source
metrics
metrics (returns, benchmark=None, rf=0.0, display=True, mode='basic',
sep=False, compounded=True, periods_per_year=252,
prepare_returns=True, match_dates=False, **kwargs)
returns = _utils.download_returns('SPY', '5y')
benchmark = _utils.download_returns('QQQ', '5y')
# √ may be encodable
metrics(returns, benchmark, returns_title = 'SPY', benchmark_title = 'QQQ')
SPY QQQ
------------------ ---------- ----------
Start Period 2017-10-02 2017-10-02
End Period 2022-09-30 2022-09-30
Risk-Free Rate 0.0% 0.0%
Time in Market 100.0% 100.0%
Cumulative Return 56.11% 92.81%
CAGR 9.32% 14.04%
Sharpe 0.53 0.65
Prob. Sharpe Ratio 88.01% 92.36%
Sortino 0.73 0.89
Sortino/$\sqrt{2}$ 0.51 0.63
Omega 1.11 1.11
Max Drawdown -33.72% -32.65%
Longest DD Days 269 276
Gain/Pain Ratio 0.11 0.13
Gain/Pain (1M) 0.57 0.75
Payoff Ratio 0.85 0.85
Profit Factor 1.11 1.13
Common Sense Ratio 0.92 0.97
CPC Index 0.52 0.54
Tail Ratio 0.83 0.86
Outlier Win Ratio 4.46 3.47
Outlier Loss Ratio 4.57 3.45
MTD -8.16% -9.19%
3M -4.57% -4.24%
6M -21.02% -26.65%
YTD -23.02% -31.48%
1Y -15.54% -24.02%
3Y (ann.) 7.97% 12.44%
5Y (ann.) 9.0% 13.39%
10Y (ann.) 9.32% 14.04%
All-time (ann.) 9.32% 14.04%
Avg. Drawdown -1.92% -3.07%
Avg. Drawdown Days 16 19
Recovery Factor 1.66 2.84
Ulcer Index 0.08 0.1
Serenity Index 0.66 0.78
source
plots
plots (returns, benchmark=None, grayscale=False, figsize=(8, 5),
mode='basic', compounded=True, periods_per_year=252,
prepare_returns=True, match_dates=False, **kwargs)
returns = _utils.download_returns('SPY', '5y')
benchmark = _utils.download_returns('QQQ', '5y')
plots(returns, benchmark, returns_title = 'SPY', benchmark_title = 'QQQ', mode = 'full')
source
html
html (returns, benchmark=None, rf=0.0, grayscale=False, title='Strategy
Tearsheet', output=None, compounded=True, periods_per_year=252,
download_filename='quantstats-tearsheet.html', figfmt='svg',
template_path=None, match_dates=False, **kwargs)
Production of .html tearsheets
source
full
full (returns, benchmark=None, rf=0.0, grayscale=False, figsize=(8, 5),
display=True, compounded=True, periods_per_year=252,
match_dates=False, **kwargs)
returns = _utils.download_returns('SPY', '5y')
benchmark = _utils.download_returns('QQQ', '5y')
full(returns, benchmark, display=True, returns_title='SPY', benchmark_title='QQQ')
Performance Metrics
SPY QQQ
------------------------- ---------- ----------
Start Period 2017-10-02 2017-10-02
End Period 2022-09-30 2022-09-30
Risk-Free Rate 0.0% 0.0%
Time in Market 100.0% 100.0%
Cumulative Return 56.13% 92.85%
CAGR 9.32% 14.04%
Sharpe 0.53 0.65
Prob. Sharpe Ratio 88.02% 92.36%
Smart Sharpe 0.45 0.54
Sortino 0.73 0.89
Smart Sortino 0.61 0.75
Sortino/$\sqrt{2}$ 0.51 0.63
Smart Sortino/$\sqrt{2}$ 0.43 0.53
Omega 1.11 1.11
Max Drawdown -33.72% -32.65%
Longest DD Days 269 276
Volatility (ann.) 20.84% 25.29%
R^2 0.87 0.87
Information Ratio -0.03 -0.03
Calmar 0.28 0.43
Skew -0.66 -0.48
Kurtosis 12.01 5.9
Expected Daily % 0.04% 0.05%
Expected Monthly % 0.04% 0.05%
Expected Yearly % 0.04% 0.05%
Kelly Criterion 3.1% 5.27%
Risk of Ruin 0.0% 0.0%
Daily Value-at-Risk -2.11% -2.56%
Expected Shortfall (cVaR) -2.11% -2.56%
Max Consecutive Wins 11 11
Max Consecutive Losses 8 6
Gain/Pain Ratio 0.11 0.13
Gain/Pain (1M) 0.57 0.75
Payoff Ratio 0.85 0.85
Profit Factor 1.11 1.13
Common Sense Ratio 0.92 0.97
CPC Index 0.52 0.54
Tail Ratio 0.83 0.86
Outlier Win Ratio 4.46 3.47
Outlier Loss Ratio 4.57 3.45
MTD -8.15% -9.18%
3M -4.56% -4.23%
6M -21.01% -26.63%
YTD -23.01% -31.46%
1Y -15.53% -24.01%
3Y (ann.) 7.97% 12.45%
5Y (ann.) 9.01% 13.4%
10Y (ann.) 9.32% 14.04%
All-time (ann.) 9.32% 14.04%
Best Day 9.06% 8.47%
Worst Day -10.94% -11.98%
Best Month 12.7% 14.97%
Worst Month -12.49% -13.6%
Best Year 31.22% 48.41%
Worst Year -23.01% -31.46%
Avg. Drawdown -1.92% -3.07%
Avg. Drawdown Days 16 19
Recovery Factor 1.66 2.84
Ulcer Index 0.08 0.1
Serenity Index 0.66 0.78
Avg. Up Month 4.21% 5.31%
Avg. Down Month -5.82% -6.51%
Win Days % 55.38% 56.48%
Win Month % 66.67% 63.33%
Win Quarter % 70.0% 75.0%
Win Year % 66.67% 66.67%
Beta 0.77 -
Alpha -0.01 -
Correlation 93.05% -
Treynor Ratio 73.22% -
5 Worst Drawdowns
|
Start |
Valley |
End |
Days |
Max Drawdown |
99% Max Drawdown |
| 1 |
2020-02-20 |
2020-03-23 |
2020-08-10 |
172 |
-33.717262 |
-29.109770 |
| 2 |
2022-01-04 |
2022-09-30 |
2022-09-30 |
269 |
-23.448751 |
-23.052213 |
| 3 |
2018-09-21 |
2018-12-24 |
2019-04-12 |
203 |
-19.348908 |
-15.952035 |
| 4 |
2018-01-29 |
2018-02-08 |
2018-08-06 |
189 |
-10.101877 |
-9.594681 |
| 5 |
2020-09-03 |
2020-09-23 |
2020-11-11 |
69 |
-9.440438 |
-9.199067 |
Strategy Visualization
source
basic
basic (returns, benchmark=None, rf=0.0, grayscale=False, figsize=(8, 5),
display=True, compounded=True, periods_per_year=252,
match_dates=False, **kwargs)
returns = _utils.download_returns('SPY', '5y')
benchmark = _utils.download_returns('QQQ', '5y')
basic(returns, benchmark, display=True)
Performance Metrics
Close Close
------------------ ---------- ----------
Start Period 2017-10-02 2017-10-02
End Period 2022-09-30 2022-09-30
Risk-Free Rate 0.0% 0.0%
Time in Market 100.0% 100.0%
Cumulative Return 56.11% 92.86%
CAGR 9.32% 14.05%
Sharpe 0.53 0.65
Prob. Sharpe Ratio 88.01% 92.37%
Sortino 0.73 0.89
Sortino/$\sqrt{2}$ 0.51 0.63
Omega 1.11 1.11
Max Drawdown -33.72% -32.65%
Longest DD Days 269 276
Gain/Pain Ratio 0.11 0.13
Gain/Pain (1M) 0.57 0.76
Payoff Ratio 0.85 0.85
Profit Factor 1.11 1.13
Common Sense Ratio 0.92 0.97
CPC Index 0.52 0.54
Tail Ratio 0.83 0.86
Outlier Win Ratio 4.46 3.47
Outlier Loss Ratio 4.57 3.45
MTD -8.16% -9.17%
3M -4.57% -4.22%
6M -21.02% -26.63%
YTD -23.02% -31.46%
1Y -15.54% -24.0%
3Y (ann.) 7.97% 12.45%
5Y (ann.) 9.0% 13.4%
10Y (ann.) 9.32% 14.05%
All-time (ann.) 9.32% 14.05%
Avg. Drawdown -1.92% -3.07%
Avg. Drawdown Days 16 19
Recovery Factor 1.66 2.84
Ulcer Index 0.08 0.1
Serenity Index 0.66 0.78
Strategy Visualization
