In [1]:
bt = get_backtest('5815b5c45a1c550f21af2250')
100% Time: 0:01:27|###########################################################|
In [2]:
bt.create_full_tear_sheet()
Entire data start date: 2002-11-01 Entire data end date: 2014-12-18 Backtest Months: 145
| Performance statistics | Backtest |
|---|---|
| annual_return | 0.10 |
| annual_volatility | 0.09 |
| sharpe_ratio | 1.01 |
| calmar_ratio | 0.81 |
| stability_of_timeseries | 0.89 |
| max_drawdown | -0.12 |
| omega_ratio | 1.22 |
| sortino_ratio | 1.57 |
| skew | 0.59 |
| kurtosis | 13.22 |
| tail_ratio | 1.13 |
| common_sense_ratio | 1.23 |
| information_ratio | 0.00 |
| alpha | 0.09 |
| beta | 0.02 |
| Worst Drawdown Periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 11.84 | 2009-05-04 | 2010-11-11 | 2011-11-09 | 658 |
| 1 | 9.13 | 2009-02-26 | 2009-04-13 | 2009-05-04 | 48 |
| 2 | 8.29 | 2012-10-23 | 2014-01-16 | 2014-05-01 | 398 |
| 3 | 7.25 | 2006-06-01 | 2006-08-30 | 2006-11-27 | 128 |
| 4 | 6.55 | 2003-09-15 | 2004-02-19 | 2004-10-01 | 275 |
[-0.011 -0.024]
/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 | 0.58% | -3.29% | 5.61% |
| US downgrade/European Debt Crisis | 0.12% | -1.03% | 0.98% |
| Fukushima | 0.01% | -0.45% | 0.45% |
| US Housing | -0.02% | -0.58% | 0.55% |
| EZB IR Event | 0.09% | -0.82% | 0.93% |
| Aug07 | 0.10% | -1.11% | 1.10% |
| Mar08 | 0.13% | -1.21% | 1.29% |
| Sept08 | 1.01% | -3.29% | 5.61% |
| 2009Q1 | 0.20% | -2.87% | 2.78% |
| 2009Q2 | 0.02% | -4.95% | 4.11% |
| Flash Crash | 0.07% | -0.08% | 0.26% |
| Apr14 | 0.35% | -1.10% | 0.88% |
| Oct14 | 0.08% | -1.19% | 0.64% |
| Low Volatility Bull Market | 0.01% | -2.14% | 1.50% |
| GFC Crash | 0.18% | -3.99% | 5.61% |
| Recovery | 0.02% | -4.95% | 4.11% |
| New Normal | 0.02% | -1.31% | 2.01% |
| Top 10 long positions of all time | max |
|---|---|
| SPY-8554 | 46.25% |
| WB-25007 | 16.43% |
| EA-2602 | 15.24% |
| CFC-1359 | 14.17% |
| AXP-679 | 13.42% |
| AMGN-368 | 13.26% |
| YUM-17787 | 13.26% |
| BAC-700 | 13.15% |
| FB-42950 | 12.92% |
| AAPL-24 | 12.66% |
| Top 10 short positions of all time | max |
|---|---|
| SPY-8554 | -52.26% |
| TSLA-39840 | -18.82% |
| FB-42950 | -17.65% |
| BAC-700 | -16.06% |
| LVS-26882 | -14.93% |
| WB-25007 | -14.43% |
| DNA-24847 | -14.28% |
| REGN-6413 | -13.19% |
| GOOG_L-26578 | -13.17% |
| AET-168 | -12.56% |
| Top 10 positions of all time | max |
|---|---|
| SPY-8554 | 52.26% |
| TSLA-39840 | 18.82% |
| FB-42950 | 17.65% |
| WB-25007 | 16.43% |
| BAC-700 | 16.06% |
| EA-2602 | 15.24% |
| LVS-26882 | 14.93% |
| DNA-24847 | 14.28% |
| CFC-1359 | 14.17% |
| AXP-679 | 13.42% |
| All positions ever held | max |
|---|---|
| SPY-8554 | 52.26% |
| TSLA-39840 | 18.82% |
| FB-42950 | 17.65% |
| WB-25007 | 16.43% |
| BAC-700 | 16.06% |
| EA-2602 | 15.24% |
| LVS-26882 | 14.93% |
| DNA-24847 | 14.28% |
| CFC-1359 | 14.17% |
| AXP-679 | 13.42% |
| AMGN-368 | 13.26% |
| YUM-17787 | 13.26% |
| REGN-6413 | 13.19% |
| GOOG_L-26578 | 13.17% |
| AAPL-24 | 12.66% |
| GILD-3212 | 12.61% |
| AET-168 | 12.56% |
| BBY-754 | 12.23% |
| DELL-25317 | 12.20% |
| AGN-205 | 12.11% |
| FDC-2755 | 11.97% |
| AMZN-16841 | 11.93% |
| CRM-26401 | 11.85% |
| MOS-26721 | 11.71% |
| HPQ-3735 | 11.70% |
| YHOO-14848 | 11.59% |
| MON-22140 | 11.50% |
| BIIB-3806 | 11.40% |
| MPC-41636 | 11.38% |
| KMI-40852 | 11.27% |
| ... | ... |
| NWL-5520 | 0.47% |
| CHIR-1499 | 0.46% |
| KEY-4221 | 0.45% |
| MEDI-4768 | 0.26% |
| LNC-4498 | 0.23% |
| BMET-967 | 0.21% |
| PH-5956 | 0.21% |
| SYF-47415 | 0.14% |
| BCR-779 | 0.13% |
| DGX-16348 | 0.12% |
| AVGO-38650 | 0.10% |
| CTAS-1941 | 0.09% |
| AZO-693 | 0.09% |
| NFB-5282 | 0.09% |
| XEL-21964 | 0.09% |
| GMCR-9736 | 0.09% |
| KMG-4266 | 0.09% |
| GR-3327 | 0.09% |
| FSL-26482 | 0.09% |
| HLT-3594 | 0.08% |
| WDC-8132 | 0.08% |
| SHW-6868 | 0.08% |
| BNK-27079 | 0.08% |
| CE-1403 | 0.08% |
| CHRW-17632 | 0.08% |
| UST-7862 | 0.07% |
| SNDK-13940 | 0.07% |
| LLL-18738 | 0.06% |
| LB-4564 | 0.05% |
| GOOG-46631 | 0.03% |
423 rows × 1 columns
In [ ]: