Notebook
In [2]:
bt = get_backtest('585bf006d65444621d1bf2b8')
100% Time: 0:00:47|###########################################################|
In [3]:
bt.create_full_tear_sheet()
Entire data start date: 2002-11-01
Entire data end date: 2016-12-21


Backtest Months: 169
Performance statistics Backtest
annual_return 0.12
annual_volatility 0.13
sharpe_ratio 0.94
calmar_ratio 0.60
stability_of_timeseries 0.96
max_drawdown -0.20
omega_ratio 1.22
sortino_ratio 1.48
skew 1.59
kurtosis 30.72
tail_ratio 1.16
common_sense_ratio 1.30
information_ratio 0.01
alpha 0.11
beta 0.18
Worst Drawdown Periods net drawdown in % peak date valley date recovery date duration
0 19.85 2008-09-26 2008-10-10 2008-10-28 23
1 19.06 2009-07-13 2011-08-10 2011-09-26 576
2 14.75 2008-11-07 2008-11-20 2008-12-01 17
3 14.20 2009-02-12 2009-03-26 2009-06-03 80
4 11.01 2013-06-28 2014-12-16 2015-05-05 483

[-0.016 -0.032]
/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 0.09% -3.00% 3.12%
US downgrade/European Debt Crisis 0.25% -5.40% 4.36%
Fukushima -0.04% -1.72% 1.35%
US Housing -0.21% -2.25% 1.17%
EZB IR Event 0.04% -0.46% 0.85%
Aug07 0.23% -1.10% 1.77%
Mar08 0.22% -2.06% 2.37%
Sept08 0.08% -3.00% 3.12%
2009Q1 -0.20% -5.10% 4.72%
2009Q2 0.14% -4.07% 5.90%
Flash Crash 0.00% -2.95% 3.75%
Apr14 0.08% -1.28% 0.76%
Oct14 -0.04% -1.11% 1.62%
Fall2015 0.10% -3.93% 3.64%
Low Volatility Bull Market 0.03% -1.62% 1.71%
GFC Crash 0.12% -6.96% 12.54%
Recovery 0.05% -5.40% 4.36%
New Normal 0.05% -3.93% 3.76%