Notebook
In [1]:
bt = get_backtest('555a30cccfce970c4b63a363')
bt.create_full_tear_sheet()
100% Time: 0:00:02|###########################################################|
Entire data start date: 2012-08-27
Entire data end date: 2014-10-28


Backtest Months: 26
                   Backtest
annual_return          0.21
annual_volatility      0.14
sharpe_ratio           1.41
calmar_ratio           2.00
stability              0.82
max_drawdown          -0.10
omega_ratio            1.53
sortino_ratio          2.29
skewness               0.73
kurtosis              12.40
information_ratio      0.01
alpha                  0.19
beta                   0.02

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
0              10.26 2014-04-01  2014-06-20    2014-10-24      149
3              10.03 2012-10-12  2012-11-20    2013-02-22       96
2               8.55 2013-05-03  2013-06-27    2013-09-04       89
1               7.95 2013-09-30  2013-10-23    2013-12-13       55
4               4.59 2014-01-10  2014-01-30    2014-04-01       58


2-sigma returns daily    -0.017
2-sigma returns weekly   -0.039
dtype: float64
Stress Events
               mean    min    max
EZB IR Event  0.003  0.000  0.027
Apr14        -0.001 -0.035  0.022
Oct14         0.002 -0.032  0.036
Recovery     -0.000 -0.046  0.027
New Normal    0.001 -0.049  0.054

Top 10 long positions of all time (and max%)
[u'ORLY' u'NTAP' u'ROST' u'ADSK' u'AMAT' u'WDC' u'FOXA' u'CHRW' u'TXN'
 u'INTU']
[ 1.012  0.999  0.549  0.535  0.528  0.522  0.518  0.507  0.505  0.5  ]


Top 10 short positions of all time (and max%)
[u'DLTR' u'CELG' u'GMCR' u'WDC' u'MYL' u'QCOM' u'KLAC' u'GILD' u'CHRW'
 u'MNST']
[-1.141 -1.078 -1.077 -1.069 -1.058 -1.054 -1.049 -1.046 -1.041 -1.026]


Top 10 positions of all time (and max%)
[u'DLTR' u'CELG' u'GMCR' u'WDC' u'MYL' u'QCOM' u'KLAC' u'GILD' u'CHRW'
 u'MNST']
[ 1.141  1.078  1.077  1.069  1.058  1.054  1.049  1.046  1.041  1.026]


All positions ever held
[u'DLTR' u'CELG' u'GMCR' u'WDC' u'MYL' u'QCOM' u'KLAC' u'GILD' u'CHRW'
 u'MNST' u'BRCM' u'FISV' u'ORLY' u'NTAP' u'TXN' u'LLTC' u'PAYX' u'ADBE'
 u'PCLN' u'SPLS' u'VIP' u'TRIP' u'ROST' u'ADSK' u'AMAT' u'INTU' u'FOXA'
 u'HSIC' u'KRFT' u'EXPD' u'WYNN' u'ALXN' u'MXIM' u'BIDU' u'XLNX' u'PCAR'
 u'CTXS' u'SRCL' u'TSCO' u'CA' u'WFM' u'REGN' u'ADP' u'FFIV' u'SIRI'
 u'BIIB' u'SYMC' u'FAST' u'NXPI' u'LMCA' u'ILMN' u'INTC' u'DISH' u'ATVI'
 u'VOD' u'SBAC']
[ 1.141  1.078  1.077  1.069  1.058  1.054  1.049  1.046  1.041  1.026
  1.015  1.014  1.012  0.999  0.999  0.996  0.995  0.99   0.982  0.972
  0.968  0.962  0.549  0.535  0.528  0.518  0.518  0.503  0.503  0.501
  0.499  0.492  0.348  0.343  0.343  0.34   0.333  0.329  0.327  0.266
  0.265  0.263  0.261  0.26   0.258  0.254  0.252  0.252  0.252  0.248
  0.247  0.209  0.206  0.2    0.198  0.144]