Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5b325ee443d4ae44a0ca5238')
bt.create_full_tear_sheet(round_trips = True)
100% Time: 0:00:17|###########################################################|
Start date2015-01-06
End date2017-11-06
Total months34
Backtest
Annual return 13.5%
Cumulative returns 43.3%
Annual volatility 9.6%
Sharpe ratio 1.37
Calmar ratio 1.00
Stability 0.73
Max drawdown -13.5%
Omega ratio 1.27
Sortino ratio 2.07
Skew 0.09
Kurtosis 2.84
Tail ratio 1.08
Daily value at risk -1.2%
Gross leverage 1.00
Daily turnover 10.8%
Alpha 0.13
Beta 0.03
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 13.45 2015-09-18 2016-03-18 2017-01-19 350
1 5.31 2017-07-28 2017-08-24 2017-11-01 69
2 4.50 2015-08-06 2015-08-21 2015-09-17 31
3 3.59 2017-03-17 2017-05-15 2017-06-06 58
4 3.58 2015-02-20 2015-03-10 2015-03-24 23
/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
Fall2015 -0.06% -2.36% 2.04%
New Normal 0.05% -2.36% 3.14%
Top 10 long positions of all time max
SRPT-16999 5.42%
HRTX-22651 4.20%
JUNO-48317 4.05%
SUNE-13306 4.04%
ICPT-43505 4.02%
DEPO-18010 4.01%
CARA-46283 3.99%
PBYI-42689 3.97%
OTIC-47495 3.95%
LJPC-11512 3.93%
Top 10 short positions of all time max
ESPR-44989 -4.17%
ZIOP-31341 -4.14%
PACB-40319 -3.96%
CLDX-19187 -3.95%
PTCT-44955 -3.95%
NVCR-49460 -3.84%
CLVS-42166 -3.82%
BNFT-45428 -3.80%
OCUL-47383 -3.80%
IDRA-14255 -3.80%
Top 10 positions of all time max
SRPT-16999 5.42%
HRTX-22651 4.20%
ESPR-44989 4.17%
ZIOP-31341 4.14%
JUNO-48317 4.05%
SUNE-13306 4.04%
ICPT-43505 4.02%
DEPO-18010 4.01%
CARA-46283 3.99%
PBYI-42689 3.97%
All positions ever held max
SRPT-16999 5.42%
HRTX-22651 4.20%
ESPR-44989 4.17%
ZIOP-31341 4.14%
JUNO-48317 4.05%
SUNE-13306 4.04%
ICPT-43505 4.02%
DEPO-18010 4.01%
CARA-46283 3.99%
PBYI-42689 3.97%
PACB-40319 3.96%
CLDX-19187 3.95%
PTCT-44955 3.95%
OTIC-47495 3.95%
LJPC-11512 3.93%
ELGX-23769 3.93%
IMGN-3885 3.91%
EGRX-46354 3.90%
BLUE-44935 3.90%
ALNY-26335 3.89%
AGIO-45143 3.88%
EDIT-49736 3.87%
HZNP-41766 3.86%
UNT-7806 3.86%
NVCR-49460 3.84%
ANAC-40442 3.84%
MLNT-42455 3.82%
ATRA-47901 3.82%
CLVS-42166 3.82%
AAC-47842 3.81%
BNFT-45428 3.80%
OCUL-47383 3.80%
IDRA-14255 3.80%
XON-45239 3.79%
LXRX-21413 3.79%
ALDR-46869 3.79%
CWEI-8941 3.79%
CPE-12011 3.78%
RGLS-43472 3.78%
CLF-1595 3.78%
RTRX-41663 3.77%
CNX-24758 3.77%
AERI-45733 3.76%
CDE-1374 3.75%
TROX-40530 3.75%
ANGI-42175 3.74%
PRTA-43730 3.74%
OAS-39797 3.74%
ARRY-22192 3.74%
FTK-27496 3.74%
UNIS-39227 3.73%
EXEL-21383 3.73%
ACHN-32790 3.72%
SCMP-34477 3.72%
ADVM-47422 3.71%
FOLD-33949 3.71%
QURE-46310 3.71%
KERX-21789 3.70%
CALA-47830 3.70%
IG-3835 3.70%
ONCE-48547 3.70%
SGYP-32331 3.69%
NHTC-18595 3.69%
ICON-6856 3.68%
ABUS-40410 3.68%
RPTP-21364 3.68%
TREE-36742 3.67%
NVAX-14112 3.67%
KPTI-45799 3.66%
CSLT-46551 3.66%
FMSA-47848 3.66%
RYAM-47128 3.65%
LNTH-49189 3.65%
SEDG-48823 3.65%
ITCI-46053 3.65%
FPRX-45430 3.65%
ADRO-48925 3.65%
MRTX-45080 3.64%
CFMS-49211 3.64%
SGMO-21447 3.63%
SALT-45996 3.63%
ASPS-38633 3.63%
OVAS-43478 3.63%
TMST-47162 3.62%
RCPT-44689 3.62%
WPX-42251 3.61%
AKS-10897 3.61%
MSG-49458 3.61%
TUBE-47333 3.61%
MCRB-49195 3.61%
NTLA-49934 3.61%
X-8329 3.60%
BLCM-48304 3.60%
OMER-38827 3.60%
EPZM-44830 3.60%
RH-43599 3.59%
AVP-660 3.59%
VRX-10908 3.58%
RDUS-46871 3.58%
CYH-21608 3.58%
EROS-45867 3.58%
INFI-21744 3.57%
TPLM-31903 3.57%
EYES-48113 3.57%
LOCK-43467 3.56%
SRNE-33062 3.55%
GPRO-47208 3.55%
SSRM-15591 3.55%
PVAC-6258 3.55%
HLX-17180 3.55%
ENPH-42749 3.54%
TECK-31886 3.54%
TXMD-28966 3.54%
CHRS-48026 3.54%
EXAS-22364 3.53%
SAGE-47332 3.53%
LPI-42263 3.53%
MSGN-39171 3.53%
CSTM-44780 3.52%
ASPX-46308 3.52%
AMD-351 3.52%
MUX-7845 3.52%
ECA-23021 3.52%
PI-50138 3.50%
CENX-14484 3.50%
GIMO-44892 3.50%
XOMA-8346 3.49%
WLL-25707 3.49%
TRGP-40547 3.48%
NLNK-42147 3.48%
KITE-47169 3.47%
AUPH-47621 3.47%
AVXS-49751 3.47%
WWE-20818 3.47%
TTPH-44314 3.46%
ARIA-11880 3.46%
SA-26203 3.46%
INSM-21778 3.46%
MDR-4752 3.46%
TRVN-46272 3.46%
AEGR-40294 3.45%
INSY-44665 3.45%
IMPV-42131 3.44%
SN-42264 3.44%
RLYP-45851 3.42%
NPTN-40807 3.42%
AROC-34575 3.41%
TLRD-7203 3.41%
ATI-24840 3.39%
GBT-49335 3.39%
ATW-624 3.38%
SDLP-43539 3.38%
AXON-49107 3.37%
HIIQ-44113 3.37%
ARWR-10417 3.36%
RDNT-6047 3.35%
RMTI-18196 3.34%
WMB-8214 3.34%
BCRX-10905 3.32%
MACK-42735 3.32%
AXDX-15934 3.30%
CRC-48073 3.30%
ANIP-25565 3.26%
AG-40607 3.25%
ENDP-21750 3.24%
FEYE-45451 3.24%
FCX-13197 3.24%
ADXS-40992 3.24%
NKTR-24572 3.21%
FIT-49139 3.19%
TGTX-13984 3.19%
SNCR-32234 3.18%
VRNS-46453 3.16%
FGEN-48088 3.14%
BRS-5645 3.14%
HOMB-32302 3.14%
FLXN-46344 3.13%
RARE-46285 3.13%
NAK-26776 3.11%
ERF-22215 3.11%
PLUG-20776 3.09%
CSIQ-32856 3.07%
IAG-24491 3.05%
WFT-19336 3.01%
IONS-4031 3.00%
CONN-25646 2.94%
WTW-23269 2.92%
TRUE-46929 2.91%
HDP-48257 2.91%
GRPN-42118 2.90%
DYAX-21870 2.89%
FMI-45499 2.89%
MNKD-26524 2.88%
EXK-33236 2.87%
AGEN-21104 2.85%
DVAX-25972 2.83%
IMMU-3891 2.82%
NTNX-50338 2.81%
SXC-41733 2.79%
BDSI-23846 2.74%
HK-31032 2.73%
TGH-34810 2.70%
DNR-15789 2.68%
DXPE-17196 2.64%
OREX-33742 2.64%
XCO-28083 2.63%
IPI-36093 2.62%
OCN-15697 2.59%
BTG-44884 2.59%
SRCI-35051 2.59%
PES-22551 2.58%
PTX-16489 2.55%
RUN-49321 2.53%
RYI-47464 2.52%
ERII-36518 2.49%
CYBR-47779 2.47%
TSRO-43124 2.45%
RVNC-46315 2.43%
BTE-28232 2.38%
HPR-26865 2.33%
CZR-42461 2.32%
NAV-5199 2.31%
IPXL-37849 2.30%
SPPI-24517 2.29%
LL-35036 2.26%
RCAP-44863 2.24%
SM-4664 2.21%
CRAY-21374 2.21%
EPE-46191 2.18%
VRAY-48015 2.16%
ADPT-47191 2.16%
NE-5249 2.15%
ECOM-44779 2.15%
INO-3150 2.14%
BLDR-27369 2.12%
ACIA-33321 2.11%
SHLD-26169 2.10%
ZFGN-47165 2.08%
TTD-50288 2.06%
RXDX-44685 2.03%
GNW-26323 1.99%
AKAO-46528 1.98%
MHR-32541 1.98%
QUOT-46497 1.97%
FRTA-50398 1.96%
AAOI-45503 1.92%
TELL-4982 1.90%
GLUU-33566 1.89%
MGNX-45643 1.86%
TWLO-50077 1.81%
AAMC-45415 1.80%
ESV-2621 1.79%
CXRX-46079 1.73%
BLOX-42821 1.71%
LOCO-47382 1.71%
CLD-38971 1.69%
ECR-47168 1.69%
W-47833 1.67%
CRBP-47955 1.66%
UAA-27822 1.63%
NK-49298 1.60%
NMBL-46002 1.60%
SD-35006 1.57%
RIC-16681 1.54%
XENT-47373 1.53%
LC-48220 1.49%
SPXC-7086 1.47%
CIE-39073 1.45%
SREV-41142 1.44%
FSM-41915 1.44%
ACRX-40827 1.44%
XLRN-45431 1.43%
CC-49210 1.41%
SDRL-39495 1.39%
PDCE-5907 1.38%
CHK-8461 1.38%
VSLR-47820 1.38%
CMRX-44453 1.38%
SGRY-49456 1.34%
WRLD-8268 1.31%
REN-34800 1.29%
BPT-1068 1.28%
MDCA-12800 1.25%
JCP-4118 1.25%
OSPN-21457 1.25%
AKG-35382 1.24%
PLSE-49957 1.23%
NADL-46262 1.19%
CBI-1287 1.19%
TK-13289 1.18%
TAHO-39938 1.15%
VNDA-28326 1.15%
SWN-7244 1.13%
PTLA-44770 1.13%
HTZ-50070 1.13%
SGY-9458 1.12%
ETSY-48934 1.12%
TERP-47334 1.10%
YRCW-8370 1.08%
SBLK-28112 1.07%
LOXO-47432 1.05%
CTIC-16607 1.05%
SEMG-39358 1.02%
GLNG-24489 1.01%
PGNX-17908 0.96%
NPSP-11356 0.95%
ANTH-39270 0.94%
MFRM-42184 0.88%
CTRL-45212 0.88%
COLL-49016 0.88%
NBIX-14972 0.88%
SLCA-42436 0.84%
AGI-44156 0.84%
OPHT-45498 0.84%
ADMS-46722 0.83%
ZGNX-40461 0.82%
OBE-32293 0.81%
KNDI-32972 0.81%
EXXI-34443 0.80%
ARNA-21724 0.80%
SPWR-27817 0.77%
AKRX-270 0.76%
AXTI-18661 0.75%
ONVO-41829 0.73%
RRTS-39628 0.72%
TTI-7633 0.70%
CJES-48821 0.70%
LNCO-43513 0.70%
EFII-2460 0.69%
AXAS-677 0.68%
WTI-26986 0.66%
BCEI-42272 0.65%
GOGL-16570 0.65%
BAS-27886 0.64%
OMED-45095 0.64%
CRR-14700 0.64%
DYN-43462 0.63%
JONE-45141 0.63%
RUBI-46671 0.63%
THC-5343 0.60%
NDRM-48090 0.57%
STRP-45130 0.57%
TLM-17767 0.56%
EHTH-32726 0.56%
PIR-6000 0.55%
ACOR-28077 0.51%
DRYS-26994 0.51%
ANW-33014 0.50%
GSAT-32819 0.50%
ZU-45866 0.49%
AXLL-3189 0.48%
GLBL-49312 0.48%
SCTY-43721 0.48%
PETX-45011 0.48%
CLNE-33924 0.44%
FTR-2069 0.41%
VNR-34931 0.38%
AUY-25714 0.37%
SGMS-22637 0.36%
ASNA-2105 0.36%
LINE-27993 0.34%
AKBA-46583 0.33%
VSAR-46582 0.33%
AMAG-659 0.33%
FUEL-45452 0.33%
ONDK-48290 0.32%
AMPE-35897 0.32%
GTI-23687 0.29%
VHC-30464 0.29%
MMYT-40028 0.28%
KND-23221 0.26%
NOG-35961 0.25%
ANFI-43493 0.24%
ZQK-6317 0.24%
ORIG-41919 0.23%
MNOCF-41823 0.23%
SALE-45114 0.23%
YELP-42596 0.22%
EGO-24547 0.22%
WAC-18431 0.20%
PGH-32443 0.20%
KEM-4265 0.20%
GTE-31619 0.19%
KEG-29964 0.16%
GLYC-46135 0.15%
CCC-1331 0.15%
WPRT-36763 0.15%
BW-49208 0.14%
UPL-22406 0.14%
CAI-33864 0.12%
PACD-42151 0.12%
TDW-7364 0.09%
SAND-43329 0.09%
ZLTQ-42037 0.09%
BTU-22660 0.07%
EGL-43151 0.06%
RGNX-49409 0.05%
RAD-6330 0.02%
NWBO-23322 0.02%
CVEO-46939 0.01%
HLF-26892 0.01%
GNC-41182 0.01%
CXW-22102 0.01%
FCEL-24853 0.01%
GPT-26520 0.01%
NYLD_A-45096 0.00%