In [1]:
bt = get_backtest('57cb2d614f4c380ffbb18651')
100% Time: 0:38:22|###########################################################|
In [2]:
bt.create_full_tear_sheet()
Entire data start date: 2002-11-01
Entire data end date: 2016-09-02
Backtest Months: 165
Backtest
annual_return 0.12
annual_volatility 0.23
sharpe_ratio 0.63
calmar_ratio 0.21
stability 0.86
max_drawdown -0.59
omega_ratio 1.12
sortino_ratio 0.89
skewness -0.24
kurtosis 7.27
information_ratio 0.05
alpha 0.05
beta 1.16
Worst Drawdown Periods
net drawdown in % peak date valley date recovery date duration
0 59.15 2007-07-13 2009-03-09 2010-04-13 718
2 27.62 2011-04-29 2011-10-03 2012-03-13 228
1 26.90 2015-06-23 2016-02-11 NaT NaN
4 18.54 2010-04-23 2010-07-06 2010-11-04 140
3 12.02 2014-07-03 2014-10-13 2015-02-05 156
2-sigma returns daily -0.028
2-sigma returns weekly -0.055
dtype: float64
/usr/local/lib/python2.7/dist-packages/matplotlib/__init__.py:892: UserWarning: axes.color_cycle is deprecated and replaced with axes.prop_cycle; please use the latter. warnings.warn(self.msg_depr % (key, alt_key))
Stress Events
mean min max
Lehmann -0.002 -0.075 0.050
US downgrade/European Debt Crisis -0.001 -0.084 0.060
Fukushima 0.002 -0.013 0.019
US Housing -0.005 -0.025 0.019
EZB IR Event -0.001 -0.016 0.013
Aug07 0.001 -0.031 0.023
Mar08 0.001 -0.029 0.043
Sept08 -0.005 -0.075 0.050
2009Q1 -0.005 -0.069 0.053
2009Q2 0.007 -0.064 0.088
Flash Crash -0.005 -0.035 0.052
Apr14 -0.001 -0.026 0.014
Oct14 0.001 -0.025 0.021
Fall2015 -0.003 -0.040 0.030
Low Volatility Bull Market 0.000 -0.034 0.032
GFC Crash -0.001 -0.113 0.105
Recovery 0.001 -0.084 0.064
New Normal 0.001 -0.042 0.032
Top 10 long positions of all time (and max%) [u'PFG-23151' u'GGP-8817' u'ITWO-14742' u'HGSI-10409' u'UPL-22406' u'LINE-27993' u'HBI-32497' u'PBYI-42689' u'EPE-46191' u'EYE-23844'] [ 1. 0.005 0.005 0.003 0.003 0.003 0.003 0.003 0.002 0.002] Top 10 short positions of all time (and max%) [] [] Top 10 positions of all time (and max%) [u'PFG-23151' u'GGP-8817' u'ITWO-14742' u'HGSI-10409' u'UPL-22406' u'LINE-27993' u'HBI-32497' u'PBYI-42689' u'EPE-46191' u'EYE-23844'] [ 1. 0.005 0.005 0.003 0.003 0.003 0.003 0.003 0.002 0.002] All positions ever held [u'PFG-23151' u'GGP-8817' u'ITWO-14742' ..., u'INTL-12684' u'HPE-49547' u'GOOG-46631'] [ 1. 0.005 0.005 ..., 0.001 0. 0. ]
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