Notebook
In [3]:
bt = get_backtest('5b63275e5c039a4388c2d6fd')
bt.create_full_tear_sheet()
100% Time: 0:00:00|###########################################################|
Start date2016-05-18
End date2018-07-06
Total months25
Backtest
Annual return 1.6%
Cumulative returns 3.4%
Annual volatility 1.5%
Sharpe ratio 1.02
Calmar ratio 1.00
Stability 0.74
Max drawdown -1.6%
Omega ratio 2.08
Sortino ratio 2.06
Skew 4.35
Kurtosis 62.37
Tail ratio inf
Daily value at risk -0.2%
Gross leverage 0.01
Daily turnover 13.8%
Alpha 0.02
Beta 0.00
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 1.58 2018-02-13 2018-03-19 NaT NaN
1 0.32 2018-01-17 2018-01-18 2018-01-19 3
2 0.28 2017-03-27 2017-08-11 2017-11-27 176
3 0.20 2016-06-23 2016-06-24 2016-06-27 3
4 0.17 2016-09-09 2016-09-13 2016-11-09 44
Stress Events mean min max
New Normal 0.01% -0.81% 1.11%
Top 10 long positions of all time max
TSLA-39840 44.44%
Top 10 short positions of all time max
TSLA-39840 -44.60%
Top 10 positions of all time max
TSLA-39840 44.60%
All positions ever held max
TSLA-39840 44.60%