In [1]:
bt = get_backtest('58ac2a44d446705dfac76552')
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 | 0.09 |
| cum_returns_final | 1.47 |
| annual_volatility | 0.11 |
| sharpe_ratio | 0.85 |
| calmar_ratio | 0.31 |
| stability_of_timeseries | 0.94 |
| max_drawdown | -0.30 |
| omega_ratio | 1.17 |
| sortino_ratio | 1.23 |
| skew | -0.09 |
| kurtosis | 8.38 |
| tail_ratio | 0.99 |
| common_sense_ratio | 1.08 |
| gross_leverage | 0.98 |
| information_ratio | 0.00 |
| alpha | 0.05 |
| beta | 0.48 |
| Worst drawdown periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 30.48 | 2008-09-19 | 2009-03-09 | 2009-12-29 | 333 |
| 1 | 9.30 | 2011-07-08 | 2011-08-08 | 2011-10-24 | 77 |
| 2 | 8.91 | 2008-05-15 | 2008-07-15 | 2008-09-19 | 92 |
| 3 | 8.11 | 2007-07-13 | 2008-01-18 | 2008-05-12 | 217 |
| 4 | 7.06 | 2015-03-23 | 2015-09-28 | 2016-03-07 | 251 |
[-0.014 -0.028]
/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 | 0.01% | -2.61% | 2.59% |
| US downgrade/European Debt Crisis | 0.05% | -3.42% | 3.33% |
| Fukushima | 0.11% | -0.48% | 0.85% |
| EZB IR Event | -0.02% | -0.52% | 0.54% |
| Aug07 | 0.02% | -1.54% | 1.01% |
| Mar08 | 0.06% | -1.13% | 1.74% |
| Sept08 | -0.16% | -2.61% | 2.59% |
| 2009Q1 | -0.44% | -3.46% | 1.80% |
| 2009Q2 | 0.27% | -3.33% | 3.84% |
| Flash Crash | -0.18% | -1.32% | 1.73% |
| Apr14 | 0.04% | -0.62% | 0.53% |
| Oct14 | 0.18% | -0.97% | 1.00% |
| Fall2015 | -0.16% | -2.20% | 1.47% |
| Low Volatility Bull Market | 0.00% | -1.32% | 0.89% |
| GFC Crash | -0.03% | -5.22% | 5.81% |
| Recovery | 0.07% | -3.42% | 3.33% |
| New Normal | 0.04% | -2.20% | 1.76% |
| Top 10 long positions of all time | max |
|---|---|
| IEF-23870 | 48.92% |
| ASH-559 | 7.32% |
| MUR-5126 | 4.86% |
| LINE-27993 | 4.81% |
| BMR-26548 | 4.69% |
| TEK-7388 | 4.52% |
| NE-5249 | 4.52% |
| HPT-13373 | 4.51% |
| RICE-46240 | 4.49% |
| FLO-2876 | 4.41% |
| Top 10 short positions of all time | max |
|---|
| Top 10 positions of all time | max |
|---|---|
| IEF-23870 | 48.92% |
| ASH-559 | 7.32% |
| MUR-5126 | 4.86% |
| LINE-27993 | 4.81% |
| BMR-26548 | 4.69% |
| TEK-7388 | 4.52% |
| NE-5249 | 4.52% |
| HPT-13373 | 4.51% |
| RICE-46240 | 4.49% |
| FLO-2876 | 4.41% |
| All positions ever held | max |
|---|---|
| IEF-23870 | 48.92% |
| ASH-559 | 7.32% |
| MUR-5126 | 4.86% |
| LINE-27993 | 4.81% |
| BMR-26548 | 4.69% |
| TEK-7388 | 4.52% |
| NE-5249 | 4.52% |
| HPT-13373 | 4.51% |
| RICE-46240 | 4.49% |
| FLO-2876 | 4.41% |
| OLN-5643 | 4.36% |
| EGN-2470 | 4.20% |
| SJT-6906 | 4.15% |
| PKG-20773 | 4.14% |
| AYI-23276 | 4.13% |
| TIE-15230 | 4.09% |
| CBT-1315 | 4.09% |
| WL-8189 | 4.07% |
| HRC-3471 | 4.07% |
| EQC-3675 | 4.06% |
| BRCD-20061 | 4.06% |
| CR-1835 | 4.02% |
| FLIR-9156 | 3.99% |
| PTEN-10254 | 3.98% |
| CSL-1909 | 3.97% |
| OII-5629 | 3.94% |
| WNR-27997 | 3.92% |
| TECH-7373 | 3.91% |
| TDW-7364 | 3.91% |
| CALM-16169 | 3.90% |
| ... | ... |
| SDLP-43539 | 2.98% |
| IGT-3840 | 2.97% |
| NAT-17553 | 2.96% |
| ACAS-17334 | 2.95% |
| IFF-3822 | 2.94% |
| CLP-9704 | 2.93% |
| TSN-7684 | 2.92% |
| ACV-107 | 2.92% |
| VRX-3788 | 2.89% |
| CHS-8612 | 2.88% |
| WEN-8146 | 2.88% |
| TCB-7334 | 2.87% |
| SLGN-16559 | 2.86% |
| GAS-3103 | 2.86% |
| NYT-5551 | 2.85% |
| CEI-11107 | 2.84% |
| AFG-12980 | 2.83% |
| SPXC-7086 | 2.78% |
| BRY-1103 | 2.74% |
| ARRO-529 | 2.73% |
| BXS-1028 | 2.73% |
| LII-24767 | 2.72% |
| CFR-1427 | 2.66% |
| AHL-25712 | 2.65% |
| OGE-5607 | 2.64% |
| FMC-2893 | 2.60% |
| NSH-32386 | 2.59% |
| LZ-4620 | 2.52% |
| LI-25969 | 2.42% |
| MAC-10984 | 1.84% |
284 rows × 1 columns
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