Entire data start date: 2014-01-06
Entire data end date: 2015-12-31


Backtest Months: 23
                   Backtest
annual_return          0.11
annual_volatility      0.10
sharpe_ratio           1.15
calmar_ratio           1.88
stability              0.87
max_drawdown          -0.06
omega_ratio            1.21
sortino_ratio          1.73
skewness               0.05
kurtosis               3.40
information_ratio      0.02
alpha                  0.11
beta                   0.06

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
0               5.99 2015-10-12  2015-10-30    2015-12-15       47
1               4.76 2015-01-27  2015-05-21    2015-06-19      104
3               4.39 2014-02-28  2014-03-21    2014-04-17       35
2               4.07 2015-08-20  2015-08-25    2015-10-06       34
4               3.79 2014-06-20  2014-09-25    2014-11-04       98


2-sigma returns daily    -0.012
2-sigma returns weekly   -0.024
dtype: float64

Stress Events
             mean    min    max
Apr14       0.002 -0.008  0.012
Oct14       0.000 -0.017  0.014
Fall2015    0.001 -0.033  0.012
New Normal  0.000 -0.033  0.034

Top 10 long positions of all time (and max%)
[u'HZNP-41766' u'PBYI-42689' u'ANAC-40442' u'BYD-9888' u'WLL-25707'
 u'AUY-25714' u'MRO-5035' u'UVXY-41969' u'WDAY-43510' u'AAP-23175']
[ 0.047  0.046  0.046  0.044  0.044  0.044  0.044  0.043  0.043  0.043]


Top 10 short positions of all time (and max%)
[u'UVXY-41969' u'ANAC-40442' u'NFX-10231' u'YOKU-40562' u'ERY-37044'
 u'DNR-15789' u'CLVS-42166' u'PBYI-42689' u'TZA-37133' u'LPI-42263']
[-0.051 -0.046 -0.045 -0.045 -0.045 -0.044 -0.044 -0.044 -0.044 -0.044]


Top 10 positions of all time (and max%)
[u'UVXY-41969' u'HZNP-41766' u'PBYI-42689' u'ANAC-40442' u'NFX-10231'
 u'YOKU-40562' u'ERY-37044' u'BYD-9888' u'DNR-15789' u'CLVS-42166']
[ 0.051  0.047  0.046  0.046  0.045  0.045  0.045  0.044  0.044  0.044]


All positions ever held
[u'UVXY-41969' u'HZNP-41766' u'PBYI-42689' ..., u'CUBE-26733' u'GPRO-47208'
 u'RHI-6465']
[ 0.051  0.047  0.046 ...,  0.033  0.031  0.028]