alpha combination via clustering (based on Alan Coppola's version)

bt = get_backtest('5ceae04ad50d196089dcfea4')

100% Time: 0:00:33|###########################################################|

bt.create_full_tear_sheet(round_trips=True, hide_positions=True, live_start_date='2018-05-01')

/usr/local/lib/python2.7/dist-packages/numpy/lib/function_base.py:3834: RuntimeWarning: Invalid value encountered in percentile
  RuntimeWarning)

/usr/local/lib/python2.7/dist-packages/pyfolio/round_trips.py:213: UserWarning: Negative price detected, ignoring forround-trip.
  warnings.warn('Negative price detected, ignoring for'

	All	In-sample	Out-of-sample
Start date	2015-05-21
End date	2019-05-21
In-sample months	35
Out-of-sample months	12
Annual return	10.9%	7.6%	20.5%
Cumulative returns	51.2%	24.2%	21.8%
Annual volatility	7.1%	7.3%	6.5%
Sharpe ratio	1.49	1.04	2.90
Calmar ratio	1.05	0.74	4.70
Stability	0.94	0.87	0.89
Max drawdown	-10.4%	-10.4%	-4.4%
Omega ratio	1.28	1.19	1.60
Sortino ratio	2.32	1.58	5.07
Skew	0.19	0.18	0.30
Kurtosis	1.33	1.50	0.36
Tail ratio	1.19	1.11	1.54
Daily value at risk	-0.9%	-0.9%	-0.7%
Gross leverage	1.00	1.00	1.00
Daily turnover	12.4%	12.4%	12.2%
Alpha	0.11	0.08	0.19
Beta	-0.01	0.01	-0.06

Worst drawdown periods	Net drawdown in %	Peak date	Valley date	Recovery date	Duration
0	10.35	2016-03-17	2016-08-19	2016-12-15	196
1	5.78	2015-07-28	2015-09-11	2015-10-28	67
2	5.14	2015-11-19	2015-12-17	2016-02-16	64
3	4.36	2018-11-05	2018-11-28	2019-01-03	44
4	3.64	2017-05-26	2017-06-26	2017-11-28	133

Stress Events	mean	min	max
Fall2015	0.01%	-1.09%	0.64%
New Normal	0.04%	-1.84%	2.28%

Summary stats	All trades	Short trades	Long trades
Total number of round_trips	113999.00	53686.00	60313.00
Percent profitable	0.59	0.56	0.62
Winning round_trips	67377.00	30124.00	37253.00
Losing round_trips	46622.00	23562.00	23060.00
Even round_trips	0.00	0.00	0.00

PnL stats	All trades	Short trades	Long trades
Total profit	$6719855.38	$1685105.83	$5034749.55
Gross profit	$45191062.83	$20918195.27	$24272867.56
Gross loss	$-38471207.45	$-19233089.44	$-19238118.01
Profit factor	$1.17	$1.09	$1.26
Avg. trade net profit	$58.95	$31.39	$83.48
Avg. winning trade	$670.72	$694.40	$651.57
Avg. losing trade	$-825.17	$-816.28	$-834.26
Ratio Avg. Win:Avg. Loss	$0.81	$0.85	$0.78
Largest winning trade	$632962.54	$632962.54	$75736.77
Largest losing trade	$-191513.74	$-77879.78	$-191513.74

Duration stats	All trades	Short trades	Long trades
Avg duration	24 days 09:49:42.264204	26 days 08:16:43.542189	22 days 16:28:54.726692
Median duration	20 days 00:01:00	20 days 23:58:00	20 days 00:00:00
Longest duration	1216 days 01:00:00	1216 days 01:00:00	482 days 23:02:00
Shortest duration	0 days 09:59:01	0 days 09:59:01	0 days 09:59:01

Return stats	All trades	Short trades	Long trades
Avg returns all round_trips	0.00%	0.00%	0.00%
Avg returns winning	0.01%	0.01%	0.01%
Avg returns losing	-0.01%	-0.01%	-0.01%
Median returns all round_trips	0.00%	0.00%	0.00%
Median returns winning	0.00%	0.00%	0.00%
Median returns losing	-0.00%	-0.00%	-0.00%
Largest winning trade	4.19%	4.19%	0.52%
Largest losing trade	-1.49%	-0.61%	-1.49%

Profitability (PnL / PnL total) per name
FTR-2069	9.37%
FRO-22983	8.90%
RAD-6330	6.76%
RRD-2248	5.90%
SVU-7233	5.05%
ADPT-47191	3.57%
HK-31032	3.51%
TREE-36742	2.93%
LXU-4545	2.83%
SRPT-16999	2.81%
BHC-10908	2.50%
TTD-50288	2.43%
HLX-17180	2.42%
SALT-45996	2.37%
SUNE-13306	2.34%
SWN-7244	2.27%
ARNA-21724	2.27%
AAOI-45503	2.22%
ISEE-45498	2.17%
CZR-42461	2.16%
BCEI-42272	2.15%
SPWR-27817	2.12%
ESV-2621	2.03%
JOY-22996	1.94%
INGN-46370	1.88%
ACAD-26322	1.79%
MELI-34525	1.70%
UIS-7761	1.69%
BZH-10728	1.68%
AXLL-3189	1.67%
CATM-35253	1.65%
WAC-18431	1.65%
CHK-8461	1.62%
IOVA-36209	1.61%
ATW-624	1.60%
HSC-3686	1.56%
FORM-25182	1.54%
UBNT-42027	1.51%
AGEN-21104	1.48%
NBR-5214	1.42%
SN-42264	1.41%
AVXS-49751	1.40%
DB-23113	1.39%
VECO-12267	1.38%
PI-50138	1.36%
ICPT-43505	1.30%
ADRO-48925	1.29%
SHLD-26169	1.27%
SGMS-22637	1.26%
CYH-21608	1.25%
FPRX-45430	1.23%
BPMC-49000	1.21%
CPRX-32844	1.21%
BLUE-44935	1.20%
EXEL-21383	1.20%
AMAG-659	1.17%
SWIR-21561	1.15%
XPER-25705	1.13%
TSRO-43124	1.13%
GOGO-44965	1.12%
COLL-49016	1.11%
DLTH-49615	1.08%
SSYS-12107	1.08%
CARG-51281	1.05%
XENT-47373	1.04%
MR-47168	1.03%
ANIP-25565	1.02%
CURO-51534	1.01%
PHH-26956	1.01%
ASNA-2105	1.01%
FARO-17508	1.01%
FGEN-48088	1.00%
FRTA-50398	0.99%
NNBR-11003	0.99%
CVIA-52059	0.99%
MDVN-28160	0.96%
DRYS-26994	0.96%
AAC-47842	0.95%
GPOR-28116	0.95%
AYX-50735	0.95%
ATRS-22418	0.95%
IRBT-27780	0.94%
CSTE-42704	0.92%
GCO-3131	0.91%
SEDG-48823	0.90%
AMRS-40165	0.90%
CASH-9700	0.89%
FET-42784	0.89%
AGIO-45143	0.88%
CWH-50366	0.88%
KND-23221	0.88%
GLOG-42746	0.87%
MDCA-12800	0.86%
NTLA-49934	0.86%
DNR-15789	0.85%
NGD-27323	0.85%
NTRA-49236	0.84%
ANF-15622	0.83%
FINL-2845	0.83%
RIC-16681	0.82%
OMER-38827	0.82%
SM-4664	0.82%
RYAM-47128	0.81%
WRLD-8268	0.81%
JNCE-50619	0.80%
SIG-9774	0.80%
KRNT-48872	0.79%
GKOS-49178	0.79%
INSY-44665	0.79%
OCUL-47383	0.79%
PCRX-40815	0.78%
CIE-39073	0.78%
NYRT-46760	0.78%
CBB-24891	0.77%
SHOP-49060	0.77%
RES-6426	0.76%
INO-3150	0.76%
LXRX-21413	0.76%
ANET-47063	0.75%
FI-45248	0.75%
ASPS-38633	0.73%
LPI-42263	0.73%
PDS-5855	0.72%
XOG-50368	0.72%
GPRE-28159	0.72%
ENLC-25850	0.71%
APRN-50990	0.71%
EDIT-49736	0.70%
DDS-2126	0.70%
FLDM-40848	0.69%
NVDQ-42595	0.69%
AG-40607	0.69%
ADVM-47422	0.69%
LKSD-50312	0.69%
PACB-40319	0.68%
MUX-7845	0.67%
WW-23269	0.66%
INFI-21744	0.66%
LC-48220	0.66%
CONN-25646	0.66%
DYN-43462	0.65%
HMHC-45861	0.65%
BEAT-35929	0.64%
HBM-40301	0.64%
TMST-47162	0.63%
LCI-23602	0.63%
OBE-32293	0.63%
ABMD-53	0.63%
CVTI-12023	0.62%
PRLB-42546	0.62%
XXII-32588	0.62%
AAXN-22846	0.62%
SSW-27550	0.62%
OMF-45670	0.62%
GLYC-46135	0.62%
CHS-8612	0.61%
DY-2385	0.61%
GG-22226	0.61%
ELGX-23769	0.61%
TIME-46965	0.61%
EGO-24547	0.61%
SLCA-42436	0.60%
RCPT-44689	0.60%
NVAX-14112	0.60%
HZNP-41766	0.60%
AKAO-46528	0.60%
AMD-351	0.58%
FOSL-8816	0.58%
HSKA-17227	0.57%
TLN-49003	0.56%
INFN-33979	0.56%
HRTX-22651	0.56%
KN-46369	0.56%
AR-45618	0.55%
TBPH-46932	0.55%
GDOT-39932	0.54%
KGC-9189	0.54%
TGTX-13984	0.54%
LJPC-11512	0.54%
GLNG-24489	0.53%
AEL-25710	0.53%
REN-34800	0.52%
ANW-33014	0.52%
PCG-5792	0.52%
COUP-50350	0.52%
ACHN-32790	0.52%
NSM-42611	0.51%
RCAP-44863	0.51%
CBLK-51982	0.51%
TWLO-50077	0.51%
WDC-8132	0.50%
MLNT-42455	0.50%
TCMD-50169	0.50%
RRC-19249	0.50%
SAND-43329	0.50%
IPGP-33033	0.49%
MGNX-45643	0.48%
RGNX-49409	0.48%
GOOS-50713	0.47%
LITE-49288	0.47%
FATE-45429	0.47%
CYTK-26232	0.46%
CMRE-40354	0.46%
ATRA-47901	0.46%
PBF-43713	0.46%
CVCO-25313	0.46%
GTLS-32433	0.45%
GIII-3210	0.45%
MEOH-4795	0.45%
XNCR-45942	0.44%
AA-50428	0.43%
ADNT-50390	0.43%
KERX-21789	0.43%
XLRN-45431	0.43%
VNTR-51091	0.42%
EPZM-44830	0.42%
MTSI-42646	0.42%
HCC-50780	0.42%
NRF-26740	0.41%
UTIW-22284	0.41%
UPL-50782	0.41%
NUS-16059	0.41%
JCP-4118	0.41%
CWEN-49043	0.40%
GRPN-42118	0.40%
RH-43599	0.40%
SODA-40353	0.40%
EIGI-45735	0.39%
SIEN-47968	0.39%
IIVI-3854	0.39%
STX-24518	0.39%
AY-47123	0.39%
BB-19831	0.39%
LBRT-51630	0.39%
TRVN-46272	0.38%
WPX-42251	0.38%
NWBO-23322	0.38%
PS-51992	0.37%
KS-30759	0.37%
FND-50798	0.37%
NOG-35961	0.37%
CROX-28078	0.37%
TTPH-44314	0.36%
MUR-5126	0.36%
W-47833	0.36%
BW-49208	0.36%
MATX-289	0.36%
REV-14420	0.36%
THS-27406	0.36%
HPR-26865	0.36%
GRUB-46693	0.35%
SDRL-39495	0.35%
REVG-50636	0.35%
SGH-50900	0.35%
FLEX-10953	0.35%
DGI-38374	0.35%
KNX-40606	0.35%
MDB-51314	0.34%
LMAT-32750	0.34%
MTCH-49608	0.34%
RIGL-25226	0.34%
OKTA-50758	0.34%
ESI-45531	0.34%
GSAT-32819	0.34%
CTMX-49470	0.33%
RICE-46240	0.33%
CUDA-45797	0.33%
PDCE-5907	0.33%
DBX-51854	0.33%
UVE-31185	0.32%
GMCR-9736	0.32%
PCTY-46569	0.32%
SFLY-32660	0.32%
DNLI-51542	0.32%
BCRX-10905	0.32%
ENV-39958	0.32%
QUOT-46497	0.31%
SPPI-24517	0.31%
HIBB-15815	0.31%
BOOM-1034	0.31%
NVCR-49460	0.30%
AXGN-4413	0.30%
URBN-10303	0.30%
WTTR-50789	0.30%
DXPE-17196	0.29%
ATGE-2371	0.29%
IG-3835	0.29%
RDUS-46871	0.29%
SAIL-51468	0.29%
CPA-27908	0.28%
SALE-45114	0.28%
WVE-49585	0.28%
PUMP-50718	0.28%
AKCA-51037	0.28%
DO-13635	0.28%
MEDP-50194	0.28%
BCC-44089	0.28%
SPKE-47372	0.28%
CUTR-26157	0.28%
EXK-33236	0.28%
GTE-31619	0.28%
GSKY-52033	0.28%
SKX-20284	0.28%
AIMT-49323	0.28%
CLW-37775	0.28%
TSEM-12116	0.27%
CORT-26191	0.27%
CDNA-47321	0.27%
WETF-31288	0.27%
EVRI-27639	0.27%
PETQ-51064	0.26%
OCLR-21366	0.25%
TRUE-46929	0.25%
PDLI-5847	0.25%
LL-35036	0.25%
CARB-41820	0.25%
PTCT-44955	0.25%
EGL-43151	0.25%
SCTY-43721	0.25%
FRGI-42856	0.25%
MNOCF-41823	0.24%
GBX-11645	0.24%
CYBR-47779	0.24%
FSM-41915	0.24%
RTRX-41663	0.24%
NLNK-42147	0.24%
CRUS-1882	0.23%
APPN-50903	0.23%
GEO-11710	0.23%
NTNX-50338	0.23%
RMTI-18196	0.23%
CPSI-23667	0.23%
AROC-34575	0.23%
OKE-5634	0.22%
RDFN-51079	0.22%
CO-33188	0.22%
EVBG-50264	0.22%
MYOK-49535	0.22%
DOMO-52165	0.22%
TVTY-371	0.22%
MCRB-49195	0.21%
AXGT-49107	0.21%
TCS-45780	0.21%
ZSPH-47150	0.21%
CFMS-49211	0.21%
ZFGN-47165	0.21%
EBIX-18693	0.20%
CXW-22102	0.20%
AVAV-33194	0.20%
SNDK-13940	0.20%
ACOR-28077	0.20%
MHLD-36164	0.20%
IDRA-14255	0.20%
AFSI-32871	0.20%
CRBP-47955	0.20%
ANGI-42175	0.19%
RBBN-21557	0.19%
RATE-41601	0.19%
DLPH-51494	0.19%
CRAY-21374	0.19%
EFII-2460	0.19%
MRC-42786	0.19%
ENTA-44332	0.18%
FLXN-46344	0.18%
RRGB-23904	0.18%
RCM-39652	0.18%
SENS-49825	0.18%
ATRO-617	0.18%
EPE-46191	0.18%
AMN-23178	0.18%
LGND-12200	0.18%
OSIS-17718	0.18%
DBI-27409	0.17%
TRGP-40547	0.17%
ONCE-48547	0.16%
DWRE-42638	0.16%
CLNE-33924	0.16%
CLR-33856	0.16%
MXL-39393	0.16%
EXTR-19973	0.16%
INOV-48629	0.16%
ACTG-24465	0.16%
SEMI-46980	0.16%
STML-44041	0.16%
TRIP-42230	0.15%
OMED-45095	0.15%
AVYA-51634	0.15%
SHAK-48543	0.15%
CWEI-8941	0.15%
EZPW-2671	0.15%
MWW-24923	0.15%
TA-33231	0.15%
PRTK-32095	0.15%
PTEN-10254	0.15%
FEYE-45451	0.14%
CNDT-50533	0.14%
XTLY-49199	0.14%
IIIN-3849	0.14%
VSTO-48531	0.14%
KNDI-32972	0.14%
CCJ-14479	0.14%
WYNN-24124	0.14%
CSTM-44780	0.14%
ANAB-50616	0.14%
IPXL-37849	0.13%
RVNC-46315	0.13%
MAXR-51271	0.13%
PRSC-25458	0.13%
EHTH-32726	0.13%
GLUU-33566	0.13%
PAAS-13083	0.13%
RNET-40604	0.13%
VEEV-45667	0.13%
WOW-50902	0.13%
ITGR-22015	0.13%
GMS-50004	0.13%
TPX-25802	0.13%
HALO-26766	0.13%
VRNS-46453	0.13%
RGLD-6455	0.13%
ESND-7866	0.13%
SA-26203	0.13%
BLDP-13798	0.13%
USNA-15408	0.13%
CBPO-35846	0.13%
PBPB-45579	0.13%
GPRK-46345	0.12%
TTS-40545	0.12%
BBY-754	0.12%
APC-455	0.12%
ZIOP-31341	0.12%
MTRX-5105	0.12%
CPE-12011	0.12%
TROX-40530	0.12%
CDEV-50376	0.12%
TUES-24770	0.12%
NM-27763	0.12%
ORIG-41919	0.12%
ELLI-41243	0.11%
EBS-32878	0.11%
SGY-9458	0.11%
RPD-49275	0.11%
BLDR-27369	0.11%
SPTN-21939	0.11%
AERI-45733	0.11%
IPHI-40399	0.11%
KLDX-49463	0.11%
SUPN-42877	0.10%
FLOW-49434	0.10%
OPK-23120	0.10%
STAA-7130	0.10%
SFS-47776	0.10%
AEM-154	0.10%
EGHT-22889	0.09%
TEUM-29314	0.09%
VCEL-16437	0.09%
RCII-24827	0.09%
ZUO-51917	0.09%
TTI-7633	0.09%
HA-3431	0.09%
CHUY-43215	0.09%
CF-27558	0.09%
PACD-42151	0.09%
FCAU-47888	0.09%
BRKS-12512	0.09%
CLDR-50810	0.09%
KATE-4479	0.09%
NG-25781	0.09%
ABEO-28471	0.09%
PEIX-27129	0.09%
EXTN-49560	0.09%
AMC-46027	0.09%
NDLS-45014	0.09%
EVH-49100	0.09%
RRTS-39628	0.08%
IRWD-39194	0.08%
AOBC-24519	0.08%
INT-3950	0.08%
ZU-45866	0.08%
SBGI-13098	0.08%
ATNX-50938	0.08%
VA-48091	0.08%
ABCO-23176	0.08%
IBP-46365	0.08%
TGH-34810	0.08%
SNCR-32234	0.08%
SHLM-6851	0.08%
TEX-7408	0.07%
HLF-26892	0.07%
RSPP-46182	0.07%
KEM-4265	0.07%
DVN-2368	0.07%
FANG-43512	0.07%
IOC-26617	0.07%
BDSI-23846	0.07%
CHGG-45847	0.07%
TLYS-42895	0.07%
MNKD-26524	0.06%
NMBL-46002	0.06%
PGTI-32324	0.06%
ADT-51649	0.06%
OPB-46768	0.06%
FOLD-33949	0.06%
NOMD-47572	0.05%
VIRT-48943	0.05%
ZS-51832	0.05%
X-8329	0.05%
SPXC-7086	0.05%
LASR-51957	0.05%
KPTI-45799	0.05%
CACC-1216	0.05%
DDC-39	0.05%
MBI-4684	0.05%
QLYS-43454	0.05%
CORE-27864	0.05%
WPRT-36763	0.05%
PFPT-42825	0.05%
ARCO-41242	0.05%
SGMO-21447	0.05%
CLF-1595	0.05%
VSTM-42426	0.05%
PVTL-51942	0.05%
MIME-49606	0.04%
IRDM-35933	0.04%
NK-49298	0.04%
HOLI-28942	0.04%
EAF-51934	0.04%
SAAS-31137	0.04%
ATHN-34692	0.04%
NEM-5261	0.04%
BOLD-50135	0.04%
LXFT-44986	0.04%
MOBL-47102	0.04%
CMPR-27674	0.04%
BCOR-24011	0.04%
UNT-7806	0.04%
HABT-48126	0.04%
MEET-30658	0.04%
ALJ-27500	0.04%
S-2938	0.04%
BTG-44884	0.04%
MFRM-42184	0.04%
ARAY-33310	0.04%
OSTK-23714	0.04%
DOVA-50985	0.03%
ERII-36518	0.03%
UTHR-20306	0.03%
NSTG-44991	0.03%
MULE-50719	0.03%
SPAR-7039	0.03%
IRTC-50399	0.03%
CXO-34440	0.03%
AXL-19672	0.03%
IMMR-20877	0.03%
ALTR-51367	0.03%
FNGN-39363	0.03%
VICR-7965	0.03%
AUPH-47621	0.03%
APA-448	0.03%
TXTR-44879	0.03%
IQNT-34997	0.03%
CLDX-19187	0.03%
FIVN-46695	0.03%
LPLA-40445	0.03%
KEYW-40192	0.03%
PODD-33858	0.03%
WLH-43733	0.02%
MTDR-42446	0.02%
OSPN-21457	0.02%
HZN-49218	0.02%
SYNH-48027	0.02%
FRPT-48038	0.02%
BDBD-28667	0.02%
INST-49594	0.02%
TENB-52241	0.02%
MYGN-13698	0.02%
UNIS-39227	0.02%
CRCM-46241	0.02%
RAX-36714	0.02%
HSII-19985	0.02%
PPC-39111	0.02%
FLR-24833	0.02%
TRHC-50333	0.02%
SMCI-33609	0.02%
BGC-3129	0.02%
CVI-22766	0.02%
NMIH-45831	0.02%
FDC-49496	0.02%
AJRD-3424	0.02%
SYMC-7272	0.02%
HMSY-3607	0.01%
RARX-50411	0.01%
NLS-23710	0.01%
ATRC-27532	0.01%
XNPT-27330	0.01%
CRS-1874	0.01%
KMI-40852	0.01%
PRTA-43730	0.01%
CERS-16333	0.01%
QLGC-10829	0.01%
KOP-28039	0.01%
LZB-4621	0.01%
TCX-3929	0.01%
PSTG-49464	0.01%
PSIX-33645	0.01%
FN-39824	0.01%
MMYT-40028	0.01%
BDC-26479	0.01%
FL-8383	0.01%
UAL-28051	0.01%
MCFT-49274	0.01%
ECA-23021	0.01%
AVLR-52100	0.01%
SMAR-51961	0.01%
CDXS-39523	0.01%
KURA-49572	0.01%
UEIC-8566	0.01%
URGN-50831	0.00%
KSS-4313	0.00%
ZNGA-42277	0.00%
CTCT-34783	0.00%
LDRH-45619	0.00%
ASTE-579	0.00%
BOJA-49024	0.00%
ETM-19693	0.00%
RXDX-44685	0.00%
PER-41817	0.00%
TEAM-49655	0.00%
ARWR-10417	0.00%
AFAM-21103	0.00%
WIN-27019	0.00%
USCR-40241	0.00%
NINE-51648	0.00%
CJ-50690	0.00%
DFIN-50310	0.00%
GTN-23945	-0.00%
MOD-4958	-0.00%
NSH-32386	-0.00%
MAG-34175	-0.00%
QDEL-6297	-0.00%
P-41579	-0.00%
MDCO-21906	-0.00%
URI-18113	-0.00%
VCYT-45758	-0.00%
AMED-25392	-0.00%
ONVO-41829	-0.00%
NANO-5188	-0.00%
THC-5343	-0.00%
TPL-7551	-0.00%
CPRI-42270	-0.00%
BRY-52244	-0.01%
REX-9642	-0.01%
HUBS-47872	-0.01%
SD-50348	-0.01%
SPLK-42815	-0.01%
GLBL-49312	-0.01%
BNFT-45428	-0.01%
UIHC-35018	-0.01%
RKUS-43627	-0.01%
QTNA-50417	-0.01%
KTWO-46870	-0.01%
ATEN-46598	-0.01%
LINE-27993	-0.01%
KLXE-52362	-0.01%
VRTX-8045	-0.01%
SNAP-50683	-0.01%
INSP-51975	-0.01%
QRVO-48384	-0.01%
RJET-26331	-0.01%
NAT-17553	-0.01%
UAA-27822	-0.01%
PAGS-51689	-0.01%
SPNC-7064	-0.01%
CPLA-32860	-0.01%
LRN-35259	-0.01%
OUTR-24791	-0.01%
FCPT-49543	-0.01%
RYTM-51262	-0.01%
SEND-51455	-0.01%
SNBR-19559	-0.01%
ZEN-46918	-0.01%
SND-50440	-0.02%
BPT-1068	-0.02%
SSI-23395	-0.02%
M-2754	-0.02%
SINA-21448	-0.02%
HNI-26259	-0.02%
NAV-5199	-0.02%
BAS-27886	-0.02%
TECK-31886	-0.02%
ZAGG-32502	-0.02%
HDP-48257	-0.02%
DF-24814	-0.02%
VRTU-34483	-0.02%
ACIA-33321	-0.02%
MRO-5035	-0.02%
TWOU-46648	-0.02%
COHU-1749	-0.02%
MTZ-4667	-0.02%
COTY-44909	-0.02%
SSNI-44270	-0.03%
GLOB-47330	-0.03%
CSII-32325	-0.03%
ASIX-50260	-0.03%
MIC-26898	-0.03%
CSC-1898	-0.03%
GES-24811	-0.03%
SANM-8869	-0.03%
INVN-42165	-0.03%
BOOT-47980	-0.03%
PRO-34118	-0.03%
CEVA-24434	-0.03%
GTT-44938	-0.03%
CORR-33284	-0.03%
TDOC-49222	-0.03%
PANW-43202	-0.03%
RFP-40576	-0.04%
AEO-11086	-0.04%
WAIR-41757	-0.04%
ASRT-18010	-0.04%
GNC-41182	-0.04%
AMPH-47193	-0.04%
RGEN-6449	-0.04%
PAYC-46744	-0.04%
HPQ-3735	-0.04%
PGNX-17908	-0.04%
HIIQ-44113	-0.04%
VC-40159	-0.04%
FLWS-20490	-0.04%
DK-32042	-0.04%
LIVN-49501	-0.04%
UEPS-27529	-0.04%
FRAC-50612	-0.04%
ITG-25095	-0.04%
I-44539	-0.04%
ABUS-40410	-0.04%
ACLS-21717	-0.04%
IMMU-3891	-0.05%
OSUR-22151	-0.05%
SWCH-51268	-0.05%
BBBY-739	-0.05%
APLS-51423	-0.05%
NTRI-21697	-0.05%
AMBC-44636	-0.06%
LSCC-4549	-0.06%
PKD-6008	-0.06%
TRUP-47331	-0.06%
HOME-50187	-0.06%
YNDX-41484	-0.06%
MPAA-10992	-0.06%
GLF-3265	-0.06%
TXMD-28966	-0.06%
EVHC-50499	-0.06%
PE-46989	-0.06%
WMB-8214	-0.07%
ILMN-21774	-0.07%
RIG-9038	-0.07%
ISLE-19391	-0.07%
NWL-5520	-0.07%
RENT-6421	-0.07%
MMI-45771	-0.08%
ANDE-14329	-0.08%
LE-46579	-0.08%
CMG-28016	-0.08%
KTOS-20947	-0.08%
LTRP_A-47578	-0.08%
CAI-33864	-0.08%
CNX-24758	-0.08%
WLB-8130	-0.08%
ZUMZ-27229	-0.08%
IMPV-42131	-0.08%
ECPG-25320	-0.08%
MCF-22382	-0.08%
ARRY-22192	-0.08%
SSTK-43494	-0.09%
IAG-24491	-0.09%
ESIO-2612	-0.09%
ZGNX-40461	-0.09%
HRTG-46988	-0.09%
CPHD-21603	-0.09%
TK-13289	-0.09%
IMGN-3885	-0.09%
PRAA-24440	-0.10%
CARA-46283	-0.10%
GME-23438	-0.10%
QURE-46310	-0.10%
CSLT-46551	-0.10%
CCRN-24893	-0.10%
UBS-48129	-0.10%
OME-18601	-0.11%
TNET-46633	-0.11%
OAS-39797	-0.11%
LILA_K-49206	-0.11%
PLUG-20776	-0.11%
RGLS-43472	-0.11%
CASA-51576	-0.11%
XPO-26287	-0.11%
UNFI-16129	-0.11%
NRG-26143	-0.11%
CXRX-46079	-0.11%
AQ-51385	-0.11%
CBI-1287	-0.11%
CTRL-45212	-0.12%
NBIX-14972	-0.12%
OTIC-47495	-0.12%
RIGP-47421	-0.12%
TPB-49954	-0.12%
MLND-43478	-0.12%
OMI-5660	-0.12%
SCOR-34111	-0.13%
GPT-26520	-0.13%
GSHD-51962	-0.13%
CBM-1297	-0.13%
SSTI-50927	-0.13%
NCMI-33317	-0.13%
BCEI-50824	-0.13%
DHT-27705	-0.14%
FWON_K-47272	-0.14%
BAND-51428	-0.14%
CEIX-51457	-0.14%
HSTM-21401	-0.14%
ICON-6856	-0.14%
DKS-24070	-0.15%
MX-41048	-0.15%
CRSP-50400	-0.15%
KITE-47169	-0.15%
CNCE-46367	-0.15%
AMWD-405	-0.15%
WIX-45800	-0.15%
LLNW-33989	-0.15%
LOCK-43467	-0.16%
ADMS-46722	-0.16%
CCRC-49668	-0.16%
CC-49210	-0.16%
INVA-26676	-0.16%
BNED-49310	-0.16%
ADXS-40992	-0.17%
FMI-45499	-0.17%
ZINC-34524	-0.17%
CAMP-1244	-0.17%
QUAD-39860	-0.17%
LOCO-47382	-0.17%
CDE-1374	-0.18%
TMH-39076	-0.18%
NVMI-21427	-0.18%
CSIQ-32856	-0.18%
CLVS-42166	-0.18%
STKL-7158	-0.18%
SCLN-6714	-0.19%
TWTR-45815	-0.19%
RLGY-43500	-0.19%
REI-42894	-0.19%
SGRY-49456	-0.19%
TAHO-39938	-0.19%
VSI-38882	-0.19%
SQ-49610	-0.19%
NVGS-45915	-0.20%
CNSL-27478	-0.20%
AKG-35382	-0.20%
FCX-13197	-0.20%
APOL-24829	-0.20%
DPLO-47883	-0.20%
FMSA-47848	-0.20%
Z-49315	-0.21%
TAL-27704	-0.21%
AQUA-51375	-0.21%
DXCM-27173	-0.21%
CRR-14700	-0.21%
MDXG-34049	-0.22%
AMKR-18655	-0.22%
ATI-24840	-0.22%
YRCW-8370	-0.22%
TPC-5824	-0.22%
TUSK-50378	-0.22%
COWN-32377	-0.22%
PETX-45011	-0.22%
AMBA-43495	-0.23%
ARII-27998	-0.23%
PVG-42366	-0.23%
CMRX-44453	-0.23%
NPTN-40807	-0.23%
SPB-8414	-0.23%
BKS-9693	-0.24%
GHDX-27666	-0.24%
ACHC-42091	-0.24%
SGYP-32331	-0.24%
IPI-36093	-0.24%
CBL-9890	-0.25%
ZG-41730	-0.25%
CVE-38896	-0.25%
NVDA-19725	-0.26%
IMKT_A-3890	-0.26%
UCTT-26146	-0.26%
CRC-48073	-0.26%
WIFI-41374	-0.26%
SEMG-39358	-0.26%
SKY-6924	-0.27%
ERF-22215	-0.27%
FSLR-32902	-0.27%
IONS-4031	-0.27%
ANIK-8910	-0.27%
RPTP-21364	-0.28%
EBAY-24819	-0.28%
VRS-50133	-0.28%
OFG-16394	-0.29%
KRA-39079	-0.29%
ECHO-38798	-0.30%
MNTA-26381	-0.30%
INCY-10187	-0.31%
TWI-9066	-0.31%
BKD-27830	-0.31%
SCMP-34477	-0.31%
BHVN-50839	-0.32%
STNG-39422	-0.32%
SOHU-21813	-0.32%
TDW-7364	-0.33%
FNSR-20866	-0.33%
GOLD-64	-0.33%
EROS-45867	-0.34%
UNIT-48962	-0.34%
MBLY-47430	-0.35%
TUP-15041	-0.35%
PBI-5773	-0.36%
SRCI-35051	-0.36%
FIT-49139	-0.36%
FBP-2806	-0.37%
INSM-21778	-0.37%
TELL-4982	-0.37%
ACRS-49465	-0.37%
RUBI-46671	-0.38%
RDC-6392	-0.39%
BKE-915	-0.39%
FTSI-51725	-0.39%
MEI-4803	-0.39%
PETS-25867	-0.40%
DATA-44747	-0.40%
ETSY-48934	-0.41%
AEGR-40294	-0.41%
VNE-52084	-0.41%
AUY-25714	-0.42%
LOXO-47432	-0.43%
NR-5413	-0.44%
FRAN-41737	-0.44%
AXDX-15934	-0.45%
EGN-2470	-0.45%
LNTH-49189	-0.45%
TRTN-50119	-0.45%
DVAX-25972	-0.45%
BLCM-48304	-0.45%
PIR-6000	-0.46%
WTI-26986	-0.47%
GNW-26323	-0.47%
ASMB-40622	-0.48%
MKTO-44738	-0.48%
SBLK-28112	-0.49%
IVC-4084	-0.49%
MRD-47126	-0.50%
EGRX-46354	-0.50%
ESPR-44989	-0.50%
ICHR-50509	-0.50%
GTS-35194	-0.51%
TNK-35260	-0.51%
AGX-28450	-0.51%
CENX-14484	-0.51%
ARIA-11880	-0.51%
YELP-42596	-0.51%
CATO-1219	-0.51%
SOI-50870	-0.52%
WPM-27437	-0.52%
HL-3585	-0.53%
GDEN-19717	-0.53%
TIVO-16661	-0.53%
IDTI-3808	-0.54%
NVRO-48025	-0.54%
BANC-23943	-0.56%
VRA-40287	-0.56%
ITCI-46053	-0.57%
DDD-12959	-0.58%
SC-46215	-0.59%
VYGR-49579	-0.59%
AKBA-46583	-0.59%
STMP-26286	-0.59%
CIR-20696	-0.60%
RLYP-45851	-0.60%
CPG-46206	-0.61%
XON-45239	-0.61%
WRD-50537	-0.62%
ARNC-2	-0.63%
DERM-47845	-0.65%
DRNA-46271	-0.65%
HOV-3645	-0.67%
HEES-28023	-0.67%
TISI-7487	-0.68%
TERP-47334	-0.69%
VNDA-28326	-0.70%
SKYW-6925	-0.70%
EXPR-39626	-0.70%
SCHN-10268	-0.70%
TSLA-39840	-0.70%
VNCE-45906	-0.71%
FSCT-51350	-0.71%
AVP-660	-0.72%
SHEN-22166	-0.72%
ONDK-48290	-0.72%
SYNA-23398	-0.72%
SGEN-22563	-0.74%
GSM-38638	-0.76%
SXC-41733	-0.77%
NVTA-48628	-0.77%
CBAY-46189	-0.77%
UPL-22406	-0.78%
ALNY-26335	-0.78%
MTW-4656	-0.78%
SDRL-52182	-0.79%
BOX-48486	-0.80%
HOS-26150	-0.81%
YEXT-50781	-0.81%
PTLA-44770	-0.81%
ARCB-41	-0.84%
GPRO-47208	-0.84%
QNST-39218	-0.84%
OCN-15697	-0.85%
COHR-1751	-0.85%
FTK-27496	-0.86%
OREX-33742	-0.87%
GTHX-50879	-0.89%
RARE-46285	-0.89%
BTE-28232	-0.89%
ROKU-51231	-0.90%
MACK-42735	-0.91%
NE-5249	-0.93%
PVAC-6258	-0.94%
GIMO-44892	-0.95%
QEP-39778	-0.95%
JUNO-48317	-0.96%
BEL-21911	-0.96%
APTI-50318	-0.98%
SPN-14141	-0.99%
SAGE-47332	-1.02%
ALDR-46869	-1.03%
TGI-15905	-1.04%
WGO-8168	-1.04%
HTZ-50070	-1.05%
HZO-18917	-1.05%
CLD-38971	-1.08%
AKRX-270	-1.08%
ALKS-301	-1.09%
FNKO-51379	-1.11%
VRAY-48015	-1.12%
MRTX-45080	-1.13%
HRI-32887	-1.14%
LPSN-21415	-1.17%
MU-5121	-1.18%
CHRS-48026	-1.19%
MOH-25349	-1.20%
CMLS-18863	-1.21%
KOS-41416	-1.21%
CZZ-34560	-1.25%
GBT-49335	-1.25%
ANAC-40442	-1.28%
ALGN-22355	-1.29%
BETR-49318	-1.34%
AGI-44156	-1.36%
OLED-14774	-1.39%
NKTR-24572	-1.39%
MED-4766	-1.42%
PBYI-42689	-1.42%
USAT-31164	-1.45%
LGIH-45818	-1.47%
PES-22551	-1.49%
VNR-34931	-1.58%
HTWR-38150	-1.61%
TLRD-7203	-1.68%
MNK-44917	-1.76%
ENVA-47979	-1.84%
BRS-5645	-1.88%
LNKD-41451	-1.88%
ELF-50320	-1.89%
AX-27108	-1.90%
EXAS-22364	-1.91%
CAR-17991	-1.97%
WLL-25707	-1.98%
ENPH-42749	-2.02%
ENDP-21750	-2.03%
MDR-4752	-2.07%
AKS-10897	-2.25%
CRZO-17358	-2.25%
RUN-49321	-2.49%
CVNA-50807	-2.52%
DBD-2100	-2.52%
LNCO-43513	-2.55%
BTU-22660	-3.09%
SSRM-15591	-3.21%
WFT-19336	-3.26%
NFLX-23709	-4.69%
SDLP-43539	-4.72%

Summary Statistics
Annualized Specific Return	10.33%
Annualized Common Return	0.55%
Annualized Total Return	10.93%
Specific Sharpe Ratio	1.47

Exposures Summary	Average Risk Factor Exposure	Annualized Return	Cumulative Return
basic_materials	-0.01	-0.24%	-0.97%
consumer_cyclical	0.01	-0.25%	-0.98%
financial_services	0.04	0.91%	3.69%
real_estate	0.00	-0.05%	-0.19%
consumer_defensive	0.01	0.10%	0.41%
health_care	-0.04	-0.70%	-2.78%
utilities	-0.01	-0.06%	-0.24%
communication_services	0.01	-0.01%	-0.03%
energy	-0.01	0.56%	2.26%
industrials	-0.06	-0.75%	-2.96%
technology	0.03	0.45%	1.82%
momentum	-0.01	0.10%	0.42%
size	0.02	0.07%	0.29%
value	0.02	0.05%	0.21%
short_term_reversal	0.04	0.14%	0.55%
volatility	-0.05	0.19%	0.76%

Performance Relative to Common Risk Factors¶