Notebook
In [9]:
# Get backtest object
bt = get_backtest('57bc88cbd9d52d1006034c03')

# Create all tear sheets
bt.create_full_tear_sheet()
100% Time: 0:04:37|###########################################################|
Entire data start date: 2004-01-06
Entire data end date: 2016-08-18


Backtest Months: 151
                   Backtest
annual_return          0.12
annual_volatility      0.07
sharpe_ratio           1.68
calmar_ratio           1.65
stability              0.95
max_drawdown          -0.08
omega_ratio            1.36
sortino_ratio          2.77
skewness               0.91
kurtosis              11.91
information_ratio      0.02
alpha                  0.12
beta                   0.05

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
2               6.92 2009-01-14  2009-03-05    2009-03-18       46
1               4.44 2012-04-02  2012-05-17    2012-08-09       94
4               4.27 2011-09-08  2011-10-03    2011-10-24       33
3               4.05 2013-01-11  2013-02-19    2013-05-08       84
0               3.72 2016-01-14  2016-02-08    2016-02-25       31


2-sigma returns daily    -0.009
2-sigma returns weekly   -0.018
dtype: float64
Stress Events
                                    mean    min    max
Lehmann                            0.002 -0.017  0.034
US downgrade/European Debt Crisis  0.001 -0.003  0.007
Fukushima                          0.001 -0.005  0.005
EZB IR Event                      -0.000 -0.006  0.007
Aug07                              0.002 -0.002  0.006
Mar08                             -0.001 -0.017  0.013
Sept08                             0.001 -0.017  0.034
2009Q1                             0.000 -0.014  0.022
2009Q2                             0.004 -0.021  0.023
Flash Crash                        0.001 -0.009  0.009
Apr14                              0.001 -0.007  0.006
Oct14                              0.001 -0.006  0.009
Fall2015                           0.000 -0.006  0.009
Low Volatility Bull Market         0.000 -0.017  0.011
GFC Crash                          0.001 -0.042  0.038
Recovery                           0.000 -0.017  0.023
New Normal                         0.000 -0.012  0.050