Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5b7ff5e5b0a14b4395a3a3dc')
bt.create_full_tear_sheet(round_trips=True, hide_positions=True)
100% Time: 0:01:50|###########################################################|
Start date2008-01-07
End date2015-12-31
Total months95
Backtest
Annual return 2.3%
Cumulative returns 19.8%
Annual volatility 1.7%
Sharpe ratio 1.34
Calmar ratio 1.29
Stability 0.95
Max drawdown -1.8%
Omega ratio 1.26
Sortino ratio 2.18
Skew 1.01
Kurtosis 8.92
Tail ratio 1.21
Daily value at risk -0.2%
Gross leverage 1.00
Daily turnover 8.8%
Alpha 0.02
Beta 0.01
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 1.78 2013-08-07 2014-01-24 2014-06-30 234
1 1.63 2015-04-28 2015-08-04 NaT NaN
2 1.60 2009-10-02 2009-12-02 2011-06-06 437
3 1.55 2008-08-28 2008-09-18 2008-10-31 47
4 1.22 2008-11-04 2008-11-20 2008-12-02 21
/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 -0.01% -0.37% 0.78%
US downgrade/European Debt Crisis 0.01% -0.21% 0.29%
Fukushima 0.01% -0.09% 0.13%
EZB IR Event 0.01% -0.12% 0.14%
Mar08 -0.02% -0.23% 0.33%
Sept08 -0.04% -0.37% 0.78%
2009Q1 0.02% -0.23% 0.38%
2009Q2 0.02% -0.32% 0.35%
Flash Crash 0.06% -0.03% 0.27%
Apr14 0.02% -0.16% 0.14%
Oct14 0.03% -0.19% 0.27%
Fall2015 0.01% -0.12% 0.20%
GFC Crash 0.02% -0.52% 1.14%
Recovery 0.01% -0.32% 0.35%
New Normal 0.00% -0.29% 0.27%