Run the cell below to create your tear sheet.
In [1]:
bt = get_backtest('5c1567ad11f47c49c2572650')
bt.create_full_tear_sheet()
100% Time: 0:09:25|###########################################################|
| Start date | 2016-11-02 |
|---|---|
| End date | 2018-11-01 |
| Total months | 24 |
| Backtest | |
| Annual return | 153.4% |
| Cumulative returns | 542.3% |
| Annual volatility | 34.3% |
| Sharpe ratio | 2.88 |
| Calmar ratio | 6.33 |
| Stability | 0.94 |
| Max drawdown | -24.2% |
| Omega ratio | 2.05 |
| Sortino ratio | 5.92 |
| Skew | 5.89 |
| Kurtosis | 94.90 |
| Tail ratio | 1.27 |
| Daily value at risk | -3.9% |
| Gross leverage | 0.21 |
| Daily turnover | 496.1% |
| Alpha | 0.99 |
| Beta | -0.04 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 24.23 | 2016-11-03 | 2016-11-15 | 2016-11-17 | 11 |
| 1 | 11.87 | 2016-12-30 | 2017-01-10 | 2017-01-17 | 13 |
| 2 | 11.46 | 2017-06-05 | 2017-06-29 | 2017-07-07 | 25 |
| 3 | 7.31 | 2018-03-01 | 2018-03-14 | 2018-03-29 | 21 |
| 4 | 6.80 | 2017-09-12 | 2017-09-26 | 2017-10-18 | 27 |
| Stress Events | mean | min | max |
|---|---|---|---|
| New Normal | 0.39% | -14.22% | 31.98% |
| Top 10 long positions of all time | max |
|---|
| Top 10 short positions of all time | max |
|---|---|
| AIPT-38940 | -9.92% |
| GRVY-27006 | -9.91% |
| SESN-46313 | -9.10% |
| DRYS-26994 | -9.06% |
| DY-2385 | -9.04% |
| ARWR-10417 | -9.03% |
| JUNO-48317 | -8.49% |
| ESEA-33248 | -8.12% |
| ACER-30504 | -8.00% |
| BIOS-15525 | -7.91% |
| Top 10 positions of all time | max |
|---|---|
| AIPT-38940 | 9.92% |
| GRVY-27006 | 9.91% |
| SESN-46313 | 9.10% |
| DRYS-26994 | 9.06% |
| DY-2385 | 9.04% |
| ARWR-10417 | 9.03% |
| JUNO-48317 | 8.49% |
| ESEA-33248 | 8.12% |
| ACER-30504 | 8.00% |
| BIOS-15525 | 7.91% |
| All positions ever held | max |
|---|---|
| AIPT-38940 | 9.92% |
| GRVY-27006 | 9.91% |
| SESN-46313 | 9.10% |
| DRYS-26994 | 9.06% |
| DY-2385 | 9.04% |
| ARWR-10417 | 9.03% |
| JUNO-48317 | 8.49% |
| ESEA-33248 | 8.12% |
| ACER-30504 | 8.00% |
| BIOS-15525 | 7.91% |
| ORIG-41919 | 7.25% |
| WINS-49534 | 7.22% |
| OPTT-33734 | 7.02% |
| TRIL-48320 | 6.79% |
| GENE-27606 | 6.74% |
| SINO-36277 | 6.73% |
| VNR-34931 | 6.68% |
| GLBS-40488 | 6.62% |
| AGRX-46977 | 6.39% |
| TUBE-47333 | 6.29% |
| HTBX-45149 | 6.28% |
| IMNP-27226 | 6.17% |
| SCMP-34477 | 6.03% |
| SIGM-6881 | 6.02% |
| BAS-27886 | 6.02% |
| ANTH-39270 | 5.92% |
| CXRX-46079 | 5.84% |
| BNTC-49327 | 5.80% |
| ACUR-28416 | 5.75% |
| DCIX-40666 | 5.68% |
| VCEL-16437 | 5.53% |
| DFFN-50456 | 5.51% |
| SCON-8732 | 5.47% |
| IDXG-18764 | 5.46% |
| TENX-31000 | 5.44% |
| RCKT-48602 | 5.31% |
| APRI-21423 | 5.29% |
| OREX-33742 | 5.22% |
| RGSE-36189 | 5.16% |
| CYCC-28246 | 5.14% |
| EVOK-45497 | 5.11% |
| MNKD-26524 | 5.07% |
| NAK-26776 | 5.05% |
| BCEI-42272 | 5.05% |
| PSIX-33645 | 4.95% |
| TLYS-42895 | 4.93% |
| CALA-47830 | 4.87% |
| IPI-36093 | 4.82% |
| SHIP-34958 | 4.79% |
| FWP-47896 | 4.79% |
| MYOS-36920 | 4.76% |
| DVAX-25972 | 4.73% |
| SDRL-39495 | 4.65% |
| BIOC-46309 | 4.64% |
| EYEG-48640 | 4.63% |
| WWR-31163 | 4.63% |
| GNVC-22315 | 4.61% |
| BLPH-48635 | 4.59% |
| NVCN-46984 | 4.58% |
| FNBC-44709 | 4.54% |
| INAP-20615 | 4.52% |
| NSPR-39287 | 4.51% |
| DARE-46730 | 4.49% |
| PZRX-49973 | 4.47% |
| XENT-47373 | 4.46% |
| STML-44041 | 4.44% |
| WMAR-10311 | 4.40% |
| PLUG-20776 | 4.37% |
| TOPS-26507 | 4.36% |
| PULM-46573 | 4.33% |
| ZSAN-48506 | 4.30% |
| EYES-48113 | 4.26% |
| GUSH-49077 | 4.23% |
| PLX-18758 | 4.21% |
| XTNT-33283 | 4.21% |
| ESES-34590 | 4.18% |
| AQMS-49311 | 4.15% |
| NAKD-49672 | 4.14% |
| DCTH-23115 | 4.14% |
| ATHX-32859 | 4.11% |
| SEII-30160 | 4.11% |
| SGY-9458 | 4.09% |
| GRAM-45142 | 4.09% |
| REXX-34379 | 4.08% |
| PETZ-51200 | 4.07% |
| HTGM-49018 | 4.05% |
| EHTH-32726 | 4.05% |
| RNVA-13751 | 4.03% |
| XRA-32855 | 4.02% |
| GSOL-21398 | 4.01% |
| PRKR-10485 | 4.00% |
| RWLK-47683 | 4.00% |
| ADPT-47191 | 4.00% |
| NUTR-18329 | 3.97% |
| ANY-45265 | 3.88% |
| I-44539 | 3.88% |
| PME-41783 | 3.88% |
| CARA-46283 | 3.87% |
| CGI-10578 | 3.82% |
| CAPR-30877 | 3.79% |
| SPEX-22934 | 3.78% |
| NTRP-41994 | 3.76% |
| CALI-34643 | 3.76% |
| NADL-46262 | 3.75% |
| MARA-41204 | 3.75% |
| NOVN-50295 | 3.75% |
| AWSM-26384 | 3.71% |
| FTFT-29228 | 3.67% |
| ALT-27689 | 3.66% |
| JAKK-14948 | 3.66% |
| SLS-35890 | 3.65% |
| RRTS-39628 | 3.65% |
| GNMX-41166 | 3.64% |
| FUEL-45452 | 3.63% |
| RT-4971 | 3.63% |
| CYTR-14359 | 3.62% |
| CBI-1287 | 3.62% |
| MBRX-50013 | 3.60% |
| PTIE-21803 | 3.59% |
| MBOT-21560 | 3.56% |
| ARDX-47146 | 3.56% |
| OCRX-41135 | 3.56% |
| MLND-43478 | 3.55% |
| DXTR-28046 | 3.55% |
| MTBC-47286 | 3.55% |
| CFMS-49211 | 3.53% |
| SNGX-19208 | 3.53% |
| GTXI-25944 | 3.50% |
| ZAIS-44345 | 3.49% |
| CCIH-40190 | 3.46% |
| BONT-1031 | 3.46% |
| TNXP-38060 | 3.43% |
| CBLI-32415 | 3.43% |
| LINU-36845 | 3.43% |
| INPX-46736 | 3.41% |
| CBIO-27067 | 3.40% |
| CIE-39073 | 3.40% |
| SRAX-43516 | 3.40% |
| AAC-47842 | 3.38% |
| MDCA-12800 | 3.38% |
| IDSA-15506 | 3.38% |
| MYO-50936 | 3.37% |
| ENTL-48532 | 3.37% |
| LEDS-40574 | 3.36% |
| SVRA-26230 | 3.36% |
| ZN-33116 | 3.32% |
| STDY-48789 | 3.31% |
| IMUC-32323 | 3.31% |
| RTNB-33226 | 3.30% |
| XCO-28083 | 3.27% |
| CATB-49180 | 3.26% |
| TEUM-29314 | 3.25% |
| CCRC-49668 | 3.24% |
| SHOR-34145 | 3.23% |
| TEAR-26855 | 3.20% |
| MOSY-22817 | 3.20% |
| LNTH-49189 | 3.19% |
| XBIT-48926 | 3.18% |
| GSAT-32819 | 3.14% |
| ARCI-16435 | 3.13% |
| AKG-35382 | 3.11% |
| TRR-7592 | 3.10% |
| UNXL-31156 | 3.09% |
| FC-2724 | 3.09% |
| SPI-49722 | 3.09% |
| OMED-45095 | 3.07% |
| CNAT-45157 | 3.07% |
| QHC-49895 | 3.03% |
| EVFM-48127 | 3.02% |
| VSI-38882 | 3.01% |
| BZQ-38496 | 3.01% |
| LMIA-18935 | 2.99% |
| INNL-47381 | 2.97% |
| HNR-23691 | 2.97% |
| HIVE-46645 | 2.97% |
| FTD-45645 | 2.94% |
| FSNN-27037 | 2.94% |
| RELY-48542 | 2.94% |
| HEAR-40197 | 2.93% |
| GLG-45268 | 2.92% |
| CHKE-12305 | 2.91% |
| CUR-33012 | 2.88% |
| CDNA-47321 | 2.88% |
| SALE-45114 | 2.86% |
| SNDX-49787 | 2.86% |
| SRNE-33062 | 2.86% |
| ROX-28312 | 2.85% |
| MLNT-42455 | 2.84% |
| HOS-26150 | 2.84% |
| MRAM-50360 | 2.83% |
| PIRS-47377 | 2.82% |
| PHIO-42925 | 2.82% |
| NETE-43552 | 2.82% |
| RNN-30739 | 2.82% |
| PIXY-51003 | 2.81% |
| VERI-50868 | 2.81% |
| INFI-21744 | 2.81% |
| PACB-40319 | 2.78% |
| EBR-37496 | 2.76% |
| INNT-50095 | 2.76% |
| SWIR-21561 | 2.76% |
| HMNY-17450 | 2.76% |
| HIBB-15815 | 2.73% |
| PRAN-24034 | 2.73% |
| BYBK-11276 | 2.71% |
| DNR-15789 | 2.69% |
| CERS-16333 | 2.69% |
| TCS-45780 | 2.68% |
| EMKR-16610 | 2.68% |
| DRIP-49076 | 2.68% |
| APOP-50170 | 2.67% |
| NK-49298 | 2.65% |
| EKSO-44451 | 2.65% |
| CIFS-51100 | 2.65% |
| TNDM-45852 | 2.63% |
| TOO_PRA-44661 | 2.63% |
| QDEL-6297 | 2.62% |
| ADMP-13331 | 2.62% |
| CETX-49179 | 2.62% |
| ENOC-33881 | 2.61% |
| NVFY-39505 | 2.59% |
| IO-3996 | 2.59% |
| MVIS-15531 | 2.57% |
| CREG-31474 | 2.56% |
| SORL-28333 | 2.54% |
| MTRX-5105 | 2.51% |
| NVAX-14112 | 2.51% |
| FENG-41427 | 2.50% |
| ARCT-44769 | 2.49% |
| RIOT-28541 | 2.49% |
| LFIN-51578 | 2.49% |
| APVO-50141 | 2.48% |
| BBOX-11732 | 2.46% |
| STON-26626 | 2.46% |
| NVGS-45915 | 2.46% |
| OPNT-51154 | 2.46% |
| SGLB-50664 | 2.45% |
| RCON-38631 | 2.45% |
| DEST-8682 | 2.44% |
| ACRX-40827 | 2.44% |
| ROKA-47322 | 2.44% |
| CDTI-14001 | 2.43% |
| STS-9474 | 2.43% |
| ANIX-49259 | 2.41% |
| OTIC-47495 | 2.41% |
| AEHR-17336 | 2.41% |
| PXS-49537 | 2.38% |
| DSS-28030 | 2.37% |
| XOMA-8346 | 2.37% |
| OHGI-28687 | 2.37% |
| GNCA-46311 | 2.37% |
| NLNK-42147 | 2.35% |
| CCC-1331 | 2.35% |
| ADOM-50945 | 2.35% |
| NVCR-49460 | 2.35% |
| AKTX-46304 | 2.34% |
| VTVT-49306 | 2.33% |
| PTE-26972 | 2.33% |
| VSTM-42426 | 2.32% |
| CVNA-50807 | 2.31% |
| KBSF-44006 | 2.31% |
| LMFA-49652 | 2.31% |
| PLSE-49957 | 2.31% |
| RLOG-30666 | 2.29% |
| SGRY-49456 | 2.28% |
| ATOS-43592 | 2.28% |
| TOO_PRB-48955 | 2.27% |
| MACK-42735 | 2.27% |
| AKBA-46583 | 2.26% |
| PTCT-44955 | 2.26% |
| GROW-3353 | 2.26% |
| FNHC-19523 | 2.25% |
| OTIV-24432 | 2.25% |
| TISI-7487 | 2.25% |
| OHRP-30589 | 2.25% |
| LPTH-24657 | 2.24% |
| ANGI-42175 | 2.23% |
| CYTX-27923 | 2.23% |
| AEZS-26361 | 2.22% |
| SMRT-6969 | 2.22% |
| PSO-22052 | 2.22% |
| ALDX-46746 | 2.21% |
| SPCB-45432 | 2.21% |
| DXR-2382 | 2.20% |
| TRCH-37512 | 2.19% |
| ANW-33014 | 2.18% |
| AMMA-50349 | 2.18% |
| MCRB-49195 | 2.18% |
| YUMA-30644 | 2.17% |
| CHFS-42528 | 2.17% |
| TRVN-46272 | 2.16% |
| EXAR-2657 | 2.16% |
| DPW-16192 | 2.15% |
| WAC-18431 | 2.14% |
| RAS-18194 | 2.13% |
| CALL-14457 | 2.13% |
| OBLN-50351 | 2.13% |
| NOG-35961 | 2.13% |
| CLSN-1602 | 2.13% |
| ACET-84 | 2.11% |
| USAU-2344 | 2.10% |
| AKER-36295 | 2.10% |
| MRNS-47417 | 2.09% |
| IDRA-14255 | 2.09% |
| PRPO-21822 | 2.09% |
| JAGX-49033 | 2.08% |
| LBCC-38869 | 2.07% |
| SKY-6924 | 2.05% |
| GNMK-39685 | 2.04% |
| NCNA-51234 | 2.04% |
| HOME-50187 | 2.03% |
| TTPH-44314 | 2.03% |
| LOXO-47432 | 2.03% |
| CEI-35767 | 2.03% |
| LXU-4545 | 2.03% |
| ABIO-24624 | 2.03% |
| FORD-18034 | 2.02% |
| SGM-45642 | 2.01% |
| MEMP-42247 | 2.01% |
| CADC-34066 | 2.00% |
| ASPS-38633 | 2.00% |
| RKDA-49034 | 1.99% |
| OPHC-26281 | 1.98% |
| GALT-25536 | 1.98% |
| FLNT-35352 | 1.98% |
| BW-49208 | 1.98% |
| ONCS-37827 | 1.97% |
| LTBR-30365 | 1.96% |
| CNET-33463 | 1.96% |
| ICON-6856 | 1.96% |
| EXAC-14917 | 1.95% |
| COOP-49437 | 1.95% |
| TROV-31319 | 1.94% |
| YTEN-32867 | 1.94% |
| CPRX-32844 | 1.94% |
| ASNA-2105 | 1.93% |
| NXTD-45218 | 1.93% |
| PYDS-30643 | 1.91% |
| CPST-21604 | 1.91% |
| NDRM-48090 | 1.91% |
| CASI-15126 | 1.91% |
| BEBE-18843 | 1.90% |
| SEED-27783 | 1.90% |
| BCRX-10905 | 1.90% |
| TRXC-29042 | 1.89% |
| LKM-41380 | 1.89% |
| KTEC-9400 | 1.89% |
| GLMD-46536 | 1.87% |
| EIGR-46270 | 1.87% |
| CHCI-26874 | 1.86% |
| CRK-1663 | 1.86% |
| LKCO-39620 | 1.86% |
| SRT-17125 | 1.85% |
| GEMP-50188 | 1.85% |
| PED-28675 | 1.84% |
| RPRX-8771 | 1.84% |
| IVTY-49117 | 1.84% |
| GNCM_A-3274 | 1.84% |
| VLRX-50733 | 1.83% |
| ITP-39086 | 1.83% |
| QTNT-46996 | 1.82% |
| MYSZ-50150 | 1.81% |
| CLCD-49001 | 1.81% |
| EDGE-49454 | 1.81% |
| JG-52246 | 1.81% |
| RDVT-51835 | 1.80% |
| MOCO-4956 | 1.80% |
| QTM-20479 | 1.80% |
| AVGR-48545 | 1.79% |
| CPHI-31095 | 1.79% |
| GST-27984 | 1.78% |
| AQXP-46496 | 1.78% |
| IGC-28328 | 1.78% |
| HYGS-22123 | 1.77% |
| EDAP-17370 | 1.77% |
| ABIL-46250 | 1.77% |
| REPH-46498 | 1.76% |
| FCSC-38800 | 1.76% |
| SNES-50515 | 1.76% |
| MEIP-25776 | 1.75% |
| MRTX-45080 | 1.75% |
| PTI-49748 | 1.75% |
| DAIO-2078 | 1.74% |
| KIRK-23873 | 1.73% |
| OPGN-48998 | 1.73% |
| CLDX-19187 | 1.73% |
| SNSS-27637 | 1.73% |
| ASCM_A-36896 | 1.72% |
| KNDI-32972 | 1.72% |
| AMTX-32049 | 1.72% |
| TA-33231 | 1.72% |
| AMID-41753 | 1.72% |
| NIHD-24622 | 1.71% |
| RARX-50411 | 1.71% |
| TTS-40545 | 1.69% |
| EROS-45867 | 1.69% |
| VTL-46778 | 1.68% |
| BLDP-13798 | 1.68% |
| UAVS-33583 | 1.68% |
| FALC-22977 | 1.68% |
| CDLX-51753 | 1.67% |
| ARCB-41 | 1.67% |
| CLWT-16601 | 1.67% |
| BOXL-51521 | 1.66% |
| RENN-41372 | 1.66% |
| VTGN-38556 | 1.66% |
| PI-50138 | 1.66% |
| MEDP-50194 | 1.65% |
| WIN-27019 | 1.64% |
| AMEH-40928 | 1.64% |
| CORV-26450 | 1.64% |
| TNTR_Q-50997 | 1.64% |
| GLF-3265 | 1.63% |
| NEOS-49290 | 1.62% |
| AMPE-35897 | 1.62% |
| ARQL-15752 | 1.62% |
| UEIC-8566 | 1.62% |
| MNLO-51691 | 1.62% |
| DELT-49081 | 1.61% |
| CLIR-42844 | 1.61% |
| NEPT-34536 | 1.60% |
| GBR-14549 | 1.60% |
| NSYS-9237 | 1.60% |
| ENT-41520 | 1.59% |
| ZYNE-49319 | 1.58% |
| NNDM-49790 | 1.58% |
| NLST-32971 | 1.57% |
| EOLS-51743 | 1.57% |
| TLGT-49523 | 1.57% |
| CODX-51023 | 1.57% |
| AFMD-47684 | 1.56% |
| MNGA-36966 | 1.56% |
| KTOV-49611 | 1.55% |
| BSPM-37649 | 1.55% |
| MRKR-29569 | 1.54% |
| SELB-50068 | 1.52% |
| FRED-2989 | 1.52% |
| AKCA-51037 | 1.52% |
| YECO-49200 | 1.51% |
| ADXS-40992 | 1.51% |
| SINT-46343 | 1.51% |
| SGMO-21447 | 1.51% |
| QUIK-20782 | 1.50% |
| TIS-27460 | 1.49% |
| INTT-17050 | 1.49% |
| ASTC-14154 | 1.49% |
| AWX-18839 | 1.49% |
| IGIB-33145 | 1.48% |
| ACIU-50315 | 1.48% |
| KPTI-45799 | 1.48% |
| CARV-12008 | 1.47% |
| CTRC-19305 | 1.47% |
| IDT-22689 | 1.47% |
| STV-34790 | 1.45% |
| RSLS-35088 | 1.44% |
| NBEV-47346 | 1.44% |
| IZEA-40407 | 1.44% |
| BEL-21911 | 1.44% |
| SGYP-32331 | 1.43% |
| CVO-26300 | 1.43% |
| NETS-50778 | 1.43% |
| IMGN-3885 | 1.43% |
| SOLO-52296 | 1.43% |
| ATAI-35652 | 1.42% |
| OGEN-26316 | 1.42% |
| NCTY-26878 | 1.42% |
| GNPX-51894 | 1.42% |
| XBIO-42944 | 1.41% |
| DBVT-47939 | 1.41% |
| ANFI-43493 | 1.40% |
| BLNK-36125 | 1.40% |
| SYX-20153 | 1.40% |
| AFH-44129 | 1.40% |
| CLPS-52020 | 1.39% |
| CNCE-46367 | 1.38% |
| MGEN-47103 | 1.38% |
| CLLS-48822 | 1.38% |
| VXRT-14266 | 1.38% |
| SHLD-26169 | 1.38% |
| CMTA-51088 | 1.37% |
| IDEX-28540 | 1.37% |
| LCUT-4392 | 1.36% |
| LGCY_O-47226 | 1.36% |
| CLBS-30525 | 1.35% |
| OOMA-49273 | 1.35% |
| JNCE-50619 | 1.34% |
| RYB-51225 | 1.34% |
| STAF-42002 | 1.34% |
| PEIX-27129 | 1.34% |
| PLAG-38724 | 1.33% |
| CDMO-22257 | 1.32% |
| JNP-1735 | 1.32% |
| FRTA-50398 | 1.32% |
| CHEK-48781 | 1.32% |
| IMTE-51092 | 1.32% |
| JILL-50698 | 1.31% |
| CYRX-29083 | 1.31% |
| ASRT-18010 | 1.31% |
| YGYI-38587 | 1.30% |
| KURA-49572 | 1.30% |
| OMNT-50720 | 1.30% |
| PTGX-50190 | 1.30% |
| TORC-51698 | 1.30% |
| BURG-28835 | 1.30% |
| TCP-20154 | 1.29% |
| TTNP-14312 | 1.29% |
| CTMX-49470 | 1.29% |
| IXYS-19331 | 1.28% |
| ARLZ-22156 | 1.27% |
| CHNR-20187 | 1.27% |
| FLKS-48534 | 1.26% |
| IMMR-20877 | 1.26% |
| CVM-1407 | 1.26% |
| APHB-11392 | 1.25% |
| CLW-37775 | 1.24% |
| DTEA-49099 | 1.24% |
| ACMR-51384 | 1.24% |
| AVEO-39350 | 1.24% |
| CRVS-49827 | 1.23% |
| MTSL-16933 | 1.22% |
| YRD-49674 | 1.19% |
| ARAV-46582 | 1.17% |
| AXON-49107 | 1.17% |
| FPI-46731 | 1.17% |
| AGMH-51930 | 1.16% |
| FRAN-41737 | 1.16% |
| SAEX-41786 | 1.16% |
| AMRH-51483 | 1.15% |
| ABCD-39052 | 1.15% |
| MYOK-49535 | 1.15% |
| SKYS-48040 | 1.14% |
| HYD-38069 | 1.14% |
| CDTX-48932 | 1.14% |
| MXC-25528 | 1.14% |
| FNJN-33544 | 1.13% |
| CRMD-39625 | 1.13% |
| DRRX-22003 | 1.13% |
| EARS-47431 | 1.13% |
| OPTN-51290 | 1.12% |
| DRWI-38847 | 1.12% |
| IOTS-49504 | 1.12% |
| GLBR-40531 | 1.11% |
| MTEM-26997 | 1.11% |
| CVGI-26541 | 1.11% |
| SLDB-51692 | 1.10% |
| SCVL-8733 | 1.10% |
| CVRS-43036 | 1.10% |
| SPWH-46777 | 1.09% |
| LFVN-30017 | 1.09% |
| OTLK-50035 | 1.09% |
| EGLE-27370 | 1.08% |
| ECYT-40814 | 1.08% |
| VHC-30464 | 1.08% |
| UXIN-52150 | 1.08% |
| MRSN-50983 | 1.07% |
| NGVC-43219 | 1.07% |
| PYX-12765 | 1.07% |
| NYRT-46760 | 1.07% |
| MPG-48255 | 1.06% |
| RHE-51251 | 1.06% |
| SNAK-16261 | 1.05% |
| DMTX-49517 | 1.05% |
| DRNA-46271 | 1.04% |
| CYNO-27887 | 1.04% |
| EGLT-46314 | 1.04% |
| VBLT-47419 | 1.02% |
| FPI_PRB-51140 | 1.02% |
| BETR-49318 | 1.02% |
| KOSS-4292 | 1.02% |
| TTOO-47466 | 1.02% |
| USLV-42019 | 1.01% |
| LEVB-51471 | 1.01% |
| ITM-35189 | 1.01% |
| JTPY-41814 | 1.01% |
| VKTX_W-49859 | 1.00% |
| INWK-32504 | 0.99% |
| TGTX-13984 | 0.96% |
| MLP-18742 | 0.96% |
| NAP-48075 | 0.96% |
| CCRN-24893 | 0.96% |
| VNCE-45906 | 0.95% |
| TZOO-25805 | 0.95% |
| ASYS-19855 | 0.95% |
| AUTO-19852 | 0.94% |
| CERC-49591 | 0.94% |
| LBY-9192 | 0.94% |
| CUTR-26157 | 0.92% |
| LTRX-21903 | 0.92% |
| BGI-27794 | 0.92% |
| ONTX-45159 | 0.92% |
| VISI-8019 | 0.91% |
| CSTM-44780 | 0.91% |
| ATRS-22418 | 0.91% |
| PTN-17730 | 0.91% |
| CTIC-16607 | 0.90% |
| ANIK-8910 | 0.90% |
| BXC-26873 | 0.89% |
| STRM-14748 | 0.88% |
| RETO-51504 | 0.88% |
| ESND-7866 | 0.87% |
| PTLA-44770 | 0.86% |
| CORI-46678 | 0.86% |
| YVR-20746 | 0.86% |
| TOO-33041 | 0.86% |
| VICR-7965 | 0.85% |
| LCI-23602 | 0.84% |
| NEWA-51078 | 0.84% |
| LGCY-33159 | 0.84% |
| CGIX-44416 | 0.84% |
| GNC-41182 | 0.83% |
| APRN-50990 | 0.83% |
| FCRE-21542 | 0.83% |
| USEG-7842 | 0.83% |
| AMRS-40165 | 0.83% |
| QNST-39218 | 0.82% |
| FTK-27496 | 0.82% |
| MDGL-33298 | 0.82% |
| ARGS-46326 | 0.82% |
| SBBP-49500 | 0.82% |
| IVAC-13873 | 0.82% |
| XENE-47913 | 0.81% |
| HRTG-46988 | 0.80% |
| FBRC-33988 | 0.80% |
| XGTI-41717 | 0.80% |
| RSYS-13730 | 0.79% |
| VSR-8054 | 0.78% |
| MHLD-36164 | 0.78% |
| HDSN-12185 | 0.78% |
| PRTO-47938 | 0.78% |
| TAHO-39938 | 0.77% |
| VIIX-40512 | 0.77% |
| SIEB-16096 | 0.77% |
| SSI-23395 | 0.74% |
| CMLS-18863 | 0.73% |
| KALV-48897 | 0.73% |
| MARK-34779 | 0.73% |
| DBD-2100 | 0.73% |
| LX-51593 | 0.72% |
| ELF-50320 | 0.71% |
| RUSL-41490 | 0.69% |
| LTRP_A-47578 | 0.69% |
| XIV-40516 | 0.69% |
| USAT-31164 | 0.68% |
| VEC-47708 | 0.68% |
| JCP-4118 | 0.68% |
| BLIN-34128 | 0.67% |
| APLS-51423 | 0.67% |
| BLNK_W-51768 | 0.67% |
| MICT-40952 | 0.66% |
| RFIL-17106 | 0.65% |
| EXA-43123 | 0.65% |
| SYNC-42495 | 0.65% |
| EDN-33732 | 0.65% |
| DDE-23577 | 0.64% |
| UGLD-42015 | 0.64% |
| RGLS-43472 | 0.64% |
| SAJA-27715 | 0.64% |
| SSLJ-51735 | 0.64% |
| ONVI-23895 | 0.64% |
| EMLC-39941 | 0.64% |
| GEVO-40840 | 0.63% |
| USIG-33150 | 0.63% |
| CSBR-1896 | 0.63% |
| AYTU-40965 | 0.62% |
| INSY-44665 | 0.61% |
| XRM-27247 | 0.60% |
| TVIA-41522 | 0.59% |
| VVUS-11224 | 0.59% |
| NFEC-29115 | 0.59% |
| AVXL-49526 | 0.59% |
| CBMX-24470 | 0.59% |
| CCXI-42474 | 0.58% |
| SPHS-45302 | 0.58% |
| VVPR-50559 | 0.58% |
| CHRS-48026 | 0.57% |
| ABUS-40410 | 0.57% |
| JMU-48870 | 0.57% |
| AQ-51385 | 0.57% |
| SCYX-46679 | 0.57% |
| MTNB-47030 | 0.56% |
| HCHC-38578 | 0.55% |
| ELON-19074 | 0.55% |
| KLDX-49463 | 0.54% |
| HZO-18917 | 0.53% |
| CODA-51059 | 0.53% |
| AVHI-662 | 0.53% |
| BPMX-41528 | 0.52% |
| NVIV-40202 | 0.52% |
| PFNX-47329 | 0.52% |
| ALQA-31637 | 0.52% |
| AETI-19946 | 0.51% |
| APEN-30049 | 0.51% |
| WMLP-39904 | 0.49% |
| STCN-10583 | 0.49% |
| TWI-9066 | 0.48% |
| TANH-48804 | 0.48% |
| SYRS-50091 | 0.48% |
| NILE-26315 | 0.47% |
| VCON-7972 | 0.47% |
| ELGX-23769 | 0.47% |
| SEAC-16091 | 0.47% |
| EBR_B-37495 | 0.46% |
| HCLP-43315 | 0.46% |
| ZOES-46742 | 0.46% |
| LEJU-46780 | 0.45% |
| TGC-21089 | 0.45% |
| NATR-38503 | 0.44% |
| GFA-33536 | 0.42% |
| FATE-45429 | 0.42% |
| CRIS-21863 | 0.41% |
| QTT-52378 | 0.41% |
| CRBP-47955 | 0.41% |
| NEW-52099 | 0.40% |
| CLRB-30367 | 0.40% |
| CLCT-24474 | 0.38% |
| CSTE-42704 | 0.38% |
| MBVX-21947 | 0.38% |
| QRHC-38420 | 0.38% |
| CLSD-49993 | 0.37% |
| SLP-17123 | 0.37% |
| GST_PRA-41649 | 0.36% |
| BMA-28226 | 0.36% |
| VRAY-48015 | 0.36% |
| CLDC-47944 | 0.36% |
| WBKC-40734 | 0.36% |
| XNET-47183 | 0.35% |
| WRLD-8268 | 0.34% |
| SCPH-51469 | 0.33% |
| NHLD-30306 | 0.33% |
| NMBL-46002 | 0.32% |
| ACER_W-48922 | 0.32% |
| OCUL-47383 | 0.32% |
| JMP-33840 | 0.31% |
| PRTA-43730 | 0.31% |
| SREV-41142 | 0.30% |
| MXPT-48726 | 0.30% |
| CPAH-31509 | 0.30% |
| LIVE-31332 | 0.29% |
| UPL-50782 | 0.28% |
| NXTD_W-47673 | 0.28% |
| BPI-38286 | 0.28% |
| RMGN-41536 | 0.27% |
| SEV-7519 | 0.27% |
| CURO-51534 | 0.27% |
| BSWN-50127 | 0.26% |
| SMIT-24515 | 0.26% |
| IFMK-50660 | 0.26% |
| OMER-38827 | 0.25% |
| LENS-48520 | 0.25% |
| MDLY-47775 | 0.25% |
| APTO-47949 | 0.25% |
| CCCL-35284 | 0.25% |
| CASC-883 | 0.24% |
| ACST-43904 | 0.24% |
| TERP-47334 | 0.23% |
| DCAR-27133 | 0.23% |
| RUSS-41487 | 0.23% |
| SXE-43597 | 0.23% |
| SWZ-7256 | 0.23% |
| AVRO-52127 | 0.22% |
| HK-31032 | 0.22% |
| SITO-49330 | 0.22% |
| HSGX-48171 | 0.22% |
| RTW-26700 | 0.22% |
| ACHV-13740 | 0.21% |
| XPLR-31952 | 0.21% |
| TIG-50539 | 0.21% |
| APTI-50318 | 0.21% |
| FGEN-48088 | 0.20% |
| NAUH-35347 | 0.19% |
| PRQR-47730 | 0.19% |
| CBK-21736 | 0.19% |
| PCMI-12798 | 0.19% |
| VMIN-49928 | 0.19% |
| GLOW-25509 | 0.18% |
| SMMT-48722 | 0.18% |
| TCCO-39906 | 0.17% |
| YRIV-40050 | 0.17% |
| LE-46579 | 0.17% |
| ORPN-47418 | 0.17% |
| AMBO-39985 | 0.17% |
| ASNS-51459 | 0.16% |
| RTK-6523 | 0.16% |
| NVUS-47719 | 0.16% |
| TYME-42986 | 0.16% |
| AAOI-45503 | 0.16% |
| HGSH-40117 | 0.16% |
| INSP-51975 | 0.16% |
| ASLN-51974 | 0.15% |
| MTP-49653 | 0.14% |
| HUSA-29723 | 0.14% |
| BDR-13991 | 0.13% |
| PMD-5816 | 0.13% |
| CTXR-42034 | 0.13% |
| MYND-30978 | 0.12% |
| SUPV-49985 | 0.12% |
| SGRP-20432 | 0.12% |
| ACOR-28077 | 0.11% |
| ZX-41415 | 0.11% |
| BPTH-30403 | 0.10% |
| BSTG-45698 | 0.09% |
| VYGR-49579 | 0.09% |
| CBR-10925 | 0.08% |
| CNTF-27221 | 0.08% |
| TIK-25970 | 0.08% |
| AMSC-393 | 0.08% |
| MBII-45198 | 0.07% |
| FOMX-47729 | 0.07% |
| FTRP_R-49106 | 0.07% |
| AOBC-24519 | 0.07% |
| OMEX-25682 | 0.05% |
| XSPA-39803 | 0.05% |
| TAX-43042 | 0.04% |
| THST-44571 | 0.04% |
| MFGP-33885 | 0.03% |
| ISR-29884 | 0.03% |
| EIDX-52115 | 0.02% |
| ARDM-15073 | 0.02% |
| CBB-24891 | 0.02% |
| CRDS-28997 | 0.01% |
| CRTN-20936 | 0.01% |
| XTLB-27605 | 0.01% |
| RELV-8722 | 0.01% |
| FFHL-33078 | 0.01% |
| RIGL-25226 | 0.00% |
| BBCP_W-51139 | 0.00% |
| ABAC-39927 | 0.00% |
/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. 86 assets were missing factor loadings, including: ACER_W-48922, AKTX-46304, AMBO-39985, AMID-41753, APOP-50170..ZX-41415. Ignoring for exposure calculation and performance attribution. Ratio of assets missing: 0.104. Average allocation of selected missing assets: ACER_W-48922 -5244.679000 AKTX-46304 -25756.678500 AMBO-39985 -5818.323000 AMID-41753 -62099.193750 APOP-50170 -14429.803846 ZX-41415 -3841.830000 dtype: float64. warnings.warn(missing_stocks_warning_msg) /usr/local/lib/python2.7/dist-packages/pyfolio/perf_attrib.py:611: UserWarning: This algorithm has relatively high turnover of its positions. As a result, performance attribution might not be fully accurate. Performance attribution is calculated based on end-of-day holdings and does not account for intraday activity. Algorithms that derive a high percentage of returns from buying and selling within the same day may receive inaccurate performance attribution. warnings.warn(warning_msg)
Performance Relative to Common Risk Factors¶
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 158.19% |
| Annualized Common Return | -1.45% |
| Annualized Total Return | 154.27% |
| Specific Sharpe Ratio | 2.96 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | -0.00 | 0.04% | 0.08% |
| consumer_cyclical | -0.01 | -0.10% | -0.20% |
| financial_services | -0.01 | -0.32% | -0.65% |
| real_estate | -0.00 | 0.01% | 0.02% |
| consumer_defensive | -0.00 | -0.00% | -0.01% |
| health_care | -0.07 | -1.63% | -3.23% |
| utilities | -0.00 | -0.00% | -0.00% |
| communication_services | -0.00 | -0.00% | -0.01% |
| energy | -0.02 | -0.04% | -0.09% |
| industrials | -0.01 | -0.31% | -0.62% |
| technology | -0.01 | -0.41% | -0.82% |
| momentum | 0.07 | -0.22% | -0.44% |
| size | 0.29 | -0.21% | -0.42% |
| value | -0.11 | -0.02% | -0.04% |
| short_term_reversal | -0.13 | -0.14% | -0.27% |
| volatility | -0.34 | 1.93% | 3.91% |
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