In [1]:
bt = get_backtest('58c7bf845126854761492bce')
100% Time: 0:01:03|###########################################################|
In [2]:
bt.create_full_tear_sheet()
Entire data start date: 2002-11-01 Entire data end date: 2017-03-07 Backtest Months: 171
| Performance statistics | Backtest |
|---|---|
| annual_return | 0.10 |
| cum_returns_final | 3.06 |
| annual_volatility | 0.08 |
| sharpe_ratio | 1.34 |
| calmar_ratio | 0.99 |
| stability_of_timeseries | 0.97 |
| max_drawdown | -0.10 |
| omega_ratio | 1.30 |
| sortino_ratio | 2.14 |
| skew | 0.89 |
| kurtosis | 13.55 |
| tail_ratio | 1.23 |
| common_sense_ratio | 1.35 |
| gross_leverage | 1.00 |
| information_ratio | -0.00 |
| alpha | 0.09 |
| beta | 0.07 |
| Worst drawdown periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 10.36 | 2008-11-07 | 2008-11-21 | 2008-12-08 | 22 |
| 1 | 8.80 | 2008-08-07 | 2008-10-07 | 2008-10-29 | 60 |
| 2 | 6.42 | 2009-06-03 | 2009-08-07 | 2010-04-28 | 236 |
| 3 | 6.02 | 2014-07-14 | 2014-10-14 | 2015-04-30 | 209 |
| 4 | 5.98 | 2016-05-02 | 2016-11-14 | 2017-02-16 | 209 |
[-0.009 -0.02 ]
/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 |
|---|---|---|---|
| Lehmann | -0.08% | -2.90% | 1.49% |
| US downgrade/European Debt Crisis | 0.24% | -1.86% | 1.67% |
| Fukushima | 0.03% | -0.45% | 0.58% |
| US Housing | -0.05% | -0.97% | 0.83% |
| EZB IR Event | -0.09% | -0.80% | 0.53% |
| Aug07 | 0.21% | -0.64% | 2.19% |
| Mar08 | 0.19% | -0.89% | 1.88% |
| Sept08 | -0.07% | -2.90% | 1.49% |
| 2009Q1 | -0.07% | -2.49% | 2.19% |
| 2009Q2 | 0.18% | -2.40% | 2.76% |
| Flash Crash | 0.32% | -0.55% | 1.34% |
| Apr14 | 0.06% | -1.33% | 0.94% |
| Oct14 | -0.05% | -1.01% | 1.34% |
| Fall2015 | -0.06% | -0.75% | 1.17% |
| Low Volatility Bull Market | 0.03% | -1.02% | 1.43% |
| GFC Crash | 0.11% | -2.90% | 5.61% |
| Recovery | 0.03% | -2.72% | 1.98% |
| New Normal | 0.02% | -1.50% | 1.56% |
| Top 10 long positions of all time | max |
|---|---|
| SYF-47415 | 4.17% |
| CCE-1332 | 4.17% |
| TXT-7674 | 4.17% |
| RL-24832 | 4.17% |
| LYB-39546 | 4.17% |
| FDX-2765 | 4.17% |
| VFC-7949 | 4.17% |
| RHT-20541 | 4.17% |
| QLGC-10829 | 3.34% |
| LUV-4589 | 3.34% |
| Top 10 short positions of all time | max |
|---|---|
| PALM-24105 | -3.54% |
| PTEN-10254 | -3.14% |
| NRG-26143 | -3.13% |
| SHAW-10509 | -3.13% |
| JOY-22996 | -3.13% |
| SINA-21448 | -3.13% |
| STT-7139 | -3.13% |
| AFL-185 | -3.13% |
| JEC-4120 | -3.13% |
| CIEN-16453 | -3.12% |
| Top 10 positions of all time | max |
|---|---|
| SYF-47415 | 4.17% |
| CCE-1332 | 4.17% |
| TXT-7674 | 4.17% |
| RL-24832 | 4.17% |
| LYB-39546 | 4.17% |
| FDX-2765 | 4.17% |
| VFC-7949 | 4.17% |
| RHT-20541 | 4.17% |
| PALM-24105 | 3.54% |
| QLGC-10829 | 3.34% |
| All positions ever held | max |
|---|---|
| SYF-47415 | 4.17% |
| CCE-1332 | 4.17% |
| TXT-7674 | 4.17% |
| RL-24832 | 4.17% |
| LYB-39546 | 4.17% |
| FDX-2765 | 4.17% |
| VFC-7949 | 4.17% |
| RHT-20541 | 4.17% |
| PALM-24105 | 3.54% |
| QLGC-10829 | 3.34% |
| LUV-4589 | 3.34% |
| A-24757 | 3.34% |
| KKD-21410 | 3.33% |
| DOX-18875 | 3.33% |
| PNRA-20133 | 3.33% |
| INTC-3951 | 3.33% |
| CSCO-1900 | 3.33% |
| CHKP-15101 | 3.33% |
| SNPS-6994 | 3.32% |
| PTEN-10254 | 3.14% |
| NRG-26143 | 3.13% |
| SHAW-10509 | 3.13% |
| JOY-22996 | 3.13% |
| SINA-21448 | 3.13% |
| STT-7139 | 3.13% |
| AFL-185 | 3.13% |
| JEC-4120 | 3.13% |
| FMC-2893 | 3.13% |
| HUN-27030 | 3.13% |
| LNC-4498 | 3.13% |
| ... | ... |
| NLC-26787 | 0.82% |
| UDI-23341 | 0.82% |
| CBSS-1314 | 0.81% |
| SIRI-11901 | 0.80% |
| NETL-26462 | 0.79% |
| ARBA-20171 | 0.79% |
| H-32392 | 0.79% |
| AQNT-24635 | 0.79% |
| KOSP-16647 | 0.77% |
| WGR-8169 | 0.77% |
| ICO-27824 | 0.76% |
| CBRL-1308 | 0.75% |
| RA-12940 | 0.73% |
| HEW-23780 | 0.72% |
| UB-14828 | 0.72% |
| SFSF-35114 | 0.70% |
| DLM-19778 | 0.68% |
| WOOF-23267 | 0.68% |
| AGO-26211 | 0.68% |
| STK-7157 | 0.68% |
| RBAK-40069 | 0.67% |
| PLUG-20776 | 0.67% |
| NMG_A-20760 | 0.66% |
| ALNY-26335 | 0.66% |
| ADVS-13775 | 0.65% |
| APCS-21110 | 0.65% |
| RCPT-44689 | 0.64% |
| STAR-33974 | 0.64% |
| RMK-23332 | 0.64% |
| EC-2416 | 0.61% |
1218 rows × 1 columns
In [ ]: