Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5b7ff270e1a423438c8ce46a')
bt.create_full_tear_sheet(round_trips=True, hide_positions=True)
100% Time: 0:00:33|###########################################################|
Start date2016-01-06
End date2018-08-22
Total months31
Backtest
Annual return 1.6%
Cumulative returns 4.3%
Annual volatility 1.4%
Sharpe ratio 1.20
Calmar ratio 0.85
Stability 0.61
Max drawdown -1.9%
Omega ratio 1.23
Sortino ratio 1.87
Skew 0.25
Kurtosis 2.07
Tail ratio 1.27
Daily value at risk -0.2%
Gross leverage 1.01
Daily turnover 9.0%
Alpha 0.01
Beta 0.01
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 1.91 2017-12-05 2018-06-20 NaT NaN
1 1.08 2017-04-24 2017-06-08 2017-08-02 73
2 0.68 2016-01-11 2016-02-03 2016-02-23 32
3 0.62 2016-11-18 2016-12-22 2017-01-05 35
4 0.53 2016-05-09 2016-05-18 2016-07-27 58
Stress Events mean min max
New Normal 0.01% -0.36% 0.35%