Mean-Reversion Algorithm¶
In [1]:
bt = get_backtest('5745c4029c85b00f8faf8c8c')
bt.create_full_tear_sheet()
100% Time: 0:00:14|###########################################################|
Entire data start date: 2015-03-23
Entire data end date: 2016-04-20
Backtest Months: 13
Backtest
annual_return 0.07
annual_volatility 0.17
sharpe_ratio 0.51
calmar_ratio 0.66
stability 0.10
max_drawdown -0.11
omega_ratio 1.10
sortino_ratio 0.79
skewness 0.65
kurtosis 3.43
information_ratio 0.02
alpha 0.08
beta 0.21
Worst Drawdown Periods
net drawdown in % peak date valley date recovery date duration
1 11.11 2015-06-02 2015-08-25 2015-12-09 137
0 11.01 2015-12-23 2016-01-20 2016-03-08 55
2 3.26 2016-03-08 2016-03-21 2016-03-29 16
3 3.19 2016-03-30 2016-04-12 NaT NaN
4 2.51 2015-12-16 2015-12-18 2015-12-23 6
2-sigma returns daily -0.021
2-sigma returns weekly -0.031
dtype: float64
Stress Events
mean min max
Fall2015 -0 -0.029 0.039
New Normal 0 -0.034 0.052
Top 10 long positions of all time (and max%) [u'WLL-25707' u'UVXY-41969' u'TVIX-40515' u'RRC-19249' u'SWN-7244' u'VIPS-42707' u'SUNE-13306' u'UWTI-42471' u'UGAZ-42477' u'VRX-10908'] [ 0.021 0.018 0.018 0.017 0.017 0.017 0.016 0.016 0.016 0.016] Top 10 short positions of all time (and max%) [u'UVXY-41969' u'KBIO-44063' u'NUGT-40553' u'SUNE-13306' u'DWTI-42472' u'YOKU-40562' u'MRO-5035' u'ARG-510' u'TVIX-40515' u'DUST-40554'] [-0.021 -0.02 -0.02 -0.019 -0.018 -0.017 -0.017 -0.017 -0.017 -0.017] Top 10 positions of all time (and max%) [u'UVXY-41969' u'WLL-25707' u'KBIO-44063' u'NUGT-40553' u'SUNE-13306' u'TVIX-40515' u'DWTI-42472' u'RRC-19249' u'YOKU-40562' u'SWN-7244'] [ 0.021 0.021 0.02 0.02 0.019 0.018 0.018 0.017 0.017 0.017] All positions ever held [u'UVXY-41969' u'WLL-25707' u'KBIO-44063' u'NUGT-40553' u'SUNE-13306' u'TVIX-40515' u'DWTI-42472' u'RRC-19249' u'YOKU-40562' u'SWN-7244' u'MRO-5035' u'VIPS-42707' u'ARG-510' u'DUST-40554' u'HRTX-22651' u'UWTI-42471' u'UGAZ-42477' u'VRX-10908' u'YELP-42596' u'FCX-13197' u'WYNN-24124' u'INCY-10187' u'CANF-43387' u'FIT-49139' u'RIG-9038' u'BOFI-27108' u'CLR-33856' u'MPLX-43571' u'ETE-28056' u'XPO-26287' u'MYL-5166' u'NFLX-23709' u'WTW-23269' u'ESPR-44989' u'TRGP-40547' u'CTRP-25729' u'TZA-37133' u'WFT-19336' u'UCO-37736' u'VALE-23536' u'PBR-21916' u'EWZ-21757' u'ERX-37513' u'ADSK-67' u'CLVS-42166' u'X-8329' u'LABU-49073' u'GPRO-47208' u'SQQQ-39211' u'FOSL-8816' u'VXX-38054' u'XIV-40516' u'SVXY-41968' u'AVP-660' u'AOL-38989' u'SKX-20284' u'HES-216' u'CBI-1287' u'EGN-2470' u'SYT-22275' u'MU-5121' u'APC-455' u'CHK-8461' u'WMB-8214' u'JD-46979' u'CAB-26412' u'SPXS-37083' u'BXLT-49209' u'SPXU-38532' u'PTLA-44770' u'CXO-34440' u'TNA-37515' u'MDVN-28160' u'DGAZ-42470' u'TWTR-45815' u'WUBA-45769' u'DVN-2368' u'ABBV-43694' u'SNDK-13940' u'KMI-40852' u'URI-18113' u'ITUB-23444' u'YY-43647' u'KORS-42270' u'OAS-39797' u'MGM-4831' u'AA-2' u'GMCR-9736' u'AMBA-43495' u'LNKD-41451' u'DYAX-21870' u'CNX-24758' u'QUNR-45781' u'WDC-8132' u'SWKS-23821' u'ALTR-328' u'LUV-4589' u'BHP-863' u'RSX-33748' u'LL-35036' u'TAP-76' u'COG-1746' u'HBI-32497' u'MBLY-47430' u'SHPG-18488' u'FL-8383' u'ONTY-883' u'EPD-19079' u'HZNP-41766' u'TQQQ-39214' u'FXI-26703' u'ATML-607' u'CF-27558' u'PCLN-19917' u'QIHU-41149' u'FTI-22784' u'ETP-26073' u'JCP-4118' u'AEO-11086' u'ASML-12626' u'MAT-4668' u'SM-4664' u'BX-34067' u'FOLD-33949' u'ABX-64' u'ILMN-21774' u'USO-28320' u'SDS-32382' u'GG-22226' u'COP-23998' u'PII-6992' u'LULU-34395' u'SINA-21448' u'AMLP-40053' u'DAL-33729' u'BURL-45558' u'PBR_A-22467' u'MNK-44917' u'NFX-10231' u'UNG-33697' u'APA-448' u'SYF-47415' u'REGN-6413' u'VRTX-8045' u'ATVI-9883' u'YNDX-41484' u'AMJ-38263' u'JAZZ-33959' u'TSO-7612' u'OLED-14774' u'MS-17080' u'TRIP-42230' u'BAC-700' u'CYBR-47779' u'DLTR-12652' u'ELLI-41243' u'MPEL-33070' u'NBL-5213' u'ALXN-14328' u'BBD-26126' u'LNG-22096' u'SIG-9774' u'FEYE-45451' u'P-41579' u'MOS-41462' u'UAL-28051' u'STX-24518' u'EQT-2587' u'S-2938' u'IBM-3766' u'DECK-9909' u'MCO-22139' u'MJN-38084' u'CRM-26401' u'MRVL-21666' u'VIAB-27872' u'SPNC-7064' u'ITW-4080' u'ZG-41730' u'SFM-45199' u'FAS-37049' u'ZTS-44060' u'TJX-7457' u'NXPI-39994' u'EA-2602' u'VLO-7990' u'ENDP-21750' u'NRG-26143' u'GDXJ-38926' u'ANF-15622' u'SPXL-37514' u'JAH-23784' u'UPRO-38533' u'DNR-15789' u'LPLA-40445' u'FSLR-32902' u'NTES-21669' u'TSN-7684' u'RCPT-44689' u'RF-34913' u'KEY-4221' u'RDS_B-27470' u'PANW-43202' u'C-1335' u'ETN-2633' u'NEM-5261' u'SDRL-39495' u'GDX-32133' u'AAL-45971' u'ASHR-45804' u'TSLA-39840' u'CCE-1332' u'ESV-2621' u'AXLL-3189' u'SGEN-22563' u'ULTA-34953' u'ROVI-16661' u'EPC-21380' u'EOG-2564' u'ICPT-43505' u'BHI-858' u'HON-25090' u'CFG-47777' u'PWR-6269' u'QID-32381' u'ADI-122' u'CX-2035' u'FTR-2069' u'CNQ-21735' u'XOP-32279' u'HTZ-32887' u'AAN-523' u'SWFT-40606' u'IBN-21271' u'NVDA-19725' u'QRVO-48384' u'NBR-5214' u'NE-5249' u'STI-7152' u'VZ-21839' u'GEVA-42112' u'MENT-4794' u'EWT-21619' u'HP-3647' u'EXPE-27543' u'POT-6109' u'MPC-41636' u'HRL-3668' 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u'HLF-26892' u'AGG-25485' u'MLM-10796' u'JBL-8831' u'CVC-2000' u'CTXS-14014' u'WPZ-39963' u'CAR-17991' u'ACN-25555' u'AMTD-16586' u'GE-3149' u'LMT-12691' u'CNC-23283' u'LRCX-4537' u'CB-1274' u'LEA-38921' u'BND-33652' u'XEC-24125' u'LB-4564' u'MUR-5126' u'UHS-7749' u'CSX-1937' u'PGR-5950' u'KSU-4315' u'MAS-4665' u'ARIA-11880' u'ICE-27809' u'CBS-7962' u'QCOM-6295' u'FANG-43512' u'RAX-36714' u'SRPT-16999' u'SHW-6868' u'PEG-5862' u'MXIM-5149' u'USG-7844' u'DAR-11908' u'ALGN-22355' u'PFE-5923' u'CTSH-18870' u'FE-17850' u'DV-2371' u'BUD-38554' u'MSI-4974' u'ESL-2614' u'SNY-23912' u'SYNA-23398' u'SU-10533' u'AWAY-41667' u'ZBH-23047' u'SNPS-6994' u'VRSN-18221' u'HIBB-15815' u'PNC-6068' u'GLNG-24489' u'WFM-8158' u'RTN-6583' u'ABT-62' u'BWLD-25642' u'VAL-7895' u'NEE-2968' u'PPL-6119' u'KLAC-4246' u'CLX-1616' u'STRZ_A-32045' u'DOW-2263' u'OMF-45670' u'TPX-25802' u'CAT-1267' u'GT-3384' u'CDNS-1385' u'PLL-6030' u'DISC_A-36930' u'MDRX-20394' u'BTU-22660' u'LDRH-45619' u'XLU-19660' u'AM-48018' 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