In [1]:
# Get backtest object
bt = get_backtest('55d5994eca36d10d86841047')
# Create all tear sheets
bt.create_full_tear_sheet()
100% Time: 0:03:48|###########################################################| Entire data start date: 2005-08-01 00:00:00+00:00
/usr/local/lib/python2.7/dist-packages/pyfolio/utils.py:140: UserWarning: Could not update cache /usr/local/lib/python2.7/dist-packages/pyfolio/data/factors.csv.Exception: [Errno 13] Permission denied: '/usr/local/lib/python2.7/dist-packages/pyfolio/data/factors.csv' UserWarning) /usr/local/lib/python2.7/dist-packages/matplotlib/cbook.py:133: MatplotlibDeprecationWarning: The "loc" positional argument to legend is deprecated. Please use the "loc" keyword instead. warnings.warn(message, mplDeprecation, stacklevel=1)
Entire data end date: 2015-08-18 00:00:00+00:00
Backtest Months: 120
Backtest
annual_return 0.08
annual_volatility 0.05
sharpe_ratio 1.78
calmar_ratio 0.88
stability 0.97
max_drawdown -0.09
omega_ratio 1.42
sortino_ratio 2.48
skewness 0.32
kurtosis 12.34
alpha 0.08
beta 0.07
Worst Drawdown Periods
net drawdown in % peak date valley date \
0 9.49 2008-09-19 00:00:00+00:00 2008-11-21 00:00:00+00:00
3 3.32 2009-01-06 00:00:00+00:00 2009-01-14 00:00:00+00:00
1 3.07 2011-07-13 00:00:00+00:00 2011-12-15 00:00:00+00:00
2 2.64 2014-02-25 00:00:00+00:00 2014-04-28 00:00:00+00:00
4 2.10 2012-07-06 00:00:00+00:00 2012-08-01 00:00:00+00:00
recovery date duration
0 2008-12-17 00:00:00+00:00 64
3 2009-02-05 00:00:00+00:00 23
1 2012-02-02 00:00:00+00:00 147
2 2014-09-26 00:00:00+00:00 154
4 2012-11-01 00:00:00+00:00 85
2-sigma returns daily -0.006
2-sigma returns weekly -0.011
dtype: float64
Stress Events
mean min max
Lehmann 0.000 -0.006 0.006
US downgrade/European Debt Crisis 0.000 -0.007 0.007
Fukushima 0.001 -0.002 0.004
EZB IR Event 0.000 -0.002 0.003
Aug07 0.000 -0.004 0.006
Sept08 0.000 -0.006 0.006
2009Q1 0.001 -0.013 0.014
2009Q2 0.001 -0.014 0.019
Flash Crash -0.000 -0.006 0.004
Apr14 -0.000 -0.004 0.003
Oct14 0.000 -0.003 0.003
Top 10 long positions of all time (and max%)
[u'PCYC' u'AAP' u'IEP' u'GILD' u'PLL' u'EW' u'SLG' u'TRW' u'MON' u'AZO']
[ 0.012 0.01 0.01 0.01 0.01 0.009 0.009 0.009 0.009 0.009]
Top 10 short positions of all time (and max%)
[u'SPY' u'SIAL' u'TRW' u'CLX' u'KMB' u'PLL' u'MKL' u'BCR' u'AZO' u'HSY']
[-0.335 -0.059 -0.03 -0.018 -0.014 -0.013 -0.013 -0.012 -0.009 -0.009]
Top 10 positions of all time (and max%)
[u'SPY' u'SIAL' u'TRW' u'CLX' u'KMB' u'PLL' u'MKL' u'BCR' u'PCYC' u'AAP']
[ 0.335 0.059 0.03 0.018 0.014 0.013 0.013 0.012 0.012 0.01 ]
All positions ever held
[u'SPY' u'SIAL' u'TRW' u'CLX' u'KMB' u'PLL' u'MKL' u'BCR' u'PCYC' u'AAP'
u'IEP' u'GILD' u'AZO' u'HSY' u'EW' u'SLG' u'MON' u'VRTX' u'HUM' u'HD'
u'MJN' u'FDX' u'BDX' u'CVX' u'ADS' u'TWC' u'REGN' u'NFLX' u'MHFI' u'SRE'
u'BIIB' u'WYNN' u'AMGN' u'FLT' u'STZ' u'CXO' u'CMG' u'AGN' u'ALXN' u'COST'
u'UHS' u'GMCR' u'ILMN' u'WDC' u'LNKD' u'BMRN' u'ICE' u'CI' u'ANTM' u'SJM'
u'ORLY' u'RTN' u'MNST' u'PXD' u'HBI' u'MMM' u'EQIX' u'CF' u'UPS' u'SPG'
u'VNO' u'AMP' u'MHK' u'XLE' u'AMG' u'LMT' u'CELG' u'PSA' u'MPC' u'ABC'
u'MCK' u'MTB' u'BXP' u'V' u'SRCL' u'ROP' u'WHR' u'AAPL' u'GS' u'CB' u'NOC'
u'HON' u'TMO' u'NEE' u'TSLA' u'PX' u'CMI' u'AVB' u'PANW' u'PCLN' u'BA'
u'ISRG' u'UNH' u'CVS' u'PCP' u'TDG' u'LLL' u'IBM' u'ESS' u'SBAC' u'SHW'
u'AMZN' u'RL' u'KSU' u'ECL' u'PII' u'ROK' u'PPG' u'HSIC' u'GWW' u'GD'
u'DIS' u'TRV' u'APD' u'CHTR' u'BLK' u'NSC' u'UNP' u'PH' u'GOOG' u'UTX'
u'IVV']
[ 0.335 0.059 0.03 0.018 0.014 0.013 0.013 0.012 0.012 0.01 0.01
0.01 0.009 0.009 0.009 0.009 0.009 0.008 0.008 0.008 0.008
0.008 0.008 0.008 0.008 0.008 0.008 0.008 0.008 0.008 0.008
0.008 0.008 0.008 0.007 0.007 0.007 0.007 0.007 0.007 0.007
0.007 0.007 0.007 0.007 0.007 0.007 0.007 0.007 0.007 0.007
0.007 0.007 0.007 0.007 0.007 0.007 0.007 0.007 0.007 0.007
0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006
0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006
0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006
0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.005 0.005 0.005
0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005
0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.004 0.004
0.003]
/usr/local/lib/python2.7/dist-packages/pyfolio/plotting.py:833: UserWarning: Negative cash, taking absolute for area plot.
warnings.warn('Negative cash, taking absolute for area plot.')
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