Notebook
In [3]:
# Get backtest object
bt = get_backtest('57bbdfdc1b2ff1100ff72694')

# Create all tear sheets
bt.create_full_tear_sheet()
100% Time: 0:05:13|###########################################################|
Entire data start date: 2007-01-05
Entire data end date: 2016-08-18


Backtest Months: 115
                   Backtest
annual_return          0.07
annual_volatility      0.03
sharpe_ratio           2.10
calmar_ratio           1.53
stability              0.94
max_drawdown          -0.05
omega_ratio            1.45
sortino_ratio          3.33
skewness               0.32
kurtosis               5.31
information_ratio      0.00
alpha                  0.07
beta                   0.06

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
0               4.77 2015-05-21  2016-02-02           NaT      NaN
1               3.52 2011-07-07  2011-08-08    2011-09-15       51
2               2.84 2010-04-23  2010-08-31    2011-01-10      187
4               1.85 2011-11-08  2011-12-19    2012-01-12       48
3               1.82 2012-04-02  2012-06-11    2012-08-21      102


2-sigma returns daily    -0.004
2-sigma returns weekly   -0.008
dtype: float64
Stress Events
                                    mean    min    max
Lehmann                            0.000 -0.008  0.012
US downgrade/European Debt Crisis  0.001 -0.012  0.016
Fukushima                          0.001 -0.004  0.003
EZB IR Event                       0.000 -0.002  0.005
Aug07                              0.001 -0.002  0.003
Mar08                              0.000 -0.005  0.004
Sept08                            -0.000 -0.008  0.012
2009Q1                             0.001 -0.007  0.006
2009Q2                             0.001 -0.006  0.008
Flash Crash                        0.001 -0.003  0.005
Apr14                              0.000 -0.003  0.004
Oct14                              0.000 -0.004  0.003
Fall2015                          -0.000 -0.003  0.003
Low Volatility Bull Market         0.000 -0.003  0.004
GFC Crash                          0.001 -0.010  0.012
Recovery                           0.000 -0.012  0.016
New Normal                         0.000 -0.006  0.006