Notebook
In [1]:
bt = get_backtest('5798bcc8a634c01301e0fed8')
100% Time: 0:01:57|###########################################################|
In [3]:
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]