Notebook

W_10 DV Constant Threshold Timed W_10 Plus Bonds

In [1]:
import pyfolio as pf
import matplotlib.pyplot as plt
import empyrical  as ep
In [2]:
bt = get_backtest('5d5cb00e6f7b925f5bf758db')
returns = bt.daily_performance['returns']
100% Time:  0:00:31|##########################################################|
In [3]:
cum_returns = ep.cum_returns(returns)
ax = cum_returns.plot(figsize=(14,5))
ax.set(title='Cumulative Returns', ylabel='returns', xlabel='date');
In [4]:
benchmark_rets = pf.utils.get_symbol_rets('SPY')
pf.plotting.show_perf_stats(returns, benchmark_rets)
Start date2004-07-01
End date2019-07-30
Total months180
Backtest
Annual return 15.5%
Cumulative returns 775.5%
Annual volatility 15.1%
Sharpe ratio 1.03
Calmar ratio 0.83
Stability 0.98
Max drawdown -18.6%
Omega ratio 1.19
Sortino ratio 1.46
Skew -0.40
Kurtosis 2.03
Tail ratio 0.97
Daily value at risk -1.8%
Alpha 0.15
Beta 0.09
In [5]:
fig = plt.figure(1)
plt.subplot(1,3,1)
pf.plot_annual_returns(returns)
plt.subplot(1,3,2)
pf.plot_monthly_returns_dist(returns)
plt.subplot(1,3,3)
pf.plot_monthly_returns_heatmap(returns)
plt.tight_layout()
fig.set_size_inches(15,5)
In [6]:
ax = bt.recorded_vars.plot(figsize=(14,5))
ax.set(title='W_10 DV Constant Threshold', ylabel='value', xlabel='date');
In [ ]: