Working with BacktestResult Object

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Working with BacktestResult Object

edited Dec 6, 2018

API Seeking Help Tools and Tips Research

How to get factor_loadings and factor_returns from a < qexec.research.backtest.BacktestResult> Object?

Also how to get specific_returns or common_returns series?

1 response

Jay Teguh Wijaya

Hi Munidar, I came across the same requirement and stumbled upon your question while Googling for an answer. To get all attributes of a BacktestResult object, use the following code:

bt = get_backtest('your_backtest_id')  
dir(bt)

You will get the following list (as of writing):

['algo_id',
 'attributed_factor_returns',  
 'attrs',  
 'benchmark_security',  
 'capital_base',  
 'create_bayesian_tear_sheet',  
 'create_full_tear_sheet',  
 'create_interesting_times_tear_sheet',  
 'create_perf_attrib_tear_sheet',  
 'create_position_tear_sheet',  
 'create_returns_tear_sheet',  
 'create_simple_tear_sheet',  
 'create_txn_tear_sheet',  
 'cumulative_performance',  
 'daily_performance',  
 'end_date',  
 'factor_exposures',  
 'frames',  
 'from_stream',  
 'launch_date',  
 'orders',  
 'positions',  
 'preview',  
 'pyfolio_positions',  
 'pyfolio_transactions',  
 'recorded_vars',  
 'risk',  
 'scalars',  
 'start_date',  
 'stoppages',  
 'transactions']

To me, the most interesting at the moment is bt.daily_performance as I wish to find out the cause of a particular jump in profitability. To answer your questions:

factor_loadings and factor_returns: Not sure if this one's possible, so your best bet, for now, is using Alphalens before the backtest to get them.
specific return and common_return: Check out bt.attributed_factor_returns.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.