In [1]:
bt = get_backtest('5a8a5906245af641095daedb')
bt.create_full_tear_sheet()
100% Time: 0:00:01|###########################################################|
| Start date | 2011-01-05 |
|---|---|
| End date | 2012-01-05 |
| Total months | 12 |
| Backtest | |
| Annual return | 4.1% |
| Cumulative returns | 4.1% |
| Annual volatility | 3.4% |
| Sharpe ratio | 1.20 |
| Calmar ratio | 1.70 |
| Stability | 0.85 |
| Max drawdown | -2.4% |
| Omega ratio | 1.22 |
| Sortino ratio | 1.92 |
| Skew | 0.42 |
| Kurtosis | 0.38 |
| Tail ratio | 1.25 |
| Daily value at risk | -0.4% |
| Gross leverage | 1.00 |
| Daily turnover | 28.7% |
| Alpha | 0.04 |
| Beta | 0.02 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 2.38 | 2011-07-29 | 2011-09-12 | 2011-09-29 | 45 |
| 1 | 1.62 | 2011-11-09 | 2011-11-25 | NaT | NaN |
| 2 | 1.19 | 2011-04-12 | 2011-05-02 | 2011-07-11 | 65 |
| 3 | 0.95 | 2011-01-20 | 2011-02-02 | 2011-02-10 | 16 |
| 4 | 0.65 | 2011-03-16 | 2011-04-01 | 2011-04-06 | 16 |
/usr/local/lib/python2.7/dist-packages/numpy/lib/function_base.py:3834: RuntimeWarning: Invalid value encountered in percentile RuntimeWarning)
| Stress Events | mean | min | max |
|---|---|---|---|
| US downgrade/European Debt Crisis | -0.05% | -0.46% | 0.30% |
| Fukushima | 0.01% | -0.32% | 0.52% |
| Recovery | 0.02% | -0.52% | 0.70% |
| Top 10 long positions of all time | max |
|---|---|
| MS-17080 | 2.87% |
| V-35920 | 2.86% |
| DB-23113 | 2.73% |
| F-2673 | 2.73% |
| FCX-13197 | 2.68% |
| HPQ-3735 | 2.67% |
| EBAY-24819 | 2.67% |
| GS-20088 | 2.67% |
| AIG-239 | 2.65% |
| RY-13732 | 2.64% |
| Top 10 short positions of all time | max |
|---|---|
| OUBS-7696 | -2.70% |
| EMR-2530 | -2.66% |
| AMZN-16841 | -2.65% |
| ACN-25555 | -2.65% |
| FCX-13197 | -2.64% |
| AIG-239 | -2.64% |
| APC-455 | -2.64% |
| C-1335 | -2.64% |
| SLB-6928 | -2.64% |
| HAL-3443 | -2.64% |
| Top 10 positions of all time | max |
|---|---|
| MS-17080 | 2.87% |
| V-35920 | 2.86% |
| DB-23113 | 2.73% |
| F-2673 | 2.73% |
| OUBS-7696 | 2.70% |
| FCX-13197 | 2.68% |
| HPQ-3735 | 2.67% |
| EBAY-24819 | 2.67% |
| GS-20088 | 2.67% |
| EMR-2530 | 2.66% |
| All positions ever held | max |
|---|---|
| MS-17080 | 2.87% |
| V-35920 | 2.86% |
| DB-23113 | 2.73% |
| F-2673 | 2.73% |
| OUBS-7696 | 2.70% |
| FCX-13197 | 2.68% |
| HPQ-3735 | 2.67% |
| EBAY-24819 | 2.67% |
| GS-20088 | 2.67% |
| EMR-2530 | 2.66% |
| AIG-239 | 2.65% |
| AMZN-16841 | 2.65% |
| ACN-25555 | 2.65% |
| RY-13732 | 2.64% |
| CNQ-21735 | 2.64% |
| APC-455 | 2.64% |
| C-1335 | 2.64% |
| SLB-6928 | 2.64% |
| HAL-3443 | 2.64% |
| CMCS_A-1637 | 2.63% |
| APA-448 | 2.63% |
| ABX-64 | 2.63% |
| TD-15596 | 2.63% |
| SU-10533 | 2.63% |
| USB-25010 | 2.62% |
| BMO-12002 | 2.62% |
| CAT-1267 | 2.62% |
| COP-23998 | 2.62% |
| POT-6109 | 2.62% |
| DOW-2263 | 2.62% |
| WFC-8151 | 2.61% |
| ORCL-5692 | 2.61% |
| UNP-7800 | 2.61% |
| VMW-34545 | 2.61% |
| BA-698 | 2.60% |
| AXP-679 | 2.60% |
| FOXA-12213 | 2.59% |
| BMY-980 | 2.59% |
| QCOM-6295 | 2.59% |
| IBM-3766 | 2.59% |
| MON-22140 | 2.59% |
| AAPL-24 | 2.59% |
| PFE-5923 | 2.59% |
| MA-32146 | 2.59% |
| DD-2119 | 2.59% |
| XOM-8347 | 2.58% |
| BRK_B-11100 | 2.58% |
| OXY-5729 | 2.58% |
| LLY-4487 | 2.58% |
| MRK-5029 | 2.58% |
| T-6653 | 2.58% |
| DIS-2190 | 2.58% |
| TXN-7671 | 2.58% |
| CL-1582 | 2.58% |
| BAC-700 | 2.58% |
| AMGN-368 | 2.58% |
| GE-3149 | 2.58% |
| UTX-7883 | 2.58% |
| GG-22226 | 2.58% |
| EMC-2518 | 2.58% |
| MSFT-5061 | 2.57% |
| CSCO-1900 | 2.57% |
| MO-4954 | 2.57% |
| PEP-5885 | 2.57% |
| MDLZ-22802 | 2.57% |
| DVN-2368 | 2.57% |
| JPM-25006 | 2.57% |
| MMM-4922 | 2.57% |
| BNS-1010 | 2.57% |
| CVX-23112 | 2.57% |
| CVS-4799 | 2.57% |
| MCD-4707 | 2.56% |
| MDT-4758 | 2.56% |
| IMO-3895 | 2.56% |
| UNH-7792 | 2.56% |
| INTC-3951 | 2.56% |
| NKE-5328 | 2.56% |
| VZ-21839 | 2.56% |
| SPG-10528 | 2.56% |
| WMT-8229 | 2.56% |
| GOOG_L-26578 | 2.55% |
| JNJ-4151 | 2.55% |
| KO-4283 | 2.55% |
| HON-25090 | 2.55% |
| BK-903 | 2.55% |
| PM-35902 | 2.55% |
| BLK-20689 | 2.55% |
| DE-2127 | 2.55% |
| MET-21418 | 2.54% |
| TGT-21090 | 2.54% |
| WBA-8089 | 2.54% |
| PG-5938 | 2.54% |
| SO-7011 | 2.54% |
| HD-3496 | 2.54% |
| DHR-2170 | 2.53% |
| UPS-20940 | 2.53% |
| ABT-62 | 2.52% |
| SCCO-14284 | 2.50% |
| TWX-357 | 2.50% |
| COST-1787 | 2.48% |
/usr/local/lib/python2.7/dist-packages/pyfolio/perf_attrib.py:611: 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 | 0.14% |
| Annualized Common Return | 0.43% |
| Annualized Total Return | 0.57% |
| Specific Sharpe Ratio | 0.34 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | 0.01 | 0.14% | 1.03% |
| consumer_cyclical | -0.01 | 0.05% | 0.37% |
| financial_services | 0.02 | 0.21% | 1.52% |
| real_estate | 0.00 | 0.01% | 0.06% |
| consumer_defensive | 0.04 | 0.08% | 0.60% |
| health_care | -0.02 | 0.03% | 0.25% |
| utilities | -0.00 | -0.01% | -0.05% |
| communication_services | 0.00 | -0.01% | -0.05% |
| energy | -0.00 | -0.12% | -0.85% |
| industrials | -0.01 | -0.02% | -0.12% |
| technology | -0.01 | -0.06% | -0.46% |
| momentum | -0.02 | -0.02% | -0.18% |
| size | -0.03 | -0.05% | -0.36% |
| value | 0.05 | -0.00% | -0.02% |
| short_term_reversal | 0.21 | 0.13% | 0.92% |
| volatility | 0.01 | 0.05% | 0.36% |
