Notebook
In [6]:
import matplotlib.pyplot as plt
import pandas as pd
import numpy as np
In [2]:
bt = get_backtest('57c13dc1ecadad100b744239')
100% Time: 0:10:17|###########################################################|
In [4]:
bt.create_full_tear_sheet()
Entire data start date: 2004-01-06
Entire data end date: 2016-08-18


Backtest Months: 151
                   Backtest
annual_return          0.13
annual_volatility      0.07
sharpe_ratio           1.74
calmar_ratio           1.19
stability              0.92
max_drawdown          -0.11
omega_ratio            1.38
sortino_ratio          2.89
skewness               1.05
kurtosis              12.67
information_ratio      0.02
alpha                  0.12
beta                   0.07

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
1              11.13 2009-01-09  2009-03-06    2009-03-23       52
0               7.37 2015-07-16  2016-02-03    2016-04-21      201
2               4.90 2016-04-29  2016-07-06           NaT      NaN
3               4.27 2012-10-12  2012-11-23    2013-05-09      150
4               4.08 2014-02-11  2014-05-07    2014-10-16      178


2-sigma returns daily    -0.009
2-sigma returns weekly   -0.020
dtype: float64
/usr/local/lib/python2.7/dist-packages/matplotlib/__init__.py:892: UserWarning: axes.color_cycle is deprecated and replaced with axes.prop_cycle; please use the latter.
  warnings.warn(self.msg_depr % (key, alt_key))
Stress Events
                                    mean    min    max
Lehmann                            0.003 -0.014  0.021
US downgrade/European Debt Crisis  0.001 -0.005  0.010
Fukushima                          0.001 -0.004  0.006
EZB IR Event                       0.000 -0.006  0.007
Aug07                              0.003 -0.006  0.012
Mar08                              0.000 -0.012  0.014
Sept08                             0.002 -0.014  0.021
2009Q1                            -0.001 -0.023  0.020
2009Q2                             0.004 -0.013  0.025
Flash Crash                        0.000 -0.011  0.005
Apr14                             -0.000 -0.022  0.005
Oct14                              0.000 -0.006  0.006
Fall2015                          -0.000 -0.010  0.006
Low Volatility Bull Market         0.000 -0.018  0.013
GFC Crash                          0.001 -0.036  0.054
Recovery                           0.000 -0.017  0.016
New Normal                         0.000 -0.022  0.043