Notebook
In [1]:
bt = get_backtest('5e12972e7a2340552e673902')
bt.create_full_tear_sheet(round_trips=True)

100% Time:  0:00:45|##########################################################|
Start date2016-12-05
End date2020-01-03
Total months36
Backtest
Annual return 819.386%
Cumulative returns 91762.538%
Annual volatility 89.405%
Sharpe ratio 2.94
Calmar ratio 11.66
Stability 0.97
Max drawdown -70.283%
Omega ratio 1.82
Sortino ratio 4.71
Skew -0.06
Kurtosis 7.16
Tail ratio 1.51
Daily value at risk -10.22%
Gross leverage 0.91
Daily turnover 70.993%
Alpha 2.76
Beta -0.87
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 70.28 2018-03-01 2018-03-12 2018-06-28 86
1 61.20 2017-09-05 2017-10-11 2017-11-13 50
2 37.47 2017-01-17 2017-01-23 2017-03-17 44
3 27.82 2019-08-20 2019-08-26 2019-09-18 22
4 21.18 2019-04-10 2019-04-26 2019-05-07 20
Stress Events mean min max
New Normal 1.04% -32.30% 31.33%
Top 10 long positions of all time max
Top 10 short positions of all time max
DCIX-40666 -114.32%
CHEK-48781 -112.77%
GLBS-40488 -100.95%
RKDA-49034 -97.41%
INNT-50095 -94.43%
KBSF-44006 -85.09%
NETE-43552 -79.05%
HEAR-40197 -77.99%
BIOC-46309 -75.31%
ZSAN-48506 -74.36%
Top 10 positions of all time max
DCIX-40666 114.32%
CHEK-48781 112.77%
GLBS-40488 100.95%
RKDA-49034 97.41%
INNT-50095 94.43%
KBSF-44006 85.09%
NETE-43552 79.05%
HEAR-40197 77.99%
BIOC-46309 75.31%
ZSAN-48506 74.36% 
/venvs/py35/lib/python3.5/site-packages/statsmodels/nonparametric/kdetools.py:20: VisibleDeprecationWarning: using a non-integer number instead of an integer will result in an error in the future
  y = X[:m/2+1] + np.r_[0,X[m/2+1:],0]*1j
Summary stats All trades Short trades Long trades
Total number of round_trips 4162.00 4158.00 4.00
Percent profitable 0.62 0.62 0.25
Winning round_trips 2567.00 2566.00 1.00
Losing round_trips 1595.00 1592.00 3.00
Even round_trips 0.00 0.00 0.00
PnL stats All trades Short trades Long trades
Total profit $46311761.46 $47479972.05 $-1168210.58
Gross profit $88238322.19 $88166910.23 $71411.97
Gross loss $-41926560.73 $-40686938.18 $-1239622.55
Profit factor $2.10 $2.17 $0.06
Avg. trade net profit $11127.29 $11418.94 $-292052.65
Avg. winning trade $34374.10 $34359.67 $71411.97
Avg. losing trade $-26286.24 $-25557.12 $-413207.52
Ratio Avg. Win:Avg. Loss $1.31 $1.34 $0.17
Largest winning trade $3489772.84 $3489772.84 $71411.97
Largest losing trade $-2937144.58 $-2937144.58 $-1229373.79
Duration stats All trades Short trades Long trades
Avg duration 14 days 03:53:56.900528 14 days 04:12:43.651755 14:32:59
Median duration 5 days 00:00:00 5 days 00:00:00 14:31:59
Longest duration 273 days 02:20:00 273 days 02:20:00 14:35:59
Shortest duration 0 days 14:31:59 0 days 18:21:00 14:31:59
Return stats All trades Short trades Long trades
Avg returns all round_trips 0.14% 0.14% 0.13%
Avg returns winning 0.54% 0.54% 0.18%
Avg returns losing -0.51% -0.51% -0.02%
Median returns all round_trips 0.01% 0.01% 0.01%
Median returns winning 0.10% 0.10% 0.02%
Median returns losing -0.08% -0.08% -0.02%
Largest winning trade 31.72% 31.72% 0.51%
Largest losing trade -29.18% -29.18% -0.02%
Symbol stats AA-50428 AACG-35652 AAOI-45503 ABIL-46250 ABIO-24624 ACIA-33321 ACP-40763 ADES-26715 ADXS-40992 AFB-23349 AFIN-52186 AGRO-40782 AIMC-33052 AIRG-50197 AKCA-51037 AKTS-50705 AKTX-46304 ALBO-33850 ALLK-52209 ALT-27689 AMAG-659 AMID-41753 AMRS-40165 ANY-45265 APDN-28531 APPN-50903 APRN-50990 AQMS-49311 AQST-52207 ARAV-46582 ARLO-52298 ARLP-20456 ASG-13790 ASPS-38633 ASTC-14154 ATOS-43592 ATUS-50970 AUPH-47621 AVLR-52100 AXDX-15934 AXSM-49607 BANC-23943 BAS-27886 BCOV-42531 BEAT-35929 BGFV-23757 BGH-43574 BGS-33892 BIMI-29115 BIOC-46309 BITA-40419 BKE-915 BLCM-48304 BLFS-28698 BLIN-34128 BOE-27276 BPT-1068 BPTH-30403 BPY-44336 BVXV-49006 BYND-53116 BZUN-49058 CALM-16169 CAR-17991 CARA-46283 CARG-51281 CARV-12008 CASI-15126 CBAY-46189 CBH-50988 CBIO-27067 CCRC-49668 CDZI-1587 CEMI-28839 CEN-45511 CGIX-44416 CHEK-48781 CHFS-42528 CHW-34108 CIFS-51100 CLDR-50810 CLM-1601 CLPS-52020 CLRB-30367 CLSN-1602 CLVS-42166 CLWT-16601 CMCM-46868 CNET-33463 CNST-52213 COLL-49016 COUP-50350 CRBP-47955 CRF-25146 CRK-1663 CRMD-39625 CRTX-53144 CVI-22766 CVM-1407 CVNA-50807 CWH-50366 CYCC-28246 CYRX-29083 DAR-11908 DAVA-52268 DBVT-47939 DCAR-27133 DCIX-40666 DDD-12959 DDS-2126 DEA-48601 DERM-47845 DFFN-50456 DFRG-43237 DK-32042 DLTH-49615 DO-13635 DOVA-50985 DOYU-53349 DQ-40211 DRNA-46271 DRYS-26994 DSKE-49385 DSM-2324 DTEA-49099 DTF-2339 DTIL-53016 DXR-2382 EDN-33732 EDSA-49566 EGLE-27370 EIM-23937 ELAN-52424 ELF-50320 ELTK-16352 EMO-41563 ENBL-46743 ENLC-25850 ENLV-47418 EOI-26744 EOLS-51743 ERI-47743 EROS-45867 ESTC-52494 ETM-19693 ETV-27400 ETY-32950 EVFM-48127 EXD-39823 EXG-33402 EYEG-48640 EYEN-51686 FANG-43512 FDUS-41620 FEI-43652 FFHL-33078 FINV-51427 FNSR-20866 FOMX-47729 FPI-46731 FRAN-41737 FRED-2989 FRO-22983 FRSX-50942 FRTA-50398 FSLY-53179 FTF-25424 FTR-2069 FTV-50049 FUV-51209 FWP-47896 GAB-3084 GALT-25536 GCI-46297 GERN-15306 GEVO-40840 GLBS-40488 GLMD-46536 GLYC-46135 GME-23438 GMLP-41227 GMRE-50099 GMZ-45916 GNC-41182 GNCA-46311 GOF-34387 GOGO-44965 GPMT-50968 GPP-49194 GPRO-47208 GTT-44938 GTYH-50459 GUT-20372 HBI-32497 HEAR-40197 HEPA-46330 HFRO-51410 HHT-34066 HIIQ-44113 HK-31032 HLF-26892 HLG-49234 HMNY-17450 HRTX-22651 HTGM-49018 HTZ-50070 HYB-3740 HYGS-22123 HYI-40313 ICHR-50509 ICPT-43505 IDXG-18764 IGC-28328 IHD-41336 IIPR-50477 ILPT-51626 IMTE-51092 IMUX-46778 INFO-47163 INNT-50095 INO-3150 INS-3947 INSG-50449 IPDN-44241 IPHI-40399 IRBT-27780 ITCI-46053 JAGX-49033 JAN-16435 JHB-50220 JKS-39635 JNCE-50619 JP-49265 KALV-48897 KBSF-44006 KERN-51796 KMF-40479 KNDI-32972 KOD-52490 KODK-45441 KRP-50649 KRTX-53314 LBRT-51630 LCI-23602 LE-46579 LEDS-40574 LGC-51517 LIVE-31332 LJPC-11512 LK-53177 LKCO-52761 LMRK-48089 LOOP-43446 LPTX-50614 LTM-17883 LX-51593 MARA-41204 MARK-34779 MDLA-53362 MGEN-47103 MGTA-52124 MIE-44359 MITO-52905 MLNT-42455 MNK-44917 MRAM-50360 MRIN-44339 MRKR-29569 MTDR-42446 MTW-4656 MXC-25528 MYD-5160 MYGN-13698 NAD-20117 NAKD-49672 NAT-17553 NBEV-47346 NBRV-49415 NDP-43233 NEA-24423 NETE-43552 NEWA-51078 NHF-32295 NK-49298 NMZ-25674 NNA-36528 NOVN-50295 NPTN-40807 NRCG-51084 NRK-24427 NSPR-39287 NTC-9011 NTG-39954 NTLA-49934 NTNX-50338 NUAN-19926 NVAX-14112 NVST-53498 OBLN-50351 OCUL-47383 OFG-16394 OHI-5621 OMEX-25682 ONTX-45159 OPGN-48998 OPHC-26281 OPTN-51290 OPTT-33734 ORC-44141 OSN-40631 OSTK-23714 OXLC-40733 PACD-42151 PACQ-52047 PAGS-51689 PAM-38830 PAYS-42516 PBYI-42689 PCN-23326 PCRX-40815 PD-53064 PEI-5876 PETQ-51064 PETS-25867 PETZ-51200 PFN-26747 PGNX-17908 PI-50138 PIR-6000 PLSE-49957 PRPO-21822 PRQR-47730 PRTA-43730 PRTK-32095 PRTY-48933 PRVB-52230 PSTV-27923 PTI-49748 PTY-24512 PXS-49537 PZZA-9252 QD-51306 QFIN-52720 QTNT-46996 RAD-6330 RCII-24827 RCKT-48602 RDFN-51079 REAL-53313 REV-14420 RFI-9821 RGR-6458 RH-43599 RKDA-49034 RLGY-43500 RMBL-47259 RMTI-18196 ROKU-51231 ROSE-49834 RUBY-52187 RUHN-53036 RVT-6597 RWLK-47683 RYB-51225 SA-26203 SAEX-41786 SAVA-21803 SBBP-49500 SBRA-26096 SCON-8732 SCVL-8733 SDRL-52182 SEDG-48823 SEED-27783 SEMG-39358 SES-35001 SFET-52345 SFIX-51467 SGMS-22637 SGU-14146 SHAK-48543 SIG-9774 SIGM-6881 SKT-9052 SLDB-51692 SLS-35890 SM-4664 SNCA-33012 SOLY-52906 SONO-52291 SORL-28333 SPKE-47372 SPWR-27817 SQM-9835 SRG-49238 SSW-27550 STAR-24862 STNE-52537 SUN-43415 SVRA-26230 SWAV-52954 SY-53115 SZC-43437 TAIT-12841 TCCO-39906 TCF-1490 TCMD-50169 TDOC-49222 TELL-4982 TENX-31000 TGS-12250 THMO-15163 THOR-52697 TK-13289 TLRY-52211 TNDM-45852 TOPS-26507 TORC-51698 TRUE-46929 TRUP-47331 TRXC-29042 TSLA-39840 TTD-50288 TTWO-16820 TWLO-50077 TWO-38887 UAA-27822 UI-42027 UMRX-51890 USAC-43943 USDP-47877 UTG-26017 VAC-42125 VERI-50868 VFF-52912 VGI-42545 VMO-8003 VNE-52084 VNOM-47149 VRAY-48015 VRRM-50688 VRSN-18221 VVV-50325 WAB-13135 WAGE-42919 WATT-46650 WBAI-45902 WES-36186 WLL-25707 WMGI-40816 WRTC-52686 WTR-6193 XBIT-48926 XFLT-51237 XNET-47183 XOMA-8346 XON-45239 XONE-44102 XTNT-33283 YETI-52571 YEXT-50781 YRD-49674 ZF-8395 ZG-41730 ZIOP-31341 ZM-53095 ZS-51832 ZSAN-48506 ZUMZ-27229 ZUO-51917 ZYME-50802 ZYNE-49319
Avg returns all round_trips -0.10% 2.88% 0.36% -2.83% 0.12% 0.12% -0.72% 0.95% -0.24% -0.12% 0.16% -0.23% 0.53% 0.02% -0.63% 0.25% 0.28% 0.73% 0.62% 0.20% -0.13% 0.23% -0.23% 1.07% 0.12% 0.59% 0.99% -0.10% -0.65% 0.58% 0.02% 0.67% -0.26% 0.45% -0.01% -0.28% 1.66% -0.04% -0.36% 0.57% -0.02% -0.06% 0.06% -0.22% 1.20% 0.40% 1.15% 0.10% 0.42% 0.06% -0.21% -0.05% 0.56% -0.01% -0.30% 0.39% 0.02% 0.02% 0.29% -0.12% 0.26% 1.43% -1.30% -0.17% -0.02% -0.21% 0.32% 5.02% 1.21% -0.59% -1.16% -0.37% -3.61% -0.11% 0.71% 2.13% 8.18% -1.14% 0.72% 2.69% 0.66% 1.02% 0.19% 3.23% 0.00% 0.08% 0.20% 0.40% 1.18% -1.67% 0.19% 0.38% -0.05% -0.01% 0.18% 0.93% -0.73% 0.33% -1.30% -0.78% 0.64% 0.02% 0.18% 1.01% 3.68% -1.11% 0.18% 0.17% 0.01% 3.05% -0.03% 0.08% 1.10% 0.02% 0.31% 1.15% 3.70% 0.24% 0.30% -1.06% -0.11% -5.58% 0.09% 0.28% -0.10% 0.07% 1.33% -0.13% -0.65% -0.03% 0.02% 1.61% -0.18% 3.94% 0.02% 0.73% 5.41% 0.20% 1.97% -0.27% 0.39% -0.33% 0.15% -0.16% 0.14% 0.42% 2.37% -0.05% 0.16% 1.03% 0.53% 0.13% 3.54% -0.04% 7.95% 0.41% 0.09% -0.18% -0.05% -0.11% 0.07% 0.43% -1.56% 0.83% -0.03% -0.04% 0.03% 0.57% -0.12% -0.04% 0.06% -0.41% 0.05% -0.70% -0.04% -0.07% 0.25% 0.31% 0.04% -0.45% 1.85% 2.43% 1.20% 0.54% -0.96% 0.05% 0.40% 0.38% 0.33% 0.49% 0.23% 1.19% 0.01% -2.44% 0.16% -0.30% -0.08% 1.37% 0.30% 0.17% -0.01% 0.06% 0.28% -0.04% 0.06% -0.13% -0.05% 0.29% -0.24% -0.26% -0.11% -0.27% 0.03% -0.38% -0.10% 0.02% 0.05% 0.14% 0.18% 0.19% 0.57% 0.08% 0.28% 0.16% 0.03% 0.02% 0.10% 0.23% 0.33% 0.10% 0.07% 0.14% 0.12% -0.04% -0.02% 0.11% 0.03% -1.31% 0.03% 0.07% -0.10% 0.11% 0.02% 0.05% 0.16% 0.04% 0.06% 0.21% 0.03% 0.03% -0.04% -0.18% -0.18% 0.05% 0.01% -0.24% -0.04% -0.00% 0.03% -0.01% 0.01% -0.24% 0.03% -0.13% 0.00% -0.26% 0.05% 0.46% 0.04% 0.60% 1.42% 0.13% 0.03% 0.05% 0.85% 0.15% 0.24% 0.07% 0.29% 0.23% 0.12% 0.31% -0.13% 0.19% 0.11% 0.17% 0.15% -0.74% 0.01% 0.13% 0.63% -2.71% 0.01% -2.19% 0.02% 0.13% 0.06% 0.12% -0.02% 1.08% 0.07% 0.00% 0.10% 0.78% 0.05% 0.23% -0.01% 0.10% 0.22% 0.19% 0.03% 0.07% -0.01% 0.00% 0.08% 0.05% 0.03% -0.00% -0.17% 0.06% 0.02% -0.04% -0.05% 0.00% 0.04% 0.02% 0.03% 0.01% 0.06% -0.22% 0.20% 0.01% 0.01% 0.02% -0.04% 0.22% 0.00% 0.08% 0.06% 0.10% 0.00% 0.03% 0.06% -0.04% -0.00% -0.36% 0.15% 0.03% 0.03% 0.04% 0.11% 0.04% 0.28% 0.05% 0.17% 0.19% -0.06% 0.27% 0.02% 0.00% -0.02% -0.18% 0.04% -0.10% 0.04% -0.02% 0.02% -0.01% 0.33% 0.09% 0.21% 0.06% -0.20% 0.02% 0.08% -0.02% -0.02% -0.01% 0.01% 0.06% -0.04% 0.07% 0.02% -0.01% 0.02% -0.02% 0.12% 0.04% 0.14% 0.01% 0.17% -0.12% 0.07% 0.08% -0.00% 0.01% 0.00% -0.98% 0.07% -0.01% 0.00% -0.01% 0.03% 0.13% 0.01% -0.03% 0.27% 0.01% 0.35% 0.01% 0.36% -0.76% 0.02% 0.27% -0.02% 0.37% -0.05% -0.00% 0.00% 0.03% 0.09% 0.05% -0.02% 0.02% 0.16% -0.07% 0.14% -0.01% 0.62% 3.62% 0.13% 0.05% -0.02% 0.06% 0.01% 0.01% 0.01% -0.12% 0.00% 0.06% 0.00% 0.00% -0.00% 0.13% 0.00% -0.04% 0.03% 0.03% -0.33% 0.00% -0.07% 0.01% 0.03% -0.03% 0.09% -0.75% 0.03% -0.00% 0.05% 0.01% 0.05% 0.04% -0.05% 0.02% 0.05% -0.00% 0.03% 0.05% 0.10% 0.03% 0.01% 0.03%
Avg returns winning 0.34% 2.88% 0.85% 0.24% 0.45% 0.97% 0.72% 0.95% nan% nan% 0.38% nan% 0.92% 0.33% 0.23% 0.45% 0.42% 0.73% 0.62% 0.72% nan% 0.23% 0.15% 2.36% 0.27% 0.85% 2.18% 1.29% 0.15% 0.80% 0.09% 0.91% nan% 1.09% nan% nan% 3.35% 0.61% 0.10% 0.57% 0.04% 0.09% 0.72% nan% 1.20% 0.61% 1.15% 0.63% 0.76% 0.37% 0.31% 0.32% 0.56% 0.38% 1.22% 0.39% 0.79% 0.39% 0.87% nan% 0.58% 1.43% nan% 0.00% 0.39% 0.36% 1.64% 5.02% 1.21% nan% 0.29% 1.20% 0.19% 0.06% 1.66% 6.52% 10.25% nan% 2.07% 2.69% 0.66% 1.79% 1.03% 5.41% 0.00% 0.54% 1.72% 0.70% 1.18% nan% 0.19% 1.41% 0.18% 0.47% 0.67% 1.82% nan% 0.71% 0.42% 2.00% 0.92% 0.04% 0.28% 1.01% 5.54% nan% 0.18% 0.48% 0.13% 6.45% nan% 0.08% 1.73% 0.22% 0.31% 2.96% 12.08% 0.42% 0.30% nan% nan% 0.19% 0.09% 0.28% nan% 0.39% 2.70% 0.03% 1.53% 0.23% 0.06% 2.73% 0.12% 3.94% 0.50% 1.19% 5.41% 0.56% 1.97% 0.34% 1.43% nan% 0.28% 0.15% 0.14% 0.42% 2.37% 0.18% 0.41% 1.03% 0.53% 0.13% 3.54% nan% 7.95% 0.96% 0.09% nan% nan% 0.40% 0.52% 0.80% nan% 0.83% nan% 0.08% 0.19% 1.31% nan% 0.12% 0.16% nan% 0.54% 0.03% nan% 0.13% 0.44% 0.69% 0.14% 0.38% 3.92% 2.43% 2.11% 0.79% 0.16% 0.05% 0.40% 0.38% 0.33% 0.95% 0.23% 1.19% 0.28% nan% 0.35% 0.20% 0.33% 1.37% 0.48% 0.17% nan% 0.06% 0.56% nan% 0.14% nan% nan% 1.17% nan% nan% nan% 0.28% 0.11% 0.09% 0.18% 0.12% 0.37% 0.28% 0.35% 0.57% 0.57% 0.15% 0.37% 0.16% 0.03% 0.03% 0.15% 0.49% 0.72% 0.10% 0.13% 0.14% 0.19% nan% 0.08% 0.15% 0.03% 0.13% 0.03% 0.11% nan% 0.15% 0.04% 0.05% 0.16% 0.07% 0.06% 0.43% 0.14% 0.06% 0.29% nan% 0.03% 0.10% 0.02% nan% 0.09% nan% 0.03% nan% 0.02% 0.04% 0.09% 0.03% 0.00% 0.06% 0.22% 0.52% 0.04% 0.60% 1.42% 0.23% 0.03% 0.09% 0.85% 0.28% 0.28% 0.07% 0.29% 0.47% 0.24% 0.38% 0.01% 0.35% 0.33% 0.45% 0.51% nan% 0.01% 0.13% 1.40% nan% 0.20% nan% 0.12% 0.14% 0.13% 0.12% 0.00% 1.37% 0.07% 0.00% 0.10% 0.78% 0.10% 0.31% nan% 0.14% 0.34% 0.19% 0.10% 0.15% nan% 0.04% 0.08% 0.05% 0.03% 0.07% nan% 0.06% 0.02% nan% nan% 0.00% 0.04% 0.03% 0.03% 0.09% 0.10% 0.10% 0.50% 0.01% 0.04% 0.02% nan% 0.27% 0.00% 0.10% 0.07% 0.10% 0.05% 0.04% 0.12% nan% 0.03% 0.36% 0.15% 0.07% 0.03% 0.07% 0.11% 0.04% 0.28% 0.14% 0.17% 0.25% nan% 0.40% 0.02% 0.00% 0.09% 0.11% 0.06% 0.14% 0.08% 0.08% 0.02% 0.06% 0.33% 0.09% 0.21% 0.09% nan% 0.03% 0.08% 0.06% 0.04% 0.05% 0.01% 0.06% 0.00% 0.07% 0.02% 0.06% 0.02% 0.01% 0.12% 0.08% 0.20% 0.04% 0.22% nan% 0.10% 0.08% nan% 0.01% 0.00% nan% 0.07% 0.01% 0.00% 0.08% 0.18% 0.13% 0.06% 0.06% 0.27% 0.01% 0.53% 0.08% 0.36% 0.01% 0.03% 0.27% 0.09% 0.37% 0.08% 0.08% 0.00% 0.12% 0.14% 0.05% 0.09% 0.02% 0.22% 0.00% 0.14% 0.06% 0.62% 3.62% 0.13% 0.08% 0.01% 0.10% 0.04% 0.04% 0.03% 0.02% 0.00% 0.07% 0.05% 0.00% 0.00% 0.13% 0.02% 0.10% 0.03% 0.03% 0.12% 0.00% nan% 0.03% 0.03% 0.05% 0.09% 0.11% 0.04% nan% 0.08% 0.02% 0.07% 0.06% 0.06% 0.02% 0.05% nan% 0.05% 0.07% 0.10% 0.17% 0.01% 0.13%
Avg returns losing -0.25% nan% -0.41% -5.28% -0.17% -0.66% -1.68% nan% -0.24% -0.12% -0.28% -0.23% -0.16% -0.28% -1.06% -0.09% -0.08% nan% nan% -0.58% -0.13% nan% -0.61% -0.38% -0.11% -0.20% -0.36% -1.48% -2.27% -0.07% -0.11% -0.06% -0.26% -0.30% -0.01% -0.28% -0.03% -0.46% -0.48% nan% -0.07% -0.21% -0.47% -0.22% nan% -0.23% nan% -0.17% -0.41% -0.26% -0.64% -1.55% nan% -0.51% -0.61% nan% -0.39% -0.35% -0.47% -0.12% -0.42% nan% -1.30% -0.50% -0.31% -0.79% -0.74% nan% nan% -0.59% -2.90% -1.64% -7.41% -0.19% -0.01% -2.25% -0.06% -1.14% -0.29% nan% nan% -0.36% -0.38% -0.04% nan% -0.75% -0.82% -0.80% nan% -1.67% nan% -1.69% -0.27% -0.97% -0.58% -0.43% -0.73% -0.05% -3.25% -5.41% -0.62% -0.00% -0.32% nan% -0.04% -1.11% nan% -0.66% -0.10% -0.35% -0.03% nan% -0.16% -0.17% nan% -0.65% -0.48% -0.09% nan% -1.06% -0.11% -7.03% nan% nan% -0.10% -0.08% -0.04% -0.28% -3.76% -0.21% -0.01% -0.61% -0.49% nan% -0.53% -0.04% nan% -0.15% nan% -1.50% -0.75% -0.33% -0.30% -0.48% nan% nan% nan% -0.28% -0.34% nan% nan% nan% nan% -0.04% nan% -0.14% nan% -0.18% -0.05% -0.37% -0.41% -0.19% -1.56% nan% -0.03% -0.25% -0.18% -0.54% -0.12% -0.13% -0.05% -0.41% -0.28% -1.14% -0.04% -0.21% -0.29% -0.20% -0.25% -0.59% -0.23% nan% -5.13% -0.28% -3.19% nan% nan% nan% nan% -0.47% nan% nan% -0.25% -2.44% -0.22% -0.67% -0.90% nan% -0.22% nan% -0.01% nan% -0.08% -0.04% -0.12% -0.13% -0.05% -0.21% -0.24% -0.26% -0.11% -0.63% -0.06% -0.85% -1.39% -0.09% -0.26% -0.03% -0.16% -0.17% nan% -0.00% -0.02% nan% nan% -0.00% -0.03% -0.03% -0.05% nan% -0.04% nan% -0.02% -0.04% -0.26% -0.03% nan% -2.39% nan% -0.00% -0.10% -0.00% -0.00% nan% nan% -0.01% nan% -0.01% -0.08% -0.00% -0.13% -0.18% -0.29% -0.00% -0.00% -0.24% -0.10% -0.00% nan% -0.01% -0.00% -0.51% -0.03% -0.28% nan% -0.50% -0.15% -0.00% nan% nan% nan% -0.10% nan% -0.00% nan% -0.20% -0.02% nan% nan% -0.00% -0.13% -0.03% -0.28% -0.30% -0.31% -0.02% -0.03% -0.74% nan% nan% -0.14% -2.71% -0.63% -2.19% -0.21% -0.00% -0.07% nan% -0.05% -0.08% nan% nan% nan% nan% -0.03% -0.01% -0.01% -0.01% -0.02% nan% -0.05% -0.00% -0.01% -0.15% nan% nan% nan% -0.04% -0.17% nan% nan% -0.04% -0.05% nan% nan% -0.00% nan% -0.14% -0.03% -0.43% -0.03% nan% -0.04% nan% -0.04% -0.03% nan% -0.01% -0.00% nan% -0.26% -0.03% -0.17% -0.04% -0.10% -1.80% nan% -0.09% nan% -0.03% nan% nan% nan% -0.33% nan% -0.00% -0.06% -0.02% -0.00% nan% -0.30% -0.37% -0.01% -0.17% -0.08% -0.16% nan% -0.07% nan% nan% nan% -0.00% -0.20% -0.00% nan% -0.12% -0.10% -0.13% nan% nan% -0.05% nan% nan% -0.05% nan% -0.08% nan% -0.05% -0.12% -0.07% -0.11% -0.12% -0.02% nan% -0.00% nan% nan% -0.98% nan% -0.01% nan% -0.33% -0.12% nan% -0.14% -0.12% nan% nan% -0.16% -0.08% nan% -1.52% -0.00% nan% -0.49% nan% -0.55% -0.27% nan% -0.25% -0.00% nan% -0.13% nan% -0.11% -0.10% nan% -0.07% nan% nan% nan% -0.06% -0.05% -0.02% -0.07% -0.03% -0.02% -0.25% nan% -0.01% -0.04% nan% -0.01% nan% -0.06% -0.29% nan% nan% -0.56% nan% -0.07% -0.01% nan% -0.09% nan% -2.48% -0.00% -0.00% -0.01% -0.00% -0.00% -0.02% -0.17% nan% nan% -0.00% -0.00% -0.00% nan% -0.02% nan% -0.24%
Median returns all round_trips -0.19% 2.88% 0.07% -0.08% -0.02% -0.01% -0.06% 0.95% -0.24% -0.12% 0.08% -0.23% 0.00% -0.08% -0.45% 0.02% 0.03% 0.73% 0.62% 0.22% -0.13% 0.23% 0.01% 0.07% 0.09% 0.33% 0.02% -0.00% 0.09% 0.53% 0.01% 0.05% -0.26% 0.00% -0.01% -0.28% 1.66% -0.17% -0.57% 0.57% -0.02% -0.06% -0.11% -0.22% 1.20% 0.43% 1.15% -0.07% 0.45% -0.04% -0.21% 0.11% 0.56% 0.05% -0.16% 0.39% -0.04% -0.00% 0.09% -0.12% 0.17% 1.43% -1.30% 0.00% -0.10% -0.21% -0.11% 5.02% 1.21% -0.59% 0.01% -0.02% -0.02% -0.03% -0.00% -0.00% 0.19% -1.14% -0.01% 2.01% 0.66% 0.04% -0.04% 0.02% 0.00% 0.05% -0.21% 0.02% 1.18% -1.67% 0.19% 1.40% 0.00% 0.19% 0.14% 0.06% -0.46% 0.33% 0.00% 0.10% 0.15% 0.02% 0.05% 0.19% 0.03% -1.11% 0.18% 0.15% 0.01% 0.38% -0.03% 0.08% 0.26% 0.02% 0.31% -0.02% -0.14% 0.03% 0.12% -1.06% -0.11% -0.37% 0.09% 0.28% -0.10% -0.01% 1.33% -0.13% 0.04% -0.03% 0.02% 0.65% -0.03% 3.94% 0.01% 0.08% 5.41% 0.20% 1.13% 0.07% 0.03% -0.33% 0.16% -0.16% 0.14% 0.42% 0.14% -0.05% 0.20% 1.03% 0.40% 0.01% 3.54% -0.04% 2.71% -0.00% 0.09% -0.18% -0.05% -0.03% 0.00% 0.01% -1.56% 0.83% -0.03% 0.01% 0.08% 0.22% -0.12% -0.01% 0.06% -0.41% -0.02% -0.09% -0.04% -0.10% 0.15% 0.01% 0.01% -0.16% 1.85% 2.43% 0.25% 0.06% 0.11% 0.05% 0.40% 0.33% 0.33% 0.08% 0.23% 1.19% 0.01% -2.44% 0.03% -0.01% 0.00% 0.06% 0.06% 0.17% -0.01% 0.06% 0.00% -0.04% 0.07% -0.07% -0.04% -0.07% -0.24% -0.26% -0.11% -0.02% 0.05% -0.38% 0.08% 0.02% -0.00% 0.03% 0.08% -0.00% 0.57% 0.07% 0.01% 0.16% 0.03% 0.00% 0.11% 0.07% 0.33% 0.10% 0.00% 0.14% 0.03% -0.04% 0.02% 0.05% 0.03% -0.00% 0.03% 0.02% -0.10% 0.10% 0.02% 0.05% 0.16% 0.03% 0.06% 0.00% 0.03% 0.01% -0.01% -0.18% -0.01% 0.01% 0.01% -0.24% -0.08% -0.00% 0.03% -0.01% 0.01% -0.24% 0.00% 0.01% 0.00% -0.01% 0.01% 0.12% 0.04% 0.60% 1.42% 0.01% 0.03% 0.05% 0.74% 0.03% 0.04% 0.06% 0.42% 0.23% 0.02% 0.08% -0.13% 0.01% 0.00% -0.00% -0.01% -0.74% 0.01% 0.01% 0.63% -2.71% 0.01% -2.19% 0.01% 0.03% 0.01% 0.17% 0.00% 0.00% 0.07% 0.00% 0.10% 0.78% 0.02% 0.00% -0.01% 0.01% 0.03% 0.19% 0.00% 0.04% -0.01% 0.04% 0.08% 0.05% 0.03% -0.01% -0.17% 0.06% 0.02% -0.04% -0.05% 0.00% 0.04% 0.02% 0.03% 0.02% 0.00% -0.03% -0.00% 0.01% 0.03% 0.02% -0.04% 0.06% 0.00% 0.04% 0.04% 0.10% 0.01% 0.02% 0.11% -0.04% 0.00% 0.05% 0.15% 0.01% 0.02% 0.02% 0.11% 0.04% 0.07% 0.03% 0.17% 0.05% -0.06% 0.07% 0.02% 0.00% 0.03% -0.16% 0.01% -0.11% 0.03% 0.00% 0.02% -0.01% 0.33% 0.09% 0.21% 0.08% -0.20% 0.01% 0.08% 0.01% 0.00% 0.02% 0.01% 0.06% -0.00% 0.07% 0.02% -0.04% 0.02% 0.00% 0.12% 0.08% 0.02% 0.01% 0.08% -0.12% 0.01% 0.09% -0.00% 0.01% 0.00% -0.98% 0.05% -0.00% 0.00% 0.03% 0.03% 0.13% 0.02% -0.03% 0.27% 0.01% 0.02% 0.00% 0.03% -0.76% 0.00% 0.31% 0.01% 0.09% 0.03% 0.04% 0.00% 0.01% 0.02% 0.05% -0.02% 0.02% 0.04% -0.01% 0.14% 0.02% 0.26% 3.62% 0.13% 0.02% 0.00% 0.02% 0.01% 0.00% 0.00% -0.12% 0.00% 0.02% -0.02% 0.00% 0.00% 0.13% 0.01% 0.00% 0.03% 0.03% -0.00% 0.00% -0.07% 0.01% 0.04% -0.00% 0.09% 0.08% 0.03% -0.00% 0.01% 0.00% 0.02% 0.03% -0.05% 0.02% 0.02% -0.00% 0.02% 0.02% 0.10% -0.01% 0.01% 0.02%
Median returns winning 0.34% 2.88% 0.36% 0.29% 0.08% 0.24% 0.72% 0.95% nan% nan% 0.19% nan% 0.14% 0.33% 0.23% 0.34% 0.24% 0.73% 0.62% 0.52% nan% 0.23% 0.15% 0.62% 0.21% 0.66% 0.39% 0.26% 0.15% 1.03% 0.03% 0.09% nan% 0.28% nan% nan% 3.35% 0.65% 0.10% 0.57% 0.04% 0.09% 0.78% nan% 1.20% 0.50% 1.15% 0.63% 0.51% 0.13% 0.30% 0.23% 0.56% 0.16% 1.19% 0.39% 0.17% 0.17% 0.36% nan% 0.52% 1.43% nan% 0.00% 0.16% 0.36% 0.91% 5.02% 1.21% nan% 0.30% 0.28% 0.19% 0.06% 0.07% 0.05% 8.91% nan% 0.30% 2.01% 0.66% 0.45% 0.45% 0.06% 0.00% 0.25% 1.72% 0.04% 1.18% nan% 0.19% 1.41% 0.18% 0.49% 0.50% 0.48% nan% 0.71% 0.21% 0.24% 0.29% 0.04% 0.05% 0.19% 5.54% nan% 0.18% 0.41% 0.13% 3.37% nan% 0.08% 1.73% 0.22% 0.31% 2.96% 12.08% 0.20% 0.12% nan% nan% 0.19% 0.09% 0.28% nan% 0.39% 2.70% 0.03% 0.35% 0.23% 0.06% 1.64% 0.06% 3.94% 0.24% 0.65% 5.41% 0.56% 1.13% 0.34% 0.31% nan% 0.20% 0.15% 0.14% 0.42% 0.14% 0.18% 0.41% 1.03% 0.40% 0.01% 3.54% nan% 2.71% 0.38% 0.09% nan% nan% 0.40% 0.39% 0.10% nan% 0.83% nan% 0.03% 0.22% 0.45% nan% 0.12% 0.16% nan% 0.52% 0.03% nan% 0.13% 0.24% 0.21% 0.01% 0.38% 3.92% 2.43% 0.35% 0.11% 0.16% 0.05% 0.40% 0.33% 0.33% 0.45% 0.23% 1.19% 0.27% nan% 0.11% 0.08% 0.01% 0.06% 0.19% 0.17% nan% 0.06% 0.21% nan% 0.12% nan% nan% 0.13% nan% nan% nan% 0.28% 0.11% 0.09% 0.08% 0.12% 0.08% 0.09% 0.35% 0.12% 0.57% 0.15% 0.11% 0.16% 0.03% 0.03% 0.21% 0.49% 0.72% 0.10% 0.06% 0.14% 0.06% nan% 0.03% 0.10% 0.03% 0.13% 0.03% 0.05% nan% 0.19% 0.04% 0.05% 0.16% 0.08% 0.06% 0.34% 0.14% 0.06% 0.29% nan% 0.03% 0.10% 0.02% nan% 0.09% nan% 0.03% nan% 0.02% 0.04% 0.09% 0.03% 0.00% 0.03% 0.04% 0.14% 0.04% 0.60% 1.42% 0.14% 0.03% 0.09% 0.74% 0.04% 0.08% 0.06% 0.42% 0.47% 0.09% 0.13% 0.01% 0.04% 0.05% 0.45% 0.51% nan% 0.01% 0.01% 1.40% nan% 0.06% nan% 0.06% 0.05% 0.02% 0.17% 0.00% 0.13% 0.07% 0.00% 0.10% 0.78% 0.08% 0.01% nan% 0.08% 0.34% 0.19% 0.08% 0.15% nan% 0.04% 0.08% 0.05% 0.03% 0.07% nan% 0.06% 0.02% nan% nan% 0.00% 0.04% 0.03% 0.03% 0.05% 0.03% 0.09% 0.12% 0.01% 0.04% 0.02% nan% 0.08% 0.00% 0.06% 0.04% 0.10% 0.01% 0.03% 0.13% nan% 0.00% 0.36% 0.15% 0.02% 0.02% 0.05% 0.11% 0.04% 0.07% 0.05% 0.17% 0.10% nan% 0.08% 0.03% 0.00% 0.09% 0.11% 0.04% 0.14% 0.03% 0.07% 0.02% 0.06% 0.33% 0.09% 0.21% 0.09% nan% 0.01% 0.08% 0.05% 0.00% 0.05% 0.01% 0.06% 0.00% 0.07% 0.02% 0.06% 0.02% 0.01% 0.12% 0.08% 0.03% 0.01% 0.11% nan% 0.04% 0.09% nan% 0.01% 0.00% nan% 0.05% 0.01% 0.00% 0.07% 0.18% 0.13% 0.03% 0.06% 0.27% 0.01% 0.04% 0.03% 0.03% 0.01% 0.00% 0.31% 0.02% 0.09% 0.04% 0.06% 0.00% 0.02% 0.14% 0.05% 0.09% 0.02% 0.07% 0.00% 0.14% 0.06% 0.26% 3.62% 0.13% 0.07% 0.01% 0.04% 0.01% 0.04% 0.01% 0.02% 0.00% 0.04% 0.05% 0.00% 0.00% 0.13% 0.01% 0.02% 0.03% 0.03% 0.12% 0.00% nan% 0.03% 0.04% 0.05% 0.09% 0.11% 0.04% nan% 0.05% 0.01% 0.03% 0.04% 0.06% 0.02% 0.02% nan% 0.05% 0.08% 0.10% 0.17% 0.01% 0.04%
Median returns losing -0.35% nan% -0.12% -1.34% -0.10% -0.13% -0.07% nan% -0.24% -0.12% -0.28% -0.23% -0.15% -0.28% -1.06% -0.06% -0.10% nan% nan% -0.27% -0.13% nan% -0.61% -0.35% -0.10% -0.20% -0.11% -0.43% -2.27% -0.07% -0.03% -0.06% -0.26% -0.36% -0.01% -0.28% -0.03% -0.44% -0.57% nan% -0.07% -0.21% -0.28% -0.22% nan% -0.23% nan% -0.10% -0.41% -0.26% -0.46% -1.55% nan% -0.20% -0.21% nan% -0.14% -0.24% -0.23% -0.12% -0.39% nan% -1.30% -0.50% -0.20% -0.79% -0.86% nan% nan% -0.59% -0.85% -0.32% -7.41% -0.19% -0.00% -0.29% -0.06% -1.14% -0.08% nan% nan% -0.06% -0.26% -0.04% nan% -0.48% -0.30% -0.80% nan% -1.67% nan% -1.69% -0.27% -0.28% -0.46% -0.33% -0.46% -0.05% -0.44% -7.92% -0.10% -0.00% -0.32% nan% -0.04% -1.11% nan% -0.14% -0.10% -0.19% -0.03% nan% -0.16% -0.17% nan% -0.65% -0.48% -0.05% nan% -1.06% -0.11% -0.64% nan% nan% -0.10% -0.08% -0.04% -0.28% -0.77% -0.05% -0.01% -0.61% -0.17% nan% -0.20% -0.06% nan% -0.15% nan% -1.50% -0.19% -0.33% -0.30% -0.48% nan% nan% nan% -0.28% -0.34% nan% nan% nan% nan% -0.04% nan% -0.14% nan% -0.18% -0.05% -0.37% -0.04% -0.06% -1.56% nan% -0.03% -0.22% -0.18% -0.54% -0.12% -0.13% -0.05% -0.41% -0.17% -0.20% -0.04% -0.25% -0.20% -0.10% -0.25% -0.22% -0.23% nan% -5.13% -0.03% -3.19% nan% nan% nan% nan% -0.09% nan% nan% -0.26% -2.44% -0.05% -0.06% -0.90% nan% -0.12% nan% -0.01% nan% -0.03% -0.04% -0.12% -0.07% -0.04% -0.15% -0.24% -0.26% -0.11% -0.26% -0.06% -0.85% -1.39% -0.09% -0.06% -0.02% -0.16% -0.01% nan% -0.00% -0.02% nan% nan% -0.00% -0.03% -0.03% -0.05% nan% -0.00% nan% -0.01% -0.04% -0.31% -0.03% nan% -0.18% nan% -0.00% -0.10% -0.00% -0.00% nan% nan% -0.01% nan% -0.01% -0.08% -0.00% -0.05% -0.18% -0.29% -0.00% -0.00% -0.24% -0.10% -0.00% nan% -0.01% -0.00% -0.51% -0.03% -0.28% nan% -0.02% -0.01% -0.00% nan% nan% nan% -0.10% nan% -0.00% nan% -0.00% -0.00% nan% nan% -0.00% -0.02% -0.02% -0.28% -0.30% -0.02% -0.02% -0.03% -0.74% nan% nan% -0.14% -2.71% -0.53% -2.19% -0.06% -0.00% -0.08% nan% -0.05% -0.08% nan% nan% nan% nan% -0.01% -0.01% -0.01% -0.01% -0.02% nan% -0.01% -0.00% -0.01% -0.15% nan% nan% nan% -0.04% -0.17% nan% nan% -0.04% -0.05% nan% nan% -0.00% nan% -0.06% -0.01% -0.06% -0.02% nan% -0.04% nan% -0.04% -0.03% nan% -0.01% -0.00% nan% -0.26% -0.03% -0.17% -0.04% -0.10% -1.80% nan% -0.01% nan% -0.03% nan% nan% nan% -0.13% nan% -0.00% -0.06% -0.01% -0.00% nan% -0.16% -0.20% -0.01% -0.21% -0.08% -0.06% nan% -0.07% nan% nan% nan% -0.00% -0.20% -0.00% nan% -0.10% -0.10% -0.13% nan% nan% -0.05% nan% nan% -0.06% nan% -0.08% nan% -0.05% -0.12% -0.05% -0.11% -0.12% -0.01% nan% -0.00% nan% nan% -0.98% nan% -0.01% nan% -0.33% -0.12% nan% -0.06% -0.12% nan% nan% -0.08% -0.01% nan% -1.52% -0.00% nan% -0.56% nan% -0.55% -0.27% nan% -0.25% -0.00% nan% -0.13% nan% -0.11% -0.10% nan% -0.07% nan% nan% nan% -0.06% -0.05% -0.02% -0.01% -0.03% -0.02% -0.25% nan% -0.01% -0.04% nan% -0.01% nan% -0.06% -0.01% nan% nan% -0.56% nan% -0.07% -0.01% nan% -0.01% nan% -2.48% -0.00% -0.00% -0.01% -0.00% -0.00% -0.01% -0.17% nan% nan% -0.00% -0.00% -0.00% nan% -0.01% nan% -0.07%
Largest winning trade 0.34% 2.88% 10.58% 0.34% 2.01% 10.42% 1.13% 1.86% -0.24% -0.12% 1.06% -0.23% 3.68% 0.61% 0.23% 1.18% 1.03% 0.73% 1.22% 2.08% -0.13% 0.23% 0.27% 15.80% 0.74% 2.36% 12.81% 6.39% 0.22% 1.35% 0.33% 2.62% -0.09% 3.08% -0.01% -0.28% 3.35% 1.42% 0.10% 0.57% 0.04% 0.09% 1.27% -0.22% 1.20% 0.96% 2.06% 0.84% 2.14% 1.21% 0.59% 0.82% 0.56% 1.14% 2.33% 0.39% 3.67% 2.80% 2.65% -0.12% 1.54% 1.43% -1.30% 0.00% 1.99% 0.36% 4.73% 5.02% 1.21% -0.59% 0.58% 10.81% 0.36% 0.06% 8.89% 31.72% 23.13% -0.06% 11.38% 6.52% 0.66% 14.41% 3.55% 16.17% 0.00% 2.17% 3.09% 4.49% 1.93% -1.67% 0.19% 1.42% 0.35% 0.86% 3.13% 15.65% -0.01% 0.71% 2.02% 9.24% 7.23% 0.04% 1.17% 4.42% 11.05% -1.11% 0.20% 1.40% 0.13% 18.23% -0.03% 0.08% 3.20% 0.22% 0.31% 5.88% 12.08% 1.45% 0.77% -0.24% -0.11% 0.19% 0.09% 0.42% -0.00% 0.39% 2.70% 0.03% 10.12% 0.40% 0.06% 7.61% 0.26% 3.94% 4.23% 3.95% 5.41% 0.56% 5.45% 0.61% 16.32% -0.33% 0.80% 0.15% 0.14% 0.42% 10.57% 0.18% 0.61% 1.03% 1.97% 0.38% 3.54% -0.04% 26.13% 3.14% 0.09% -0.18% -0.05% 0.40% 2.06% 9.63% -1.56% 0.83% -0.03% 0.36% 0.23% 3.25% -0.02% 0.12% 0.16% -0.41% 1.12% 0.05% -0.04% 0.22% 2.22% 3.62% 0.40% 0.38% 3.92% 4.52% 8.15% 2.35% 0.21% 0.05% 0.40% 0.77% 0.33% 7.90% 0.23% 1.19% 0.52% -2.44% 3.80% 0.78% 1.32% 4.02% 2.32% 0.17% -0.01% 0.06% 3.75% -0.02% 0.31% -0.00% -0.01% 3.16% -0.10% -0.26% -0.11% 0.46% 0.12% 0.09% 0.89% 0.12% 8.22% 0.96% 0.61% 3.16% 0.57% 0.17% 1.53% 0.16% 0.03% 0.07% 0.23% 0.84% 0.72% 0.14% 0.98% 0.14% 1.51% -0.03% 0.19% 0.89% 0.03% 0.26% 0.06% 0.45% -0.10% 0.25% 0.04% 0.08% 0.17% 0.10% 0.06% 0.95% 0.14% 0.08% 0.29% -0.18% 0.03% 0.19% 0.02% -0.07% 0.09% -0.00% 0.03% -0.01% 0.02% 0.04% 0.18% 0.03% 0.00% 0.13% 0.80% 2.74% 0.04% 0.70% 2.83% 0.52% 0.04% 0.09% 1.92% 1.62% 2.68% 0.10% 0.46% 0.47% 2.17% 3.47% 0.01% 1.91% 1.49% 0.85% 0.51% -0.74% 0.01% 0.39% 1.40% -2.71% 1.30% -2.19% 0.80% 0.58% 0.42% 0.24% 0.00% 11.71% 0.07% 0.00% 0.19% 0.92% 0.22% 0.94% -0.01% 0.42% 0.66% 0.30% 0.24% 0.20% -0.01% 0.08% 0.08% 0.10% 0.03% 0.07% -0.00% 0.06% 0.04% -0.00% -0.03% 0.00% 0.08% 0.03% 0.05% 0.53% 0.52% 0.21% 2.12% 0.02% 0.05% 0.04% -0.04% 1.07% 0.00% 0.27% 0.23% 0.10% 0.19% 0.10% 0.21% -0.04% 0.08% 0.68% 0.15% 0.23% 0.06% 0.15% 0.12% 0.04% 3.09% 1.27% 0.17% 0.64% -0.00% 2.18% 0.03% 0.00% 0.24% 0.18% 0.15% 0.14% 0.24% 0.34% 0.02% 0.06% 0.33% 0.09% 0.21% 0.09% -0.20% 0.08% 0.08% 0.33% 0.12% 0.09% 0.01% 0.06% 0.00% 0.07% 0.05% 0.08% 0.03% 0.02% 0.12% 0.08% 2.33% 0.21% 0.83% -0.12% 0.31% 0.12% -0.00% 0.01% 0.01% -0.98% 0.17% 0.01% 0.00% 0.28% 0.18% 0.13% 0.20% 0.06% 0.27% 0.01% 4.85% 0.25% 1.06% 0.01% 0.07% 0.46% 0.72% 1.01% 0.25% 0.19% 0.00% 0.34% 0.25% 0.05% 0.09% 0.02% 0.96% 0.00% 0.14% 0.08% 1.96% 3.62% 0.13% 0.22% 0.01% 0.78% 0.15% 0.08% 0.10% 0.02% 0.00% 0.22% 0.09% 0.00% 0.01% 0.13% 0.05% 1.44% 0.03% 0.03% 0.12% 0.00% -0.00% 0.03% 0.04% 0.09% 0.09% 0.15% 0.06% -0.00% 0.21% 0.08% 0.18% 0.37% 0.06% 0.02% 0.14% -0.00% 0.08% 0.17% 0.10% 0.17% 0.01% 2.10%
Largest losing trade -0.37% 2.88% -2.54% -16.67% -0.35% -8.68% -4.92% 0.04% -0.24% -0.12% -0.48% -0.23% -0.28% -0.37% -1.67% -0.16% -0.10% 0.73% 0.03% -1.73% -0.13% 0.23% -1.19% -1.07% -0.14% -0.39% -3.62% -4.51% -2.27% -0.07% -0.36% -0.06% -0.43% -0.45% -0.01% -0.28% -0.03% -0.94% -0.76% 0.57% -0.07% -0.21% -1.16% -0.22% 1.20% -0.23% 0.25% -0.39% -0.52% -0.43% -1.75% -1.55% 0.56% -1.67% -2.06% 0.39% -2.01% -2.81% -1.13% -0.12% -1.46% 1.43% -1.30% -0.50% -0.86% -0.79% -1.13% 5.02% 1.21% -0.59% -14.66% -17.33% -14.75% -0.34% -0.05% -13.35% -0.06% -2.21% -1.29% 0.21% 0.66% -1.97% -1.24% -0.05% 0.00% -1.86% -1.94% -1.55% 0.43% -1.67% 0.19% -1.69% -0.54% -3.31% -1.81% -1.38% -2.23% -0.05% -29.18% -8.13% -2.27% -0.00% -0.32% 0.04% -0.04% -1.11% 0.15% -1.82% -0.10% -0.97% -0.03% 0.08% -0.16% -0.17% 0.31% -1.22% -0.83% -0.34% 0.01% -1.87% -0.11% -26.83% 0.09% 0.15% -0.20% -0.15% -0.04% -0.28% -20.47% -0.55% -0.01% -1.16% -1.21% 3.94% -5.29% -0.06% 5.41% -0.15% 0.17% -1.50% -10.15% -0.33% -0.58% -0.48% 0.14% 0.42% 0.02% -0.28% -0.34% 1.03% 0.01% 0.01% 3.54% -0.04% 0.22% -0.30% 0.09% -0.18% -0.05% -0.71% -5.40% -0.67% -1.56% 0.83% -0.03% -0.49% -0.33% -0.86% -0.22% -0.24% -0.05% -0.41% -1.31% -4.58% -0.05% -0.28% -0.65% -0.66% -0.25% -1.47% -0.23% 0.33% -5.13% -0.79% -3.19% 0.05% 0.40% 0.05% 0.33% -1.64% 0.23% 1.19% -0.46% -2.44% -2.72% -3.50% -1.79% 0.03% -1.09% 0.17% -0.01% 0.06% -0.42% -0.07% -0.22% -0.48% -0.09% -0.62% -0.39% -0.26% -0.12% -1.61% -0.11% -0.85% -2.68% -0.09% -5.70% -0.10% -0.16% -2.22% 0.57% -0.00% -0.03% 0.16% 0.03% -0.00% -0.03% -0.06% -0.05% 0.07% -0.18% 0.14% -0.04% -0.06% -0.46% -0.07% 0.02% -9.21% 0.00% -0.01% -0.10% -0.00% -0.00% 0.01% 0.16% -0.01% 0.06% -0.01% -0.08% -0.00% -0.42% -0.18% -0.57% -0.00% -0.00% -0.40% -0.12% -0.00% 0.03% -0.01% -0.00% -0.51% -0.06% -0.57% 0.00% -3.20% -0.88% -0.00% 0.04% 0.50% 0.01% -0.20% 0.01% -0.00% 0.02% -0.80% -0.05% 0.03% 0.00% -0.00% -1.16% -0.08% -0.28% -0.58% -1.76% -0.03% -0.05% -0.74% 0.01% 0.00% -0.14% -2.71% -1.27% -2.19% -0.96% -0.00% -0.12% 0.00% -0.09% -0.15% 0.07% 0.00% 0.01% 0.63% -0.06% -0.01% -0.01% -0.02% -0.02% 0.09% -0.29% -0.01% -0.01% -0.29% 0.08% 0.00% 0.03% -0.07% -0.34% 0.06% 0.00% -0.08% -0.08% 0.00% 0.01% -0.00% 0.01% -0.49% -0.10% -1.93% -0.09% 0.00% -0.04% 0.00% -0.04% -0.03% 0.00% -0.02% -0.00% 0.10% -0.26% -0.03% -0.17% -0.04% -0.10% -1.80% 0.15% -0.27% 0.00% -0.05% 0.10% 0.04% 0.00% -3.61% 0.17% -0.00% -0.12% -0.07% -0.00% 0.00% -0.84% -0.75% -0.01% -0.31% -0.12% -0.58% 0.02% -0.07% 0.33% 0.09% 0.21% -0.00% -0.20% -0.00% 0.08% -0.54% -0.20% -0.15% 0.01% 0.06% -0.11% 0.07% 0.00% -0.07% 0.01% -0.08% 0.12% -0.05% -0.27% -0.13% -0.20% -0.12% -0.05% 0.02% -0.00% 0.01% 0.00% -0.98% 0.02% -0.03% 0.00% -0.34% -0.12% 0.13% -0.35% -0.12% 0.27% 0.01% -0.44% -0.24% 0.00% -1.52% -0.00% 0.00% -0.82% 0.02% -0.55% -0.54% 0.00% -0.25% -0.00% 0.05% -0.13% 0.02% -0.19% -0.20% 0.14% -0.15% 0.00% 3.62% 0.13% -0.09% -0.09% -0.07% -0.26% -0.06% -0.04% -0.25% 0.00% -0.01% -0.04% 0.00% -0.02% 0.13% -0.06% -6.33% 0.03% 0.03% -1.11% 0.00% -0.13% -0.01% 0.01% -0.36% 0.09% -2.48% -0.00% -0.00% -0.01% -0.00% -0.00% -0.08% -0.17% 0.02% 0.00% -0.00% -0.00% -0.01% 0.10% -0.03% 0.01% -2.63%
Profitability (PnL / PnL total) per name
BYND-53116 16.46%
HEPA-46330 11.62%
ELTK-16352 10.91%
BLIN-34128 7.55%
RKDA-49034 4.90%
EOLS-51743 4.38%
HEAR-40197 4.01%
PRPO-21822 3.96%
APRN-50990 3.79%
ANY-45265 3.17%
SOLY-52906 3.15%
ALT-27689 2.60%
HMNY-17450 2.43%
TLRY-52211 2.41%
MLNT-42455 2.35%
SES-35001 2.27%
INNT-50095 2.00%
GLBS-40488 1.86%
WATT-46650 1.83%
KRTX-53314 1.74%
CVM-1407 1.63%
ARLO-52298 1.42%
OSTK-23714 1.40%
BIMI-29115 1.21%
OBLN-50351 1.15%
APDN-28531 1.11%
SAEX-41786 1.09%
CRTX-53144 1.03%
GEVO-40840 1.02%
PIR-6000 0.99%
NETE-43552 0.99%
FFHL-33078 0.96%
LK-53177 0.96%
IGC-28328 0.94%
TELL-4982 0.91%
IMTE-51092 0.90%
ABIO-24624 0.89%
SIGM-6881 0.87%
NBEV-47346 0.82%
NVAX-14112 0.70%
JAN-16435 0.69%
CGIX-44416 0.66%
BPT-1068 0.64%
DFFN-50456 0.62%
CWH-50366 0.60%
NNA-36528 0.59%
TCCO-39906 0.57%
KERN-51796 0.52%
PSTV-27923 0.52%
PTI-49748 0.49%
DCIX-40666 0.47%
GCI-46297 0.39%
RUHN-53036 0.39%
NEWA-51078 0.38%
TORC-51698 0.35%
VERI-50868 0.33%
MRKR-29569 0.31%
KODK-45441 0.29%
STNE-52537 0.28%
GERN-15306 0.27%
FUV-51209 0.26%
IMUX-46778 0.24%
OPTT-33734 0.24%
AA-50428 0.24%
BITA-40419 0.23%
DCAR-27133 0.23%
NAKD-49672 0.23%
CHFS-42528 0.22%
TOPS-26507 0.22%
ZS-51832 0.21%
PRVB-52230 0.21%
EMO-41563 0.21%
CRMD-39625 0.20%
HTZ-50070 0.20%
LKCO-52761 0.20%
VFF-52912 0.19%
REAL-53313 0.18%
CNST-52213 0.18%
MRIN-44339 0.17%
XON-45239 0.17%
SCON-8732 0.16%
KNDI-32972 0.16%
HHT-34066 0.16%
CLWT-16601 0.16%
AIMC-33052 0.14%
CLPS-52020 0.13%
CCRC-49668 0.12%
CNET-33463 0.12%
GLMD-46536 0.12%
LCI-23602 0.12%
INS-3947 0.11%
SEED-27783 0.11%
SNCA-33012 0.11%
TCF-1490 0.11%
ZM-53095 0.11%
KOD-52490 0.11%
GNCA-46311 0.11%
RDFN-51079 0.10%
GALT-25536 0.10%
DDS-2126 0.09%
THOR-52697 0.09%
SONO-52291 0.08%
KBSF-44006 0.08%
FANG-43512 0.07%
DOYU-53349 0.07%
DOVA-50985 0.07%
SLS-35890 0.07%
EYEN-51686 0.07%
LEDS-40574 0.07%
HTGM-49018 0.07%
SIG-9774 0.07%
XTNT-33283 0.07%
AFIN-52186 0.07%
MXC-25528 0.06%
TENX-31000 0.06%
TAIT-12841 0.06%
ZUO-51917 0.06%
CLRB-30367 0.06%
CMCM-46868 0.05%
SQM-9835 0.05%
PRQR-47730 0.05%
LIVE-31332 0.05%
IIPR-50477 0.05%
MRAM-50360 0.05%
CRK-1663 0.05%
ENLV-47418 0.04%
IRBT-27780 0.04%
CIFS-51100 0.04%
BKE-915 0.04%
AKTX-46304 0.04%
PZZA-9252 0.04%
CARA-46283 0.04%
DBVT-47939 0.04%
MNK-44917 0.04%
KMF-40479 0.03%
ATUS-50970 0.03%
VAC-42125 0.03%
ASPS-38633 0.03%
RH-43599 0.03%
DRYS-26994 0.03%
ASTC-14154 0.03%
TRUP-47331 0.03%
IDXG-18764 0.03%
SBBP-49500 0.03%
PXS-49537 0.03%
ROKU-51231 0.03%
SORL-28333 0.03%
ZF-8395 0.03%
CEN-45511 0.03%
FWP-47896 0.03%
DQ-40211 0.02%
DRNA-46271 0.02%
OSN-40631 0.02%
WBAI-45902 0.02%
NSPR-39287 0.02%
SFET-52345 0.02%
PACD-42151 0.02%
VRAY-48015 0.02%
LBRT-51630 0.02%
GOF-34387 0.02%
FRED-2989 0.02%
NDP-43233 0.02%
XBIT-48926 0.02%
UI-42027 0.02%
RCII-24827 0.02%
ARAV-46582 0.02%
DTIL-53016 0.02%
ENLC-25850 0.01%
HBI-32497 0.01%
PETZ-51200 0.01%
SLDB-51692 0.01%
APPN-50903 0.01%
EVFM-48127 0.01%
EOI-26744 0.01%
HRTX-22651 0.01%
COLL-49016 0.01%
UMRX-51890 0.01%
ALBO-33850 0.01%
WMGI-40816 0.01%
STAR-24862 0.01%
MDLA-53362 0.01%
PRTA-43730 0.01%
ONTX-45159 0.01%
WLL-25707 0.01%
LJPC-11512 0.01%
SSW-27550 0.01%
DXR-2382 0.01%
CARV-12008 0.01%
LX-51593 0.01%
PAGS-51689 0.01%
YRD-49674 0.01%
THMO-15163 0.01%
SFIX-51467 0.01%
FTR-2069 0.01%
ACIA-33321 0.01%
GPRO-47208 0.01%
AIRG-50197 0.01%
CARG-51281 0.01%
AKTS-50705 0.01%
ZYME-50802 0.01%
WAB-13135 0.01%
NAT-17553 0.01%
KRP-50649 0.01%
NTLA-49934 0.01%
RYB-51225 0.01%
PETS-25867 0.01%
OCUL-47383 0.00%
SY-53115 0.00%
NOVN-50295 0.00%
NAD-20117 0.00%
WRTC-52686 0.00%
DLTH-49615 0.00%
ZIOP-31341 0.00%
LPTX-50614 0.00%
OXLC-40733 0.00%
XONE-44102 0.00%
ICPT-43505 0.00%
MITO-52905 0.00%
PLSE-49957 0.00%
CEMI-28839 0.00%
NPTN-40807 0.00%
CDZI-1587 0.00%
ENBL-46743 0.00%
XFLT-51237 0.00%
MIE-44359 0.00%
CAR-17991 0.00%
PCN-23326 0.00%
CASI-15126 0.00%
NTNX-50338 0.00%
OPHC-26281 0.00%
RMTI-18196 0.00%
OPTN-51290 0.00%
LMRK-48089 0.00%
ADXS-40992 0.00%
PRTK-32095 0.00%
VVV-50325 0.00%
NBRV-49415 0.00%
GPP-49194 0.00%
CYRX-29083 0.00%
TWLO-50077 0.00%
GAB-3084 0.00%
SUN-43415 0.00%
CLDR-50810 0.00%
NHF-32295 0.00%
IPDN-44241 0.00%
BANC-23943 0.00%
ILPT-51626 0.00%
FRSX-50942 0.00%
CYCC-28246 0.00%
FDUS-41620 0.00%
EGLE-27370 0.00%
ICHR-50509 0.00%
SGU-14146 0.00%
FINV-51427 0.00%
DTEA-49099 0.00%
SEDG-48823 0.00%
ETM-19693 0.00%
ZUMZ-27229 0.00%
PGNX-17908 0.00%
QTNT-46996 0.00%
NTC-9011 0.00%
DSKE-49385 0.00%
ROSE-49834 0.00%
AXDX-15934 0.00%
SA-26203 0.00%
RGR-6458 0.00%
SRG-49238 0.00%
FRO-22983 0.00%
AMAG-659 0.00%
XNET-47183 0.00%
FRTA-50398 0.00%
WES-36186 0.00%
ITCI-46053 0.00%
DEA-48601 0.00%
SGMS-22637 0.00%
BEAT-35929 0.00%
BLCM-48304 0.00%
NRCG-51084 0.00%
GPMT-50968 0.00%
FPI-46731 0.00%
LGC-51517 -0.00%
ELF-50320 -0.00%
GMRE-50099 -0.00%
AFB-23349 -0.00%
NEA-24423 -0.00%
GOGO-44965 -0.00%
GTYH-50459 -0.00%
BGH-43574 -0.00%
INO-3150 -0.00%
VNOM-47149 -0.00%
PCRX-40815 -0.00%
TDOC-49222 -0.00%
TTWO-16820 -0.00%
RCKT-48602 -0.00%
MTDR-42446 -0.00%
DK-32042 -0.00%
AACG-35652 -0.00%
GMLP-41227 -0.00%
IHD-41336 -0.00%
TRUE-46929 -0.00%
HYB-3740 -0.00%
TTD-50288 -0.00%
DTF-2339 -0.00%
HK-31032 -0.00%
IPHI-40399 -0.00%
VRSN-18221 -0.00%
UTG-26017 -0.00%
BZUN-49058 -0.00%
FTV-50049 -0.00%
BOE-27276 -0.00%
SPKE-47372 -0.00%
HLF-26892 -0.00%
CBH-50988 -0.00%
SM-4664 -0.00%
GLYC-46135 -0.00%
MGEN-47103 -0.00%
USDP-47877 -0.00%
EIM-23937 -0.00%
ORC-44141 -0.00%
PAYS-42516 -0.00%
BAS-27886 -0.00%
DO-13635 -0.00%
DSM-2324 -0.00%
HYI-40313 -0.00%
CALM-16169 -0.00%
SVRA-26230 -0.00%
LE-46579 -0.00%
GNC-41182 -0.00%
EXD-39823 -0.00%
OHI-5621 -0.00%
MYGN-13698 -0.00%
TCMD-50169 -0.00%
SBRA-26096 -0.00%
CVNA-50807 -0.00%
CLSN-1602 -0.00%
CBAY-46189 -0.00%
SHAK-48543 -0.00%
KALV-48897 -0.00%
ASG-13790 -0.00%
ETV-27400 -0.00%
COUP-50350 -0.00%
RFI-9821 -0.00%
MARK-34779 -0.00%
PRTY-48933 -0.00%
PACQ-52047 -0.00%
ADES-26715 -0.00%
SEMG-39358 -0.00%
JHB-50220 -0.00%
YEXT-50781 -0.00%
AXSM-49607 -0.00%
DDD-12959 -0.00%
NRK-24427 -0.00%
BCOV-42531 -0.00%
OMEX-25682 -0.01%
FTF-25424 -0.01%
MTW-4656 -0.01%
FNSR-20866 -0.01%
INFO-47163 -0.01%
AGRO-40782 -0.01%
DFRG-43237 -0.01%
SZC-43437 -0.01%
JP-49265 -0.01%
RVT-6597 -0.01%
AMRS-40165 -0.01%
BGFV-23757 -0.01%
XOMA-8346 -0.01%
PEI-5876 -0.01%
AQMS-49311 -0.01%
BVXV-49006 -0.01%
OFG-16394 -0.01%
FOMX-47729 -0.01%
LTM-17883 -0.01%
RMBL-47259 -0.01%
EROS-45867 -0.01%
HLG-49234 -0.01%
NK-49298 -0.01%
VGI-42545 -0.01%
ACP-40763 -0.01%
TK-13289 -0.01%
JNCE-50619 -0.01%
SKT-9052 -0.02%
PI-50138 -0.02%
USAC-43943 -0.02%
DAR-11908 -0.02%
AKCA-51037 -0.02%
FEI-43652 -0.02%
WTR-6193 -0.02%
BPY-44336 -0.02%
PFN-26747 -0.02%
BGS-33892 -0.02%
MGTA-52124 -0.02%
RLGY-43500 -0.02%
EDSA-49566 -0.02%
AUPH-47621 -0.02%
ETY-32950 -0.02%
TNDM-45852 -0.02%
AMID-41753 -0.03%
VRRM-50688 -0.03%
CLM-1601 -0.03%
NUAN-19926 -0.03%
ESTC-52494 -0.03%
GTT-44938 -0.03%
TRXC-29042 -0.03%
SCVL-8733 -0.03%
MARA-41204 -0.03%
CVI-22766 -0.03%
CRBP-47955 -0.03%
GUT-20372 -0.03%
REV-14420 -0.03%
VNE-52084 -0.04%
HFRO-51410 -0.04%
HYGS-22123 -0.04%
DAVA-52268 -0.04%
TWO-38887 -0.04%
NMZ-25674 -0.04%
LOOP-43446 -0.04%
QD-51306 -0.04%
DERM-47845 -0.05%
SDRL-52182 -0.05%
ERI-47743 -0.05%
CRF-25146 -0.05%
UAA-27822 -0.06%
JKS-39635 -0.06%
OPGN-48998 -0.06%
TGS-12250 -0.07%
RUBY-52187 -0.07%
JAGX-49033 -0.07%
AQST-52207 -0.08%
PTY-24512 -0.08%
MYD-5160 -0.09%
CBIO-27067 -0.09%
NTG-39954 -0.09%
PETQ-51064 -0.09%
EDN-33732 -0.09%
EXG-33402 -0.09%
VMO-8003 -0.10%
ARLP-20456 -0.10%
ZG-41730 -0.10%
PBYI-42689 -0.11%
ELAN-52424 -0.11%
YETI-52571 -0.11%
GME-23438 -0.11%
AAOI-45503 -0.11%
AVLR-52100 -0.12%
SWAV-52954 -0.12%
EYEG-48640 -0.14%
GMZ-45916 -0.15%
SPWR-27817 -0.15%
ZYNE-49319 -0.15%
CHW-34108 -0.15%
RWLK-47683 -0.15%
BLFS-28698 -0.15%
TSLA-39840 -0.19%
BPTH-30403 -0.22%
BIOC-46309 -0.24%
ALLK-52209 -0.25%
INSG-50449 -0.27%
ABIL-46250 -0.29%
NVST-53498 -0.32%
QFIN-52720 -0.49%
RAD-6330 -0.52%
PAM-38830 -0.54%
PD-53064 -0.67%
ATOS-43592 -0.68%
CHEK-48781 -0.76%
WAGE-42919 -0.88%
ZSAN-48506 -1.02%
FSLY-53179 -1.78%
FRAN-41737 -2.31%
SAVA-21803 -2.65%
HIIQ-44113 -3.83%
CLVS-42166 -10.93% 
/venvs/py35/lib/python3.5/site-packages/pyfolio/perf_attrib.py:564: UserWarning: Could not determine risk exposures for some of this algorithm's positions. Returns from the missing assets will not be properly accounted for in performance attribution.

 50 assets were missing factor loadings, including: AACG-35652, AKTX-46304, AMID-41753, ARLP-20456, BITA-40419..YRD-49674. Ignoring for exposure calculation and performance attribution. Ratio of assets missing: 0.106. Average allocation of selected missing assets:

AACG-35652   -5.378872e+04
AKTX-46304   -5.431518e+04
AMID-41753   -2.160524e+05
ARLP-20456   -9.875539e+05
BITA-40419   -1.244540e+06
YRD-49674    -1.016657e+04
dtype: float64.

  warnings.warn(missing_stocks_warning_msg)
/venvs/py35/lib/python3.5/site-packages/pyfolio/perf_attrib.py:612: UserWarning: This algorithm has relatively high turnover of its positions. As a result, performance attribution might not be fully accurate.

Performance attribution is calculated based on end-of-day holdings and does not account for intraday activity. Algorithms that derive a high percentage of returns from buying and selling within the same day may receive inaccurate performance attribution.

  warnings.warn(warning_msg)

Performance Relative to Common Risk Factors

Summary Statistics
Annualized Specific Return 840.71%
Annualized Common Return -1.74%
Annualized Total Return 819.39%
Specific Sharpe Ratio 3.01
Exposures Summary Average Risk Factor Exposure Annualized Return Cumulative Return
basic_materials -0.03 -1.01% -3.06%
consumer_cyclical -0.07 0.86% 2.66%
financial_services -0.01 0.06% 0.17%
real_estate -0.00 0.06% 0.20%
consumer_defensive -0.01 -0.64% -1.95%
health_care -0.22 -2.47% -7.40%
utilities -0.00 -0.00% -0.01%
communication_services -0.00 -0.00% -0.01%
energy -0.04 1.40% 4.38%
industrials -0.04 -0.14% -0.42%
technology -0.31 -10.90% -29.87%
momentum 0.03 -2.15% -6.47%
size 1.48 4.32% 13.90%
value 0.07 -2.12% -6.37%
short_term_reversal -0.12 -0.70% -2.13%
volatility -2.11 13.48% 47.52%