Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5c77ba0a8255944aaecc2f62')
bt.create_full_tear_sheet(round_trips=True, hide_positions=True, live_start_date = "2018-06-07")
100% Time: 0:00:19|###########################################################|
Start date2016-01-06
End date2019-02-27
In-sample months29
Out-of-sample months8
All In-sample Out-of-sample
Annual return 8.6% 14.3% -8.5%
Cumulative returns 29.6% 38.1% -6.2%
Annual volatility 9.6% 9.3% 10.3%
Sharpe ratio 0.91 1.48 -0.81
Calmar ratio 0.73 1.40 -0.72
Stability 0.87 0.90 0.45
Max drawdown -11.7% -10.2% -11.7%
Omega ratio 1.17 1.29 0.87
Sortino ratio 1.36 2.31 -1.09
Skew 0.23 0.42 -0.19
Kurtosis 3.66 4.04 2.50
Tail ratio 1.16 1.20 1.11
Daily value at risk -1.2% -1.1% -1.3%
Gross leverage 1.00 1.00 1.00
Daily turnover 11.3% 11.7% 10.2%
Alpha 0.08 0.14 -0.09
Beta 0.03 0.01 0.05
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 11.72 2018-08-20 2019-02-15 NaT NaN
1 10.18 2016-02-25 2016-03-21 2016-08-26 132
2 6.56 2017-07-28 2017-08-24 2017-11-20 82
3 4.38 2018-06-21 2018-07-31 2018-08-14 39
4 4.17 2018-02-21 2018-04-13 2018-05-31 72
Stress Events mean min max
New Normal 0.04% -2.99% 3.75%