Notebook

Run the cell below to create your tear sheet. From: Backtest ID: 5b4d1af1baecb544af85a916

In [1]:
bt = get_backtest('5b4df27daff81c445f9ae76b')
100% Time: 0:00:39|###########################################################|
In [3]:
bt.create_full_tear_sheet(round_trips=True, live_start_date='2017-04-01')
Start date2006-01-05
End date2017-12-29
In-sample months134
Out-of-sample months9
All In-sample Out-of-sample
Annual return 12.5% 16.1% -30.0%
Cumulative returns 309.3% 434.8% -23.5%
Annual volatility 35.1% 35.3% 32.0%
Sharpe ratio 0.51 0.60 -0.95
Calmar ratio 0.16 0.21 -0.92
Stability 0.85 0.85 0.30
Max drawdown -78.2% -78.2% -32.5%
Omega ratio 1.11 1.13 0.82
Sortino ratio 0.75 0.88 -1.20
Skew 0.23 0.28 -0.92
Kurtosis 13.16 13.08 14.24
Tail ratio 1.06 1.08 0.78
Daily value at risk -4.3% -4.4% -4.2%
Gross leverage 2.95 2.80 5.15
Daily turnover 1.1% 1.1% 0.8%
Alpha 0.03 0.07 -0.45
Beta 1.45 1.45 0.77
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 78.22 2007-06-01 2009-03-09 2010-03-22 732
1 34.38 2017-03-17 2017-10-12 NaT NaN
2 24.38 2010-04-29 2010-08-24 2010-11-04 136
3 17.14 2011-07-07 2011-08-19 2011-10-24 78
4 15.95 2015-12-01 2016-02-05 2016-07-26 171
Stress Events mean min max
Lehmann 0.19% -8.70% 9.91%
US downgrade/European Debt Crisis -0.02% -5.91% 5.08%
Fukushima 0.24% -1.61% 2.50%
EZB IR Event -0.28% -1.72% 1.40%
Aug07 0.40% -4.14% 6.18%
Mar08 0.23% -3.62% 5.43%
Sept08 -0.02% -8.70% 9.91%
2009Q1 -1.41% -14.00% 12.71%
2009Q2 1.18% -14.07% 20.02%
Flash Crash -0.52% -4.11% 6.12%
Apr14 -0.17% -2.17% 2.01%
Oct14 0.30% -1.70% 2.24%
Fall2015 0.29% -1.83% 3.03%
Low Volatility Bull Market 0.03% -3.60% 3.20%
GFC Crash -0.09% -17.55% 20.02%
Recovery 0.19% -11.76% 10.49%
New Normal 0.05% -11.36% 11.69%