In [1]:
import bt

import matplotlib.pyplot as plt
%matplotlib inline

data = bt.get('eurusd,eurjpy', start='1027890000', end='1317330000')

#print "First Table"
print data.head()

s = bt.Strategy('s1', 
                [bt.algos.RunMonthly(),bt.algos.SelectAll(),bt.algos.WeighEqually(),bt.algos.Rebalance()])

test = bt.Backtest(s, data)

#print "First Calculation"
res = bt.run(test)

#print "First Graph"
res.plot()

#print "Second Table"
print
res.display()

#print "Second Graph"
res.plot_histogram()

#print "Third Graph"
res.plot_security_weights()


s2 = bt.Strategy('s2', [bt.algos.RunWeekly(),bt.algos.SelectAll(),bt.algos.WeighInvVol(),bt.algos.Rebalance()])

test2 = bt.Backtest(s2, data)

#print "Second Calculation"
res2 = bt.run(test, test2)

#print "Forth Graph"
res2.plot()

#print "Third Table"
print
res2.display()
             eurusd  eurjpy
Date                       
2003-07-08  1.13160  133.76
2003-07-09  1.13440  133.76
2003-07-10  1.13770  133.87
2003-07-11  1.12960  132.97
2003-07-14  1.12699  132.79
s1
0% [############################# ] 100% | ETA: 00:00:00
Stat                 s1
-------------------  ----------
Start                2003-07-07
End                  2014-09-11
Risk-free rate       0.00%

Total Return         9.72%
Daily Sharpe         0.13
Daily Sortino        0.17
CAGR                 0.83%
Max Drawdown         -34.69%
Calmar Ratio         0.02

MTD                  -0.20%
3m                   -2.16%
6m                   -4.92%
YTD                  -5.37%
1Y                   0.56%
3Y (ann.)            3.72%
5Y (ann.)            -0.64%
10Y (ann.)           0.52%
Since Incep. (ann.)  0.83%

Daily Sharpe         0.13
Daily Sortino        0.17
Daily Mean (ann.)    1.22%
Daily Vol (ann.)     9.68%
Daily Skew           -0.10
Daily Kurt           4.44
Best Day             4.19%
Worst Day            -3.99%

Monthly Sharpe       0.13
Monthly Sortino      0.16
Monthly Mean (ann.)  1.41%
Monthly Vol (ann.)   10.66%
Monthly Skew         -0.88
Monthly Kurt         2.41
Best Month           7.10%
Worst Month          -12.83%

Yearly Sharpe        0.08
Yearly Sortino       0.19
Yearly Mean          0.79%
Yearly Vol           9.94%
Yearly Skew          -0.13
Yearly Kurt          -1.37
Best Year            15.32%
Worst Year           -13.74%

Avg. Drawdown        -1.82%
Avg. Drawdown Days   69.62
Avg. Up Month        2.10%
Avg. Down Month      -2.40%
Win Year %           54.55%
Win 12m %            62.10%
s2
0% [############################# ] 100% | ETA: 00:00:00
Stat                 s1          s2
-------------------  ----------  ----------
Start                2003-07-07  2003-07-07
End                  2014-09-11  2014-09-11
Risk-free rate       0.00%       0.00%

Total Return         9.72%       12.34%
Daily Sharpe         0.13        0.15
Daily Sortino        0.17        0.20
CAGR                 0.83%       1.05%
Max Drawdown         -34.69%     -32.52%
Calmar Ratio         0.02        0.03

MTD                  -0.20%      -0.25%
3m                   -2.16%      -2.25%
6m                   -4.92%      -4.90%
YTD                  -5.37%      -5.16%
1Y                   0.56%       0.29%
3Y (ann.)            3.72%       2.56%
5Y (ann.)            -0.64%      -1.10%
10Y (ann.)           0.52%       0.65%
Since Incep. (ann.)  0.83%       1.05%

Daily Sharpe         0.13        0.15
Daily Sortino        0.17        0.20
Daily Mean (ann.)    1.22%       1.39%
Daily Vol (ann.)     9.68%       9.42%
Daily Skew           -0.10       -0.10
Daily Kurt           4.44        3.76
Best Day             4.19%       3.64%
Worst Day            -3.99%      -3.73%

Monthly Sharpe       0.13        0.14
Monthly Sortino      0.16        0.18
Monthly Mean (ann.)  1.41%       1.52%
Monthly Vol (ann.)   10.66%      10.51%
Monthly Skew         -0.88       -0.81
Monthly Kurt         2.41        2.31
Best Month           7.10%       7.90%
Worst Month          -12.83%     -12.35%

Yearly Sharpe        0.08        0.09
Yearly Sortino       0.19        0.24
Yearly Mean          0.79%       0.84%
Yearly Vol           9.94%       9.06%
Yearly Skew          -0.13       -0.17
Yearly Kurt          -1.37       -1.60
Best Year            15.32%      12.63%
Worst Year           -13.74%     -11.81%

Avg. Drawdown        -1.82%      -1.59%
Avg. Drawdown Days   69.62       61.08
Avg. Up Month        2.10%       2.11%
Avg. Down Month      -2.40%      -2.31%
Win Year %           54.55%      54.55%
Win 12m %            62.10%      62.10%