%-8.09%0.39%-8.48%
CIGI2016-04-262016-04-272016-05-25139.8539.850.00%market46.15%149.58%-0.75%0.39%-1.14%
CNX2016-04-262016-04-272016-05-25114.2914.290.00%market22.22%103.95%3.68%0.39%3.29%
COHR2016-04-262016-04-272016-05-25123.0823.080.00%market29.63%671.43%-14.01%0.39%-14.40%
ENTG2016-04-262016-04-272016-05-25113.7813.780.00%market13.33%175.78%1.42%0.39%1.04%
FCX2016-04-262016-04-272016-05-25111.6911.690.00%market20.00%145.11%-0.44%0.39%-0.83%
FTNT2016-04-262016-04-272016-05-2516.606.600.00%market33.33%286.22%3.99%0.39%3.60%
MAS2016-04-262016-04-272016-05-25131.7931.790.00%market23.08%48.10%2.35%0.39%1.97%
NMIH2016-04-262016-04-272016-05-2515.905.900.00%market22.22%847.14%3.12%0.39%2.73%
ONTO2016-04-262016-04-272016-05-25116.9916.990.00%market166.67%31.25%5.26%0.39%4.87%
SCL2016-04-262016-04-272016-05-25162.7262.720.00%market31.63%20.16%-6.21%0.39%-6.60%
TECK2016-04-262016-04-272016-05-25110.8910.890.00%market188.74%3079.43%-10.84%0.39%-11.23%
TMUS2016-04-262016-04-272016-05-25139.4539.450.00%market460.00%61.74%6.67%0.39%6.28%
TRU2016-04-262016-04-272016-05-25128.3828.380.00%market23.08%82.54%15.30%0.39%14.91%
TT2016-04-262016-04-272016-05-25150.8650.860.00%market35.14%23.92%1.02%0.39%0.63%
TX2016-04-262016-04-272016-05-25118.7518.750.00%market50.00%435.75%0.97%0.39%0.58%
ACCO2016-04-272016-04-282016-05-2619.119.110.00%market80.00%700.00%7.58%0.42%7.16%
AGCO2016-04-272016-04-282016-05-26153.9953.990.00%market83.33%286.84%-4.69%0.42%-5.12%
BKR2016-04-272016-04-282016-05-26132.4532.450.00%market44.12%158.54%-1.79%0.42%-2.22%
BSBR2016-04-272016-04-282016-05-2614.774.770.00%market71.43%617.11%1.16%0.42%0.74%
BSX2016-04-272016-04-282016-05-26122.0722.070.00%market16.67%27.12%2.12%0.42%1.70%
CG2016-04-272016-04-282016-05-26117.0517.050.00%market20.00%125.08%-4.67%0.42%-5.10%
CSGP2016-04-272016-04-282016-05-26119.1619.160.00%market42.86%143.89%6.37%0.42%5.95%
ELME2016-04-272016-04-282016-05-26129.2129.210.00%market250.06%86.95%0.35%0.42%-0.08%
EQNR2016-04-272016-04-282016-05-26117.6517.650.00%market249.96%913.18%-6.45%0.42%-6.87%
FIX2016-04-272016-04-282016-05-26132.3932.390.00%market44.44%11.54%-3.31%0.42%-3.73%
FSV2016-04-272016-04-282016-05-26143.8443.840.00%market33.33%287.19%5.28%0.42%4.86%
GRMN2016-04-272016-04-282016-05-26143.7543.750.00%market16.67%44.02%-5.36%0.42%-5.78%
JLL2016-04-272016-04-282016-05-261122.67122.670.00%market13.89%11.46%-5.91%0.42%-6.33%
LEA2016-04-272016-04-282016-05-261115.47115.470.00%market22.74%20.82%1.12%0.42%0.70%
LOGI2016-04-272016-04-282016-05-26115.4215.420.00%market75.00%141.93%-0.68%0.42%-1.11%
MDLZ2016-04-272016-04-282016-05-26143.6943.690.00%market20.00%27.52%1.41%0.42%0.99%
META2016-04-272016-04-282016-05-261119.58119.580.00%market24.19%204.88%-0.19%0.42%-0.61%
PPC2016-04-272016-04-282016-05-26125.8125.810.00%market15.00%10.87%-2.77%0.42%-3.20%
RES2016-04-272016-04-282016-05-26114.8514.850.00%market25.00%313.33%-1.31%0.42%-1.73%
RGLD2016-04-272016-04-282016-05-26158.5558.550.00%market16.00%51.72%-4.71%0.42%-5.13%
SLAB2016-04-272016-04-282016-05-26147.7947.790.00%market13.33%27.45%1.78%0.42%1.36%
SLGN2016-04-272016-04-282016-05-26125.9825.980.00%market15.00%87.53%-2.29%0.42%-2.72%
SXC2016-04-272016-04-282016-05-2617.357.350.00%market150.00%100.00%-20.10%0.42%-20.52%
TER2016-04-272016-04-282016-05-26119.6119.610.00%market14.81%40.96%-0.61%0.42%-1.03%
TFIN2016-04-272016-04-282016-05-26115.9015.900.00%market12.50%94.71%-0.16%0.42%-0.59%
TS2016-04-272016-04-282016-05-26126.7926.790.00%market50.00%111.87%-0.21%0.42%-0.63%
TTE2016-04-272016-04-282016-05-26150.6150.610.00%market70.00%30.13%-2.71%0.42%-3.13%
TTEK2016-04-272016-04-282016-05-2616.266.260.00%market14.29%575.00%-7.77%0.42%-8.19%
TTMI2016-04-272016-04-282016-05-2617.007.000.00%market100.00%20.55%6.61%0.42%6.19%
WCN2016-04-272016-04-282016-05-26143.1343.130.00%market34.62%91.21%3.31%0.42%2.89%
AJG2016-04-282016-04-292016-05-27145.6845.680.00%market17.24%374.07%5.42%1.70%3.71%
ALGN2016-04-282016-04-292016-05-27175.0575.050.00%market28.21%69.04%5.40%1.70%3.70%
ALKS2016-04-282016-04-292016-05-27140.9740.970.00%market20.00%68.75%12.49%1.70%10.79%
AMZN2016-04-282016-04-292016-05-27133.3033.300.00%market81.42%370.40%6.84%1.70%5.13%
BGSF2016-04-282016-04-292016-05-27114.8014.800.00%market242.86%137.50%-8.68%1.70%-10.38%
BIDU2016-04-282016-04-292016-05-271189.50189.500.00%market33.33%152.90%-2.47%1.70%-4.17%
BMRN2016-04-282016-04-292016-05-27183.4483.440.00%market37.65%81.13%6.67%1.70%4.97%
BMY2016-04-282016-04-292016-05-27172.0672.060.00%market13.85%46.87%-1.14%1.70%-2.84%
BVN2016-04-282016-04-292016-05-2719.689.680.00%market940.12%138.10%-1.75%1.70%-3.46%
CVI2016-04-282016-04-292016-05-27119.4019.400.00%market133.33%300.83%-19.43%1.70%-21.13%
ENVA2016-04-282016-04-292016-05-2717.727.720.00%market47.62%205.65%-2.95%1.70%-4.65%
GNW2016-04-282016-04-292016-05-2713.213.210.00%market50.00%438.10%14.23%1.70%12.53%
GRC2016-04-282016-04-292016-05-27128.1128.110.00%market20.00%25.00%3.53%1.70%1.83%
HURN2016-04-282016-04-292016-05-27162.1562.150.00%market16.98%11.29%-5.23%1.70%-6.94%
LPLA2016-04-282016-04-292016-05-27126.8026.800.00%market52.27%153.31%5.24%1.70%3.53%
E2016-04-292016-05-022016-05-31332.2132.210.00%market25.00%1146.50%-5.56%1.41%-6.98%
AXON2016-05-042016-05-052016-06-03118.2418.240.00%market82.59%165.28%24.68%2.30%22.38%
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EFSC2017-01-232017-01-242017-02-22139.1039.100.00%market21.31%10.81%17.67%4.36%13.31%
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DHI2017-01-242017-01-252017-02-23130.9130.910.00%market17.02%45.45%0.13%3.38%-3.26%
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MEOH2017-01-252017-01-262017-02-24148.5048.500.00%market206.67%86.29%7.01%3.20%3.81%
MUR2017-01-252017-01-262017-02-24130.5930.590.00%market15.79%175.73%-8.08%3.20%-11.28%
PGR2017-01-252017-01-262017-02-24137.8737.870.00%market23.53%116.61%3.02%3.20%-0.18%
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RLI2017-01-252017-01-262017-02-24131.0031.000.00%market16.67%113.54%-5.13%3.20%-8.33%
ROL2017-01-252017-01-262017-02-24115.6515.650.00%market14.29%25.00%4.69%3.20%1.49%
TEL2017-01-252017-01-262017-02-24175.2975.290.00%market15.00%10.43%-1.41%3.20%-4.61%
TER2017-01-252017-01-262017-02-24128.5128.510.00%market45.45%36.56%1.41%3.20%-1.79%
URI2017-01-252017-01-262017-02-241123.42123.420.00%market16.09%13.36%0.49%3.20%-2.71%
VRTX2017-01-252017-01-262017-02-24185.7585.750.00%market34.62%188.24%0.27%3.20%-2.93%
AEP2017-01-262017-01-272017-02-27162.7862.780.00%market21.82%74.09%6.14%3.35%2.79%
CAT2017-01-262017-01-272017-02-27197.6997.690.00%market27.69%240.57%-0.36%3.35%-3.71%
CNOB2017-01-262017-01-272017-02-27126.0026.000.00%market600.00%110.00%-1.64%3.35%-4.99%
NOC2017-01-262017-01-272017-02-271227.03227.030.00%market18.88%55.09%9.40%3.35%6.05%
OSK2017-01-262017-01-272017-02-27172.1472.140.00%market136.36%476.92%-5.78%3.35%-9.14%
STM2017-01-262017-01-272017-02-27113.1313.130.00%market15.38%37.99%18.18%3.35%14.83%
DHT2017-01-302017-01-312017-03-0114.784.780.00%market80.00%181.64%3.25%5.64%-2.39%
GGG2017-01-302017-01-312017-03-01130.0030.000.00%market17.86%49.70%4.47%5.64%-1.17%
WERN2017-01-302017-01-312017-03-01128.9028.900.00%market15.38%56.27%-1.31%5.64%-6.95%
FICO2017-01-312017-02-012017-03-021124.32124.320.00%market73.13%19.83%5.82%4.72%1.10%
NUE2017-01-312017-02-012017-03-02158.5758.570.00%market26.47%614.79%6.85%4.72%2.13%
RAMP2017-01-312017-02-012017-03-02128.0028.000.00%market60.00%58.33%1.90%4.72%-2.82%
VIAV2017-01-312017-02-012017-03-0219.159.150.00%market42.86%58.00%6.79%4.72%2.06%
ACLS2017-02-012017-02-022017-03-03116.4516.450.00%market30.00%169.23%-7.39%4.74%-12.14%
AFG2017-02-012017-02-022017-03-03189.3589.350.00%market22.22%10.51%6.41%4.74%1.67%
AMP2017-02-012017-02-022017-03-031116.18116.180.00%market12.35%44.45%14.43%4.74%9.68%
AXS2017-02-012017-02-022017-03-03166.2866.280.00%market31.03%23.56%5.09%4.74%0.35%
CACI2017-02-012017-02-022017-03-031131.45131.450.00%market15.75%55.93%-4.74%4.74%-9.49%