In [1]:
bt = get_backtest('5884a39bb07bf961362be5f6')
100% Time: 0:00:46|###########################################################|
In [2]:
bt.create_full_tear_sheet()
Entire data start date: 2005-01-03 Entire data end date: 2017-01-20 Backtest Months: 144
| Performance statistics | Backtest |
|---|---|
| annual_return | 0.07 |
| annual_volatility | 0.06 |
| sharpe_ratio | 1.21 |
| calmar_ratio | 1.02 |
| stability_of_timeseries | 0.98 |
| max_drawdown | -0.07 |
| omega_ratio | 1.29 |
| sortino_ratio | 1.95 |
| skew | 0.88 |
| kurtosis | 16.78 |
| tail_ratio | 1.24 |
| common_sense_ratio | 1.33 |
| information_ratio | 0.00 |
| alpha | 0.07 |
| beta | 0.07 |
| Worst Drawdown Periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 7.07 | 2010-02-04 | 2010-05-07 | 2010-12-17 | 227 |
| 1 | 6.34 | 2011-05-31 | 2011-08-08 | 2011-09-30 | 89 |
| 2 | 5.33 | 2008-11-04 | 2008-11-20 | 2008-12-01 | 20 |
| 3 | 5.09 | 2006-11-09 | 2007-08-24 | 2007-09-18 | 224 |
| 4 | 4.26 | 2008-10-16 | 2008-10-27 | 2008-10-31 | 12 |
[-0.007 -0.015]
/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 | -0.00% | -2.85% | 1.29% |
| US downgrade/European Debt Crisis | 0.05% | -3.09% | 2.10% |
| Fukushima | 0.05% | -0.79% | 0.44% |
| EZB IR Event | -0.01% | -0.32% | 0.58% |
| Aug07 | 0.10% | -0.90% | 1.55% |
| Mar08 | 0.06% | -0.62% | 0.68% |
| Sept08 | -0.05% | -2.85% | 0.99% |
| 2009Q1 | 0.11% | -1.22% | 2.00% |
| 2009Q2 | 0.14% | -1.34% | 2.04% |
| Flash Crash | -0.11% | -1.81% | 2.13% |
| Apr14 | 0.08% | -0.28% | 0.60% |
| Oct14 | 0.04% | -0.54% | 0.70% |
| Fall2015 | 0.07% | -0.52% | 1.15% |
| Low Volatility Bull Market | 0.00% | -0.91% | 0.79% |
| GFC Crash | 0.06% | -2.85% | 3.62% |
| Recovery | 0.04% | -3.09% | 2.60% |
| New Normal | 0.02% | -1.27% | 1.38% |
| Top 10 long positions of all time | max |
|---|---|
| LVS-26882 | 1.78% |
| WB-25007 | 1.37% |
| FSLR-32902 | 1.28% |
| NOV-24809 | 1.26% |
| WFM-8158 | 1.25% |
| BBY-754 | 1.25% |
| EBAY-24819 | 1.24% |
| FCX-13197 | 1.23% |
| KMI-40852 | 1.23% |
| SLB-6928 | 1.22% |
| Top 10 short positions of all time | max |
|---|---|
| GOOG_L-26578 | -1.30% |
| NEM-5261 | -1.27% |
| V-35920 | -1.20% |
| CELG-1406 | -1.19% |
| TJX-7457 | -1.18% |
| GS-20088 | -1.18% |
| HES-216 | -1.18% |
| MSI-4974 | -1.18% |
| PRU-23328 | -1.18% |
| FB-42950 | -1.18% |
| Top 10 positions of all time | max |
|---|---|
| LVS-26882 | 1.78% |
| WB-25007 | 1.37% |
| GOOG_L-26578 | 1.30% |
| FSLR-32902 | 1.28% |
| NEM-5261 | 1.27% |
| NOV-24809 | 1.26% |
| WFM-8158 | 1.25% |
| BBY-754 | 1.25% |
| EBAY-24819 | 1.24% |
| FCX-13197 | 1.23% |
| All positions ever held | max |
|---|---|
| LVS-26882 | 1.78% |
| WB-25007 | 1.37% |
| GOOG_L-26578 | 1.30% |
| FSLR-32902 | 1.28% |
| NEM-5261 | 1.27% |
| NOV-24809 | 1.26% |
| WFM-8158 | 1.25% |
| BBY-754 | 1.25% |
| EBAY-24819 | 1.24% |
| FCX-13197 | 1.23% |
| KMI-40852 | 1.23% |
| SLB-6928 | 1.22% |
| BRCM-18529 | 1.21% |
| AMGN-368 | 1.21% |
| DHR-2170 | 1.20% |
| BHI-858 | 1.20% |
| V-35920 | 1.20% |
| CSX-1937 | 1.20% |
| GILD-3212 | 1.19% |
| ARNC-2 | 1.19% |
| CELG-1406 | 1.19% |
| T-6653 | 1.19% |
| DOW-2263 | 1.18% |
| LYB-39546 | 1.18% |
| TJX-7457 | 1.18% |
| GS-20088 | 1.18% |
| CCL-24692 | 1.18% |
| UNH-7792 | 1.18% |
| VMW-34545 | 1.18% |
| HES-216 | 1.18% |
| ... | ... |
| SIRI-11901 | 0.88% |
| RSG-19147 | 0.88% |
| TXT-7674 | 0.87% |
| LU-14756 | 0.87% |
| MXIM-5149 | 0.86% |
| FISV-2853 | 0.85% |
| GRMN-22316 | 0.85% |
| HLT-3594 | 0.85% |
| WDC-8132 | 0.84% |
| KMG-4266 | 0.84% |
| DLPH-42173 | 0.83% |
| NWL-5520 | 0.83% |
| NFB-5282 | 0.83% |
| FCAU-47888 | 0.82% |
| LM-4488 | 0.82% |
| FAST-2696 | 0.82% |
| LLL-18738 | 0.81% |
| XEL-21964 | 0.81% |
| CHRW-17632 | 0.81% |
| BCR-779 | 0.80% |
| CERN-1419 | 0.80% |
| FSL-26482 | 0.80% |
| CAM-13176 | 0.80% |
| TAP-76 | 0.78% |
| HRL-3668 | 0.77% |
| UAA-27822 | 0.75% |
| FOX-24755 | 0.75% |
| ABC-22954 | 0.66% |
| HPE-49547 | 0.46% |
| BNK-27079 | 0.20% |
416 rows × 1 columns
In [ ]: