Notebook
In [1]:
oos_bt = get_backtest("57c481a4ed26ea1009cab478")
100% Time: 0:17:53|###########################################################|
In [2]:
oos_bt.create_full_tear_sheet(live_start_date="10-29-2015", bayesian=True)
Entire data start date: 2011-01-03
Entire data end date: 2016-08-26


Out-of-Sample Months: 9
Backtest Months: 57
                   Backtest  Out_of_Sample  All_History
annual_return          0.29          -0.08         0.23
annual_volatility      0.18           0.30         0.20
sharpe_ratio           1.53          -0.14         1.13
calmar_ratio           1.21          -0.29         0.80
stability              0.96           0.03         0.96
max_drawdown          -0.24          -0.28        -0.28
omega_ratio            1.30           0.98         1.22
sortino_ratio          2.26          -0.21         1.69
skewness              -0.25           0.79         0.19
kurtosis               2.40           1.96         3.41
information_ratio      0.04          -0.02         0.03
alpha                  0.32           0.00         0.27
beta                  -0.39          -0.73        -0.43

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
0              28.45 2016-02-10  2016-08-23           NaT      NaN
2              23.99 2011-12-19  2012-02-06    2012-07-10      147
1              11.84 2015-09-29  2015-10-09    2015-11-20       39
3              10.76 2015-01-22  2015-04-15    2015-07-06      118
4               8.07 2015-08-26  2015-08-31    2015-09-25       23


2-sigma returns daily    -0.024
2-sigma returns weekly   -0.048
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  0.002 -0.018  0.019
Fukushima                          0.003 -0.008  0.013
EZB IR Event                       0.001 -0.022  0.018
Apr14                             -0.000 -0.013  0.011
Oct14                              0.001 -0.037  0.024
Fall2015                           0.002 -0.039  0.024
Recovery                           0.001 -0.060  0.049
New Normal                         0.001 -0.049  0.085

Top 10 long positions of all time (and max%)
[u'HBI-32497' u'HS-28057' u'VLO-7990' u'TSO-7612' u'WTW-23269' u'WNR-27997'
 u'CVI-22766' u'HFC-3620' u'TSU-19542' u'MCK-12350']
[ 0.023  0.008  0.008  0.008  0.008  0.008  0.008  0.008  0.008  0.008]


Top 10 short positions of all time (and max%)
[u'DNDN_Q-21612' u'ARIA-11880' u'BCRX-10905' u'KV_A-4327' u'CLVS-42166'
 u'MNKD-26524' u'ITMN-21284' u'AMRN-21036' u'VVUS-11224' u'HGSI-10409']
[-0.319 -0.145 -0.098 -0.089 -0.087 -0.079 -0.075 -0.074 -0.069 -0.065]


Top 10 positions of all time (and max%)
[u'DNDN_Q-21612' u'ARIA-11880' u'BCRX-10905' u'KV_A-4327' u'CLVS-42166'
 u'MNKD-26524' u'ITMN-21284' u'AMRN-21036' u'VVUS-11224' u'HGSI-10409']
[ 0.319  0.145  0.098  0.089  0.087  0.079  0.075  0.074  0.069  0.065]


All positions ever held
[u'DNDN_Q-21612' u'ARIA-11880' u'BCRX-10905' ..., u'OHRP-30589'
 u'BIND-45450' u'LEDS-40574']
[ 0.319  0.145  0.098 ...,  0.001  0.001  0.   ]