Hurst Intraday Research Dashboard

5-minute Hurst strategy backtests, Sharpe, P&L, drawdown, and wider-universe candidates.

Original 12-Ticker Run

Provider: yfinance

Alpaca failed; this run used fallback data. See run_metadata.json for the exact API error.

Tickers12
Total P&L$6,547.70
Return5.46%
Portfolio Sharpe2.931
Max Drawdown$-2,648.98
Positive7/12
Original 12-Ticker Run aggregate P&L
Best-by-ticker aggregate P&L
Original 12-Ticker Run ticker P&L curves
Best-by-ticker P&L curves

Best Strategy By Ticker

ticker bars first_bar last_bar strategy sharpe total_pnl_usd total_return_pct max_drawdown_usd trades win_rate avg_trade_pnl_usd exposure_pct final_position
GOOGL 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 3.523 517.78 5.18 -160.40 4 0.500 129.45 4.21 0
WTW 4674 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 2.912 229.63 2.30 -82.32 1 1.000 229.63 2.44 0
HUBS 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.707 1714.28 17.14 -908.80 30 0.700 57.14 12.65 0
INTC 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.704 3870.48 38.70 -605.54 23 0.652 168.28 10.36 0
NVDA 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.168 634.38 6.34 -414.67 22 0.682 28.84 8.93 0
LULU 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 1.948 740.77 7.41 -570.58 28 0.714 28.53 12.86 1
META 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 0.945 62.14 0.62 -139.41 2 0.500 31.07 1.84 0
MU 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion -0.058 -35.68 -0.36 -1626.30 30 0.533 -1.19 10.26 0
BSX 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion -0.194 -82.89 -0.83 -592.88 30 0.600 -2.76 13.14 0
F 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion -0.681 -183.66 -1.84 -745.46 24 0.583 -7.65 11.90 0
XLU 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion -0.704 -155.04 -1.55 -542.82 25 0.680 -5.85 14.66 1
TEAM 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion -1.097 -764.49 -7.64 -1613.65 40 0.500 -19.11 16.79 0

Open CSV · All strategy rows

Wider 80-Ticker Run

Provider: yfinance

Alpaca failed; this run used fallback data. See run_metadata.json for the exact API error.

Tickers80
Total P&L$16,413.81
Return2.05%
Portfolio Sharpe3.496
Max Drawdown$-5,491.07
Positive50/80
Wider 80-Ticker Run aggregate P&L
Best-by-ticker aggregate P&L
Wider 80-Ticker Run ticker P&L curves
Best-by-ticker P&L curves

Best Strategy By Ticker

ticker bars first_bar last_bar strategy sharpe total_pnl_usd total_return_pct max_drawdown_usd trades win_rate avg_trade_pnl_usd exposure_pct final_position
FOXA 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 5.140 1406.24 14.06 -196.73 25 0.840 56.25 10.81 0
SNDK 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 4.638 1687.04 16.87 -330.64 3 0.667 388.70 4.83 1
FOX 4676 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 4.491 1189.36 11.89 -196.84 27 0.815 44.05 12.13 0
DELL 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 4.114 1240.92 12.41 -377.36 2 0.500 368.47 3.63 1
ON 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 3.843 769.81 7.70 -188.65 3 1.000 256.60 4.21 0
WMB 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 3.819 757.06 7.57 -290.69 22 0.909 37.52 10.17 1
HON 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 3.654 903.34 9.03 -246.06 25 0.800 35.61 10.90 1
GD 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 3.442 376.20 3.76 -167.69 2 0.500 188.10 4.17 0
WTW 4674 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 2.912 229.63 2.30 -82.32 1 1.000 229.63 2.44 0
QCOM 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.909 960.53 9.61 -315.35 33 0.636 29.11 16.62 0
INTC 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.704 3870.48 38.70 -605.54 23 0.652 168.28 10.36 0
FTV 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.609 766.36 7.66 -433.60 21 0.810 36.82 8.01 1
ORCL 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 2.531 908.72 9.09 -370.29 1 1.000 908.72 2.54 0
ALL 4677 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 2.491 179.42 1.79 -100.99 3 1.000 59.81 3.98 0
VLTO 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.490 1070.18 10.70 -365.52 29 0.759 36.90 14.96 0
KMI 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.344 474.04 4.74 -322.66 22 0.682 22.00 11.90 1
ROST 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 2.255 141.09 1.41 -63.69 1 1.000 141.09 2.12 0
TGT 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.156 611.21 6.11 -424.26 31 0.677 19.72 16.60 0
MGM 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.150 811.24 8.11 -466.77 25 0.720 32.45 8.53 0
HUM 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 2.142 353.68 3.54 -370.12 4 0.250 -60.24 3.59 1
LULU 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 1.948 740.77 7.41 -570.58 28 0.714 28.53 12.86 1
SMCI 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 1.722 354.52 3.55 -284.73 2 0.500 177.26 2.82 0
FANG 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 1.703 191.59 1.92 -124.57 2 1.000 95.79 2.24 0
JKHY 4657 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 1.671 663.67 6.64 -539.74 42 0.714 15.80 18.94 0
CSGP 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 1.546 134.49 1.34 -120.95 1 1.000 134.49 1.73 0
DDOG 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 1.491 238.67 2.39 -169.89 2 0.500 119.33 2.07 0
KKR 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 1.478 575.62 5.76 -1047.53 30 0.633 19.19 13.03 0
NCLH 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 1.446 924.51 9.25 -819.67 39 0.590 23.71 18.46 0
CNC 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 1.378 171.81 1.72 -217.36 2 0.500 85.90 1.84 0
MRSH 4680 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 1.322 82.45 0.82 -102.03 1 1.000 82.45 1.47 0

Open CSV · All strategy rows

Wider 80-Ticker Run, Alpaca IEX

Provider: alpaca

Tickers80
Total P&L$15,640.57
Return1.96%
Portfolio Sharpe3.129
Max Drawdown$-6,761.19
Positive50/80
Wider 80-Ticker Run, Alpaca IEX aggregate P&L
Best-by-ticker aggregate P&L
Wider 80-Ticker Run, Alpaca IEX ticker P&L curves
Best-by-ticker P&L curves

Best Strategy By Ticker

ticker bars first_bar last_bar strategy sharpe total_pnl_usd total_return_pct max_drawdown_usd trades win_rate avg_trade_pnl_usd exposure_pct final_position
SNDK 4752 2026-02-12 13:55:00+00:00 2026-05-08 20:50:00+00:00 momentum 5.277 1923.10 19.23 -332.01 3 0.667 463.87 4.92 1
FOX 4227 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 5.097 1237.97 12.38 -195.06 26 0.808 47.61 12.33 0
DELL 4686 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 4.845 1484.53 14.85 -292.18 1 1.000 884.90 3.46 1
FOXA 4573 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 4.369 1172.57 11.73 -257.83 27 0.815 43.43 12.62 0
FFIV 3976 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 4.248 833.98 8.34 -187.77 13 0.923 64.15 5.99 0
ON 4687 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 3.929 789.57 7.90 -162.91 3 1.000 263.19 4.22 0
INTC 4893 2026-02-12 13:50:00+00:00 2026-05-08 20:40:00+00:00 mean_reversion 3.591 3400.70 34.01 -543.68 24 0.708 141.70 9.95 0
HUM 4443 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 3.543 501.34 5.01 -225.97 3 0.333 -34.01 3.69 1
GD 4385 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 3.383 379.70 3.80 -168.74 2 0.500 189.85 4.24 0
WMB 4678 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 3.212 642.93 6.43 -317.37 22 0.818 32.71 9.88 1
FANG 4289 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.961 1106.09 11.06 -573.46 21 0.714 52.67 11.80 0
FTV 4600 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.920 816.54 8.17 -389.34 22 0.818 37.28 8.67 1
ORCL 4998 2026-02-12 13:30:00+00:00 2026-05-08 20:00:00+00:00 momentum 2.849 778.17 7.78 -372.15 2 0.500 389.09 2.40 0
HON 4350 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.765 593.00 5.93 -291.78 25 0.800 23.72 12.32 0
VLTO 4132 2026-02-12 14:35:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.758 1135.15 11.35 -416.74 29 0.828 39.14 17.09 0
KMI 4681 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.389 481.96 4.82 -300.11 22 0.682 21.91 12.80 0
WTW 4412 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 2.333 164.63 1.65 -101.07 2 0.500 82.32 2.77 0
FTNT 4661 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 2.256 604.49 6.04 -358.16 25 0.680 24.18 10.68 0
MRSH 4492 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 2.253 110.27 1.10 -68.26 1 1.000 110.27 1.34 0
ROST 4142 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 2.083 121.66 1.22 -65.30 1 1.000 121.66 2.12 0
DDOG 4641 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 1.999 314.08 3.14 -186.60 1 1.000 314.08 2.07 0
GEV 4653 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 1.990 279.59 2.80 -176.53 3 0.667 93.20 2.58 0
QCOM 4714 2026-02-12 14:10:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 1.869 635.43 6.35 -338.62 33 0.606 19.26 16.08 0
MGM 4666 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 1.543 548.39 5.48 -553.34 24 0.708 22.85 8.17 0
KKR 4669 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 1.532 271.12 2.71 -437.36 6 0.333 45.19 4.86 0
JKHY 3393 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 1.525 433.91 4.34 -707.10 27 0.704 16.07 14.47 0
LULU 4280 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 1.504 545.82 5.46 -570.31 28 0.714 20.38 14.21 1
MSI 4379 2026-02-12 14:35:00+00:00 2026-05-08 19:55:00+00:00 momentum 1.348 81.14 0.81 -88.13 1 1.000 81.14 1.76 0
COHR 4705 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 mean_reversion 1.344 1008.77 10.09 -1286.59 40 0.475 25.22 9.52 0
FICO 4529 2026-02-12 14:30:00+00:00 2026-05-08 19:55:00+00:00 momentum 1.329 270.63 2.71 -323.63 5 0.600 54.13 4.53 0

Open CSV · All strategy rows

Multi-Horizon Daily Backtest

Long-horizon 5-minute data is blocked by the current Alpaca 401. This section uses daily bars to evaluate the same Hurst logic over 1m, 3m, 6m, 1y, and 3y.

1m Sharpe4.511
3m Sharpe2.780
6m Sharpe2.158
1y Sharpe2.591
3y Sharpe1.462
1m portfolio P&L
1m portfolio P&L
3m portfolio P&L
3m portfolio P&L
6m portfolio P&L
6m portfolio P&L
1y portfolio P&L
1y portfolio P&L
3y portfolio P&L
3y portfolio P&L

Portfolio Summary

horizon tickers positive_tickers avg_trades total_pnl_usd return_pct sharpe max_drawdown_usd
1m 80 29 0.71 11784.21 1.47 4.511 -4074.71
3m 80 39 1.50 22371.22 2.80 2.780 -14283.83
6m 80 50 2.62 30705.48 3.84 2.158 -13995.05
1y 80 58 4.17 65193.33 8.15 2.591 -11579.68
3y 80 64 10.18 157914.51 19.74 1.462 -29418.13

Open CSV

Daily Hurst Screen

Top rows from the daily S&P 500 Hurst scan used to seed the wider intraday universe.

ticker last_date close hurst_100d rsi_14 bb_pos_20d mom_20d_pct mom_60d_pct price_vs_60d_high_pct vol_vs_20d_avg signal
KMI 2026-05-08 31.41 0.6578 43.55 0.3683 -3.00 0.80 -6.96 0.717 high_hurst
JNJ 2026-05-08 221.32 0.6583 32.92 0.1396 -7.19 -7.62 -10.96 0.501 high_hurst
CHD 2026-05-08 93.44 0.6613 44.39 0.2222 -2.08 -6.70 -11.23 0.469 high_hurst
LMT 2026-05-08 506.51 0.6648 26.02 0.2681 -17.47 -19.01 -25.15 0.633 high_hurst
CL 2026-05-08 87.55 0.6710 56.55 0.8759 4.45 -7.57 -11.14 0.636 high_hurst
TPL 2026-05-08 394.20 0.6776 31.22 -0.1016 -3.85 -4.57 -26.97 0.832 high_hurst
EFX 2026-05-08 175.83 0.0113 45.82 0.3964 -1.20 -10.78 -15.63 0.759 low_hurst
MRSH 2026-05-08 163.25 0.0315 38.12 0.0976 -2.91 -5.15 -12.13 0.474 low_hurst
ETR 2026-05-08 111.59 0.0460 46.90 0.2265 -3.67 11.98 -4.92 0.890 low_hurst
VST 2026-05-08 147.72 0.0510 39.75 -0.0987 -4.53 -7.64 -16.34 1.812 low_hurst
PGR 2026-05-08 194.00 0.0570 38.28 0.0050 -0.07 -6.85 -9.15 1.019 low_hurst
BBY 2026-05-08 59.40 0.0570 43.65 0.3444 -4.76 -10.10 -11.26 0.576 low_hurst
COHR 2026-05-08 335.26 0.0680 58.11 0.6188 9.03 49.88 -4.34 1.205 low_hurst
CCI 2026-05-08 90.57 0.0720 59.75 0.8594 4.96 6.54 -0.55 1.140 low_hurst
CIEN 2026-05-08 548.11 0.0731 61.94 0.8069 10.50 84.39 -4.97 0.663 low_hurst
WBD 2026-05-08 27.11 0.0832 46.28 0.4289 -1.20 -3.14 -7.00 0.604 low_hurst
REGN 2026-05-08 714.89 0.0907 43.88 0.3150 -4.54 -8.12 -10.88 0.749 low_hurst
CINF 2026-05-08 161.50 0.0944 47.04 0.2614 0.22 -0.62 -4.43 0.840 low_hurst
VLTO 2026-05-08 86.84 0.0963 43.19 0.2008 -2.97 -8.45 -11.27 1.039 low_hurst
GEHC 2026-05-08 63.47 0.0965 39.04 0.3137 -13.27 -19.82 -24.65 1.392 low_hurst
DOC 2026-05-08 19.64 0.1014 77.55 1.0590 18.02 17.92 -0.10 0.787 low_hurst
TJX 2026-05-08 153.36 0.1025 38.06 0.0264 -5.10 2.02 -7.05 0.907 low_hurst
FFIV 2026-05-08 354.03 0.1076 73.87 1.0205 22.16 25.24 0.00 0.862 low_hurst
ALL 2026-05-08 213.15 0.1088 48.62 0.1958 1.02 4.64 -3.06 0.656 low_hurst
FTNT 2026-05-08 114.07 0.1102 84.42 1.2598 48.72 29.89 0.00 1.622 low_hurst
GEV 2026-05-08 1040.15 0.1124 52.38 0.4272 4.93 26.36 -9.52 0.686 low_hurst
ROST 2026-05-08 225.81 0.1138 54.76 0.4913 2.10 17.53 -1.35 1.144 low_hurst
AKAM 2026-05-08 147.71 0.1146 78.23 1.3123 61.70 55.81 0.00 3.689 low_hurst
TGT 2026-05-08 125.25 0.1286 49.06 0.3645 2.76 9.28 -5.19 0.610 low_hurst
GPN 2026-05-08 69.19 0.1309 47.86 0.3563 5.73 -3.88 -15.83 0.876 low_hurst

Open full daily CSV