Notebook
In [1]:
bt = get_backtest('568e8ab422d8fe1180543dae')
bt.create_full_tear_sheet()
100% Time: 0:00:20|###########################################################|
Entire data start date: 2006-01-03
Entire data end date: 2015-12-31


Backtest Months: 119
                   Backtest
annual_return          0.19
annual_volatility      0.21
sharpe_ratio           0.93
calmar_ratio           0.85
stability              0.94
max_drawdown          -0.22
omega_ratio            1.20
sortino_ratio          1.35
skewness               0.30
kurtosis              11.28
information_ratio      0.04
alpha                  0.16
beta                   0.51

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
4              19.41 2011-02-14  2011-10-03    2012-09-13      414
0              18.68 2015-07-20  2015-08-24           NaT      NaN
1              17.56 2014-03-04  2014-04-11    2014-08-19      121
3              11.82 2014-09-08  2014-10-13    2014-10-31       40
2               8.69 2015-04-23  2015-04-30    2015-05-27       25


2-sigma returns daily    -0.026
2-sigma returns weekly   -0.049
dtype: float64
Stress Events
                                    mean    min    max
Lehmann                            0.000  0.000  0.000
US downgrade/European Debt Crisis  0.001 -0.042  0.035
Fukushima                          0.001 -0.023  0.027
EZB IR Event                       0.000 -0.017  0.019
Aug07                             -0.000 -0.051  0.039
Mar08                              0.000  0.000  0.000
Sept08                             0.000  0.000  0.000
2009Q1                             0.000  0.000  0.000
2009Q2                             0.000  0.000  0.000
Flash Crash                        0.006 -0.047  0.078
Apr14                             -0.000 -0.046  0.032
Oct14                              0.002 -0.036  0.034
Fall2015                          -0.002 -0.053  0.042
Low Volatility Bull Market         0.001 -0.052  0.061
GFC Crash                          0.000 -0.078  0.057
Recovery                           0.001 -0.071  0.078
New Normal                         0.001 -0.053  0.161