100% Time: 0:10:17|###########################################################|

Entire data start date: 2004-01-06
Entire data end date: 2016-08-18


Backtest Months: 151
                   Backtest
annual_return          0.13
annual_volatility      0.07
sharpe_ratio           1.74
calmar_ratio           1.19
stability              0.92
max_drawdown          -0.11
omega_ratio            1.38
sortino_ratio          2.89
skewness               1.05
kurtosis              12.67
information_ratio      0.02
alpha                  0.12
beta                   0.07

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
1              11.13 2009-01-09  2009-03-06    2009-03-23       52
0               7.37 2015-07-16  2016-02-03    2016-04-21      201
2               4.90 2016-04-29  2016-07-06           NaT      NaN
3               4.27 2012-10-12  2012-11-23    2013-05-09      150
4               4.08 2014-02-11  2014-05-07    2014-10-16      178


2-sigma returns daily    -0.009
2-sigma returns weekly   -0.020
dtype: float64

Stress Events
                                    mean    min    max
Lehmann                            0.003 -0.014  0.021
US downgrade/European Debt Crisis  0.001 -0.005  0.010
Fukushima                          0.001 -0.004  0.006
EZB IR Event                       0.000 -0.006  0.007
Aug07                              0.003 -0.006  0.012
Mar08                              0.000 -0.012  0.014
Sept08                             0.002 -0.014  0.021
2009Q1                            -0.001 -0.023  0.020
2009Q2                             0.004 -0.013  0.025
Flash Crash                        0.000 -0.011  0.005
Apr14                             -0.000 -0.022  0.005
Oct14                              0.000 -0.006  0.006
Fall2015                          -0.000 -0.010  0.006
Low Volatility Bull Market         0.000 -0.018  0.013
GFC Crash                          0.001 -0.036  0.054
Recovery                           0.000 -0.017  0.016
New Normal                         0.000 -0.022  0.043

Top 10 long positions of all time (and max%)
[u'AEE-24783' u'USB-25010' u'SCG-6701' u'CVX-23112' u'PGN-22332'
 u'XOM-8347' u'BAC-700' u'BBT-16850' u'MRK-5029' u'JNJ-4151']
[ 0.175  0.174  0.165  0.163  0.161  0.158  0.158  0.147  0.146  0.145]


Top 10 short positions of all time (and max%)
[u'JNJ-4151' u'JPM-25006' u'WFC-8151' u'BRK_B-11100' u'XOM-8347'
 u'SGP-6836' u'CVX-23112' u'PAA-15700' u'ETP-26073' u'MRK-5029']
[-0.219 -0.165 -0.163 -0.161 -0.15  -0.149 -0.143 -0.142 -0.137 -0.135]


Top 10 positions of all time (and max%)
[u'JNJ-4151' u'AEE-24783' u'USB-25010' u'JPM-25006' u'SCG-6701' u'WFC-8151'
 u'CVX-23112' u'PGN-22332' u'BRK_B-11100' u'XOM-8347']
[ 0.219  0.175  0.174  0.165  0.165  0.163  0.163  0.161  0.161  0.158]


All positions ever held
[u'JNJ-4151' u'AEE-24783' u'USB-25010' u'JPM-25006' u'SCG-6701' u'WFC-8151'
 u'CVX-23112' u'PGN-22332' u'BRK_B-11100' u'XOM-8347' u'BAC-700'
 u'SGP-6836' u'BBT-16850' u'MRK-5029' u'PFE-5923' u'BLK-20689' u'ED-2434'
 u'PEG-5862' u'LLY-4487' u'PAA-15700' u'PPL-6119' u'STI-7152' u'NOV-24809'
 u'ETP-26073' u'DTE-2330' u'MCK-12350' u'ABT-62' u'BDX-794' u'SO-7011'
 u'CB-8580' u'NBR-5214' u'KMP-2546' u'SYK-7178' u'BMY-980' u'CAH-1376'
 u'SE-33030' u'COP-23998' u'D-2071' u'DVN-2368' u'ES-5484' u'FTI-22784'
 u'PGR-5950' u'PNC-6068' u'DGX-16348' u'AMGN-368' u'POM-6098' u'MDT-4758'
 u'BAX-734' u'AIG-239' u'MMC-4914' u'BK-903' u'WB-25007' u'WEC-8140'
 u'AGN-205' u'EOG-2564' u'L-4569' u'SLB-6928' u'XEL-21964' u'ALL-24838'
 u'ONE-5669' u'AEP-161' u'VLO-7990' u'CMS-1665' u'UNH-7792' u'HAL-3443'
 u'BHI-858' u'NCC-5226' u'C-1335' u'AET-168' u'EIX-14372' u'WYE-23555'
 u'KSE-17541' u'HES-216' u'MHS-25445' u'TRV-7041' u'HCBK-20374' u'DO-13635'
 u'NEE-2968' u'BR-1072' u'BEN-812' u'AFL-185' u'DUK-2351' u'MTB-5117'
 u'UCL-7702' u'CVS-4799' u'TROW-7590' u'NST-20642' u'NI-5310' u'PXD-17436'
 u'XTO-9074' u'HFC-3620' u'MDU-4760' u'ESV-2621' u'EPD-19079' u'CIN-1550'
 u'ETR-2637' u'AXP-679' u'APA-448' u'FITB-2855' u'MRO-5035' u'PNW-6090'
 u'TEG-8264' u'SRE-24778' u'ANTM-23103' u'WMB-8214' u'WPZ-27577'
 u'SII-6884' u'KMI-40852' u'MS-17080' u'EXC-22114' u'PRU-23328' u'CI-1539'
 u'CB-1274' u'ESRX-2618' u'OXY-5729' u'APC-455' u'MUR-5126' u'GAS-595'
 u'TSO-7612' u'MA-32146' u'FE-17850' u'MET-21418' u'CEG-20066' u'BPL-1057'
 u'SEP-34102' u'CAM-13176' u'ZBH-23047' u'V-35920' u'SWN-7244' u'COV-34010'
 u'ETE-28056' u'AYE-17618' u'LNT-18584' u'STT-7139' u'MER-4796'
 u'BIIB-3806' u'NBL-5213' u'GS-20088' u'WR-8265' u'AON-438' u'ALXN-14328'
 u'PSX-42788' u'PCG-5792' u'WFT-19336' u'MPC-41636' u'STJ-7156' u'SUN-7211'
 u'NTRS-5479' u'OKS-9804' u'AWK-36098' u'TMO-7493' u'PPP-6127' u'GSF-23206'
 u'CHK-8461' u'GILD-3212' u'UGI-7739' u'EAS-18745' u'KMG-4266' u'BJS-902'
 u'CME-24475' u'CELG-1406' u'BMET-967' u'WLP-8210' u'ACL-23477' u'HP-3647'
 u'GENZ-3166' u'CNP-24064' u'WTR-6193' u'GDT-12321' u'INT-3950'
 u'BWP-27779' u'HIG-14064' u'WU-32603' u'NVE-7107' u'FRE-2988' u'A-24757'
 u'EP-2568' u'ICE-27809' u'FNM-2925' u'MMP-22482' u'OGE-5607' u'ISRG-25339'
 u'SCHW-6704' u'ATO-612' u'EQT-2587' u'UPL-22406' u'CQH-46004' u'DFS-34011'
 u'NYCB-22250' u'BCR-779' u'REGN-6413' u'COG-1746' u'AMP-27676' u'BSX-1131'
 u'PBCT-5769' u'EPE-27582' u'FRX-3014' u'WPZ-39963' u'CXO-34440'
 u'OKE-5634' u'AMTD-16586' u'DNA-24847' u'EEP-23061' u'HUM-3718'
 u'ABBV-43694' u'MIR-27990' u'COF-12160' u'SHLX-47973' u'MWE-23707'
 u'EQM-43107' u'ITC-27492' u'ABC-22954' u'CHIR-1499' u'RF-34913'
 u'NDAQ-27026' u'TFSL-33718' u'HCA-41047' u'PRGO-6161' u'SXL-23465'
 u'KMI-20744' u'GDW-3144' u'ILMN-21774' u'DPL-2270' u'TE-7369' u'AGN-8572'
 u'WES-36186' u'NRG-26143' u'CLR-33856' u'WGP-43690' u'PSXP-45132'
 u'LH-12909' u'RIG-9038' u'RRC-19249' u'AR-45618' u'ZTS-44060' u'KRB-4298'
 u'AES-166' u'NYX-28145' u'IVZ-16589' u'MYL-5166' u'LIFE-19800' u'BX-34067'
 u'FBF-25132' u'HSP-26243' u'EPB-36580' u'CLB-13508' u'CPN-35531'
 u'AM-48018' u'PAGP-45668' u'WLTW-22857' u'TLLP-41297' u'TRGP-40547'
 u'NFX-10231' u'SUN-43415' u'CFC-1359' u'EW-21382' u'CNX-24758'
 u'KKR-39905' u'UNM-7797' u'GEN-22720' u'SYF-47415' u'INCY-10187'
 u'GEL-16005' u'TAP_A-23543' u'TXU-7677' u'ENBL-46743' u'CZZ-34560'
 u'TGN-24586' u'VRTX-8045' u'UNH_WI-22283']
[ 0.219  0.175  0.174  0.165  0.165  0.163  0.163  0.161  0.161  0.158
  0.158  0.149  0.147  0.146  0.143  0.143  0.143  0.142  0.142  0.142
  0.142  0.139  0.138  0.137  0.136  0.134  0.133  0.133  0.131  0.13   0.13
  0.129  0.128  0.128  0.128  0.126  0.125  0.125  0.124  0.123  0.123
  0.122  0.122  0.121  0.121  0.121  0.12   0.119  0.118  0.118  0.118
  0.117  0.117  0.115  0.114  0.113  0.112  0.111  0.11   0.11   0.109
  0.109  0.108  0.108  0.106  0.105  0.105  0.104  0.104  0.104  0.104
  0.104  0.103  0.103  0.103  0.103  0.103  0.103  0.103  0.103  0.102
  0.102  0.102  0.102  0.102  0.102  0.101  0.1    0.1    0.099  0.099
  0.099  0.099  0.099  0.099  0.099  0.099  0.098  0.097  0.097  0.097
  0.097  0.096  0.096  0.096  0.095  0.095  0.095  0.095  0.094  0.094
  0.093  0.093  0.092  0.092  0.091  0.091  0.091  0.09   0.09   0.09   0.09
  0.09   0.09   0.09   0.09   0.088  0.088  0.088  0.087  0.087  0.087
  0.087  0.086  0.086  0.086  0.086  0.086  0.085  0.085  0.085  0.085
  0.085  0.085  0.084  0.084  0.084  0.084  0.083  0.083  0.083  0.083
  0.082  0.082  0.081  0.081  0.08   0.08   0.08   0.079  0.079  0.078
  0.077  0.077  0.077  0.077  0.077  0.076  0.076  0.075  0.074  0.074
  0.074  0.073  0.073  0.072  0.072  0.072  0.071  0.071  0.071  0.071
  0.07   0.07   0.069  0.069  0.068  0.068  0.066  0.065  0.065  0.065
  0.064  0.064  0.064  0.062  0.061  0.061  0.061  0.06   0.06   0.059
  0.059  0.058  0.057  0.056  0.056  0.054  0.054  0.054  0.054  0.054
  0.054  0.053  0.053  0.053  0.052  0.052  0.052  0.051  0.051  0.051
  0.05   0.05   0.05   0.05   0.049  0.049  0.048  0.048  0.046  0.045
  0.044  0.044  0.043  0.041  0.041  0.041  0.04   0.04   0.039  0.039
  0.038  0.038  0.037  0.037  0.036  0.034  0.034  0.033  0.033  0.032
  0.032  0.031  0.03   0.029  0.028  0.026  0.025  0.024  0.023  0.02
  0.019  0.017  0.017  0.012  0.01   0.008  0.004  0.001]