Notebook

Stocks on the Move (Clenow)

Full Tear Sheets:

In [1]:
# Get backtest object
bt = get_backtest('58d32fa190dbc61764ecec4d')

# Create all tear sheets
bt.create_full_tear_sheet()
100% Time: 0:00:09|###########################################################|
Entire data start date: 2002-10-17
Entire data end date: 2017-03-17


Backtest Months: 172
Performance statistics Backtest
annual_return 0.28
cum_returns_final 32.49
annual_volatility 0.21
sharpe_ratio 1.25
calmar_ratio 1.16
stability_of_timeseries 0.98
max_drawdown -0.24
omega_ratio 1.25
sortino_ratio 1.83
skew -0.15
kurtosis 2.92
tail_ratio 1.02
common_sense_ratio 1.30
gross_leverage 0.79
information_ratio 0.05
alpha 0.20
beta 0.60
Worst drawdown periods net drawdown in % peak date valley date recovery date duration
0 23.86 2010-04-23 2010-07-06 2010-11-10 144
1 22.91 2008-06-17 2009-07-08 2009-08-05 297
2 19.64 2006-05-10 2006-06-13 2007-05-21 269
3 18.95 2014-03-04 2014-04-14 2014-08-29 129
4 18.91 2015-07-23 2016-01-21 2016-11-17 346

[-0.026 -0.051]
/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 -0.20% -1.87% 1.57%
US downgrade/European Debt Crisis 0.27% -7.08% 6.20%
Fukushima 0.27% -1.66% 2.09%
US Housing 0.00% 0.00% 0.00%
EZB IR Event 0.03% -2.61% 2.36%
Aug07 0.11% -4.31% 5.22%
Mar08 -0.06% -1.67% 1.67%
Sept08 -0.26% -1.80% 1.57%
2009Q1 0.00% 0.00% 0.00%
2009Q2 0.00% 0.00% 0.28%
Flash Crash -0.43% -3.98% 5.53%
Apr14 -0.03% -4.78% 3.35%
Oct14 0.07% -3.64% 5.24%
Fall2015 -0.28% -6.38% 6.39%
Low Volatility Bull Market 0.12% -5.20% 4.82%
GFC Crash 0.04% -7.60% 6.61%
Recovery 0.09% -7.08% 6.20%
New Normal 0.11% -6.38% 7.40%