In [1]:
# Get backtest object
bt = get_backtest('5989bac564d2a359d3e420e6')
100% Time: 0:00:37|###########################################################|
In [2]:
import pyfolio as pf
import numpy as np
import scipy.stats as st
returns = bt.daily_performance.returns
import pandas as pd
print 'median', np.median(returns)
print 'skew', st.skew(returns)
print pd.Series(returns).describe()
median 0.000471964857462 skew 0.61587197098 count 2019.000000 mean 0.000549 std 0.001596 min -0.008522 25% -0.000317 50% 0.000472 75% 0.001393 max 0.012479 Name: returns, dtype: float64
In [5]:
bt.create_full_tear_sheet(estimate_intraday=True, slippage=0)
Entire data start date: 2007-08-01 Entire data end date: 2015-08-06 Backtest Months: 96
| Performance statistics | Backtest |
|---|---|
| annual_return | 0.15 |
| cum_returns_final | 2.02 |
| annual_volatility | 0.03 |
| sharpe_ratio | 5.46 |
| calmar_ratio | 7.82 |
| stability_of_timeseries | 0.98 |
| max_drawdown | -0.02 |
| omega_ratio | 2.65 |
| sortino_ratio | 10.82 |
| skew | 0.62 |
| kurtosis | 5.56 |
| tail_ratio | 1.71 |
| common_sense_ratio | 1.97 |
| gross_leverage | 1.00 |
| information_ratio | 0.01 |
| alpha | 0.14 |
| beta | 0.01 |
| Worst drawdown periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 1.89 | 2009-01-02 | 2009-01-27 | 2009-02-13 | 31 |
| 1 | 1.27 | 2010-02-23 | 2010-04-27 | 2010-05-13 | 58 |
| 2 | 1.25 | 2008-10-21 | 2008-10-30 | 2008-11-06 | 13 |
| 3 | 1.16 | 2008-09-15 | 2008-09-18 | 2008-09-22 | 6 |
| 4 | 1.05 | 2012-06-11 | 2012-06-29 | 2012-08-08 | 43 |
[-0.003 -0.005]
| Stress Events | mean | min | max |
|---|---|---|---|
| Lehmann | 0.10% | -0.76% | 0.97% |
| US downgrade/European Debt Crisis | 0.05% | -0.20% | 0.41% |
| Fukushima | 0.08% | -0.11% | 0.32% |
| EZB IR Event | 0.04% | -0.22% | 0.17% |
| Aug07 | 0.16% | -0.18% | 1.00% |
| Mar08 | 0.09% | -0.30% | 0.44% |
| Sept08 | 0.11% | -0.76% | 0.97% |
| 2009Q1 | 0.01% | -0.85% | 0.47% |
| 2009Q2 | 0.10% | -0.31% | 0.65% |
| Flash Crash | 0.13% | -0.04% | 0.32% |
| Apr14 | 0.07% | -0.17% | 0.24% |
| Oct14 | 0.08% | -0.12% | 0.45% |
| Low Volatility Bull Market | 0.35% | 0.35% | 0.35% |
| GFC Crash | 0.09% | -0.85% | 1.25% |
| Recovery | 0.05% | -0.41% | 0.55% |
| New Normal | 0.04% | -0.31% | 0.45% |
| Top 10 long positions of all time | max |
|---|---|
| CHG-1699 | 1.12% |
| TAP-76 | 1.12% |
| PAYX-5767 | 1.12% |
| NCR-16389 | 1.12% |
| BBY-754 | 1.12% |
| CPA-27908 | 1.12% |
| SPLS-7061 | 1.12% |
| PPDI-14288 | 1.12% |
| SR-4435 | 1.12% |
| ZNT-8409 | 1.12% |
| Top 10 short positions of all time | max |
|---|---|
| MI-5025 | -1.12% |
| HCP-3490 | -1.12% |
| WTM-20315 | -1.12% |
| SOHU-21813 | -1.12% |
| AMP-27676 | -1.12% |
| A-24757 | -1.12% |
| SCHW-6704 | -1.12% |
| XRX-8354 | -1.12% |
| BGC-3129 | -1.12% |
| PLCE-24789 | -1.12% |
| Top 10 positions of all time | max |
|---|---|
| CHG-1699 | 1.12% |
| MI-5025 | 1.12% |
| HCP-3490 | 1.12% |
| TAP-76 | 1.12% |
| PAYX-5767 | 1.12% |
| WTM-20315 | 1.12% |
| SOHU-21813 | 1.12% |
| NCR-16389 | 1.12% |
| AMP-27676 | 1.12% |
| A-24757 | 1.12% |
| All positions ever held | max |
|---|---|
| CHG-1699 | 1.12% |
| MI-5025 | 1.12% |
| HCP-3490 | 1.12% |
| TAP-76 | 1.12% |
| PAYX-5767 | 1.12% |
| WTM-20315 | 1.12% |
| SOHU-21813 | 1.12% |
| NCR-16389 | 1.12% |
| AMP-27676 | 1.12% |
| A-24757 | 1.12% |
| SCHW-6704 | 1.12% |
| XRX-8354 | 1.12% |
| BBY-754 | 1.12% |
| BGC-3129 | 1.12% |
| CPA-27908 | 1.12% |
| SPLS-7061 | 1.12% |
| PLCE-24789 | 1.12% |
| PPDI-14288 | 1.12% |
| SR-4435 | 1.12% |
| WDC-8132 | 1.12% |
| ZNT-8409 | 1.12% |
| RS-11955 | 1.12% |
| CHS-8612 | 1.12% |
| WLK-26563 | 1.12% |
| HAE-3436 | 1.12% |
| MRVL-21666 | 1.12% |
| NSH-32386 | 1.12% |
| IN-17948 | 1.12% |
| HNT-22231 | 1.12% |
| PSS-15005 | 1.12% |
| ... | ... |
| ANAC-40442 | 0.76% |
| ARCT-42594 | 0.76% |
| IDIX-26502 | 0.76% |
| HOGS-31962 | 0.76% |
| GPRE-28159 | 0.76% |
| ECR-47168 | 0.76% |
| ISLN-33063 | 0.76% |
| AVNR-19445 | 0.76% |
| KLXI-48169 | 0.75% |
| AVD-366 | 0.75% |
| ZOLT-8412 | 0.75% |
| RESI-43712 | 0.75% |
| HYH-47929 | 0.75% |
| ESPR-44989 | 0.75% |
| LOCO-47382 | 0.75% |
| TTES-23339 | 0.75% |
| ZEUS-8394 | 0.75% |
| CSLT-46551 | 0.75% |
| SIGA-17584 | 0.75% |
| STAR-24862 | 0.75% |
| OVAS-43478 | 0.74% |
| IMAX-11498 | 0.74% |
| FMI-45499 | 0.74% |
| GPT-26520 | 0.74% |
| RENT-6421 | 0.74% |
| WAL-27421 | 0.74% |
| FARO-17508 | 0.74% |
| EHTH-32726 | 0.73% |
| VSLR-47820 | 0.73% |
| EMKR-16610 | 0.55% |
2477 rows × 1 columns
In [ ]: