Run the cell below to create your tear sheet.
In [1]:
bt = get_backtest('5d15273c4e97e1624adf85eb')
bt.create_full_tear_sheet(hide_positions='True', live_start_date='10-01-2018')
100% Time: 0:00:13|###########################################################|
| Start date | 2018-01-04 | ||
|---|---|---|---|
| End date | 2019-06-24 | ||
| In-sample months | 8 | ||
| Out-of-sample months | 8 | ||
| All | In-sample | Out-of-sample | |
| Annual return | 178.0% | 85.8% | 318.5% |
| Cumulative returns | 346.8% | 58.0% | 182.8% |
| Annual volatility | 22.6% | 20.1% | 24.6% |
| Sharpe ratio | 4.65 | 3.19 | 5.96 |
| Calmar ratio | 23.15 | 11.16 | 46.43 |
| Stability | 0.92 | 0.86 | 0.98 |
| Max drawdown | -7.7% | -7.7% | -6.9% |
| Omega ratio | 2.09 | 1.67 | 2.52 |
| Sortino ratio | 8.44 | 5.25 | 11.55 |
| Skew | 0.07 | -0.12 | 0.06 |
| Kurtosis | 0.41 | 0.13 | 0.31 |
| Tail ratio | 1.45 | 1.16 | 1.54 |
| Daily value at risk | -2.4% | -2.3% | -2.5% |
| Gross leverage | 6.63 | 6.65 | 6.61 |
| Daily turnover | 5.3% | 5.1% | 5.5% |
| Alpha | 1.06 | 0.66 | 1.47 |
| Beta | -0.11 | -0.18 | -0.05 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 7.69 | 2018-09-10 | 2018-09-20 | 2018-10-24 | 33 |
| 1 | 6.86 | 2018-10-31 | 2018-11-06 | 2018-11-16 | 13 |
| 2 | 6.53 | 2018-07-19 | 2018-08-21 | 2018-08-31 | 32 |
| 3 | 5.68 | 2018-12-31 | 2019-01-03 | 2019-01-18 | 15 |
| 4 | 5.44 | 2018-05-08 | 2018-05-16 | 2018-05-31 | 18 |
| Stress Events | mean | min | max |
|---|---|---|---|
| New Normal | 0.42% | -3.89% | 5.33% |
/usr/local/lib/python2.7/dist-packages/pyfolio/perf_attrib.py:559: UserWarning: Could not determine risk exposures for some of this algorithm's positions. Returns from the missing assets will not be properly accounted for in performance attribution. 26 assets were missing factor loadings, including: ASML-12626, ATHM-45978, BABA-47740, BIDU-27533, CTRP-25729..YY-43647. Ignoring for exposure calculation and performance attribution. Ratio of assets missing: 0.085. Average allocation of selected missing assets: ASML-12626 30788.600410 ATHM-45978 39837.224849 BABA-47740 31766.521356 BIDU-27533 33496.460539 CTRP-25729 35513.450383 YY-43647 39007.326364 dtype: float64. warnings.warn(missing_stocks_warning_msg)
Performance Relative to Common Risk Factors¶
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 131.19% |
| Annualized Common Return | 21.55% |
| Annualized Total Return | 179.96% |
| Specific Sharpe Ratio | 4.63 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | -0.08 | -0.24% | -0.35% |
| consumer_cyclical | 0.07 | 1.50% | 2.22% |
| financial_services | 0.01 | -0.18% | -0.27% |
| real_estate | 0.06 | 0.37% | 0.55% |
| consumer_defensive | -0.09 | -0.52% | -0.77% |
| health_care | 0.04 | 0.66% | 0.97% |
| utilities | 0.13 | 1.12% | 1.65% |
| communication_services | -0.14 | -0.45% | -0.67% |
| energy | -0.11 | 1.36% | 2.01% |
| industrials | -0.04 | -0.23% | -0.34% |
| technology | 0.28 | 6.24% | 9.33% |
| momentum | 0.82 | 3.56% | 5.29% |
| size | 1.55 | 0.26% | 0.38% |
| value | -1.50 | 4.01% | 5.96% |
| short_term_reversal | -0.71 | -1.21% | -1.78% |
| volatility | -0.63 | 3.69% | 5.49% |
In [ ]: