Notebook
In [1]:
# https://www.quantopian.com/posts/buy-at-month-end-and-sell-at-month-begin
bt = get_backtest('5600b6b1792faa0e051edf1e')
100% Time: 0:00:30|###########################################################|
In [3]:
bt.create_full_tear_sheet()
/usr/local/lib/python2.7/dist-packages/pyfolio/utils.py:140: UserWarning: Could not update cache /usr/local/lib/python2.7/dist-packages/pyfolio/data/factors.csv.Exception: [Errno 13] Permission denied: '/usr/local/lib/python2.7/dist-packages/pyfolio/data/factors.csv'
  UserWarning)
/usr/local/lib/python2.7/dist-packages/matplotlib/cbook.py:133: MatplotlibDeprecationWarning: The "loc" positional argument to legend is deprecated. Please use the "loc" keyword instead.
  warnings.warn(message, mplDeprecation, stacklevel=1)
Entire data start date: 2004-07-15 00:00:00+00:00
Entire data end date: 2015-09-18 00:00:00+00:00


Backtest Months: 134
                   Backtest
annual_return          0.09
annual_volatility      0.14
sharpe_ratio           0.70
calmar_ratio           0.33
stability              0.93
max_drawdown          -0.29
omega_ratio            1.26
sortino_ratio          0.60
skewness               0.20
kurtosis              35.62
alpha                  0.07
beta                   0.37

Worst Drawdown Periods
   net drawdown in %                  peak date                valley date  \
0              29.01  2007-02-02 00:00:00+00:00  2008-10-27 00:00:00+00:00   
3              12.59  2009-08-04 00:00:00+00:00  2010-07-29 00:00:00+00:00   
2              12.22  2011-08-30 00:00:00+00:00  2011-10-03 00:00:00+00:00   
1               9.45  2014-12-29 00:00:00+00:00  2015-06-29 00:00:00+00:00   
4               6.70  2014-07-30 00:00:00+00:00  2014-10-02 00:00:00+00:00   

               recovery date duration  
0  2008-12-31 00:00:00+00:00      499  
3  2010-12-01 00:00:00+00:00      347  
2  2012-01-05 00:00:00+00:00       93  
1                        NaN      NaN  
4  2014-11-28 00:00:00+00:00       88  


2-sigma returns daily    -0.017
2-sigma returns weekly   -0.034
dtype: float64

Stress Events
                                    mean    min    max
Lehmann                           -0.002 -0.106  0.046
US downgrade/European Debt Crisis  0.001 -0.047  0.042
Fukushima                          0.001 -0.001  0.010
EZB IR Event                      -0.000 -0.010  0.011
Aug07                              0.000 -0.021  0.024
Sept08                            -0.005 -0.106  0.046
2009Q1                             0.001 -0.037  0.048
2009Q2                             0.002 -0.043  0.036
Flash Crash                       -0.002 -0.008  0.000
Apr14                              0.000 -0.022  0.021
Oct14                              0.002 -0.019  0.017


Top 10 long positions of all time (and max%)
[u'IEP' u'MU' u'LIFE' u'CERN' u'NFLX' u'KLAC' u'CME' u'ADBE' u'NTAP'
 u'ZION']
[ 0.998  0.264  0.257  0.252  0.252  0.216  0.209  0.208  0.208  0.208]


Top 10 short positions of all time (and max%)
[]
[]


Top 10 positions of all time (and max%)
[u'IEP' u'MU' u'LIFE' u'CERN' u'NFLX' u'KLAC' u'CME' u'ADBE' u'NTAP'
 u'ZION']
[ 0.998  0.264  0.257  0.252  0.252  0.216  0.209  0.208  0.208  0.208]


All positions ever held
[u'IEP' u'MU' u'LIFE' u'CERN' u'NFLX' u'KLAC' u'CME' u'ADBE' u'NTAP'
 u'ZION' u'CTSH' u'BRCM' u'AAPL' u'VIAV' u'BIIB' u'CTAS' u'ADI' u'EXPD'
 u'DISH' u'DISC_A' u'APOL' u'GILD' u'HAS' u'FLIR' u'INTU' u'XLNX' u'FISV'
 u'ORLY' u'VIA' u'BBBY' u'CELG' u'SNDK' u'SLM' u'HCBK' u'WFM' u'PCAR'
 u'AMGN' u'SHLD' u'YHOO' u'AMAT' u'CTXS' u'EBAY' u'ATVI' u'ISRG' u'SPLS'
 u'LRCX' u'MCHP' u'TROW' u'FITB' u'QCOM' u'TLAB' u'ROST' u'GMCR' u'AMZN'
 u'NTRS' u'TRIP' u'CA' u'FAST' u'DTV' u'EQIX' u'ALXN' u'MSFT' u'PAYX' u'EA'
 u'CHRW' u'QVCA' u'SIAL' u'GENZ' u'FFIV' u'ALTR' u'NVDA' u'COST' u'BMET'
 u'ILMN' u'DLTR' u'CG' u'GOOG_L' u'FB' u'PCLN' u'SRCL' u'CINF' u'WYNN'
 u'NDAQ' u'MYGN' u'VMED' u'ADP' u'NIHD' u'MAT' u'URBN' u'CHTR' u'LULU'
 u'LINE' u'ZNGA' u'DELL' u'LLTC' u'SBUX' u'WDC' u'AMLN' u'MAR' u'ETFC'
 u'CLWR' u'AAL' u'DNDN_Q' u'INTC' u'CECO' u'ADSK' u'VRTX' u'BMRN' u'PETM'
 u'UNH' u'INCY' u'TXN' u'SPG' u'CMCS_A' u'ZBRA' u'REGN' u'KMI' u'LAMR'
 u'LMT' u'SYMC' u'DIS' u'PM' u'PFE' u'T' u'PEP' u'CVS' u'MXIM' u'ESRX'
 u'BMY' u'GM' u'MDLZ' u'JNJ' u'PDCO' u'HBAN' u'MS' u'MET' u'MA' u'SBAC'
 u'IBM' u'MCD' u'JPM' u'UNP' u'CSCO' u'GS' u'LLY' u'MMM' u'EPD' u'DD'
 u'ACAS' u'MNST' u'LMCA' u'VRSN' u'SIRI' u'MYL' u'XRAY' u'SWKS' u'XMSR'
 u'ABBV' u'LOW' u'F' u'MO' u'VZ' u'USB' u'WBA' u'AIG' u'MOLX' u'HPQ' u'GE'
 u'RRD' u'VRSK' u'ERIE' u'FSLR' u'TSLA' u'HOLX' u'AKAM' u'STLD' u'PTEN'
 u'SEIC' u'PBCT' u'GT' u'BUCY' u'CEPH' u'FTR' u'SNPS' u'KRFT' u'NUAN'
 u'NVLS' u'HSIC' u'CDNS' u'LSI' u'CREE' u'FOXA' u'ASB' u'SPWR' u'C' u'HD'
 u'KO' u'LNCR' u'AGNC' u'AGN' u'MRK' u'DHR' u'UPS' u'WFC' u'BA' u'CVX'
 u'BRK_B' u'COP' u'ABT' u'ORCL' u'XOM' u'PG' u'WMT' u'HON' u'BLK' u'UTX'
 u'GRPN' u'IACI' u'NKE' u'DOW' u'V' u'AXP' u'TWX' u'BAC' u'CL']
[ 0.998  0.264  0.257  0.252  0.252  0.216  0.209  0.208  0.208  0.208
  0.208  0.207  0.205  0.203  0.203  0.202  0.201  0.201  0.2    0.2    0.199
  0.199  0.178  0.171  0.167  0.145  0.144  0.143  0.143  0.143  0.104
  0.102  0.102  0.101  0.101  0.101  0.1    0.092  0.092  0.092  0.091
  0.091  0.091  0.091  0.091  0.088  0.085  0.085  0.084  0.083  0.083
  0.081  0.08   0.08   0.079  0.079  0.079  0.079  0.079  0.078  0.078
  0.078  0.078  0.078  0.078  0.077  0.077  0.077  0.077  0.077  0.077
  0.077  0.077  0.075  0.074  0.074  0.073  0.073  0.072  0.07   0.07
  0.069  0.067  0.067  0.064  0.063  0.063  0.063  0.063  0.061  0.06   0.06
  0.06   0.059  0.059  0.059  0.059  0.057  0.056  0.055  0.055  0.055
  0.054  0.053  0.053  0.053  0.053  0.053  0.053  0.052  0.052  0.052
  0.052  0.052  0.051  0.051  0.051  0.051  0.051  0.051  0.051  0.051
  0.051  0.051  0.05   0.05   0.05   0.05   0.05   0.05   0.05   0.05   0.05
  0.05   0.05   0.05   0.05   0.05   0.05   0.05   0.05   0.05   0.05   0.05
  0.05   0.05   0.05   0.049  0.049  0.049  0.048  0.048  0.047  0.047
  0.047  0.046  0.046  0.046  0.045  0.045  0.045  0.045  0.045  0.045
  0.045  0.045  0.045  0.045  0.044  0.044  0.044  0.044  0.042  0.04   0.04
  0.039  0.039  0.039  0.037  0.037  0.036  0.036  0.035  0.034  0.034
  0.034  0.033  0.033  0.032  0.032  0.032  0.031  0.029  0.029  0.027
  0.026  0.026  0.026  0.026  0.026  0.026  0.026  0.026  0.026  0.026
  0.026  0.026  0.026  0.026  0.026  0.026  0.026  0.025  0.025  0.025
  0.025  0.025  0.025  0.025  0.025  0.024  0.024  0.024  0.024  0.024]