Entire data start date: 2003-01-06
Entire data end date: 2016-01-05


Backtest Months: 155
                   Backtest
annual_return          0.19
annual_volatility      0.20
sharpe_ratio           0.97
calmar_ratio           0.42
stability              0.91
max_drawdown          -0.46
omega_ratio            1.18
sortino_ratio          1.42
skewness               0.08
kurtosis               4.68
information_ratio      0.05
alpha                  0.14
beta                   0.72

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
1              45.81 2007-10-31  2008-11-19    2010-04-22      647
0              14.03 2015-03-24  2015-08-25    2015-12-01      181
2              13.98 2013-05-02  2013-06-25    2013-10-18      122
3               5.93 2015-12-01  2016-01-05           NaT      NaN
4               5.75 2015-02-25  2015-03-06    2015-03-18       16


2-sigma returns daily    -0.025
2-sigma returns weekly   -0.046
dtype: float64

Stress Events
                                    mean    min    max
Lehmann                           -0.003 -0.059  0.028
US downgrade/European Debt Crisis  0.003 -0.033  0.049
Fukushima                          0.001 -0.013  0.014
US Housing                        -0.001 -0.013  0.010
EZB IR Event                      -0.002 -0.019  0.011
Aug07                              0.002 -0.024  0.026
Mar08                              0.003 -0.027  0.041
Sept08                            -0.007 -0.059  0.021
2009Q1                            -0.006 -0.054  0.034
2009Q2                             0.003 -0.046  0.054
Flash Crash                       -0.002 -0.032  0.026
Apr14                              0.001 -0.022  0.014
Oct14                              0.002 -0.021  0.020
Fall2015                          -0.003 -0.039  0.027
Low Volatility Bull Market         0.000 -0.033  0.035
GFC Crash                         -0.000 -0.084  0.112
Recovery                           0.001 -0.046  0.049
New Normal                         0.001 -0.043  0.032

Top 10 long positions of all time (and max%)
[u'TLT' u'QQQ' u'IJH']
[ 1.308  1.14   0.045]


Top 10 short positions of all time (and max%)
[]
[]


Top 10 positions of all time (and max%)
[u'TLT' u'QQQ' u'IJH']
[ 1.308  1.14   0.045]


All positions ever held
[u'TLT' u'QQQ' u'IJH']
[ 1.308  1.14   0.045]