In [15]:
import pyfolio as pf
In [1]:
pravin = get_backtest("578e3b0fbefbc00f975a5816")
100% Time: 0:01:53|###########################################################|
In [17]:
pravin.create_position_tear_sheet()
Top 10 long positions of all time (and max%) [u'AXP-679' u'NEM-5261' u'ESRX-2618' u'VMW-34545' u'AAPL-24' u'DD-2119' u'KO-4283' u'MRK-5029' u'TGT-21090' u'DE-2127'] [ 0.167 0.151 0.138 0.136 0.127 0.124 0.122 0.121 0.12 0.119] Top 10 short positions of all time (and max%) [u'CELG-1406' u'BLK-20689' u'AAPL-24' u'APC-455' u'UNH-7792' u'SCCO-14284' u'GILD-3212' u'ESRX-2618' u'AMGN-368' u'DOW-2263'] [-0.133 -0.127 -0.124 -0.122 -0.119 -0.118 -0.113 -0.112 -0.11 -0.11 ] Top 10 positions of all time (and max%) [u'AXP-679' u'NEM-5261' u'ESRX-2618' u'VMW-34545' u'CELG-1406' u'BLK-20689' u'AAPL-24' u'DD-2119' u'APC-455' u'KO-4283'] [ 0.167 0.151 0.138 0.136 0.133 0.127 0.127 0.124 0.122 0.122] All positions ever held [u'AXP-679' u'NEM-5261' u'ESRX-2618' u'VMW-34545' u'CELG-1406' u'BLK-20689' u'AAPL-24' u'DD-2119' u'APC-455' u'KO-4283' u'MRK-5029' u'TGT-21090' u'UNH-7792' u'DE-2127' u'BAX-734' u'SCCO-14284' u'SLB-6928' u'GILD-3212' u'PFE-5923' u'AMGN-368' u'F-2673' u'DOW-2263' u'SPG-10528' u'EBAY-24819' u'FCX-13197' u'SO-7011' u'HAL-3443' u'WBA-8089' u'CSCO-1900' u'MET-21418' u'UPS-20940' u'ACL-23477' u'PEP-5885' u'CAT-1267' u'CCL-24692' u'MCD-4707' u'ORCL-5692' u'LVS-26882' u'QCOM-6295' u'GS-20088' u'GLW-3241' u'DVN-2368' u'NKE-5328' u'MA-32146' u'GOOG_L-26578' u'PG-5938' u'JNJ-4151' u'IBM-3766' u'USB-25010' u'C-1335' u'V-35920' u'EMC-2518' u'WMT-8229' u'BMY-980' u'GM-40430' u'HPQ-3735' u'MOS-26721' u'LOW-4521' u'TXN-7671' u'INTC-3951' u'AMZN-16841' u'MS-17080' u'PM-35902' u'COST-1787' u'UNP-7800' u'VZ-21839' u'ACN-25555' u'MON-22140' u'T-6653' u'MO-4954' u'APA-448' u'CVX-23112' u'MSFT-5061' u'CL-1582' u'FDX-2765' u'BA-698' u'JPM-25006' u'LLY-4487' u'ABT-62' u'PX-6272' u'OXY-5729' u'HD-3496' u'MDT-4758' u'BAC-700' u'CMCS_A-1637' u'CVS-4799' u'DHR-2170' u'HON-25090' u'DIS-2190' u'TWX-357' u'PNC-6068' u'BK-903' u'XOM-8347' u'GE-3149' u'PYPL-49242' u'COP-23998' u'WFC-8151' u'UTX-7883' u'MMM-4922' u'BRK_B-11100' u'EMR-2530' u'GOOG-46631' u'HPE-49547'] [ 0.167 0.151 0.138 0.136 0.133 0.127 0.127 0.124 0.122 0.122 0.121 0.12 0.119 0.119 0.118 0.118 0.116 0.113 0.111 0.11 0.11 0.11 0.11 0.109 0.108 0.108 0.108 0.107 0.107 0.104 0.103 0.101 0.1 0.1 0.1 0.098 0.098 0.097 0.096 0.095 0.095 0.094 0.094 0.094 0.091 0.091 0.09 0.09 0.088 0.088 0.087 0.087 0.087 0.086 0.085 0.084 0.083 0.083 0.083 0.082 0.082 0.081 0.079 0.079 0.078 0.078 0.078 0.078 0.077 0.077 0.076 0.076 0.074 0.074 0.073 0.073 0.073 0.073 0.072 0.07 0.07 0.069 0.068 0.068 0.067 0.066 0.066 0.065 0.065 0.064 0.063 0.061 0.058 0.056 0.054 0.054 0.053 0.053 0.05 0.047 0.046 0.007 0.005]
In [11]:
robust_ICA = get_backtest("578e3bd7a01e9a0f890ce265")
100% Time: 0:01:14|###########################################################|
In [13]:
robust_ICA.create_position_tear_sheet()
Top 10 long positions of all time (and max%) [u'DUK-2351' u'TWC-33133' u'AAPL-24' u'ESRX-2618' u'DTV-26111' u'MRK-5029' u'SLB-6928' u'KMI-40852' u'SO-7011' u'MCD-4707'] [ 0.134 0.128 0.117 0.115 0.108 0.107 0.103 0.102 0.1 0.098] Top 10 short positions of all time (and max%) [u'BLK-20689' u'AIG-239' u'DOW-2263' u'WBA-8089' u'CELG-1406' u'MA-32146' u'ABBV-43694' u'HAL-3443' u'AMGN-368' u'LYB-39546'] [-0.134 -0.116 -0.107 -0.099 -0.096 -0.094 -0.091 -0.089 -0.083 -0.082] Top 10 positions of all time (and max%) [u'DUK-2351' u'BLK-20689' u'TWC-33133' u'AAPL-24' u'AIG-239' u'ESRX-2618' u'DTV-26111' u'MRK-5029' u'DOW-2263' u'SLB-6928'] [ 0.134 0.134 0.128 0.117 0.116 0.115 0.108 0.107 0.107 0.103] All positions ever held [u'DUK-2351' u'BLK-20689' u'TWC-33133' u'AAPL-24' u'AIG-239' u'ESRX-2618' u'DTV-26111' u'MRK-5029' u'DOW-2263' u'SLB-6928' u'KMI-40852' u'SO-7011' u'WBA-8089' u'MCD-4707' u'AXP-679' u'KO-4283' u'CELG-1406' u'SPG-10528' u'MA-32146' u'GS-20088' u'ABBV-43694' u'HAL-3443' u'TGT-21090' u'USB-25010' u'CL-1582' u'WMT-8229' u'PEP-5885' u'EMC-2518' u'PG-5938' u'NEM-5261' u'JNJ-4151' u'AMGN-368' u'MON-22140' u'LYB-39546' u'NEE-2968' u'T-6653' u'KMB-4263' u'F-2673' u'MO-4954' u'VZ-21839' u'ACL-23477' u'APC-455' u'COST-1787' u'D-2071' u'EOG-2564' u'LLY-4487' u'MOS-26721' u'PCLN-19917' u'PRU-23328' u'GOOG_L-26578' u'NKE-5328' u'SCCO-14284' u'GILD-3212' u'PSX-42788' u'MS-17080' u'ABT-62' u'BMY-980' u'EBAY-24819' u'EXC-22114' u'C-1335' u'VMW-34545' u'DD-2119' u'FOXA-12213' u'ORCL-5692' u'FCX-13197' u'QCOM-6295' u'BA-698' u'UNH-7792' u'BAC-700' u'XOM-8347' u'UPS-20940' u'IBM-3766' u'CVX-23112' u'HES-216' u'MDLZ-22802' u'CSCO-1900' u'TXN-7671' u'PM-35902' u'AGN-8572' u'LMT-12691' u'MDT-4758' u'REGN-6413' u'DE-2127' u'CRM-26401' u'HD-3496' u'PFE-5923' u'CAT-1267' u'LVS-26882' u'BEN-812' u'HON-25090' u'OXY-5729' u'TJX-7457' u'FDX-2765' u'PNC-6068' u'APA-448' u'ACN-25555' u'BAX-734' u'AMZN-16841' u'UNP-7800' u'CCL-24692' u'DELL-25317' u'TWX-357' u'LOW-4521' u'BIIB-3806' u'CVS-4799' u'FB-42950' u'LBTY_A-27357' u'DIS-2190' u'COP-23998' u'KRFT-43405' u'BRK_B-11100' u'ADBE-114' u'PX-6272' u'HPQ-3735' u'CMCS_A-1637' u'INTC-3951' u'AVGO-38650' u'YUM-17787' u'GE-3149' u'MCK-12350' u'WFC-8151' u'SBUX-6683' u'GLW-3241' u'MSFT-5061' u'DVN-2368' u'YHOO-14848' u'V-35920' u'DHR-2170' u'COF-12160' u'EMR-2530' u'TMO-7493' u'BK-903' u'UTX-7883' u'MMM-4922' u'AGN-205' u'JPM-25006' u'NOV-24809' u'BHI-858' u'GD-3136' u'RAI-20277' u'ALXN-14328' u'CSX-1937' u'COV-34010' u'NFLX-23709' u'CB-8580' u'SCHW-6704' u'GOOG-46631' u'PSA-24962' u'KR-4297' u'AMT-24760' u'MHS-25445' u'GM-40430'] [ 0.134 0.134 0.128 0.117 0.116 0.115 0.108 0.107 0.107 0.103 0.102 0.1 0.099 0.098 0.097 0.097 0.096 0.095 0.094 0.094 0.091 0.089 0.088 0.088 0.088 0.087 0.087 0.085 0.085 0.084 0.084 0.083 0.083 0.082 0.08 0.08 0.076 0.075 0.075 0.075 0.075 0.074 0.074 0.072 0.072 0.072 0.072 0.072 0.071 0.071 0.07 0.07 0.07 0.07 0.069 0.069 0.069 0.068 0.067 0.067 0.067 0.066 0.066 0.066 0.066 0.066 0.064 0.063 0.063 0.063 0.063 0.063 0.062 0.061 0.061 0.061 0.06 0.06 0.06 0.06 0.06 0.059 0.059 0.058 0.058 0.058 0.058 0.057 0.056 0.056 0.055 0.055 0.054 0.054 0.054 0.053 0.053 0.052 0.052 0.052 0.052 0.052 0.052 0.051 0.051 0.051 0.051 0.051 0.05 0.05 0.05 0.05 0.05 0.049 0.049 0.048 0.048 0.046 0.046 0.046 0.046 0.045 0.045 0.044 0.042 0.042 0.041 0.04 0.039 0.039 0.038 0.038 0.037 0.036 0.034 0.034 0.031 0.03 0.028 0.028 0.024 0.024 0.019 0.019 0.019 0.018 0.016 0.015 0.013 0.012 0.009 0.008]
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