Notebook
In [4]:
bt = get_backtest('588b29219063a05e4f8b8419')
100% Time: 0:01:13|###########################################################|
In [5]:
bt.create_full_tear_sheet(live_start_date='2016-11-01',bayesian=True)
Entire data start date: 2007-01-25
Entire data end date: 2017-01-25


Out-of-Sample Months: 2
Backtest Months: 117
Performance statistics All history Backtest Out of sample
annual_return 0.11 0.11 0.18
annual_volatility 0.10 0.10 0.09
sharpe_ratio 1.11 1.09 1.94
calmar_ratio 0.93 0.92 10.79
stability_of_timeseries 0.76 0.75 0.83
max_drawdown -0.12 -0.12 -0.02
omega_ratio 1.25 1.24 1.42
sortino_ratio 1.75 1.72 3.35
skew 0.65 0.65 0.79
kurtosis 13.30 13.41 3.27
tail_ratio 1.16 1.16 1.31
common_sense_ratio 1.28 1.28 1.54
information_ratio 0.01 0.01 -0.10
alpha 0.11 0.11 0.20
beta 0.02 0.02 -0.09
Worst Drawdown Periods net drawdown in % peak date valley date recovery date duration
0 11.78 2009-05-04 2010-11-11 2011-11-09 658
1 9.06 2009-02-26 2009-04-13 2009-05-04 48
2 8.44 2012-10-23 2014-01-16 2014-05-01 398
3 5.71 2008-06-04 2008-07-15 2008-07-17 32
4 5.50 2008-11-11 2008-11-20 2008-12-01 15

[-0.012 -0.025]
Stress Events mean min max
Lehmann 0.58% -3.28% 5.60%
US downgrade/European Debt Crisis 0.13% -0.89% 0.98%
Fukushima 0.01% -0.44% 0.47%
EZB IR Event 0.09% -0.83% 0.92%
Aug07 0.10% -1.11% 1.10%
Mar08 0.13% -1.16% 1.27%
Sept08 1.02% -3.28% 5.60%
2009Q1 0.20% -2.88% 2.77%
2009Q2 0.02% -4.94% 4.11%
Flash Crash 0.07% -0.08% 0.25%
Apr14 0.36% -1.05% 0.92%
Oct14 0.08% -1.19% 0.68%
Fall2015 0.07% -0.69% 0.67%
Low Volatility Bull Market -0.01% -0.90% 1.09%
GFC Crash 0.17% -3.98% 5.60%
Recovery 0.02% -4.94% 4.11%
New Normal 0.02% -1.33% 2.23%