In [6]:
bt = get_backtest('560469497a01cb0e2456a606')
100% Time: 0:03:34|###########################################################|
In [5]:
bt.create_full_tear_sheet()
/usr/local/lib/python2.7/dist-packages/pyfolio/utils.py:140: UserWarning: Could not update cache /usr/local/lib/python2.7/dist-packages/pyfolio/data/factors.csv.Exception: [Errno 13] Permission denied: '/usr/local/lib/python2.7/dist-packages/pyfolio/data/factors.csv' UserWarning) /usr/local/lib/python2.7/dist-packages/matplotlib/cbook.py:133: MatplotlibDeprecationWarning: The "loc" positional argument to legend is deprecated. Please use the "loc" keyword instead. warnings.warn(message, mplDeprecation, stacklevel=1)
Entire data start date: 2005-08-01 00:00:00+00:00
Entire data end date: 2015-08-18 00:00:00+00:00
Backtest Months: 120
Backtest
annual_return 0.13
annual_volatility 0.07
sharpe_ratio 1.86
calmar_ratio 1.00
stability 0.99
max_drawdown -0.13
omega_ratio 1.41
sortino_ratio 2.76
skewness 0.32
kurtosis 9.89
alpha 0.12
beta 0.11
Worst Drawdown Periods
net drawdown in % peak date valley date \
0 12.71 2008-09-19 00:00:00+00:00 2008-11-21 00:00:00+00:00
2 5.91 2011-07-13 00:00:00+00:00 2011-12-15 00:00:00+00:00
1 5.62 2014-02-25 00:00:00+00:00 2014-04-28 00:00:00+00:00
3 3.99 2012-07-06 00:00:00+00:00 2012-08-01 00:00:00+00:00
4 2.59 2015-03-20 00:00:00+00:00 2015-05-05 00:00:00+00:00
recovery date duration
0 2009-01-05 00:00:00+00:00 77
2 2012-02-10 00:00:00+00:00 153
1 2014-09-29 00:00:00+00:00 155
3 2012-11-01 00:00:00+00:00 85
4 2015-07-09 00:00:00+00:00 80
2-sigma returns daily -0.008
2-sigma returns weekly -0.016
dtype: float64
Stress Events
mean min max
Lehmann 0.000 -0.009 0.009
US downgrade/European Debt Crisis 0.000 -0.014 0.013
Fukushima 0.001 -0.004 0.007
EZB IR Event 0.000 -0.004 0.006
Aug07 0.001 -0.005 0.007
Sept08 0.000 -0.009 0.009
2009Q1 0.001 -0.018 0.019
2009Q2 0.002 -0.019 0.028
Flash Crash -0.001 -0.011 0.006
Apr14 -0.001 -0.008 0.007
Oct14 0.001 -0.006 0.008
Top 10 long positions of all time (and max%)
[u'PLL' u'PCYC' u'AAP' u'GILD' u'EW' u'MON' u'IEP' u'VRTX' u'HSY' u'SLG']
[ 0.014 0.014 0.012 0.012 0.012 0.011 0.011 0.011 0.011 0.01 ]
Top 10 short positions of all time (and max%)
[u'SPY' u'SIAL' u'TRW' u'CLX' u'KMB' u'PLL' u'MKL' u'BCR' u'AZO' u'HSY']
[-0.335 -0.089 -0.044 -0.023 -0.02 -0.02 -0.018 -0.014 -0.013 -0.013]
Top 10 positions of all time (and max%)
[u'SPY' u'SIAL' u'TRW' u'CLX' u'KMB' u'PLL' u'MKL' u'BCR' u'PCYC' u'AZO']
[ 0.335 0.089 0.044 0.023 0.02 0.02 0.018 0.014 0.014 0.013]
All positions ever held
[u'SPY' u'SIAL' u'TRW' u'CLX' u'KMB' u'PLL' u'MKL' u'BCR' u'PCYC' u'AZO'
u'HSY' u'AAP' u'GILD' u'EW' u'MON' u'IEP' u'VRTX' u'BDX' u'SLG' u'REGN'
u'MHFI' u'AMGN' u'NFLX' u'FLT' u'MJN' u'ILMN' u'GMCR' u'LNKD' u'COST'
u'AGN' u'ORLY' u'SJM' u'TWC' u'RTN' u'BIIB' u'HUM' u'WDC' u'HD' u'FDX'
u'UPS' u'SRE' u'ALXN' u'CXO' u'ADS' u'ICE' u'MPC' u'WYNN' u'CMG' u'CVX'
u'UHS' u'STZ' u'CI' u'LMT' u'MNST' u'HBI' u'TDG' u'V' u'PANW' u'PXD'
u'ESS' u'SPG' u'AAPL' u'PPG' u'CF' u'VNO' u'ANTM' u'BMRN' u'IBM' u'NEE'
u'UNH' u'AMG' u'MTB' u'AMP' u'TSLA' u'PCLN' u'KSU' u'ROK' u'MCK' u'RL'
u'MMM' u'PSA' u'CB' u'XLE' u'CVS' u'BXP' u'LLL' u'SBAC' u'ISRG' u'CELG'
u'GS' u'EQIX' u'MHK' u'WHR' u'SRCL' u'CMI' u'AVB' u'ABC' u'ROP' u'PCP'
u'ECL' u'SHW' u'BLK' u'PII' u'BA' u'AMZN' u'TRV' u'CHTR' u'TMO' u'HON'
u'NOC' u'HSIC' u'PX' u'GWW' u'GOOG' u'PH' u'GD' u'APD' u'UNP' u'DIS'
u'NSC' u'UTX' u'IVV']
[ 0.335 0.089 0.044 0.023 0.02 0.02 0.018 0.014 0.014 0.013
0.013 0.012 0.012 0.012 0.011 0.011 0.011 0.011 0.01 0.01 0.01
0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.009
0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009 0.009
0.009 0.009 0.009 0.008 0.008 0.008 0.008 0.008 0.008 0.008
0.008 0.008 0.008 0.008 0.008 0.008 0.008 0.008 0.008 0.008
0.008 0.008 0.008 0.008 0.007 0.007 0.007 0.007 0.007 0.007
0.007 0.007 0.007 0.007 0.007 0.007 0.007 0.007 0.007 0.007
0.007 0.007 0.007 0.007 0.007 0.007 0.007 0.007 0.007 0.007
0.007 0.007 0.007 0.007 0.007 0.007 0.006 0.006 0.006 0.006
0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006
0.006 0.006 0.006 0.006 0.006 0.005 0.005 0.005 0.005 0.005
0.003]
/usr/local/lib/python2.7/dist-packages/pyfolio/plotting.py:833: UserWarning: Negative cash, taking absolute for area plot.
warnings.warn('Negative cash, taking absolute for area plot.')
In [ ]: