In [1]:
bt = get_backtest('5b0b0c8cc7164744550acf70')
bt.create_full_tear_sheet()
100% Time: 0:00:21|###########################################################|
| Start date | 2016-12-01 |
|---|---|
| End date | 2018-05-25 |
| Total months | 17 |
| Backtest | |
| Annual return | 20.6% |
| Cumulative returns | 31.9% |
| Annual volatility | 6.9% |
| Sharpe ratio | 2.73 |
| Calmar ratio | 7.66 |
| Stability | 0.97 |
| Max drawdown | -2.7% |
| Omega ratio | 1.71 |
| Sortino ratio | 5.17 |
| Skew | 1.25 |
| Kurtosis | 6.42 |
| Tail ratio | 1.77 |
| Daily value at risk | -0.8% |
| Gross leverage | 0.21 |
| Daily turnover | 145.0% |
| Alpha | 0.18 |
| Beta | 0.04 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 2.69 | 2017-10-27 | 2017-11-07 | 2017-11-10 | 11 |
| 1 | 2.34 | 2017-01-05 | 2017-01-10 | 2017-01-13 | 7 |
| 2 | 2.21 | 2017-06-06 | 2017-06-29 | 2017-07-06 | 23 |
| 3 | 1.87 | 2017-07-26 | 2017-08-31 | 2017-10-04 | 51 |
| 4 | 1.78 | 2017-11-17 | 2017-12-06 | 2017-12-26 | 28 |
| Stress Events | mean | min | max |
|---|---|---|---|
| New Normal | 0.07% | -1.47% | 2.87% |
| Top 10 long positions of all time | max |
|---|---|
| FNBC-44709 | 1.69% |
| IMTE-51092 | 1.62% |
| ORIG-41919 | 1.37% |
| UAVS-33583 | 1.36% |
| PRPO-21822 | 1.25% |
| AGRX-46977 | 1.23% |
| ABIO-24624 | 1.17% |
| BCEI-42272 | 1.06% |
| TENX-31000 | 1.04% |
| ACTA-26277 | 1.02% |
| Top 10 short positions of all time | max |
|---|---|
| MYOS-36920 | -3.43% |
| DCIX-40666 | -3.38% |
| SNES-50515 | -3.04% |
| SPI-49722 | -2.92% |
| GLF-51464 | -2.78% |
| RLOG-30666 | -2.64% |
| GLBR-40531 | -2.48% |
| CARV-12008 | -2.39% |
| EVFM-48127 | -2.36% |
| IDXG-18764 | -2.21% |
| Top 10 positions of all time | max |
|---|---|
| MYOS-36920 | 3.43% |
| DCIX-40666 | 3.38% |
| SNES-50515 | 3.04% |
| SPI-49722 | 2.92% |
| GLF-51464 | 2.78% |
| RLOG-30666 | 2.64% |
| GLBR-40531 | 2.48% |
| CARV-12008 | 2.39% |
| EVFM-48127 | 2.36% |
| IDXG-18764 | 2.21% |
| All positions ever held | max |
|---|---|
| MYOS-36920 | 3.43% |
| DCIX-40666 | 3.38% |
| SNES-50515 | 3.04% |
| SPI-49722 | 2.92% |
| GLF-51464 | 2.78% |
| RLOG-30666 | 2.64% |
| GLBR-40531 | 2.48% |
| CARV-12008 | 2.39% |
| EVFM-48127 | 2.36% |
| IDXG-18764 | 2.21% |
| MTBC-47286 | 2.15% |
| CHEK-48781 | 2.13% |
| HTGM-49018 | 2.11% |
| CHCI-26874 | 2.09% |
| CHFS-42528 | 2.06% |
| MGEN-47103 | 2.04% |
| YUMA-30644 | 1.98% |
| RSLS-35088 | 1.98% |
| WMLP-39904 | 1.96% |
| PRPO-21822 | 1.95% |
| SGLB-50664 | 1.88% |
| ACUR-28416 | 1.87% |
| KBSF-44006 | 1.85% |
| FORD-18034 | 1.84% |
| TENX-31000 | 1.83% |
| RGSE-36189 | 1.82% |
| BONT-1031 | 1.77% |
| YTEN-32867 | 1.77% |
| INNT-50095 | 1.77% |
| CADC-34066 | 1.76% |
| AMDA-46343 | 1.71% |
| FNBC-44709 | 1.69% |
| GLBS-40488 | 1.68% |
| DCTH-23115 | 1.68% |
| AEZS-26361 | 1.67% |
| OPHC-26281 | 1.67% |
| CBIO-27067 | 1.63% |
| IMTE-51092 | 1.62% |
| CPHI-31095 | 1.61% |
| RTNB-33226 | 1.60% |
| ROKA-47322 | 1.60% |
| ARCI-16435 | 1.56% |
| DPW-16192 | 1.53% |
| AVGR-48545 | 1.52% |
| NETE-43552 | 1.51% |
| TEUM-29314 | 1.49% |
| ITUS-49259 | 1.48% |
| CLWT-16601 | 1.46% |
| LINU-36845 | 1.46% |
| MOSY-22817 | 1.46% |
| DARE-46730 | 1.45% |
| INPX-46736 | 1.44% |
| CCCR-45268 | 1.43% |
| IMNP-27226 | 1.42% |
| OCRX-41135 | 1.41% |
| TEAR-26855 | 1.38% |
| HTBX-45149 | 1.37% |
| ORIG-41919 | 1.37% |
| CREG-31474 | 1.37% |
| UAVS-33583 | 1.36% |
| EYEG-48640 | 1.32% |
| UNXL-31156 | 1.31% |
| BNTC-49327 | 1.29% |
| TOPS-26507 | 1.29% |
| DSS-28030 | 1.28% |
| ACST-43904 | 1.27% |
| MARA-41204 | 1.26% |
| KOSS-4292 | 1.26% |
| VII-7972 | 1.25% |
| PYDS-30643 | 1.25% |
| PULM-46573 | 1.25% |
| CAPR-30877 | 1.24% |
| AGRX-46977 | 1.23% |
| SEII-30160 | 1.22% |
| CERC-49591 | 1.21% |
| RCON-38631 | 1.20% |
| ESES-34590 | 1.20% |
| ABIO-24624 | 1.17% |
| JAGX-49033 | 1.17% |
| APRI-21423 | 1.11% |
| XBIO-42944 | 1.09% |
| SPEX-22934 | 1.09% |
| DELT-49081 | 1.07% |
| BCEI-42272 | 1.06% |
| IMUC-32323 | 1.05% |
| LEDS-40574 | 1.04% |
| VTGN-38556 | 1.03% |
| IGC-28328 | 1.03% |
| ZSAN-48506 | 1.02% |
| ACTA-26277 | 1.02% |
| NFEC-29115 | 1.01% |
| ARGS-46326 | 1.00% |
| IRG-42931 | 0.99% |
| ANY-45265 | 0.99% |
| VTVT-49306 | 0.98% |
| SAEX-41786 | 0.98% |
| VLRX-50733 | 0.96% |
| EVEP-32650 | 0.96% |
| AMMA-50349 | 0.96% |
| CRTN-20936 | 0.96% |
| UNIS-39227 | 0.96% |
| NAKD-49672 | 0.96% |
| WAC-18431 | 0.95% |
| BAS-27886 | 0.95% |
| CATB-49180 | 0.95% |
| TVIA-41522 | 0.95% |
| ANTH-39270 | 0.94% |
| SINO-36277 | 0.94% |
| EDGE-49454 | 0.94% |
| BIOC-46309 | 0.92% |
| SRAX-43516 | 0.92% |
| DGLT-47282 | 0.91% |
| MCZ-23074 | 0.91% |
| PRZM-23305 | 0.91% |
| CYCC-28246 | 0.91% |
| WG-8163 | 0.90% |
| FCRE-21542 | 0.90% |
| ESEA-33248 | 0.89% |
| GMAN-39989 | 0.88% |
| OHGI-28687 | 0.88% |
| CDTI-14001 | 0.87% |
| ACER-30504 | 0.87% |
| LTBR-30365 | 0.87% |
| HMNY-17450 | 0.86% |
| ABIL-46250 | 0.86% |
| PZRX-49973 | 0.86% |
| ALQA-31637 | 0.85% |
| CVO-26300 | 0.84% |
| DRWI-38847 | 0.83% |
| CUR-33012 | 0.82% |
| GBR-14549 | 0.82% |
| PRTO-47938 | 0.81% |
| LBIX-20746 | 0.81% |
| FCSC-38800 | 0.81% |
| AMTX-32049 | 0.81% |
| APEN-30049 | 0.80% |
| OHRP-30589 | 0.80% |
| FALC-22977 | 0.80% |
| FFHL-33078 | 0.80% |
| BAA-27130 | 0.80% |
| ATOS-43592 | 0.80% |
| MTP-49653 | 0.80% |
| STAF-42002 | 0.79% |
| DXTR-28046 | 0.79% |
| PSIX-33645 | 0.79% |
| GNCA-46311 | 0.78% |
| NVIV-40202 | 0.78% |
| CLSN-1602 | 0.77% |
| RHE-51251 | 0.77% |
| SVRA-26230 | 0.77% |
| ARLZ-22156 | 0.77% |
| MEMP-42247 | 0.76% |
| IZEA-40407 | 0.76% |
| ASTC-14154 | 0.76% |
| SGRP-20432 | 0.76% |
| ONP-39086 | 0.76% |
| GENE-27606 | 0.75% |
| USEG-7842 | 0.75% |
| APHB-11392 | 0.75% |
| DXR-2382 | 0.74% |
| AKER-36295 | 0.74% |
| OPTT-33734 | 0.74% |
| AEMD-28441 | 0.74% |
| CPAH-31509 | 0.74% |
| NXTD-45218 | 0.73% |
| FTFT-29228 | 0.73% |
| LMFA-49652 | 0.73% |
| RPRX-8771 | 0.72% |
| CYTX-27923 | 0.72% |
| OMNT-50720 | 0.71% |
| ELTK-16352 | 0.71% |
| RAS-18194 | 0.71% |
| EPIX-48753 | 0.71% |
| DRYS-26994 | 0.70% |
| AIPT-38940 | 0.70% |
| DEST-8682 | 0.70% |
| NSPR-39287 | 0.69% |
| MBRX-50013 | 0.69% |
| PXS-49537 | 0.68% |
| BURG-28835 | 0.68% |
| APTO-47949 | 0.67% |
| AXN-31461 | 0.67% |
| SEED-27783 | 0.66% |
| NAUH-35347 | 0.66% |
| BPMX-41528 | 0.66% |
| TGC-21089 | 0.66% |
| GLOW-25509 | 0.66% |
| OREX-33742 | 0.65% |
| APOP-50170 | 0.65% |
| BIOA-44881 | 0.65% |
| VNR-34931 | 0.65% |
| CALI-34643 | 0.65% |
| CMLS-18863 | 0.65% |
| IFON-26384 | 0.64% |
| RMGN-41536 | 0.64% |
| RWLK-47683 | 0.63% |
| CEI-35767 | 0.62% |
| RNVA-13751 | 0.62% |
| RKDA-49034 | 0.62% |
| ATIS-28658 | 0.62% |
| KTOV-49611 | 0.62% |
| NAO-46378 | 0.62% |
| CBR-10925 | 0.61% |
| MYSZ-50150 | 0.61% |
| GNVC-22315 | 0.61% |
| BUR-42080 | 0.61% |
| OGEN-26316 | 0.61% |
| REXX-34379 | 0.61% |
| ALPN-49144 | 0.60% |
| GLF-3265 | 0.60% |
| CXRX-46079 | 0.60% |
| ARDM-15073 | 0.60% |
| ARCT-44769 | 0.60% |
| NVCN-46984 | 0.59% |
| RELY-48542 | 0.59% |
| RXII-42925 | 0.59% |
| ORPN-47418 | 0.59% |
| VSR-8054 | 0.58% |
| RIOT-28541 | 0.58% |
| SBOT-49566 | 0.57% |
| PRAN-24034 | 0.57% |
| INVT-21145 | 0.57% |
| XTNT-33283 | 0.57% |
| TROV-31319 | 0.57% |
| ZAIS-44345 | 0.56% |
| QRHC-38420 | 0.56% |
| AYTU-40965 | 0.56% |
| CGIX-44416 | 0.56% |
| HGG-34277 | 0.56% |
| XTLB-27605 | 0.56% |
| MICT-40952 | 0.56% |
| NADL-46262 | 0.56% |
| CRDS-28997 | 0.55% |
| SAJA-27715 | 0.55% |
| CNTF-27221 | 0.55% |
| CCIH-40190 | 0.55% |
| LIFE-49023 | 0.54% |
| TIK-25970 | 0.54% |
| VVPR-50559 | 0.54% |
| EARS-47431 | 0.54% |
| SLS-35890 | 0.54% |
| SCON-8732 | 0.54% |
| BEBE-18843 | 0.54% |
| CBLI-32415 | 0.53% |
| LIVE-31332 | 0.53% |
| HGT-19982 | 0.53% |
| EMG-40818 | 0.53% |
| CNET-33463 | 0.53% |
| CHKE-12305 | 0.53% |
| ISNS-12902 | 0.53% |
| FENX-49032 | 0.52% |
| EVOK-45497 | 0.52% |
| CBMX-24470 | 0.52% |
| BSTG-45698 | 0.52% |
| RTK-6523 | 0.52% |
| SNGX-19208 | 0.52% |
| PED-28675 | 0.52% |
| LODE-29621 | 0.51% |
| ENSV-28592 | 0.51% |
| CRMD-39625 | 0.51% |
| RVP-22724 | 0.51% |
| BVSN-23851 | 0.50% |
| LTRX-21903 | 0.50% |
| CVM-1407 | 0.50% |
| AMRH-51483 | 0.50% |
| FTEK-9732 | 0.50% |
| VNCE-45906 | 0.50% |
| FPAY-35075 | 0.50% |
| CYRX-29083 | 0.50% |
| MBVX-21947 | 0.50% |
| IDN-20875 | 0.50% |
| ATNM-34273 | 0.50% |
| HEAR-40197 | 0.49% |
| OPGN-48998 | 0.49% |
| IDSA-15506 | 0.49% |
| DFFN-50456 | 0.49% |
| GEVO-40840 | 0.49% |
| KOOL-15163 | 0.48% |
| BRN-1095 | 0.48% |
| ACHV-13740 | 0.48% |
| WLB-8130 | 0.48% |
| RCKT-48602 | 0.48% |
| ADPT-47191 | 0.48% |
| YECO-49200 | 0.48% |
| BOXL-51521 | 0.48% |
| PLX-18758 | 0.48% |
| FNCX-31350 | 0.48% |
| MNOCF-41823 | 0.48% |
| XSPA-39803 | 0.48% |
| KONE-39620 | 0.47% |
| VXRT-14266 | 0.47% |
| FUV-51209 | 0.47% |
| BDR-13991 | 0.47% |
| AQB-50578 | 0.47% |
| ROSG-33431 | 0.47% |
| BASI-17810 | 0.47% |
| DMPI-40886 | 0.46% |
| SMRT-6969 | 0.46% |
| CETX-49179 | 0.46% |
| PERF-23497 | 0.46% |
| EDUC-2450 | 0.46% |
| CIE-39073 | 0.46% |
| CNXR-48256 | 0.46% |
| SCYX-46679 | 0.46% |
| COYN-49565 | 0.46% |
| TNDM-45852 | 0.46% |
| XCO-28083 | 0.46% |
| BSPM-37649 | 0.45% |
| RFIL-17106 | 0.45% |
| WYY-21711 | 0.45% |
| NCTY-26878 | 0.45% |
| STRM-14748 | 0.45% |
| BKYI-28694 | 0.45% |
| DCAR-27133 | 0.44% |
| IBIO-36766 | 0.44% |
| MYO-50936 | 0.44% |
| IHT-19304 | 0.44% |
| CYTR-14359 | 0.44% |
| REED-33115 | 0.44% |
| CYAN-2044 | 0.44% |
| SYN-32063 | 0.43% |
| PACD-42151 | 0.43% |
| LPCN-43025 | 0.43% |
| NNDM-49790 | 0.43% |
| HUSA-29723 | 0.43% |
| RELV-8722 | 0.43% |
| ESNC-34020 | 0.42% |
| CAS-1263 | 0.42% |
| BLPH-48635 | 0.42% |
| QBAK-21680 | 0.41% |
| EVK-29240 | 0.41% |
| SUMR-29960 | 0.41% |
| VKTX-48997 | 0.41% |
| PARN-47148 | 0.41% |
| TNXP-38060 | 0.41% |
| BMRA-31969 | 0.41% |
| NLST-32971 | 0.40% |
| CLIR-42844 | 0.40% |
| XGTI-41717 | 0.40% |
| MYND-30978 | 0.39% |
| WWR-31163 | 0.39% |
| IPAS-25337 | 0.39% |
| NURO-26504 | 0.39% |
| APDN-28531 | 0.38% |
| RTTR-49157 | 0.38% |
| USAU-2344 | 0.38% |
| BIOL-11422 | 0.37% |
| NEON-6656 | 0.37% |
| CDNA-47321 | 0.37% |
| IMMY-33523 | 0.37% |
| STLY-9472 | 0.37% |
| BNSO-12004 | 0.37% |
| COOL-26972 | 0.37% |
| HEB-15314 | 0.37% |
| ONTX-45159 | 0.37% |
| PAVM-50157 | 0.37% |
| PTX-16489 | 0.37% |
| MDGS-49054 | 0.37% |
| FPP-27624 | 0.36% |
| ISR-29884 | 0.36% |
| SLNO-48079 | 0.36% |
| UUU-18502 | 0.36% |
| MTSL-16933 | 0.36% |
| SDPI-46966 | 0.36% |
| PRKR-10485 | 0.35% |
| LIQT-39430 | 0.35% |
| DGLY-29117 | 0.35% |
| BVXV-49006 | 0.35% |
| KONA-27568 | 0.35% |
| MXC-25528 | 0.35% |
| GLA-15327 | 0.35% |
| AIII-17287 | 0.35% |
| RIBT-30358 | 0.35% |
| MTNB-47030 | 0.35% |
| AMPE-35897 | 0.35% |
| SMSI-13577 | 0.34% |
| EMMS-10748 | 0.34% |
| ABAC-39927 | 0.34% |
| TISA-16117 | 0.34% |
| EFOI-11769 | 0.34% |
| MKGI-51800 | 0.33% |
| THST-44571 | 0.33% |
| CPSH-1820 | 0.33% |
| CIDM-25636 | 0.33% |
| UAMY-42955 | 0.33% |
| NDRA-50984 | 0.33% |
| KIQ-47894 | 0.33% |
| MLSS-16309 | 0.33% |
| DAVE-15977 | 0.33% |
| NHLD-30306 | 0.33% |
| NTN-5477 | 0.33% |
| SGY-9458 | 0.33% |
| MDSY-25401 | 0.33% |
| OSN-40631 | 0.32% |
| CCCL-35284 | 0.32% |
| AQMS-49311 | 0.32% |
| SHIP-34958 | 0.32% |
| MNGA-36966 | 0.32% |
| ATEC-32187 | 0.32% |
| DAIO-2078 | 0.32% |
| CSPI-1923 | 0.32% |
| VICL-8763 | 0.32% |
| ISIG-4030 | 0.32% |
| QUMU-6477 | 0.32% |
| DRIO-44257 | 0.32% |
| JRJR-35392 | 0.32% |
| PTIE-21803 | 0.31% |
| ELMD-40009 | 0.31% |
| JOB-4153 | 0.31% |
| BLIN-34128 | 0.31% |
| EKSO-44451 | 0.31% |
| FAC-26242 | 0.31% |
| TCCO-39906 | 0.31% |
| BORN-39744 | 0.31% |
| TNTR-50997 | 0.31% |
| TSRI-7615 | 0.31% |
| XOMA-8346 | 0.31% |
| IPWR-45904 | 0.30% |
| OHAI-26773 | 0.30% |
| IPDN-44241 | 0.30% |
| EVAR-46819 | 0.30% |
| SESN-46313 | 0.30% |
| PLXP-46535 | 0.30% |
| TDW-7364 | 0.30% |
| MTEX-19817 | 0.29% |
| HH-3549 | 0.29% |
| ATLC-19960 | 0.29% |
| ALN-38724 | 0.29% |
| INUV-27091 | 0.29% |
| SYBX-49452 | 0.29% |
| WHLR-43638 | 0.29% |
| PW-6262 | 0.29% |
| BPTH-30403 | 0.29% |
| BBOX-11732 | 0.29% |
| MGH-27834 | 0.29% |
| CNIT-32404 | 0.29% |
| KZIA-19726 | 0.29% |
| SSKN-27523 | 0.29% |
| CTXR-42034 | 0.29% |
| LBCC-38869 | 0.28% |
| TAT-38304 | 0.28% |
| SGOC-40634 | 0.28% |
| EAST-45129 | 0.28% |
| DFBG-19305 | 0.28% |
| CODX-51023 | 0.28% |
| TORM-21566 | 0.28% |
| SGBX-50976 | 0.28% |
| BHTG-46641 | 0.28% |
| TYHT-50327 | 0.28% |
| JTPY-41814 | 0.28% |
| SES-35001 | 0.28% |
| IPCI-20885 | 0.27% |
| PRSS-42744 | 0.27% |
| RSYS-13730 | 0.27% |
| YGE-33985 | 0.27% |
| PN-48453 | 0.27% |
| ARTW-535 | 0.27% |
| INFU-32247 | 0.27% |
| GIGA-3208 | 0.27% |
| ENG-23770 | 0.27% |
| CANF-43387 | 0.27% |
| WINT-18012 | 0.27% |
| CLGN-51710 | 0.27% |
| AETI-19946 | 0.27% |
| LLIT-39524 | 0.27% |
| SHOS-43514 | 0.27% |
| REFR-6410 | 0.27% |
| CBAK-28788 | 0.26% |
| CPST-21604 | 0.26% |
| NIHD-24622 | 0.26% |
| VTNR-31255 | 0.26% |
| SNMX-26370 | 0.26% |
| GIGM-21155 | 0.26% |
| NVUS-47719 | 0.26% |
| TRPX-47356 | 0.26% |
| WGA-8164 | 0.26% |
| IMRN-37951 | 0.26% |
| MXPT-48726 | 0.26% |
| ACY-112 | 0.26% |
| HEBT-50554 | 0.26% |
| CODA-51059 | 0.26% |
| MGCD-24466 | 0.26% |
| SOFO-18620 | 0.26% |
| VISN-35192 | 0.25% |
| OPNT-51154 | 0.25% |
| TTNP-14312 | 0.25% |
| LEVB-51471 | 0.25% |
| ALT-27689 | 0.25% |
| CASM-16176 | 0.25% |
| TAIT-12841 | 0.25% |
| SSN-34439 | 0.25% |
| VLTC-39804 | 0.25% |
| PLG-34125 | 0.25% |
| WSTL-14192 | 0.25% |
| RBCN-35100 | 0.25% |
| DTRM-21329 | 0.25% |
| TPIV-29569 | 0.25% |
| MRNS-47417 | 0.25% |
| BGI-27794 | 0.25% |
| WSCI-8281 | 0.24% |
| BLNK-36125 | 0.24% |
| SSY-23033 | 0.24% |
| MBII-45198 | 0.24% |
| ELSE-2508 | 0.24% |
| CTRV-46330 | 0.24% |
| MOC-1653 | 0.24% |
| XPL-30901 | 0.24% |
| SYPR-18492 | 0.24% |
| GMO-29798 | 0.24% |
| MDVX-48554 | 0.24% |
| ICON-6856 | 0.24% |
| OXBR-46879 | 0.23% |
| LENS-48520 | 0.23% |
| DGSE-2209 | 0.23% |
| CRVP-8028 | 0.23% |
| CLRB-30367 | 0.23% |
| MTEM-26997 | 0.23% |
| MRIN-44339 | 0.23% |
| DYNT-2391 | 0.23% |
| SMIT-24515 | 0.23% |
| RAVE-9638 | 0.23% |
| FSI-24408 | 0.23% |
| GROW-3353 | 0.23% |
| OBAS-20005 | 0.23% |
| BBRG-40284 | 0.22% |
| CTEK-28612 | 0.22% |
| TPLM-31903 | 0.22% |
| AHPI-225 | 0.22% |
| FSNN-27037 | 0.22% |
| IPIC-51721 | 0.22% |
| SNOA-33215 | 0.22% |
| AAPC-48999 | 0.22% |
| PETZ-51200 | 0.22% |
| MARP_S-4660 | 0.22% |
| LYL-51326 | 0.22% |
| NVMM-51622 | 0.22% |
| GNUS-50476 | 0.22% |
| EGAN-29236 | 0.22% |
| MIND-12347 | 0.22% |
| SHSP-41233 | 0.22% |
| UQM-7822 | 0.22% |
| AIRT-11238 | 0.21% |
| CTHR-17835 | 0.21% |
| ADOM-50945 | 0.21% |
| DMTX-49517 | 0.21% |
| DHCP-51762 | 0.21% |
| WGBS-32996 | 0.21% |
| NVFY-39505 | 0.21% |
| MTR-5102 | 0.21% |
| ELON-19074 | 0.21% |
| TRX-27243 | 0.21% |
| JCS-1905 | 0.21% |
| SPCB-45432 | 0.21% |
| RLJE-41042 | 0.21% |
| OMEX-25682 | 0.21% |
| CLBS-30525 | 0.21% |
| NTRP-41994 | 0.21% |
| APWC-31419 | 0.21% |
| PIOI-21842 | 0.20% |
| AZRX-50285 | 0.20% |
| EGLT-46314 | 0.20% |
| ONS-50035 | 0.20% |
| RVEN-40571 | 0.20% |
| EGT-26251 | 0.20% |
| NSYS-9237 | 0.20% |
| IOR-3970 | 0.20% |
| AIRI-29550 | 0.20% |
| EQS-2586 | 0.20% |
| MCEP-42275 | 0.20% |
| IKNX-24494 | 0.20% |
| RCG-33895 | 0.20% |
| SGMA-10842 | 0.20% |
| XPLR-31952 | 0.19% |
| COCP-35384 | 0.19% |
| JASN-45527 | 0.19% |
| CUO-1988 | 0.19% |
| YOGA-51119 | 0.19% |
| CSBR-1896 | 0.19% |
| DLPN-32455 | 0.19% |
| DRAD-26368 | 0.19% |
| OESX-49131 | 0.19% |
| AMS-392 | 0.19% |
| SIF-6878 | 0.19% |
| NSEC-5448 | 0.19% |
| CKX-25727 | 0.19% |
| LOV-28093 | 0.18% |
| VVUS-11224 | 0.18% |
| TKAT-45608 | 0.18% |
| MBOT-21560 | 0.18% |
| TST-20158 | 0.18% |
| PQ-19326 | 0.18% |
| CETC-25100 | 0.18% |
| SUNW-38405 | 0.18% |
| GNMX-41166 | 0.18% |
| PESI-5904 | 0.18% |
| LGL-4440 | 0.18% |
| AWX-18839 | 0.18% |
| SAUC-36804 | 0.18% |
| AUTO-19852 | 0.18% |
| ONCS-37827 | 0.18% |
| STKS-42136 | 0.18% |
| SIEB-16096 | 0.18% |
| CHMA-49268 | 0.18% |
| DXF-40464 | 0.17% |
| NVET-48589 | 0.17% |
| INOD-9581 | 0.17% |
| CLDC-47944 | 0.17% |
| NAOV-48986 | 0.17% |
| SDT-41214 | 0.17% |
| CFBK-19588 | 0.17% |
| ICCC-3778 | 0.17% |
| ZDGE-50005 | 0.17% |
| APVO-50141 | 0.17% |
| INTX-26236 | 0.17% |
| CJJD-35892 | 0.17% |
| LINK-9193 | 0.17% |
| SSNT-31128 | 0.17% |
| RAND-6341 | 0.17% |
| AUMN-38290 | 0.17% |
| VRTB-32023 | 0.17% |
| IEC-8497 | 0.17% |
| TWMC-7657 | 0.17% |
| OCC-23893 | 0.17% |
| BSQR-20690 | 0.16% |
| CATS-25749 | 0.16% |
| NTWK-21078 | 0.16% |
| ASCM_A-36896 | 0.16% |
| VTSI-31239 | 0.16% |
| IMMP-42795 | 0.16% |
| AKTX-46304 | 0.16% |
| GTIM-18296 | 0.16% |
| GALT-25536 | 0.16% |
| MSN-12351 | 0.16% |
| ATV-33774 | 0.16% |
| TANH-48804 | 0.16% |
| DDE-23577 | 0.16% |
| RADA-22630 | 0.16% |
| OTIV-24432 | 0.16% |
| ATXI-50947 | 0.16% |
| PMTS-49480 | 0.16% |
| PDEX-5834 | 0.16% |
| MCUR-47416 | 0.16% |
| INS-3947 | 0.16% |
| SCKT-13100 | 0.16% |
| XELB-30295 | 0.16% |
| ERS-20593 | 0.16% |
| NAVB-5264 | 0.16% |
| SELF-19477 | 0.16% |
| CTIB-20847 | 0.16% |
| PRPH-17281 | 0.16% |
| TCON-48519 | 0.16% |
| NBY-34957 | 0.16% |
| BLFS-28698 | 0.16% |
| SITO-49330 | 0.15% |
| EFBI-51067 | 0.15% |
| ONVI-23895 | 0.15% |
| CART-26909 | 0.15% |
| AEY-117 | 0.15% |
| SBSA-20791 | 0.15% |
| ADGE-34915 | 0.15% |
| HPJ-36422 | 0.15% |
| BOSC-24888 | 0.15% |
| APPS-32215 | 0.15% |
| PZG-48910 | 0.15% |
| PFIN-5928 | 0.15% |
| ISDR-35928 | 0.15% |
| WHLM-30278 | 0.15% |
| ECT-39849 | 0.15% |
| FNJN-33544 | 0.14% |
| MHH-36894 | 0.14% |
| ARCW-28559 | 0.14% |
| UWN-23167 | 0.14% |
| BDL-790 | 0.14% |
| OVAS-43478 | 0.14% |
| DYSL-29193 | 0.14% |
| OCX-49693 | 0.14% |
| COHN-26115 | 0.14% |
| ATOM-50186 | 0.14% |
| EMAN-21254 | 0.14% |
| VSTM-42426 | 0.14% |
| TRT-7598 | 0.14% |
| LINC-27374 | 0.14% |
| DXYN-2384 | 0.14% |
| LUNA-32188 | 0.14% |
| EMIT_F-15988 | 0.13% |
| OTEL-44805 | 0.13% |
| NOM-9008 | 0.13% |
| LEU-19177 | 0.13% |
| JRJC-26719 | 0.13% |
| CVV-2003 | 0.13% |
| VERU-8253 | 0.13% |
| TRIL-48320 | 0.13% |
| AMCN-35015 | 0.13% |
| HSGX-48171 | 0.13% |
| ADK-33088 | 0.13% |
| ADMA-45687 | 0.13% |
| BWEN-31121 | 0.13% |
| OASM-49522 | 0.13% |
| OIIM-21912 | 0.12% |
| SMTX-21811 | 0.12% |
| JYNT-48039 | 0.12% |
| XRDC-42253 | 0.12% |
| HMG-3601 | 0.12% |
| WTT-11987 | 0.12% |
| TRMT-51180 | 0.12% |
| TIL-46944 | 0.12% |
| OBCI-5562 | 0.12% |
| DSWL-13191 | 0.12% |
| NNVC-34124 | 0.12% |
| BYFC-14211 | 0.12% |
| CBAY-46189 | 0.12% |
| WCFB-11870 | 0.12% |
| CAW-1323 | 0.12% |
| JCTC_F-14743 | 0.12% |
| JVA-27215 | 0.12% |
| LPTH-24657 | 0.12% |
| BRQS-49530 | 0.11% |
| ASFI-13789 | 0.11% |
| UNAM-7785 | 0.11% |
| INVE-17749 | 0.11% |
| LOAN-20069 | 0.11% |
| HIHO-16216 | 0.11% |
| TAYD-7316 | 0.11% |
| CVR-2008 | 0.11% |
| OBLN-50351 | 0.11% |
| APT-24864 | 0.11% |
| CSSE-51141 | 0.10% |
| POLA-50503 | 0.10% |
| RNN-30739 | 0.10% |
| LRAD-20326 | 0.10% |
| CBK-21736 | 0.10% |
| IOTS-49504 | 0.10% |
| NPN-38322 | 0.10% |
| FRD-2987 | 0.10% |
| EVOL-18702 | 0.10% |
| HSON-24717 | 0.10% |
| EGY-26497 | 0.10% |
| BHV-23564 | 0.10% |
| ROYT-42887 | 0.10% |
| JNP-1735 | 0.09% |
| PIH-46611 | 0.09% |
| GFA-33536 | 0.09% |
| MICR-3678 | 0.09% |
| XSPL-51967 | 0.09% |
| FORK-49561 | 0.09% |
| CNFR-49336 | 0.09% |
| KEG-50544 | 0.09% |
| ICCH-50736 | 0.09% |
| GLBZ-22790 | 0.09% |
| SSLJ-51735 | 0.09% |
| IMI-42183 | 0.08% |
| BLJ-23567 | 0.08% |
| SRRA-49269 | 0.08% |
| SVT-7229 | 0.08% |
| BCEI-50824 | 0.08% |
| SCX-6737 | 0.08% |
| CZFC-29087 | 0.08% |
| WVFC-10314 | 0.08% |
| KMPH-48935 | 0.08% |
| GGO-50433 | 0.08% |
| EYPT-26979 | 0.08% |
| AEHR-17336 | 0.08% |
| EEI-2456 | 0.08% |
| CDOR-12190 | 0.08% |
| XENE-47913 | 0.08% |
| GRVY-27006 | 0.07% |
| MPO-42820 | 0.07% |
| MFIN-15031 | 0.07% |
| HVBC-50584 | 0.07% |
| DVCR-28613 | 0.07% |
| GLMD-46536 | 0.07% |
| AVEO-39350 | 0.07% |
| MFV-4822 | 0.07% |
| GYRO-3428 | 0.07% |
| TURN-3551 | 0.07% |
| TELL-4982 | 0.07% |
| VBFC-26275 | 0.07% |
| GRF-34854 | 0.07% |
| MELR-47937 | 0.06% |
| ISSC-21893 | 0.06% |
| FSBC-34553 | 0.06% |
| IO-3996 | 0.06% |
| NJV-38325 | 0.06% |
| NYV-38323 | 0.06% |
| EMI-19692 | 0.06% |
| SPRT-21814 | 0.06% |
| MATN-9621 | 0.06% |
| SRF-42544 | 0.06% |
| WVVI-11988 | 0.06% |
| TWER-32561 | 0.06% |
| IIN-6941 | 0.05% |
| CUBA-11280 | 0.05% |
| VIVE-50041 | 0.05% |
| PTI-49748 | 0.05% |
| EQFN-49249 | 0.05% |
| MHE-9412 | 0.05% |
| NBRV-49415 | 0.05% |
| MNDO-21907 | 0.05% |
| PPSI-38072 | 0.05% |
| BZM-23570 | 0.05% |
| NYH-24430 | 0.05% |
| GRR-10174 | 0.05% |
| ANDA-49649 | 0.04% |
| EVO-19696 | 0.04% |
| NOG-35961 | 0.04% |
| ENH_PRC-49631 | 0.04% |
| EIP-24403 | 0.04% |
| BCLI-31425 | 0.04% |
| BQH-23568 | 0.04% |
| SKYS-48040 | 0.04% |
| OTTW-50374 | 0.04% |
| EIO-24402 | 0.04% |
| MIW-24503 | 0.03% |
| CCA-1325 | 0.03% |
| EMJ-24405 | 0.03% |
| GWGH-47795 | 0.03% |
| EVP-19697 | 0.03% |
| FCE_A-49700 | 0.03% |
| MAB-24499 | 0.03% |
| IRL-4017 | 0.03% |
| WAYN-24588 | 0.03% |
| EIA-24400 | 0.03% |
| JOF-4154 | 0.03% |
| FFBW-51278 | 0.03% |
| MMV-19722 | 0.02% |
| PTN-17730 | 0.02% |
| OACQ-48412 | 0.02% |
| BCTF-50369 | 0.02% |
| EFUT-32811 | 0.02% |
| KBLM-50982 | 0.02% |
| MACQ-50458 | 0.02% |
| BHAC-48727 | 0.01% |
| BRAC-51332 | 0.01% |
| MN-42182 | 0.01% |
| GIG-51640 | 0.01% |
| GPAQ-51822 | 0.01% |
| JSYN-49907 | 0.01% |
| HUNT-50575 | 0.01% |
/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. 96 assets were missing factor loadings, including: AAPC-48999, AIRT-11238, AKTX-46304, AMCN-35015, APOP-50170..YGE-33985. Ignoring for exposure calculation and performance attribution. Ratio of assets missing: 0.115. Average allocation of selected missing assets: AAPC-48999 -1191.956561 AIRT-11238 -737.313719 AKTX-46304 1187.586407 AMCN-35015 1509.982846 APOP-50170 66.110855 YGE-33985 482.080607 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 | 18.54% |
| Annualized Common Return | 1.54% |
| Annualized Total Return | 20.37% |
| Specific Sharpe Ratio | 2.50 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | 0.00 | 0.08% | 0.12% |
| consumer_cyclical | 0.00 | 0.07% | 0.10% |
| financial_services | 0.00 | 0.03% | 0.05% |
| real_estate | 0.00 | 0.01% | 0.02% |
| consumer_defensive | 0.00 | 0.03% | 0.04% |
| health_care | 0.00 | 0.49% | 0.73% |
| utilities | 0.00 | 0.00% | 0.00% |
| communication_services | 0.00 | 0.01% | 0.01% |
| energy | 0.00 | 0.13% | 0.19% |
| industrials | 0.00 | 0.11% | 0.17% |
| technology | 0.00 | 0.20% | 0.30% |
| momentum | -0.01 | 0.10% | 0.15% |
| size | -0.02 | 0.03% | 0.04% |
| value | 0.01 | -0.03% | -0.04% |
| short_term_reversal | 0.01 | 0.23% | 0.34% |
| volatility | 0.02 | 0.04% | 0.06% |
