bt = get_backtest('5798bcc8a634c01301e0fed8')
100% Time: 0:01:57|###########################################################|
bt.create_full_tear_sheet()
Entire data start date: 2011-01-04 Entire data end date: 2014-03-05 Backtest Months: 37 Backtest annual_return 0.28 annual_volatility 0.17 sharpe_ratio 1.58 calmar_ratio 2.18 stability 0.96 max_drawdown -0.13 omega_ratio 1.34 sortino_ratio 2.50 skewness 0.50 kurtosis 5.37 information_ratio 0.05 alpha 0.18 beta 0.60 Worst Drawdown Periods net drawdown in % peak date valley date recovery date duration 0 12.92 2013-08-05 2013-08-30 2014-03-04 152 1 9.12 2013-02-19 2013-04-18 2013-05-03 54 4 9.07 2011-03-03 2011-03-24 2011-06-28 84 2 8.59 2012-05-01 2012-05-18 2012-08-09 73 3 7.64 2012-10-18 2012-11-14 2013-02-08 82 2-sigma returns daily -0.020 2-sigma returns weekly -0.041 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 0.005 -0.036 0.050 Fukushima -0.002 -0.016 0.014 EZB IR Event 0.000 -0.011 0.016 Recovery 0.001 -0.037 0.070 New Normal 0.001 -0.047 0.055
Top 10 long positions of all time (and max%) [u'FL-8383' u'LEA-38921' u'DFS-34011' u'AON-438' u'CAG-1228' u'SWHC-24519' u'MHS-25445' u'AIZ-25955' u'TDW-7364' u'WBC-34226'] [ 1. 1. 1. 1. 0.928 0.92 0.775 0.741 0.663 0.656] Top 10 short positions of all time (and max%) [] [] Top 10 positions of all time (and max%) [u'FL-8383' u'LEA-38921' u'DFS-34011' u'AON-438' u'CAG-1228' u'SWHC-24519' u'MHS-25445' u'AIZ-25955' u'TDW-7364' u'WBC-34226'] [ 1. 1. 1. 1. 0.928 0.92 0.775 0.741 0.663 0.656] All positions ever held [u'FL-8383' u'LEA-38921' u'DFS-34011' u'AON-438' u'CAG-1228' u'SWHC-24519' u'MHS-25445' u'AIZ-25955' u'TDW-7364' u'WBC-34226' u'IR-4010' u'PSEC-26517' u'SHLD-26169' u'PNM-6077' u'NKE-5328' u'DLPH-42173' u'SLH-33841' u'STX-24518' u'HSP-26243' u'SNI-36372' u'NLY-17702' u'ATVI-9883' u'GEO-11710' u'TWC-33133' u'TIVO-20662' u'NDAQ-27026' u'URI-18113' u'JAH-23784' u'CACI-1218' u'GRA-3328' u'MUR-5126' u'WNR-27997' u'MDP-4751' u'SPN-14141' u'WWD-16425' u'CLI-11752' u'UTHR-20306' u'WWW-8321' u'AET-168' u'NEU-26395' u'LH-12909' u'OCN-15697' u'RSG-19147' u'CAH-1376' u'IVZ-16589' u'PDM-39204' u'WBMD-27669' u'GLW-3241' u'ROVI-16661' u'TRV-7041' u'GBX-11645' u'AKAM-20680' u'TRW-25948' u'CJES-41770' u'CAM-13176' u'OUTR-24791' u'HLS-3661' u'IDTI-3808'] [ 1. 1. 1. 1. 0.928 0.92 0.775 0.741 0.663 0.656 0.643 0.632 0.545 0.517 0.51 0.506 0.506 0.505 0.504 0.502 0.5 0.477 0.468 0.451 0.377 0.367 0.344 0.344 0.336 0.335 0.334 0.323 0.322 0.301 0.281 0.256 0.254 0.252 0.25 0.205 0.156 0.126 0.125 0.125 0.124 0.118 0.116 0.101 0.101 0.099 0.097 0.09 0.09 0.088 0.082 0.082 0.077 0.076]