Entire data start date: 2005-06-01
Entire data end date: 2015-09-25


Backtest Months: 123
                   Backtest
annual_return          0.03
annual_volatility      0.19
sharpe_ratio           0.15
calmar_ratio           0.05
stability              0.05
max_drawdown          -0.58
omega_ratio            1.03
sortino_ratio          0.21
skewness               0.04
kurtosis              14.25
alpha                  0.03
beta                   0.02

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
0              57.76 2006-02-15  2013-02-01    2015-08-17     2479
1               8.10 2005-07-25  2005-10-28    2005-12-14      103
2               6.53 2005-12-16  2006-01-20    2006-02-01       34
3               5.21 2015-08-26  2015-09-17           NaT      NaN
4               2.54 2006-02-03  2006-02-06    2006-02-14        8


2-sigma returns daily    -0.024
2-sigma returns weekly   -0.048
dtype: float64

Stress Events
                                    mean    min    max
Lehmann                           -0.005 -0.111  0.130
US downgrade/European Debt Crisis  0.001 -0.012  0.025
Fukushima                         -0.003 -0.013  0.020
EZB IR Event                      -0.004 -0.029  0.011
Aug07                             -0.002 -0.018  0.010
Sept08                            -0.006 -0.111  0.130
2009Q1                             0.002 -0.039  0.038
2009Q2                             0.001 -0.035  0.051
Flash Crash                       -0.008 -0.018  0.008
Apr14                              0.005 -0.019  0.045
Oct14                              0.004 -0.007  0.033

Top 10 long positions of all time (and max%)
[u'GOOG_L' u'AAPL' u'MSFT' u'IBM' u'CVX' u'XOM']
[ 0.31   0.305  0.297  0.282  0.282  0.277]


Top 10 short positions of all time (and max%)
[u'GOOG_L' u'AAPL' u'IBM' u'MSFT' u'XOM' u'CVX']
[-0.306 -0.298 -0.292 -0.286 -0.281 -0.275]


Top 10 positions of all time (and max%)
[u'GOOG_L' u'AAPL' u'MSFT' u'IBM' u'CVX' u'XOM']
[ 0.31   0.305  0.297  0.292  0.282  0.281]


All positions ever held
[u'GOOG_L' u'AAPL' u'MSFT' u'IBM' u'CVX' u'XOM']
[ 0.31   0.305  0.297  0.292  0.282  0.281]