Notebook

Quantopian Risk Model

Strategy referenced in: https://www.quantopian.com/posts/quantopian-risk-model-in-algorithms

In [1]:
# Get backtest 
bt = get_backtest('5a35bd4ccea2d1452c467fb6')
100% Time: 0:00:43|###########################################################|
In [2]:
# Create all tear sheets
bt.create_full_tear_sheet()
Start date2011-01-05
End date2015-12-31
Total months59
Backtest
Annual return 16.9%
Cumulative returns 117.4%
Annual volatility 7.8%
Sharpe ratio 2.03
Calmar ratio 2.07
Stability 0.97
Max drawdown -8.1%
Omega ratio 1.41
Sortino ratio 3.09
Skew -0.20
Kurtosis 3.06
Tail ratio 1.11
Daily value at risk -0.9%
Gross leverage 1.07
Daily turnover 4.3%
Alpha 0.17
Beta -0.06
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 8.13 2014-12-15 2015-04-29 2015-07-20 156
1 6.23 2015-08-05 2015-10-07 2015-11-11 71
2 4.78 2011-10-13 2012-03-19 2012-06-11 173
3 4.44 2012-09-05 2012-10-18 2012-11-08 47
4 4.34 2014-06-02 2014-06-30 2014-07-31 44
/usr/local/lib/python2.7/dist-packages/numpy/lib/function_base.py:3834: RuntimeWarning: Invalid value encountered in percentile
  RuntimeWarning)
Stress Events mean min max
US downgrade/European Debt Crisis 0.07% -0.64% 0.78%
Fukushima 0.08% -0.52% 0.68%
EZB IR Event -0.03% -0.93% 0.79%
Apr14 -0.02% -0.74% 1.02%
Oct14 0.34% -0.99% 1.91%
Fall2015 -0.04% -1.66% 1.10%
Recovery 0.05% -1.60% 1.47%
New Normal 0.07% -3.13% 2.68%