Notebook
In [1]:
bt = get_backtest('5887f3a2113cc45e404961d5')
100% Time: 0:00:17|###########################################################|
In [2]:
bt.create_full_tear_sheet(live_start_date='2016-06-01')
Entire data start date: 2002-01-10
Entire data end date: 2017-01-23


Out-of-Sample Months: 7
Backtest Months: 172
Performance statistics All history Backtest Out of sample
annual_return 0.05 0.06 -0.03
annual_volatility 0.05 0.05 0.04
sharpe_ratio 1.08 1.13 -0.67
calmar_ratio 1.04 1.14 -0.58
stability_of_timeseries 0.95 0.95 0.07
max_drawdown -0.05 -0.05 -0.05
omega_ratio 1.20 1.22 0.89
sortino_ratio 1.66 1.75 -0.92
skew 0.38 0.38 -0.04
kurtosis 3.96 3.95 2.12
tail_ratio 1.12 1.13 1.00
common_sense_ratio 1.18 1.19 0.97
information_ratio -0.00 -0.00 -0.08
alpha 0.05 0.06 -0.02
beta 0.01 0.01 -0.03
Worst Drawdown Periods net drawdown in % peak date valley date recovery date duration
0 5.12 2016-04-29 2016-09-23 NaT NaN
1 4.98 2003-09-19 2004-01-12 2004-09-24 266
2 4.94 2009-07-02 2010-10-15 2011-07-11 528
3 4.73 2002-12-10 2003-05-13 2003-09-19 204
4 4.66 2013-04-12 2014-01-29 2014-04-16 264

[-0.006 -0.012]
/usr/local/lib/python2.7/dist-packages/numpy/lib/function_base.py:3834: RuntimeWarning: Invalid value encountered in percentile
  RuntimeWarning)
Stress Events mean min max
Lehmann 0.06% -0.67% 0.77%
US downgrade/European Debt Crisis -0.00% -0.48% 0.52%
Fukushima 0.05% -0.28% 0.69%
US Housing -0.06% -0.43% 0.26%
EZB IR Event -0.00% -0.39% 0.43%
Aug07 0.03% -0.69% 0.83%
Mar08 0.10% -0.23% 0.56%
Sept08 -0.05% -0.65% 0.58%
2009Q1 0.06% -0.90% 1.49%
2009Q2 0.10% -0.77% 0.85%
Flash Crash -0.01% -0.30% 0.15%
Apr14 0.15% -0.41% 0.68%
Oct14 -0.05% -0.68% 0.62%
Fall2015 0.08% -0.45% 0.80%
Low Volatility Bull Market 0.00% -1.88% 1.08%
GFC Crash 0.08% -1.00% 2.34%
Recovery 0.02% -1.20% 1.40%
New Normal 0.02% -1.86% 1.47%