In [1]:
bt = get_backtest('581246405459b5124126d07d')
bt.create_full_tear_sheet()
100% Time: 0:00:14|###########################################################| Entire data start date: 2011-01-04 Entire data end date: 2016-10-26 Backtest Months: 69
| Performance statistics | Backtest |
|---|---|
| annual_return | 0.39 |
| annual_volatility | 0.23 |
| sharpe_ratio | 1.55 |
| calmar_ratio | 1.66 |
| stability_of_timeseries | 0.97 |
| max_drawdown | -0.23 |
| omega_ratio | 1.38 |
| sortino_ratio | 2.64 |
| skew | 1.30 |
| kurtosis | 12.12 |
| tail_ratio | 1.37 |
| common_sense_ratio | 1.91 |
| information_ratio | 0.07 |
| alpha | 0.32 |
| beta | 0.35 |
| Worst Drawdown Periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 23.35 | 2015-12-23 | 2016-01-25 | 2016-05-16 | 104 |
| 1 | 13.95 | 2016-05-26 | 2016-07-15 | 2016-08-25 | 66 |
| 2 | 13.81 | 2015-09-29 | 2015-12-14 | 2015-12-23 | 62 |
| 3 | 10.14 | 2012-04-12 | 2012-06-01 | 2012-06-08 | 42 |
| 4 | 9.93 | 2013-07-25 | 2013-08-22 | 2013-10-18 | 62 |
[-0.027 -0.052]
/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 |
|---|---|---|---|
| US downgrade/European Debt Crisis | 0.39% | -4.40% | 9.25% |
| Fukushima | 0.66% | -0.94% | 9.95% |
| EZB IR Event | 0.23% | -1.44% | 2.72% |
| Apr14 | 0.19% | -2.37% | 2.36% |
| Oct14 | 0.47% | -1.49% | 2.73% |
| Fall2015 | 0.48% | -2.22% | 5.18% |
| Recovery | 0.19% | -6.08% | 11.36% |
| New Normal | 0.11% | -9.09% | 9.50% |
| Top 10 long positions of all time | max |
|---|---|
| NAV-5199 | 74.07% |
| DRI-12882 | 72.07% |
| AEO-11086 | 71.60% |
| JOY-22996 | 71.49% |
| WYNN-24124 | 71.42% |
| WFT-19336 | 71.29% |
| ADBE-114 | 71.28% |
| HRB-3660 | 71.26% |
| PAY-27206 | 71.24% |
| PANW-43202 | 71.15% |
| Top 10 short positions of all time | max |
|---|---|
| BRCD-20061 | -32.85% |
| RL-24832 | -32.52% |
| MRVL-21666 | -32.04% |
| CIEN-16453 | -31.82% |
| MON-22140 | -31.56% |
| AMBA-43495 | -31.41% |
| GS-20088 | -31.40% |
| JCP-4118 | -31.35% |
| LEN-4417 | -31.35% |
| AA-2 | -31.33% |
| Top 10 positions of all time | max |
|---|---|
| NAV-5199 | 74.07% |
| DRI-12882 | 72.07% |
| AEO-11086 | 71.60% |
| JOY-22996 | 71.49% |
| WYNN-24124 | 71.42% |
| WFT-19336 | 71.29% |
| ADBE-114 | 71.28% |
| HRB-3660 | 71.26% |
| PAY-27206 | 71.24% |
| PANW-43202 | 71.15% |
| All positions ever held | max |
|---|---|
| NAV-5199 | 74.07% |
| DRI-12882 | 72.07% |
| AEO-11086 | 71.60% |
| JOY-22996 | 71.49% |
| WYNN-24124 | 71.42% |
| WFT-19336 | 71.29% |
| ADBE-114 | 71.28% |
| HRB-3660 | 71.26% |
| PAY-27206 | 71.24% |
| PANW-43202 | 71.15% |
| URBN-10303 | 71.10% |
| KBH-4199 | 71.06% |
| SPLK-42815 | 71.03% |
| CIEN-16453 | 71.01% |
| CRM-26401 | 70.84% |
| AA-2 | 70.81% |
| GIS-3214 | 70.80% |
| TIVO-16661 | 70.74% |
| MAT-4668 | 70.74% |
| DE-2127 | 70.73% |
| RH-43599 | 70.71% |
| FDX-2765 | 70.65% |
| MON-22140 | 70.61% |
| HBAN-3472 | 70.53% |
| MU-5121 | 70.52% |
| KMI-40852 | 70.43% |
| NKE-5328 | 70.40% |
| JCP-4118 | 70.35% |
| INTU-8655 | 70.18% |
| SWK-7242 | 70.15% |
| ... | ... |
| RIG-9038 | 3.37% |
| CVI-22766 | 3.35% |
| HON-25090 | 3.34% |
| SNI-36372 | 3.32% |
| BRK_B-11100 | 3.31% |
| BAX-734 | 3.25% |
| HCP-3490 | 3.00% |
| UA-27822 | 2.97% |
| SKX-20284 | 2.96% |
| QEP-39778 | 2.94% |
| AR-45618 | 2.94% |
| AAL-45971 | 2.93% |
| HOT-3642 | 2.59% |
| ALB-10898 | 2.51% |
| TRGP-40547 | 2.46% |
| SOHU-21813 | 2.46% |
| HLF-26892 | 2.42% |
| SEE-6769 | 2.31% |
| AET-168 | 2.18% |
| AEP-161 | 2.16% |
| TER-7401 | 2.05% |
| DPS-36118 | 2.04% |
| TRN-7583 | 2.01% |
| TWTR-45815 | 1.90% |
| HAR-3455 | 1.89% |
| FANG-43512 | 1.88% |
| NSC-5442 | 1.88% |
| LUV-4589 | 1.79% |
| SLG-17448 | 1.67% |
| MWW-24923 | 1.58% |
418 rows × 1 columns
