Moonshot Backtest¶

We're ready to backtest. To do so, we transfer our interactive strategy code to a Moonshot strategy. The file qmom.py contains our transferred strategy code.

Install strategy file¶

Execute the following cell to "install" the strategy by moving the file to the /codeload/moonshot directory:

# make directory if doesn't exist
!mkdir -p /codeload/moonshot

!mv qmom.py /codeload/moonshot/

Run backtest¶

Due to the large universe size, we use the segment parameter to tell Moonshot to run the backtest in 1-year segments and concatenate the results.

We've added Jupyter's %time magic to provide a gauge of total runtime for this backtest.
TIP: open the detailed logs while running the backtest to monitor moonshot's progress through the backtest segments.

from quantrocket.moonshot import backtest
%time backtest("qmom", start_date="2010-01-01", end_date="2018-01-01", segment="A", filepath_or_buffer="qmom_backtest.csv")

CPU times: user 20 ms, sys: 10 ms, total: 30 ms
Wall time: 1min 6s

Performance tear sheets¶

We can view a performance tear sheet using Moonchart as well as with pyfolio.

Moonchart¶

from moonchart import Tearsheet
Tearsheet.from_moonshot_csv("qmom_backtest.csv")

Pyfolio¶

import pyfolio as pf

pf.from_moonshot_csv("qmom_backtest.csv")

/opt/conda/lib/python3.6/site-packages/numpy/core/fromnumeric.py:52: FutureWarning: 'argmin' is deprecated, use 'idxmin' instead. The behavior of 'argmin'
will be corrected to return the positional minimum in the future.
Use 'series.values.argmin' to get the position of the minimum now.
  return getattr(obj, method)(*args, **kwds)

Next Up¶

Part 3: Parameter Scans

	Backtest
Start date	2010-01-04
End date	2017-12-29
Total months	95
Annual return	7.7%
Cumulative returns	80.9%
Annual volatility	23.4%
Sharpe ratio	0.43
Calmar ratio	0.20
Stability	0.51
Max drawdown	-39.0%
Omega ratio	1.08
Sortino ratio	0.60
Skew	-0.42
Kurtosis	4.81
Tail ratio	0.90
Daily value at risk	-2.9%
Gross leverage	1.00

Worst drawdown periods	Net drawdown in %	Peak date	Valley date	Recovery date	Duration
0	39.05	2014-09-02	2016-02-08	NaT	NaN
1	33.51	2011-07-22	2011-10-03	2013-01-02	379
2	29.18	2010-04-26	2010-07-06	2010-12-01	158
3	13.66	2010-01-08	2010-01-29	2010-03-08	42
4	13.32	2011-04-29	2011-06-16	2011-07-07	50

Stress Events	mean	min	max
US downgrade/European Debt Crisis	-0.05%	-10.53%	8.55%
Fukushima	0.31%	-1.91%	3.38%
EZB IR Event	-0.03%	-1.49%	1.54%
Flash Crash	-0.56%	-4.32%	7.33%
Apr14	-0.03%	-3.51%	2.84%
Oct14	-0.46%	-5.61%	3.87%
Fall2015	-0.27%	-4.36%	3.58%
Recovery	0.07%	-10.53%	8.55%
New Normal	0.03%	-8.33%	4.01%