Notebook
In [27]:
import pyfolio as pf
import matplotlib.pyplot as plt
plot_TAANG, = plt.plot(pf.timeseries.cum_returns(get_backtest('5987ee42a8df9160c43a7c64').daily_performance.returns), label = 'TAANG') 
plot_TAANG_Generalized_Momentum, = plt.plot(pf.timeseries.cum_returns(get_backtest('5987e903b2cd244fd1123e25').daily_performance.returns), label = 'TAANG_Generalized_Momentum')


plt.legend(bbox_to_anchor = (1.025, 1),handles = [plot_TAANG_Generalized_Momentum, plot_TAANG], loc = 2, borderaxespad = 0.)

100% Time: 0:00:01|###########################################################|
  0% ETA:  --:--:--|                                                          |
/usr/local/lib/python2.7/dist-packages/ipykernel_launcher.py:3: DeprecationWarning: Risk functions in pyfolio.timeseries are deprecated and will be removed in a future release. Please install the empyrical package instead.
  This is separate from the ipykernel package so we can avoid doing imports until

100% Time: 0:00:02|###########################################################|

/usr/local/lib/python2.7/dist-packages/ipykernel_launcher.py:4: DeprecationWarning: Risk functions in pyfolio.timeseries are deprecated and will be removed in a future release. Please install the empyrical package instead.
  after removing the cwd from sys.path.
Out[27]:
<matplotlib.legend.Legend at 0x7efc3970d990>

TAANG

In [30]:
get_backtest('5987ee42a8df9160c43a7c64').create_returns_tear_sheet()

100% Time: 0:00:01|###########################################################|
Entire data start date: 2007-01-03
Entire data end date: 2017-08-04


Backtest Months: 127
Performance statistics Backtest
annual_return 0.28
cum_returns_final 12.74
annual_volatility 0.19
sharpe_ratio 1.38
calmar_ratio 0.88
stability_of_timeseries 0.98
max_drawdown -0.32
omega_ratio 1.28
sortino_ratio 2.10
skew 0.16
kurtosis 4.92
tail_ratio 1.07
common_sense_ratio 1.37
gross_leverage 0.86
information_ratio 0.06
alpha 0.22
beta 0.55
Worst drawdown periods net drawdown in % peak date valley date recovery date duration
0 32.09 2008-04-21 2008-11-20 2009-03-23 241
1 21.45 2011-07-19 2011-11-25 2012-03-20 176
2 18.22 2015-12-04 2016-02-05 2016-08-12 181
3 14.59 2007-12-26 2008-02-06 2008-04-17 82
4 11.69 2015-08-17 2015-08-24 2015-10-26 51 

[-0.023 -0.049]

TAANG_Generalized_Momentum

In [32]:
get_backtest('5987e903b2cd244fd1123e25').create_returns_tear_sheet()

100% Time: 0:00:02|###########################################################|
Entire data start date: 2007-01-04
Entire data end date: 2017-08-04


Backtest Months: 126
Performance statistics Backtest
annual_return 0.41
cum_returns_final 36.35
annual_volatility 0.22
sharpe_ratio 1.69
calmar_ratio 3.01
stability_of_timeseries 0.98
max_drawdown -0.14
omega_ratio 1.42
sortino_ratio 3.07
skew 3.29
kurtosis 43.34
tail_ratio 1.22
common_sense_ratio 1.72
gross_leverage 0.99
information_ratio 0.06
alpha 0.35
beta 0.18
Worst drawdown periods net drawdown in % peak date valley date recovery date duration
0 13.55 2012-03-27 2012-04-24 2012-09-07 119
1 13.38 2008-12-18 2009-05-13 2009-07-15 150
2 12.84 2011-02-14 2011-03-18 2011-05-10 62
3 12.44 2015-08-17 2016-04-28 2016-09-27 292
4 11.25 2007-10-23 2007-11-12 2008-03-14 104 

[-0.026 -0.058]
In [ ]: