In [1]:
backtest = get_backtest('584c860dd836e35e62759ae4')
backtest.create_full_tear_sheet()
100% Time: 0:00:07|###########################################################| Entire data start date: 2007-01-03 Entire data end date: 2014-12-01 Backtest Months: 94
| Performance statistics | Backtest |
|---|---|
| annual_return | 0.27 |
| annual_volatility | 0.26 |
| sharpe_ratio | 1.04 |
| calmar_ratio | 0.99 |
| stability_of_timeseries | 0.96 |
| max_drawdown | -0.27 |
| omega_ratio | 1.31 |
| sortino_ratio | 1.69 |
| skew | 1.41 |
| kurtosis | 20.24 |
| tail_ratio | 1.35 |
| common_sense_ratio | 1.72 |
| information_ratio | 0.04 |
| alpha | 0.27 |
| beta | 0.02 |
| Worst Drawdown Periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 27.17 | 2008-11-03 | 2009-06-17 | 2010-07-22 | 449 |
| 1 | 23.01 | 2008-07-31 | 2008-10-07 | 2008-10-31 | 67 |
| 2 | 20.59 | 2007-07-23 | 2008-01-22 | 2008-04-17 | 194 |
| 3 | 16.55 | 2013-04-26 | 2013-11-05 | 2014-02-26 | 219 |
| 4 | 15.89 | 2014-08-19 | 2014-11-21 | NaT | NaN |
[-0.032 -0.07 ]
/usr/local/lib/python2.7/dist-packages/numpy/lib/function_base.py:3834: RuntimeWarning: Invalid value encountered in percentile RuntimeWarning)
| Stress Events | mean | min | max |
|---|---|---|---|
| Lehmann | -0.38% | -7.49% | 5.34% |
| US downgrade/European Debt Crisis | -0.03% | -4.40% | 3.62% |
| Fukushima | 0.15% | -0.42% | 1.32% |
| EZB IR Event | -0.11% | -2.05% | 1.67% |
| Aug07 | 0.08% | -1.94% | 2.18% |
| Mar08 | 0.25% | -0.88% | 2.90% |
| Sept08 | -0.24% | -5.12% | 1.61% |
| 2009Q1 | -0.28% | -8.16% | 6.53% |
| 2009Q2 | -0.16% | -7.68% | 2.77% |
| Flash Crash | 0.61% | -2.43% | 5.02% |
| Apr14 | 0.08% | -2.97% | 2.46% |
| Oct14 | -0.45% | -3.77% | 1.79% |
| Low Volatility Bull Market | -0.01% | -4.32% | 4.75% |
| GFC Crash | 0.18% | -9.57% | 20.29% |
| Recovery | 0.10% | -9.58% | 6.82% |
| New Normal | 0.10% | -7.27% | 9.03% |
| Top 10 long positions of all time | max |
|---|---|
| PLUG-20776 | 57.69% |
| BK-903 | 54.51% |
| COV-34010 | 54.32% |
| WYNN-24124 | 54.28% |
| CLF-1595 | 54.26% |
| KLAC-4246 | 54.23% |
| X-8329 | 52.61% |
| MS-17080 | 52.55% |
| MRO-5035 | 52.44% |
| JCP-4118 | 52.31% |
| Top 10 short positions of all time | max |
|---|---|
| AMD-351 | -61.41% |
| FWLT-3076 | -59.36% |
| CNX-24758 | -58.69% |
| FSLR-32902 | -56.33% |
| FLR-24833 | -55.87% |
| HPQ-3735 | -54.58% |
| LOW-4521 | -53.35% |
| MS-17080 | -53.32% |
| MOS-26721 | -53.10% |
| YUM-17787 | -52.78% |
| Top 10 positions of all time | max |
|---|---|
| AMD-351 | 61.41% |
| FWLT-3076 | 59.36% |
| CNX-24758 | 58.69% |
| PLUG-20776 | 57.69% |
| FSLR-32902 | 56.33% |
| FLR-24833 | 55.87% |
| HPQ-3735 | 54.58% |
| BK-903 | 54.51% |
| COV-34010 | 54.32% |
| WYNN-24124 | 54.28% |
| All positions ever held | max |
|---|---|
| AMD-351 | 61.41% |
| FWLT-3076 | 59.36% |
| CNX-24758 | 58.69% |
| PLUG-20776 | 57.69% |
| FSLR-32902 | 56.33% |
| FLR-24833 | 55.87% |
| HPQ-3735 | 54.58% |
| BK-903 | 54.51% |
| COV-34010 | 54.32% |
| WYNN-24124 | 54.28% |
| CLF-1595 | 54.26% |
| KLAC-4246 | 54.23% |
| LOW-4521 | 53.35% |
| MS-17080 | 53.32% |
| MOS-26721 | 53.10% |
| YUM-17787 | 52.78% |
| X-8329 | 52.61% |
| JWN-5382 | 52.47% |
| MRO-5035 | 52.44% |
| LRCX-4537 | 52.37% |
| SLB-6928 | 52.31% |
| JCP-4118 | 52.31% |
| URI-18113 | 52.29% |
| BIIB-3806 | 52.22% |
| SOHU-21813 | 52.16% |
| ILMN-21774 | 52.12% |
| CHK-8461 | 52.12% |
| REGN-6413 | 52.10% |
| HLF-26892 | 52.09% |
| PG-5938 | 52.08% |
| ... | ... |
| SMSI-13577 | 2.36% |
| IDCC-3801 | 2.35% |
| SCHN-10268 | 2.34% |
| CRS-1874 | 2.30% |
| BR-33562 | 2.28% |
| AIZ-25955 | 2.27% |
| NTRI-21697 | 2.26% |
| OC-32608 | 2.15% |
| ITRI-10192 | 2.13% |
| BMRN-20330 | 2.13% |
| LNT-18584 | 2.10% |
| POR-28318 | 2.06% |
| BKH-913 | 2.06% |
| IPG-3990 | 2.04% |
| IMMR-20877 | 2.03% |
| AIV-11598 | 2.00% |
| CDE-1374 | 1.94% |
| RDN-20276 | 1.85% |
| MET-21418 | 1.83% |
| CMS-1665 | 1.82% |
| ARLZ-22156 | 1.82% |
| PNM-6077 | 1.82% |
| SBGI-13098 | 1.81% |
| ACLS-21717 | 1.80% |
| HOV-3645 | 1.80% |
| WEC-8140 | 1.80% |
| UTHR-20306 | 1.76% |
| OLN-5643 | 1.75% |
| CETV-20961 | 1.72% |
| CROX-28078 | 1.65% |
596 rows × 1 columns
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