In [1]:
bt = get_backtest('56e2d18ac8b52b0f4e1506ba')
# Create all tear sheets
bt.create_full_tear_sheet()
100% Time: 0:00:30|###########################################################|
Entire data start date: 2003-01-02
Entire data end date: 2015-12-31
Backtest Months: 155
Backtest
annual_return 0.17
annual_volatility 0.21
sharpe_ratio 0.87
calmar_ratio 0.58
stability 0.97
max_drawdown -0.30
omega_ratio 1.18
sortino_ratio 1.21
skewness -0.54
kurtosis 4.49
information_ratio 0.03
alpha 0.14
beta 0.44
Worst Drawdown Periods
net drawdown in % peak date valley date recovery date duration
0 29.61 2011-02-14 2011-08-19 2013-03-26 552
1 17.96 2014-02-26 2014-10-15 2015-02-23 259
4 17.34 2010-04-26 2010-05-20 2010-11-04 139
2 13.81 2015-08-05 2015-08-24 NaT NaN
3 11.15 2014-01-08 2014-01-27 2014-02-21 33
2-sigma returns daily -0.026
2-sigma returns weekly -0.050
dtype: float64
Stress Events
mean min max
Lehmann 0.000 -0.005 0.007
US downgrade/European Debt Crisis -0.007 -0.076 0.034
Fukushima 0.005 -0.019 0.035
US Housing 0.000 -0.002 0.001
EZB IR Event -0.001 -0.016 0.023
Aug07 0.001 -0.033 0.037
Mar08 -0.000 -0.005 0.003
Sept08 0.000 -0.005 0.007
2009Q1 -0.000 -0.002 0.002
2009Q2 0.000 -0.002 0.004
Flash Crash 0.006 -0.024 0.073
Apr14 -0.001 -0.041 0.037
Oct14 -0.001 -0.035 0.021
Fall2015 -0.001 -0.052 0.042
Low Volatility Bull Market 0.001 -0.055 0.064
GFC Crash 0.001 -0.092 0.053
Recovery 0.001 -0.091 0.073
New Normal 0.001 -0.052 0.051
Top 10 long positions of all time (and max%) [u'SHY-23911' u'NEE-2968' u'SLV-28368' u'SNDK-13940' u'CELG-1406' u'EOP-17200' u'CREE-8459' u'SHW-6868' u'STX-24518' u'SLW-27437'] [ 0.95 0.452 0.388 0.373 0.336 0.333 0.329 0.327 0.323 0.323] Top 10 short positions of all time (and max%) [] [] Top 10 positions of all time (and max%) [u'SHY-23911' u'NEE-2968' u'SLV-28368' u'SNDK-13940' u'CELG-1406' u'EOP-17200' u'CREE-8459' u'SHW-6868' u'STX-24518' u'SLW-27437'] [ 0.95 0.452 0.388 0.373 0.336 0.333 0.329 0.327 0.323 0.323] All positions ever held [u'SHY-23911' u'NEE-2968' u'SLV-28368' u'SNDK-13940' u'CELG-1406' u'EOP-17200' u'CREE-8459' u'SHW-6868' u'STX-24518' u'SLW-27437' u'VLO-7990' u'GLW-3241' u'CLF-1595' u'BIDU-27533' u'CFC-1359' u'UAL-28051' u'TJX-7457' u'NFLX-23709' u'PCLN-19917' u'KR-4297' u'EXPE-27543' u'ISRG-25339' u'CMCS_K-1638' u'BLS-948' u'VMED-26491' u'AA-2' u'AAPL-24' u'HSH-6930' u'ADM-128' u'TGNA-3128' u'F-2673' u'EA-2602' u'TXU-7677' u'AMD-351' u'AEO-11086' u'NUS-16059' u'MEE-22324' u'VRX-10908' u'SWKS-23821' u'AMZN-16841' u'FRX-3014' u'SHPG-18488' u'GNW-26323' u'SLG-17448' u'GR-3327' u'BIIB-3806' u'IP-3971' u'ILMN-21774' u'AUY-25714' u'RHT-20541' u'MU-5121' u'AGN-205' u'PALM-24105' u'GPS-3321' u'RIG-9038' u'BRCD-20061' u'EL-13841' u'NVT-26551' u'CF-27558' u'GME-23438' u'NOK-11673' u'GM-3246' u'RAD-6330' u'DNA-24847' u'POT-6109' u'TRIP-42230' u'LNG-22096' u'AEM-154' u'EXPE-20860' u'CMCS_A-1637' u'MNST-3450' u'LB-4564' u'TSO-7612' u'SPLS-7061' u'REGN-6413' u'GOOG_L-26578' u'GT-3384' u'MMI-40616' u'AU-629' u'LULU-34395' u'VMW-34545' u'GMCR-9736' u'CAL-9699' u'ADSK-67' u'WMB-8214' u'UPL-22406' u'USG-7844' u'MPEL-33070' u'ONXX-14986' u'XMSR-20820' u'SUN-7211' u'AAMRQ-389' u'IMCL-3871' u'NOV-24809' u'ME-28130' u'GRMN-22316' u'AIG-239' u'LUV-4589' u'FFIV-20208' u'HUM-3718' u'EQIX-24482' u'GILD-3212' u'ENDP-21750' u'ANF-15622' u'NTLI-24573' u'ATI-24840' u'MCD-4707' u'BUCY-26506' u'X-8329' u'RVBD-32618' u'ALXN-14328' u'MOS-26721' u'WYNN-24124' u'LRCX-4537' u'CVC-2000' u'BBY-754' u'AV-22092' u'ECA-23021' u'SEE-6769' u'ESRX-2618' u'ALTR-328' u'DO-13635' u'OVTI-21799' u'MPC-41636' u'DNDN_Q-21612' u'EW-21382' u'AKAM-20680' u'AL-272' u'APPX-23275' u'INTC-3951' u'LXK-13891' u'ARMH-18522' u'BBRY-19831' u'ELN-2500' u'AGN-8572' u'PSX-42788' u'WLT-13771' u'MNK-44917' u'SWN-7244' u'FB-42950' u'EP-2568' u'TIE-15230' u'KSS-4313' u'EOG-2564' u'ROST-6546' u'AMLN-374' u'N-5174' u'JBLU-23599' u'TASR-22846' u'JCOM-22450' u'VSEA-20037' u'CTXS-14014' u'HIMX-28252' u'PCYC-13711' u'BWA-9514' u'CI-1539' u'HCA-41047' u'MA-32146' u'WDC-8132' u'SLXP-22269' u'SINA-21448' u'LVLT-18587' u'JWN-5382' u'ADTN-11718' u'STZ-24873' u'XL-8340' u'CROX-28078' u'CME-24475' u'SD-35006' u'LCC-27653' u'FITB-2855' u'PCO-23611' u'WHR-8178' u'FWLT-3076' u'TOL-7530' u'HFC-3620' u'BRCM-18529' u'LNKD-41451' u'QIHU-41149' u'RMBS-16945' u'CRM-26401' u'LVS-26882' u'EBAY-24819' u'HLF-26892' u'BEAS-16723' u'CYD-12311' u'DLTR-12652' u'MCP-39960' u'DAL-33729' u'PTEN-10254' u'NVDA-19725' u'KORS-42270' u'CHS-8612' u'TSLA-39840' u'ODP-5583' u'SOHU-21813' u'PD-5829' u'NOVL-5396' u'FSLR-32902' u'SHLD-26169' u'RF-34913' u'PHS-5977' u'BOOM-1034' u'TCK-31886' u'VALE-23536' u'AMTD-16586' u'VRTX-8045' u'NXPI-39994' u'QCOR-20914' u'BMRN-20330' u'CTSH-18870' u'BG-22959' u'KBH-4199' u'MGM-4831' u'SFA-6799' u'COG-1746' u'ALU-273' u'YHOO-14848' u'VTS-24857' u'BSX-1131' u'RRC-19249' u'AMBA-43495' u'ICE-27809' u'SCCO-14284' u'ENER-2539' u'DDD-12959' u'ERIC-24074' u'PANW-43202' u'MAR-25920' u'VIAV-20387' u'YGE-33985' u'CYBR-47779' u'SIRI-11901' u'NTRI-21697' u'MSI-4974' u'RCL-8863' u'PEIX-27129' u'AVGO-38650' u'SKX-20284' u'TEX-7408' u'PHM-5969' u'CMG-28016' u'ATML-607' u'JAZZ-33959' u'CHINA-27212' u'SPWR-27817' u'LM-4488' u'TRN-7583' u'YELP-42596' u'IONS-4031' u'CTRP-25729' u'SANM-8869' u'VIPS-42707' u'HTZ-32887' u'NTES-21669' u'AKS-10897' u'P-41579' u'FDRY-20602' u'NUE-5488' u'SFUN-40129' u'ATVI-9883' u'DECK-9909' u'GRPN-42118' u'UA-27822' u'JASO-33303' u'MRVL-21666' u'RFMD-17107' u'FTO-18561' u'PPG-6116' u'CY-2043' u'AQNT-24635' u'URBN-10303' u'MACR-10442' u'SGTL-25540' u'LEN-4417' u'CSIQ-32856' u'MT-17395' u'HAR-3455' u'ARIA-11880' u'DHI-2298' u'SCTY-43721' u'MTL-26761' u'SID-17925' u'TZOO-25805' u'GTAT-36628' u'TS-24522' u'NT-5472' u'RCPT-44689' u'DFS-34011' u'CX-2035' u'APKT-32724' u'SEPR-6785' u'CMI-1985' u'BLUE-44935' u'CNX-24758' u'SUNE-13306' u'ASKJ-20325' u'PLUG-20776' u'ZG-41730' u'LEXR-21901' u'NXTL-1237' u'MBT-21660' u'V-35920' u'GS-20088' u'PCP-5822' u'PKX-12095' u'IPIX-26139' u'CKFR-13506' u'CHK-8461' u'OVIP-16136' u'JOY-22996' u'PXD-17436' u'URI-18113' u'CNXT-19682' u'MDR-4752'] [ 0.95 0.452 0.388 0.373 0.336 0.333 0.329 0.327 0.323 0.323 0.322 0.317 0.317 0.311 0.308 0.306 0.291 0.288 0.284 0.284 0.283 0.281 0.279 0.279 0.278 0.277 0.268 0.266 0.264 0.262 0.258 0.257 0.256 0.256 0.255 0.255 0.254 0.253 0.253 0.251 0.25 0.248 0.248 0.247 0.247 0.244 0.242 0.241 0.24 0.24 0.239 0.239 0.238 0.238 0.235 0.235 0.235 0.233 0.233 0.23 0.23 0.229 0.229 0.229 0.229 0.228 0.227 0.226 0.226 0.225 0.224 0.223 0.222 0.218 0.216 0.214 0.214 0.214 0.213 0.213 0.213 0.212 0.212 0.212 0.211 0.211 0.209 0.209 0.208 0.208 0.207 0.205 0.205 0.204 0.204 0.203 0.203 0.203 0.202 0.202 0.2 0.198 0.198 0.198 0.197 0.197 0.197 0.196 0.196 0.196 0.195 0.195 0.194 0.194 0.193 0.189 0.189 0.188 0.188 0.187 0.185 0.185 0.184 0.184 0.183 0.182 0.181 0.181 0.181 0.181 0.181 0.181 0.18 0.18 0.179 0.177 0.177 0.175 0.175 0.174 0.174 0.173 0.172 0.171 0.171 0.171 0.171 0.17 0.169 0.169 0.169 0.168 0.168 0.167 0.167 0.167 0.167 0.166 0.166 0.165 0.163 0.163 0.162 0.162 0.161 0.161 0.16 0.16 0.16 0.16 0.158 0.158 0.157 0.157 0.157 0.157 0.157 0.156 0.156 0.155 0.154 0.154 0.154 0.153 0.153 0.153 0.153 0.152 0.152 0.152 0.152 0.152 0.151 0.146 0.146 0.146 0.145 0.144 0.144 0.144 0.143 0.143 0.143 0.142 0.14 0.14 0.14 0.14 0.139 0.138 0.138 0.137 0.137 0.135 0.135 0.135 0.133 0.133 0.133 0.131 0.13 0.13 0.13 0.13 0.126 0.126 0.125 0.124 0.123 0.123 0.123 0.122 0.122 0.122 0.122 0.121 0.12 0.119 0.119 0.118 0.115 0.115 0.115 0.115 0.113 0.113 0.111 0.111 0.111 0.108 0.108 0.106 0.105 0.104 0.104 0.103 0.102 0.102 0.101 0.1 0.098 0.097 0.097 0.096 0.096 0.096 0.095 0.093 0.093 0.093 0.09 0.09 0.09 0.09 0.089 0.089 0.088 0.086 0.086 0.086 0.085 0.084 0.083 0.083 0.082 0.081 0.081 0.08 0.079 0.079 0.078 0.078 0.078 0.077 0.077 0.076 0.074 0.073 0.069 0.068 0.068 0.067 0.066 0.062 0.062 0.06 0.051 0.051 0.05 0.05 0.045 0.039 0.03 0.023 0.012]
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