Run the cell below to create your tear sheet, or return to your algorithm.
In [1]:
bt = get_backtest('5a4e5be970da3241a2c020e1')
bt.create_full_tear_sheet()
100% Time: 0:00:27|###########################################################|
| Start date | 2002-03-25 |
|---|---|
| End date | 2017-12-29 |
| Total months | 189 |
| Backtest | |
| Annual return | 71.8% |
| Cumulative returns | 506396.6% |
| Annual volatility | 51.3% |
| Sharpe ratio | 1.31 |
| Calmar ratio | 1.29 |
| Stability | 0.92 |
| Max drawdown | -55.8% |
| Omega ratio | 1.28 |
| Sortino ratio | 2.05 |
| Skew | 0.48 |
| Kurtosis | 5.09 |
| Tail ratio | 1.16 |
| Daily value at risk | -6.2% |
| Gross leverage | 1.59 |
| Daily turnover | 4.6% |
| Alpha | 0.56 |
| Beta | 1.23 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 55.79 | 2008-05-13 | 2009-03-09 | 2009-05-28 | 273 |
| 1 | 53.68 | 2012-09-19 | 2013-06-27 | 2014-07-14 | 474 |
| 2 | 53.56 | 2015-04-27 | 2016-05-12 | 2017-03-28 | 502 |
| 3 | 50.89 | 2006-01-13 | 2006-07-14 | 2006-11-22 | 224 |
| 4 | 47.56 | 2007-12-28 | 2008-02-07 | 2008-05-06 | 93 |
/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 | -0.53% | -11.55% | 4.24% |
| US downgrade/European Debt Crisis | 0.01% | -10.29% | 11.60% |
| Fukushima | -0.42% | -8.38% | 4.99% |
| US Housing | -0.24% | -3.44% | 2.43% |
| EZB IR Event | -0.47% | -4.99% | 4.67% |
| Aug07 | 0.49% | -10.13% | 10.95% |
| Mar08 | 0.62% | -2.54% | 4.14% |
| Sept08 | -1.28% | -11.55% | 4.24% |
| 2009Q1 | -0.24% | -8.14% | 4.85% |
| 2009Q2 | 1.41% | -7.75% | 12.99% |
| Flash Crash | -0.60% | -7.88% | 14.98% |
| Apr14 | 0.57% | -1.09% | 8.10% |
| Oct14 | 0.58% | -2.94% | 5.13% |
| Fall2015 | -0.18% | -6.21% | 3.81% |
| Low Volatility Bull Market | 0.45% | -17.34% | 17.33% |
| GFC Crash | 0.14% | -14.38% | 21.01% |
| Recovery | 0.29% | -10.29% | 16.71% |
| New Normal | 0.14% | -15.04% | 10.83% |
| Top 10 long positions of all time | max |
|---|---|
| AAPL-24 | 205.68% |
| TLT-23921 | 32.95% |
| Top 10 short positions of all time | max |
|---|
| Top 10 positions of all time | max |
|---|---|
| AAPL-24 | 205.68% |
| TLT-23921 | 32.95% |
| All positions ever held | max |
|---|---|
| AAPL-24 | 205.68% |
| TLT-23921 | 32.95% |
/usr/local/lib/python2.7/dist-packages/pyfolio/perf_attrib.py:589: UserWarning: Could not find factor loadings for 701 dates: (first missing is 2002-03-22 00:00:00+00:00, last missing is 2004-12-31 00:00:00+00:00). Truncating date range for performance attribution. warnings.warn(warning_msg)
Performance Relative to Common Risk Factors¶
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 45.36% |
| Annualized Common Return | 9.25% |
| Annualized Total Return | 62.16% |
| Specific Sharpe Ratio | 1.14 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | -0.00 | 0.14% | 1.79% |
| consumer_cyclical | -0.01 | -0.13% | -1.66% |
| financial_services | -0.02 | -0.21% | -2.67% |
| real_estate | 0.02 | 0.32% | 4.23% |
| consumer_defensive | -0.00 | -0.07% | -0.92% |
| health_care | -0.00 | -0.08% | -1.02% |
| utilities | 0.01 | 0.06% | 0.74% |
| communication_services | 0.00 | 0.06% | 0.80% |
| energy | -0.01 | -0.11% | -1.45% |
| industrials | -0.01 | -0.16% | -2.12% |
| technology | 1.82 | 16.09% | 593.91% |
| momentum | 1.30 | 4.43% | 75.51% |
| size | 5.30 | -11.31% | -78.96% |
| value | -1.13 | 0.39% | 5.22% |
| short_term_reversal | -0.51 | -0.42% | -5.32% |
| volatility | -0.37 | 0.91% | 12.52% |
