Run the cell below to create your tear sheet, or return to your algorithm.
In [1]:
bt = get_backtest('5a0b043672485d4016b57d8c')
bt.create_full_tear_sheet()
100% Time: 0:00:02|###########################################################|
| Start date | 2007-06-04 |
|---|---|
| End date | 2017-11-13 |
| Total months | 125 |
| Backtest | |
| Annual return | 15.6% |
| Cumulative returns | 353.0% |
| Annual volatility | 13.6% |
| Sharpe ratio | 1.13 |
| Calmar ratio | 0.82 |
| Stability | 0.97 |
| Max drawdown | -19.1% |
| Omega ratio | 1.23 |
| Sortino ratio | 1.70 |
| Skew | 0.75 |
| Kurtosis | 11.70 |
| Tail ratio | 0.97 |
| Daily value at risk | -1.7% |
| Gross leverage | 1.00 |
| Daily turnover | 10.2% |
| Alpha | 0.11 |
| Beta | 0.52 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 19.07 | 2008-06-05 | 2008-10-10 | 2009-06-01 | 258 |
| 1 | 13.08 | 2015-07-20 | 2015-09-29 | 2016-04-18 | 196 |
| 2 | 11.17 | 2007-12-26 | 2008-03-10 | 2008-04-21 | 84 |
| 3 | 10.01 | 2011-10-28 | 2011-11-25 | 2012-01-25 | 64 |
| 4 | 8.39 | 2012-09-19 | 2012-11-15 | 2013-05-02 | 162 |
/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 | -0.23% | -2.47% | 1.00% |
| US downgrade/European Debt Crisis | 0.11% | -1.68% | 2.05% |
| Fukushima | 0.07% | -1.75% | 1.41% |
| EZB IR Event | -0.12% | -1.32% | 1.15% |
| Aug07 | 0.24% | -1.79% | 2.24% |
| Mar08 | 0.23% | -1.64% | 3.04% |
| Sept08 | -0.37% | -2.47% | 0.85% |
| 2009Q1 | -0.14% | -3.93% | 3.26% |
| 2009Q2 | 0.25% | -2.55% | 4.77% |
| Flash Crash | 0.10% | -0.40% | 0.40% |
| Apr14 | -0.06% | -2.39% | 1.35% |
| Oct14 | 0.37% | -1.16% | 2.04% |
| Fall2015 | -0.31% | -3.32% | 1.82% |
| Low Volatility Bull Market | 0.03% | -1.50% | 1.35% |
| GFC Crash | 0.05% | -4.22% | 9.68% |
| Recovery | 0.08% | -3.44% | 2.87% |
| New Normal | 0.05% | -3.32% | 2.47% |
| Top 10 long positions of all time | max |
|---|---|
| QQQ-19920 | 81.39% |
| IEF-23870 | 81.35% |
| Top 10 short positions of all time | max |
|---|
| Top 10 positions of all time | max |
|---|---|
| QQQ-19920 | 81.39% |
| IEF-23870 | 81.35% |
| All positions ever held | max |
|---|---|
| QQQ-19920 | 81.39% |
| IEF-23870 | 81.35% |
/usr/local/lib/python2.7/dist-packages/pyfolio/perf_attrib.py:198: UserWarning: Could not find factor loadings for 1 dates: [Timestamp('2017-11-13 00:00:00+0000', tz='UTC')]. Truncating date range for performance attribution.
warnings.warn(warning_msg)
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 0.025515 |
| Annualized Common Return | 0.125492 |
| Annualized Total Return | 0.155079 |
| Specific Sharpe Ratio | 0.572355 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | 0.019281 | 0.003801 | 0.040437 |
| consumer_cyclical | 0.144077 | 0.023275 | 0.271757 |
| financial_services | -0.060303 | -0.005864 | -0.059598 |
| real_estate | 0.035031 | 0.004988 | 0.053368 |
| consumer_defensive | -0.058071 | -0.009313 | -0.093132 |
| health_care | 0.121509 | 0.016623 | 0.187985 |
| utilities | -0.020321 | -0.002365 | -0.024437 |
| communication_services | -0.038209 | -0.000809 | -0.008420 |
| energy | -0.003155 | 0.000373 | 0.003904 |
| industrials | -0.035716 | -0.004694 | -0.047969 |
| technology | 0.593965 | 0.102972 | 1.784390 |
| momentum | 0.137585 | -0.001481 | -0.015364 |
| size | -0.047609 | 0.000735 | 0.007710 |
| value | -0.066138 | 0.000860 | 0.009026 |
| short_term_reversal | -0.024395 | -0.001234 | -0.012818 |
| volatility | 0.128682 | -0.003326 | -0.034209 |
