Notebook
In [1]:
bt = get_backtest('5890a9616be9815e2af4b013')
bt.create_full_tear_sheet()
100% Time: 0:00:01|###########################################################|
Entire data start date: 2011-01-04
Entire data end date: 2017-01-30


Backtest Months: 72
Performance statistics Backtest
annual_return 0.30
annual_volatility 0.19
sharpe_ratio 1.48
calmar_ratio 1.98
stability_of_timeseries 0.97
max_drawdown -0.15
omega_ratio 1.36
sortino_ratio 2.18
skew -0.36
kurtosis 5.04
tail_ratio 1.18
common_sense_ratio 1.54
information_ratio 0.06
alpha 0.24
beta 0.42
Worst Drawdown Periods net drawdown in % peak date valley date recovery date duration
0 15.40 2012-03-26 2012-04-10 2012-09-24 131
1 14.59 2011-05-19 2011-10-27 2011-12-20 154
2 13.96 2015-10-19 2016-01-05 2016-03-11 105
3 13.51 2016-06-06 2016-06-23 2016-07-20 33
4 12.00 2013-04-12 2013-06-24 2013-07-18 70

[-0.023 -0.046]
/usr/local/lib/python2.7/dist-packages/numpy/lib/function_base.py:3834: RuntimeWarning: Invalid value encountered in percentile
  RuntimeWarning)
Stress Events mean min max
US downgrade/European Debt Crisis -0.01% -1.72% 1.21%
Fukushima 0.31% -1.01% 1.54%
EZB IR Event 0.06% -4.21% 4.80%
Apr14 -0.01% -1.55% 1.48%
Oct14 0.20% -4.31% 3.57%
Fall2015 -0.13% -6.18% 4.69%
Recovery 0.11% -5.72% 5.61%
New Normal 0.11% -6.70% 4.69%