Run the cell below to create your tear sheet.
In [1]:
bt = get_backtest('5d53796b9986b161fd61002d')
bt.create_full_tear_sheet()
100% Time: 0:00:01|##########################################################|
| Start date | 2019-01-29 |
|---|---|
| End date | 2019-08-05 |
| Total months | 6 |
| Backtest | |
| Annual return | 6.2% |
| Cumulative returns | 3.2% |
| Annual volatility | 3.9% |
| Sharpe ratio | 1.56 |
| Calmar ratio | 3.67 |
| Stability | 0.60 |
| Max drawdown | -1.7% |
| Omega ratio | 1.31 |
| Sortino ratio | 2.42 |
| Skew | -0.18 |
| Kurtosis | 2.63 |
| Tail ratio | 1.62 |
| Daily value at risk | -0.5% |
| Gross leverage | 0.60 |
| Daily turnover | 34.3% |
| Alpha | 0.07 |
| Beta | -0.06 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 1.70 | 2019-06-28 | 2019-07-31 | NaT | NaN |
| 1 | 1.32 | 2019-03-08 | 2019-03-21 | 2019-04-26 | 36 |
| 2 | 1.10 | 2019-05-13 | 2019-05-29 | 2019-06-18 | 27 |
| 3 | 0.69 | 2019-01-29 | 2019-02-01 | 2019-02-15 | 14 |
| 4 | 0.34 | 2019-06-19 | 2019-06-24 | 2019-06-27 | 7 |
| Stress Events | mean | min | max |
|---|---|---|---|
| New Normal | 0.03% | -1.03% | 0.75% |
| Top 10 long positions of all time | max |
|---|---|
| PCG-5792 | 3.83% |
| W-47833 | 3.68% |
| CHK-8461 | 3.66% |
| AMD-351 | 3.57% |
| AGN-8572 | 3.38% |
| RH-43599 | 3.38% |
| MELI-34525 | 3.37% |
| WPX-42251 | 3.35% |
| TWLO-50077 | 3.33% |
| NLSN-40755 | 3.31% |
| Top 10 short positions of all time | max |
|---|---|
| COTY-44909 | -3.62% |
| ROKU-51231 | -3.44% |
| TNDM-45852 | -3.41% |
| BLUE-44935 | -3.39% |
| NTNX-50338 | -3.39% |
| CHK-8461 | -3.38% |
| RRC-19249 | -3.35% |
| CLF-1595 | -3.34% |
| NBL-5213 | -3.32% |
| TWLO-50077 | -3.30% |
| Top 10 positions of all time | max |
|---|---|
| PCG-5792 | 3.83% |
| W-47833 | 3.68% |
| CHK-8461 | 3.66% |
| COTY-44909 | 3.62% |
| AMD-351 | 3.57% |
| ROKU-51231 | 3.44% |
| TNDM-45852 | 3.41% |
| BLUE-44935 | 3.39% |
| NTNX-50338 | 3.39% |
| AGN-8572 | 3.38% |
| All positions ever held | max |
|---|---|
| PCG-5792 | 3.83% |
| W-47833 | 3.68% |
| CHK-8461 | 3.66% |
| COTY-44909 | 3.62% |
| AMD-351 | 3.57% |
| ROKU-51231 | 3.44% |
| TNDM-45852 | 3.41% |
| BLUE-44935 | 3.39% |
| NTNX-50338 | 3.39% |
| AGN-8572 | 3.38% |
| RH-43599 | 3.38% |
| MELI-34525 | 3.37% |
| RRC-19249 | 3.35% |
| WPX-42251 | 3.35% |
| CLF-1595 | 3.34% |
| TWLO-50077 | 3.33% |
| NBL-5213 | 3.32% |
| NLSN-40755 | 3.31% |
| GRUB-46693 | 3.30% |
| SWN-7244 | 3.28% |
| AON-438 | 3.27% |
| ATVI-9883 | 3.27% |
| LITE-49288 | 3.27% |
| LB-4564 | 3.26% |
| LRCX-4537 | 3.26% |
| ANET-47063 | 3.24% |
| LEN-4417 | 3.23% |
| XPO-26287 | 3.23% |
| ON-21429 | 3.23% |
| MDB-51314 | 3.22% |
| PAGS-51689 | 3.22% |
| BIIB-3806 | 3.22% |
| CMI-1985 | 3.22% |
| BURL-45558 | 3.22% |
| ATUS-50970 | 3.20% |
| CE-26960 | 3.20% |
| TEAM-49655 | 3.20% |
| ABT-62 | 3.20% |
| STX-24518 | 3.20% |
| OKTA-50758 | 3.20% |
| MHK-4963 | 3.19% |
| FL-8383 | 3.19% |
| HPQ-3735 | 3.19% |
| CLR-33856 | 3.18% |
| ALGN-22355 | 3.18% |
| UNH-7792 | 3.18% |
| CAG-1228 | 3.17% |
| SNAP-50683 | 3.17% |
| M-2754 | 3.17% |
| DXCM-27173 | 3.16% |
| DIS-2190 | 3.16% |
| MKC-4705 | 3.15% |
| PXD-17436 | 3.15% |
| PPG-6116 | 3.15% |
| VMW-34545 | 3.14% |
| XLNX-8344 | 3.14% |
| RIG-9038 | 3.14% |
| MRK-5029 | 3.14% |
| SIVB-6897 | 3.14% |
| MYL-5166 | 3.13% |
| DE-2127 | 3.13% |
| WW-23269 | 3.13% |
| WCG-26440 | 3.13% |
| BMRN-20330 | 3.13% |
| AABA-14848 | 3.13% |
| COST-1787 | 3.12% |
| KMX-16511 | 3.12% |
| ZAYO-47912 | 3.12% |
| SYY-7285 | 3.12% |
| KLAC-4246 | 3.12% |
| YUMC-50392 | 3.12% |
| DOCU-51937 | 3.12% |
| WFC-8151 | 3.12% |
| WBA-8089 | 3.11% |
| CCI-19258 | 3.11% |
| KHC-49229 | 3.11% |
| MRVL-21666 | 3.11% |
| SYMC-7272 | 3.11% |
| LH-12909 | 3.11% |
| DLR-26758 | 3.11% |
| LLY-4487 | 3.11% |
| PANW-43202 | 3.11% |
| RCL-8863 | 3.11% |
| MDLZ-22802 | 3.10% |
| TTD-50288 | 3.10% |
| DHR-2170 | 3.10% |
| SJM-21935 | 3.10% |
| CL-1582 | 3.10% |
| NVDA-19725 | 3.10% |
| NOW-43127 | 3.10% |
| AVGO-38650 | 3.10% |
| ZBH-23047 | 3.10% |
| SWKS-23821 | 3.10% |
| REGN-6413 | 3.10% |
| AGNC-36243 | 3.09% |
| D-2071 | 3.09% |
| DTE-2330 | 3.09% |
| HSY-3695 | 3.09% |
| IAC-26470 | 3.09% |
| TDG-28161 | 3.09% |
| ETR-2637 | 3.09% |
| ILMN-21774 | 3.09% |
| RF-34913 | 3.09% |
| COG-1746 | 3.09% |
| KO-4283 | 3.08% |
| OLED-14774 | 3.08% |
| CSX-1937 | 3.08% |
| HLT-45993 | 3.08% |
| NWL-5520 | 3.08% |
| MNST-3450 | 3.08% |
| ROK-6536 | 3.08% |
| MO-4954 | 3.08% |
| EL-13841 | 3.08% |
| TXN-7671 | 3.08% |
| ZS-51832 | 3.08% |
| CTSH-18870 | 3.08% |
| KSS-4313 | 3.08% |
| FLT-40597 | 3.07% |
| ROST-6546 | 3.07% |
| AEP-161 | 3.07% |
| HSIC-13862 | 3.07% |
| SO-7011 | 3.07% |
| NCLH-43981 | 3.07% |
| VTR-18821 | 3.07% |
| BA-698 | 3.06% |
| INTC-3951 | 3.06% |
| APA-448 | 3.06% |
| TIF-7447 | 3.06% |
| CTXS-14014 | 3.06% |
| MSI-4974 | 3.06% |
| GE-3149 | 3.06% |
| PLD-24785 | 3.06% |
| PEP-5885 | 3.06% |
| GPS-3321 | 3.06% |
| SRE-24778 | 3.05% |
| WDC-8132 | 3.05% |
| VST-50860 | 3.05% |
| RSG-19147 | 3.05% |
| DLTR-12652 | 3.05% |
| PRGO-6161 | 3.05% |
| ALK-300 | 3.05% |
| CCL-24692 | 3.05% |
| WAT-13962 | 3.05% |
| APH-465 | 3.05% |
| WHR-8178 | 3.04% |
| JNJ-4151 | 3.04% |
| BK-903 | 3.04% |
| CB-8580 | 3.04% |
| NUE-5488 | 3.04% |
| YNDX-41484 | 3.04% |
| MCD-4707 | 3.04% |
| HRL-3668 | 3.04% |
| CNP-24064 | 3.04% |
| CHD-1482 | 3.03% |
| MMM-4922 | 3.03% |
| BMY-980 | 3.03% |
| CPB-1795 | 3.03% |
| CVX-23112 | 3.03% |
| CME-24475 | 3.03% |
| ES-5484 | 3.03% |
| WM-19181 | 3.03% |
| ADP-630 | 3.03% |
| ULTA-34953 | 3.03% |
| NLY-17702 | 3.03% |
| HIG-14064 | 3.03% |
| TTWO-16820 | 3.03% |
| TMUS-33698 | 3.03% |
| BRK_B-11100 | 3.03% |
| FISV-2853 | 3.03% |
| KR-4297 | 3.02% |
| SPLK-42815 | 3.02% |
| PSA-24962 | 3.02% |
| CTL-1960 | 3.02% |
| TWTR-45815 | 3.02% |
| SYF-47415 | 3.02% |
| VZ-21839 | 3.02% |
| WLL-25707 | 3.02% |
| FE-17850 | 3.02% |
| ITW-4080 | 3.02% |
| ED-2434 | 3.02% |
| CHKP-15101 | 3.02% |
| ABBV-43694 | 3.02% |
| WAB-13135 | 3.02% |
| WEC-8140 | 3.02% |
| STZ-24873 | 3.01% |
| ZTS-44060 | 3.01% |
| CVS-4799 | 3.01% |
| INTU-8655 | 3.01% |
| WU-32603 | 3.01% |
| XEL-21964 | 3.01% |
| AMTD-16586 | 3.01% |
| XOM-8347 | 3.01% |
| ADSK-67 | 3.01% |
| WMT-8229 | 3.01% |
| YUM-17787 | 3.00% |
| XRAY-8352 | 3.00% |
| NTAP-13905 | 3.00% |
| EQR-9540 | 3.00% |
| TGT-21090 | 3.00% |
| LULU-34395 | 3.00% |
| CXO-34440 | 3.00% |
| OAS-39797 | 2.99% |
| WRK-49183 | 2.99% |
| HCA-41047 | 2.99% |
| TRV-7041 | 2.99% |
| AFL-185 | 2.99% |
| YELP-42596 | 2.99% |
| RTN-6583 | 2.99% |
| TSLA-39840 | 2.99% |
| EOG-2564 | 2.98% |
| AMGN-368 | 2.98% |
| MAS-4665 | 2.98% |
| TRIP-42230 | 2.98% |
| FCX-13197 | 2.98% |
| NRG-26143 | 2.98% |
| EXC-22114 | 2.97% |
| HST-9947 | 2.97% |
| LEA-38921 | 2.97% |
| KEYS-47921 | 2.96% |
| DPZ-26466 | 2.96% |
| ABMD-53 | 2.96% |
| INFO-47163 | 2.95% |
| PTC-6064 | 2.95% |
| OXY-5729 | 2.94% |
| EA-2602 | 2.94% |
| NKTR-24572 | 2.94% |
| ACN-25555 | 2.93% |
| TPR-22099 | 2.93% |
| SQ-49610 | 2.93% |
| DXC-50716 | 2.93% |
| MCK-12350 | 2.90% |
| CI-1539 | 2.86% |
| APC-455 | 0.18% |
| CERN-1419 | 0.15% |
| BBBY-739 | 0.15% |
| DHI-2298 | 0.14% |
| HES-216 | 0.14% |
| FDX-2765 | 0.14% |
| FAST-2696 | 0.14% |
| PH-5956 | 0.14% |
| BAC-700 | 0.14% |
| CMA-1620 | 0.14% |
| DVN-2368 | 0.14% |
| PVH-6257 | 0.14% |
| NOC-5387 | 0.14% |
| STT-7139 | 0.14% |
| FITB-2855 | 0.14% |
| SBUX-6683 | 0.14% |
| MXIM-5149 | 0.14% |
| F-2673 | 0.14% |
| ADI-122 | 0.14% |
| C-1335 | 0.14% |
| GD-3136 | 0.14% |
| SWK-7242 | 0.14% |
| NSC-5442 | 0.14% |
| HBAN-3472 | 0.14% |
| PCAR-5787 | 0.14% |
| IPG-3990 | 0.14% |
| IR-4010 | 0.14% |
| LUV-4589 | 0.14% |
| PHM-5969 | 0.14% |
| OMC-5651 | 0.14% |
| LNC-4498 | 0.14% |
| HAS-3460 | 0.14% |
| AIG-239 | 0.14% |
| HD-3496 | 0.14% |
| LHX-3676 | 0.14% |
| MTB-5117 | 0.14% |
| SLB-6928 | 0.14% |
| ECL-2427 | 0.14% |
| CMCS_A-1637 | 0.14% |
| CSCO-1900 | 0.14% |
| BLL-939 | 0.14% |
| NKE-5328 | 0.14% |
| TOL-7530 | 0.14% |
| PAYX-5767 | 0.14% |
| SCHW-6704 | 0.14% |
| AAPL-24 | 0.14% |
| KEY-4221 | 0.14% |
| IP-3971 | 0.14% |
| LOW-4521 | 0.14% |
| ETN-2633 | 0.14% |
| SNPS-6994 | 0.14% |
| STI-7152 | 0.14% |
| MU-5121 | 0.14% |
| HFC-3620 | 0.14% |
| ADBE-114 | 0.14% |
| EFX-2465 | 0.14% |
| BBY-754 | 0.14% |
| MGM-4831 | 0.14% |
| CAT-1267 | 0.14% |
| NEE-2968 | 0.14% |
| BEN-812 | 0.14% |
| ORCL-5692 | 0.14% |
| TJX-7457 | 0.14% |
| KSU-4315 | 0.14% |
| DOV-2262 | 0.14% |
| GLW-3241 | 0.14% |
| HAL-3443 | 0.14% |
| EMR-2530 | 0.14% |
| ROP-6543 | 0.14% |
| TMO-7493 | 0.14% |
| MSFT-5061 | 0.14% |
| TER-7401 | 0.14% |
| CMS-1665 | 0.14% |
| DUK-2351 | 0.14% |
| IFF-3822 | 0.14% |
| AMAT-337 | 0.14% |
| MMC-4914 | 0.14% |
| PEG-5862 | 0.14% |
| IBM-3766 | 0.14% |
| GILD-3212 | 0.14% |
| CLX-1616 | 0.14% |
| BSX-1131 | 0.14% |
| T-6653 | 0.14% |
| APD-460 | 0.14% |
| OKE-5634 | 0.14% |
| AXP-679 | 0.14% |
| CAH-1376 | 0.14% |
| SPGI-4849 | 0.14% |
| MRO-5035 | 0.14% |
| MDT-4758 | 0.14% |
| PGR-5950 | 0.14% |
| PPL-6119 | 0.14% |
| K-4192 | 0.14% |
| GIS-3214 | 0.14% |
| KMB-4263 | 0.14% |
| PFE-5923 | 0.14% |
| JWN-5382 | 0.14% |
| EQT-2587 | 0.14% |
| BAX-734 | 0.14% |
| SYK-7178 | 0.14% |
| AZO-693 | 0.14% |
| NEM-5261 | 0.14% |
| AES-166 | 0.14% |
| PG-5938 | 0.14% |
| ADM-128 | 0.14% |
| QCOM-6295 | 0.14% |
| WELL-3488 | 0.14% |
| GWW-3421 | 0.14% |
| BDX-794 | 0.13% |
| SHW-6868 | 0.13% |
| NTRS-5479 | 0.13% |
| TAP-76 | 0.13% |
| HUM-3718 | 0.13% |
| VAL-2621 | 0.11% |
| TSN-7684 | 0.11% |
| THO-7433 | 0.11% |
| TROW-7590 | 0.11% |
| UTX-7883 | 0.10% |
| HOG-3499 | 0.10% |
| TXT-7674 | 0.10% |
| UNP-7800 | 0.10% |
| JCI-7679 | 0.10% |
| TSS-7616 | 0.10% |
| FMC-2893 | 0.09% |
| JBHT-4108 | 0.08% |
| ARNC-2 | 0.07% |
| HCP-3490 | 0.07% |
| CDNS-1385 | 0.07% |
| CBS-7962 | 0.06% |
| VFC-7949 | 0.06% |
| VLO-7990 | 0.06% |
| SNA-6976 | 0.04% |
| VMC-7998 | 0.04% |
/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 | 3.58% |
| Annualized Common Return | 2.87% |
| Annualized Total Return | 6.57% |
| Specific Sharpe Ratio | 1.01 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | -0.00 | -0.10% | -0.05% |
| consumer_cyclical | -0.00 | 0.91% | 0.47% |
| financial_services | -0.00 | 0.27% | 0.14% |
| real_estate | 0.00 | 0.67% | 0.35% |
| consumer_defensive | -0.01 | -0.75% | -0.39% |
| health_care | 0.02 | 0.23% | 0.12% |
| utilities | 0.00 | -0.12% | -0.06% |
| communication_services | -0.00 | 0.47% | 0.25% |
| energy | -0.01 | 2.09% | 1.09% |
| industrials | -0.00 | -0.21% | -0.11% |
| technology | -0.01 | -0.20% | -0.10% |
| momentum | -0.01 | 0.15% | 0.08% |
| size | 0.01 | -0.39% | -0.20% |
| value | 0.02 | -0.69% | -0.36% |
| short_term_reversal | 0.02 | 0.11% | 0.06% |
| volatility | 0.02 | 0.43% | 0.22% |
