bt = get_backtest('57d171e81cf5bc102ae5cc7a')
bt.create_full_tear_sheet()
100% Time: 0:00:18|###########################################################| Entire data start date: 2011-01-04 Entire data end date: 2014-04-01 Backtest Months: 38 Backtest annual_return 0.41 annual_volatility 0.32 sharpe_ratio 1.22 calmar_ratio 1.58 stability 0.82 max_drawdown -0.26 omega_ratio 1.29 sortino_ratio 1.97 skewness 1.21 kurtosis 14.31 information_ratio 0.04 alpha 0.39 beta -0.02 Worst Drawdown Periods net drawdown in % peak date valley date recovery date duration 1 25.70 2012-01-25 2012-03-21 2012-08-03 138 0 23.12 2013-04-25 2013-05-15 2013-08-08 76 2 20.09 2012-08-07 2013-02-12 2013-04-18 183 3 17.24 2011-08-19 2011-10-05 2011-12-13 83 4 9.33 2014-03-03 2014-03-26 NaT NaN 2-sigma returns daily -0.039 2-sigma returns weekly -0.085 dtype: float64
/usr/local/lib/python2.7/dist-packages/matplotlib/__init__.py:892: UserWarning: axes.color_cycle is deprecated and replaced with axes.prop_cycle; please use the latter. warnings.warn(self.msg_depr % (key, alt_key))
Stress Events mean min max US downgrade/European Debt Crisis 0.006 -0.043 0.087 Fukushima 0.005 -0.032 0.031 EZB IR Event -0.001 -0.021 0.018 Apr14 0.004 0.004 0.004 Recovery 0.001 -0.087 0.195 New Normal 0.002 -0.110 0.093
/usr/local/lib/python2.7/dist-packages/matplotlib/axes/_base.py:2787: UserWarning: Attempting to set identical left==right results in singular transformations; automatically expanding. left=735324.0, right=735324.0 'left=%s, right=%s') % (left, right))
Top 10 long positions of all time (and max%) [u'ADS-22747' u'JCP-4118' u'JOY-22996' u'DG-38936' u'DE-2127' u'URI-18113' u'ACI-88' u'AMAT-337' u'ALXN-14328' u'SNDK-13940'] [ 0.532 0.525 0.519 0.519 0.518 0.518 0.518 0.517 0.517 0.517] Top 10 short positions of all time (and max%) [u'LULU-34395' u'TSLA-39840' u'GME-23438' u'ACI-88' u'CRM-26401' u'JCP-4118' u'LEN-4417' u'NUS-16059' u'TSO-7612' u'BWA-9514'] [-0.604 -0.573 -0.569 -0.544 -0.539 -0.536 -0.533 -0.533 -0.533 -0.531] Top 10 positions of all time (and max%) [u'LULU-34395' u'TSLA-39840' u'GME-23438' u'ACI-88' u'CRM-26401' u'JCP-4118' u'LEN-4417' u'NUS-16059' u'TSO-7612' u'ADS-22747'] [ 0.604 0.573 0.569 0.544 0.539 0.536 0.533 0.533 0.533 0.532] All positions ever held [u'LULU-34395' u'TSLA-39840' u'GME-23438' u'ACI-88' u'CRM-26401' u'JCP-4118' u'LEN-4417' u'NUS-16059' u'TSO-7612' u'ADS-22747' u'BWA-9514' u'PCLN-19917' u'GRPN-42118' u'CVS-4799' u'TIF-7447' u'LOW-4521' u'RHT-20541' u'MGM-4831' u'SOHU-21813' u'MU-5121' u'NVDA-19725' u'MCK-12350' u'ROST-6546' u'ILMN-21774' u'MNST-3450' u'HPQ-3735' u'JOY-22996' u'DG-38936' u'REGN-6413' u'DE-2127' u'URI-18113' u'SNDK-13940' u'AMAT-337' u'ALXN-14328' u'A-24757' u'NFX-10231' u'WFT-19336' u'COG-1746' u'V-35920' u'DAL-33729' u'CDE-1374' u'SPLS-7061' u'GS-20088' u'RL-24832' u'BAC-700' u'AA-2' u'COST-1787' u'LNKD-41451' u'EMR-2530' u'MON-22140' u'C-1335' u'APA-448' u'NTAP-13905' u'ORCL-5692' u'BBY-754' u'SWK-7242' u'PAY-27206' u'ACN-25555' u'MOS-41462' u'NLY-17702' u'P-41579' u'YUM-17787' u'STX-24518' u'HNZ-3617' u'FDX-2765' u'PXD-17436' u'IP-3971' u'MCD-4707' u'CLX-1616' u'EA-2602' u'F-2673' u'SINA-21448' u'SLB-6928' u'NFLX-23709' u'RF-34913' u'APC-455' u'AZO-693' u'ETN-2633' u'AKAM-20680' u'CI-1539' u'CF-27558' u'ADBE-114' u'CHTR-39095' u'CCL-24692' u'VFC-7949' u'NEM-5261' u'BHI-858' u'FSLR-32902' u'ARNA-21724' u'X-8329' u'CLF-1595' u'ANF-15622' u'XLNX-8344' u'DELL-25317' u'AET-168' u'FNSR-20866' u'HRI-32887' u'STI-7152' u'TGT-21090' u'MA-32146' u'NUAN-19926' u'NOV-24809' u'JNJ-4151' u'KEY-4221' u'SIRI-11901' u'PCG-5792' u'KMI-40852' u'JPM-25006' u'ESV-2621' u'FAST-2696' u'DFS-34011' u'VMW-34545' u'WY-8326' u'MCO-22139' u'GIS-3214' u'PH-5956' u'WMB-8214' u'HAL-3443' u'DDD-12959' u'EL-13841' u'HST-9947' u'T-6653' u'BK-903' u'KORS-42270' u'CTSH-18870' u'TJX-7457' u'DLPH-42173' u'VRTX-8045' u'HD-3496' u'CTXS-14014' u'WHR-8178' u'SPG-10528' u'AXP-679' u'ESRX-2618' u'PNC-6068' u'UAL-28051' u'CSX-1937' u'AMD-351' u'UNH-7792' u'M-2754' u'CIEN-16453' u'CHK-8461' u'DUK-2351' u'BTU-22660' u'AMT-24760' u'CAM-13176' u'VVUS-11224' u'CTL-1960' u'COF-12160' u'OXY-5729' u'AIG-239' u'DHI-2298' u'TOL-7530' u'LRCX-4537' u'IR-4010' u'SUNE-13306' u'HON-25090' u'MS-17080' u'CREE-8459' u'LVS-26882' u'BLK-20689' u'FB-42950' u'NKE-5328' u'AMZN-16841' u'HLF-26892' u'STJ-7156' u'CLR-33856' u'BIIB-3806' u'LYB-39546' u'BXP-17009' u'FITB-2855' u'CAT-1267' u'MRO-5035' u'KLAC-4246' u'MPC-41636' u'DECK-9909' u'QCOM-6295' u'WYNN-24124' u'NYX-28145' u'ABT-62' u'MMM-4922' u'PG-5938' u'PCP-5822' u'NOC-5387' u'SWN-7244' u'EXPE-27543' u'MSFT-5061' u'RRC-19249' u'SD-35006' u'CB-8580' u'BRCM-18529' u'DIS-2190' u'VLO-7990' u'XOM-8347' u'FE-17850' u'CMCS_A-1637' u'SBUX-6683' u'MJN-38084' u'USB-25010' u'MRVL-21666' u'KMB-4263' u'WFM-8158' u'EMC-2518' u'COH-22099' u'TXN-7671' u'AMP-27676' u'AAPL-24' u'YHOO-14848' u'HES-216' u'MRK-5029' u'TRIP-42230' u'TWX-357' u'COV-34010' u'JCI-7679' u'ATML-607' u'SE-33030' u'HCN-3488' u'PRU-23328' u'AVP-660' u'HCP-3490' u'NEE-2968' u'CSCO-1900' u'EQIX-24482' u'BBT-16850' u'KO-4283' u'DVN-2368' u'JNPR-20239' u'OCN-15697' u'TWC-33133' u'DLTR-12652' u'BAX-734' u'SWKS-23821' u'LBTY_A-27357' u'GD-3136' u'DO-13635' u'AFL-185' u'FOXA-12213' u'WFC-8151' u'GPS-3321' u'HOT-3642' u'GILD-3212' u'PSX-42788' u'UPS-20940' u'TMO-7493' u'AEP-161' u'UTX-7883' u'DOW-2263' u'UNP-7800' u'WLL-25707' u'ADM-128' u'AGNC-36243' u'JCI-4117' u'PHM-5969' u'PRGO-6161' u'HCA-41047' u'CCI-19258' u'LCC-27653' u'BEN-812' u'TRV-7041' u'TXT-7674' u'MSI-4974' u'NSC-5442' u'MLNX-33316' u'CL-1582' u'DD-2119' u'ADP-630' u'EQR-9540' u'DHR-2170' u'AMGN-368' u'EOG-2564' u'MO-4954' u'ASH-559' u'FFIV-20208' u'TMUS-33698' u'ITW-4080' u'MHS-25445' u'CELG-1406' u'WDC-8132' u'STT-7139' u'DLR-26758' u'BMY-980' u'CME-24475' u'MAR-25920' u'JAZZ-33959' u'ECL-2427' u'YELP-42596' u'ARIA-11880' u'ABBV-43694' u'TDC-34661' u'FTI-22784' u'CBE-1283' u'LLY-4487' u'PM-35902' u'EXC-22114' u'CNX-24758' u'BSX-1131' u'DISH-13017' u'ZNGA-42277' u'PPL-6119' u'CAH-1376' u'ATVI-9883' u'PPG-6116' u'HFC-3620' u'BMRN-20330' u'IVZ-16589' u'CB-1274' u'NBR-5214' u'COP-23998' u'RTN-6583' u'PLD-24785' u'ALTR-328' u'UA-27822' u'AKS-10897' u'NBL-5213'] [ 0.604 0.573 0.569 0.544 0.539 0.536 0.533 0.533 0.533 0.532 0.531 0.529 0.528 0.527 0.527 0.526 0.524 0.522 0.522 0.522 0.521 0.52 0.52 0.52 0.52 0.519 0.519 0.519 0.518 0.518 0.518 0.518 0.517 0.517 0.517 0.516 0.516 0.515 0.515 0.515 0.514 0.514 0.513 0.513 0.513 0.512 0.512 0.511 0.511 0.511 0.511 0.511 0.511 0.511 0.511 0.511 0.511 0.51 0.51 0.51 0.51 0.51 0.51 0.51 0.51 0.509 0.509 0.509 0.509 0.509 0.509 0.509 0.508 0.508 0.508 0.508 0.508 0.507 0.507 0.507 0.507 0.507 0.507 0.507 0.506 0.506 0.506 0.506 0.506 0.506 0.506 0.506 0.505 0.505 0.505 0.505 0.504 0.504 0.504 0.504 0.504 0.504 0.504 0.504 0.504 0.503 0.503 0.503 0.503 0.503 0.503 0.503 0.503 0.502 0.502 0.501 0.5 0.5 0.5 0.5 0.5 0.499 0.498 0.497 0.497 0.497 0.497 0.497 0.496 0.496 0.496 0.495 0.495 0.494 0.494 0.494 0.493 0.492 0.492 0.49 0.488 0.487 0.487 0.487 0.485 0.268 0.264 0.264 0.263 0.262 0.261 0.26 0.26 0.258 0.258 0.258 0.257 0.257 0.257 0.257 0.256 0.256 0.256 0.256 0.255 0.255 0.255 0.255 0.255 0.254 0.254 0.254 0.254 0.254 0.254 0.253 0.253 0.253 0.253 0.253 0.252 0.252 0.252 0.252 0.252 0.252 0.252 0.252 0.251 0.251 0.251 0.251 0.251 0.251 0.251 0.251 0.251 0.251 0.251 0.251 0.25 0.25 0.25 0.25 0.25 0.25 0.25 0.25 0.249 0.249 0.249 0.249 0.249 0.249 0.248 0.248 0.248 0.248 0.247 0.247 0.247 0.246 0.246 0.245 0.245 0.244 0.241 0.179 0.174 0.173 0.173 0.172 0.172 0.17 0.17 0.169 0.169 0.169 0.168 0.168 0.168 0.168 0.168 0.167 0.167 0.167 0.167 0.167 0.167 0.166 0.165 0.165 0.165 0.164 0.164 0.163 0.163 0.13 0.129 0.128 0.128 0.128 0.128 0.128 0.127 0.127 0.127 0.126 0.126 0.126 0.126 0.126 0.126 0.126 0.126 0.126 0.126 0.125 0.125 0.125 0.125 0.125 0.124 0.124 0.123 0.122 0.121 0.119 0.106 0.102 0.1 0.1 0.099 0.099 0.099 0.099 0.098 0.097 0.086 0.085 0.085 0.085 0.084 0.084 0.084 0.083 0.083 0.083 0.082 0.072 0.063 0.063 0.063 0.042]