In [1]:
bt = get_backtest('58ac0dc57e45305dfebc72e0')
100% Time: 0:00:04|###########################################################|
In [2]:
bt.create_full_tear_sheet()
Entire data start date: 2007-01-03 Entire data end date: 2017-01-31 Backtest Months: 120
| Performance statistics | Backtest |
|---|---|
| annual_return | 0.14 |
| cum_returns_final | 2.71 |
| annual_volatility | 0.25 |
| sharpe_ratio | 0.65 |
| calmar_ratio | 0.28 |
| stability_of_timeseries | 0.92 |
| max_drawdown | -0.50 |
| omega_ratio | 1.14 |
| sortino_ratio | 0.95 |
| skew | 0.15 |
| kurtosis | 17.21 |
| tail_ratio | 1.01 |
| common_sense_ratio | 1.15 |
| gross_leverage | 0.99 |
| information_ratio | 0.03 |
| alpha | 0.07 |
| beta | 1.01 |
| Worst drawdown periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 49.64 | 2008-05-15 | 2008-11-20 | 2010-03-05 | 472 |
| 1 | 19.02 | 2015-08-12 | 2016-02-11 | 2016-07-13 | 241 |
| 2 | 18.82 | 2011-07-07 | 2011-08-08 | 2011-10-24 | 78 |
| 3 | 18.36 | 2007-07-13 | 2008-01-18 | 2008-05-02 | 211 |
| 4 | 12.46 | 2010-04-23 | 2010-07-06 | 2010-09-30 | 115 |
[-0.03 -0.061]
/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 | -0.02% | -5.76% | 5.36% |
| US downgrade/European Debt Crisis | -0.05% | -7.31% | 5.76% |
| Fukushima | 0.22% | -0.75% | 1.76% |
| EZB IR Event | -0.07% | -0.95% | 0.88% |
| Aug07 | 0.00% | -3.04% | 1.73% |
| Mar08 | 0.28% | -2.42% | 6.15% |
| Sept08 | -0.29% | -5.76% | 5.36% |
| 2009Q1 | -0.85% | -8.89% | 5.59% |
| 2009Q2 | 0.48% | -7.74% | 7.31% |
| Flash Crash | -0.43% | -2.84% | 3.51% |
| Apr14 | 0.01% | -1.46% | 0.86% |
| Oct14 | 0.30% | -1.55% | 1.99% |
| Fall2015 | -0.25% | -4.68% | 4.94% |
| Low Volatility Bull Market | 0.02% | -2.57% | 1.51% |
| GFC Crash | -0.03% | -15.35% | 13.58% |
| Recovery | 0.11% | -7.31% | 5.76% |
| New Normal | 0.07% | -4.68% | 4.94% |
| Top 10 long positions of all time | max |
|---|---|
| ASH-559 | 96.94% |
| WL-8189 | 45.59% |
| HRC-3471 | 44.34% |
| LINE-27993 | 37.35% |
| HTS-36111 | 35.58% |
| CR-1835 | 33.33% |
| SJT-6906 | 33.05% |
| NE-5249 | 31.86% |
| RICE-46240 | 28.05% |
| ORI-5696 | 27.74% |
| Top 10 short positions of all time | max |
|---|
| Top 10 positions of all time | max |
|---|---|
| ASH-559 | 96.94% |
| WL-8189 | 45.59% |
| HRC-3471 | 44.34% |
| LINE-27993 | 37.35% |
| HTS-36111 | 35.58% |
| CR-1835 | 33.33% |
| SJT-6906 | 33.05% |
| NE-5249 | 31.86% |
| RICE-46240 | 28.05% |
| ORI-5696 | 27.74% |
| All positions ever held | max |
|---|---|
| ASH-559 | 96.94% |
| WL-8189 | 45.59% |
| HRC-3471 | 44.34% |
| LINE-27993 | 37.35% |
| HTS-36111 | 35.58% |
| CR-1835 | 33.33% |
| SJT-6906 | 33.05% |
| NE-5249 | 31.86% |
| RICE-46240 | 28.05% |
| ORI-5696 | 27.74% |
| EAT-2404 | 27.24% |
| EQC-3675 | 26.67% |
| SCS-18347 | 26.35% |
| CVI-22766 | 25.44% |
| CBL-9890 | 24.68% |
| OLN-5643 | 24.50% |
| ITT-14081 | 24.28% |
| GATX-3266 | 23.61% |
| QSII-6311 | 22.37% |
| FLO-2876 | 22.26% |
| BPT-1068 | 21.88% |
| WNR-27997 | 21.83% |
| ACXM-110 | 20.41% |
| TEK-7388 | 20.36% |
| BG-22959 | 19.84% |
| TDW-7364 | 19.80% |
| HPT-13373 | 19.80% |
| BKD-27830 | 18.98% |
| ESV-2621 | 17.17% |
| BYD-9888 | 16.84% |
| ... | ... |
| CHS-8612 | 3.34% |
| AFG-12980 | 3.33% |
| EV-2407 | 3.18% |
| ARRO-529 | 3.18% |
| TSN-7684 | 3.11% |
| CHMT-40299 | 3.10% |
| RS-11955 | 3.08% |
| VRX-3788 | 3.04% |
| BRY-1103 | 2.96% |
| BLKB-26496 | 2.95% |
| NYT-5551 | 2.94% |
| FI-45248 | 2.91% |
| CASY-1266 | 2.89% |
| ACV-107 | 2.87% |
| WEN-8146 | 2.82% |
| FMER-12662 | 2.74% |
| PPDI-14288 | 2.65% |
| OGE-5607 | 2.64% |
| CEI-11107 | 2.52% |
| APLE-49051 | 2.49% |
| NSH-32386 | 2.48% |
| IBOC-18437 | 2.07% |
| LII-24767 | 2.06% |
| CGNX-1460 | 2.06% |
| MPWR-26811 | 2.03% |
| ENH-24608 | 1.34% |
| BMR-26548 | 1.32% |
| LZ-4620 | 1.20% |
| LI-25969 | 0.70% |
| AHL-25712 | 0.53% |
280 rows × 1 columns
In [ ]: