Notebook
In [9]:
bt = get_backtest('5723ad4a01f4900f6c9c741c')
100% Time: 0:00:06|###########################################################|
In [10]:
bt.create_full_tear_sheet()
Entire data start date: 2013-01-02
Entire data end date: 2015-02-27


Backtest Months: 25
                   Backtest
annual_return          0.13
annual_volatility      0.13
sharpe_ratio           0.96
calmar_ratio           1.99
stability              0.77
max_drawdown          -0.06
omega_ratio            1.24
sortino_ratio          1.75
skewness               4.82
kurtosis              72.15
information_ratio     -0.02
alpha                  0.13
beta                   0.00

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
2               6.38 2013-01-10  2013-01-18    2013-03-19       49
0               6.18 2015-01-28  2015-02-27           NaT      NaN
1               5.80 2014-10-10  2014-10-28    2014-11-19       29
3               5.29 2014-07-15  2014-09-10    2014-09-26       54
4               3.79 2013-09-20  2013-10-28    2013-11-04       32


2-sigma returns daily    -0.016
2-sigma returns weekly   -0.029
dtype: float64
Stress Events
             mean    min    max
Apr14       0.001 -0.006  0.009
Oct14      -0.002 -0.050  0.010
New Normal  0.001 -0.050  0.117

Top 10 long positions of all time (and max%)
[u'FCX-13197' u'AA-2' u'MON-22140' u'DD-2119' u'X-8329' u'CF-27558'
 u'PX-6272' u'PPG-6116' u'DOW-2263' u'EMN-10594']
[ 0.518  0.189  0.185  0.183  0.183  0.182  0.18   0.179  0.168  0.168]


Top 10 short positions of all time (and max%)
[u'BTU-22660' u'MCP-39960' u'LYB-39546' u'DOW-2263' u'SHW-6868' u'NEM-5261'
 u'MOS-41462' u'WY-8326' u'APD-460' u'CF-27558']
[-0.544 -0.544 -0.26  -0.259 -0.258 -0.257 -0.255 -0.255 -0.255 -0.252]


Top 10 positions of all time (and max%)
[u'BTU-22660' u'MCP-39960' u'FCX-13197' u'LYB-39546' u'DOW-2263'
 u'SHW-6868' u'NEM-5261' u'MOS-41462' u'WY-8326' u'APD-460']
[ 0.544  0.544  0.518  0.26   0.259  0.258  0.257  0.255  0.255  0.255]


All positions ever held
[u'BTU-22660' u'MCP-39960' u'FCX-13197' u'LYB-39546' u'DOW-2263'
 u'SHW-6868' u'NEM-5261' u'MOS-41462' u'WY-8326' u'APD-460' u'CF-27558'
 u'CLF-1595' u'X-8329' u'DD-2119' u'EMN-10594' u'AA-2' u'PPG-6116'
 u'MAS-4665' u'MON-22140' u'PX-6272' u'NUE-5488' u'SIAL-6872' u'ACI-88'
 u'FMC-2893' u'ECL-2427']
[ 0.544  0.544  0.518  0.26   0.259  0.258  0.257  0.255  0.255  0.255
  0.252  0.244  0.223  0.214  0.21   0.205  0.203  0.201  0.185  0.18
  0.155  0.153  0.147  0.139  0.131]