Backtest

Now we are ready to run a backtest. Open a flightlog terminal to monitor the progress and performance statistics while the backtest runs:

from quantrocket.zipline import backtest
backtest(
    "sell-gap", 
    start_date="2014-01-03", 
    end_date="2020-04-30", 
    capital_base=2e5,
    filepath_or_buffer="sell_gap_backtest_results.csv", 
    progress="M")

Then view the pyfolio tear sheet:

import pyfolio
pyfolio.from_zipline_csv("sell_gap_backtest_results.csv")

Start date	2014-01-06
End date	2020-04-30
Total months	75
	Backtest
Annual return	9.283%
Cumulative returns	75.144%
Annual volatility	7.896%
Sharpe ratio	1.16
Calmar ratio	1.21
Stability	0.94
Max drawdown	-7.651%
Omega ratio	1.46
Sortino ratio	1.88
Skew	0.99
Kurtosis	19.87
Tail ratio	1.36
Daily value at risk	-0.958%
Alpha	0.10
Beta	-0.02

Worst drawdown periods	Net drawdown in %	Peak date	Valley date	Recovery date	Duration
0	7.65	2015-05-20	2015-08-24	2015-12-08	145
1	7.53	2019-01-15	2019-07-31	NaT	NaN
2	5.51	2014-05-23	2014-10-22	2015-01-09	166
3	4.39	2016-11-02	2017-04-27	2017-07-06	177
4	3.75	2016-07-21	2016-08-05	2016-10-25	69

Stress Events	mean	min	max
Apr14	0.06%	-0.64%	1.21%

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Next Up

Part 6: Trade Inspection