Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5c5e909c4894414b370c0d0c')
bt.create_full_tear_sheet()
100% Time: 0:00:05|###########################################################|
Start date2007-06-04
End date2019-02-07
Total months140
Backtest
Annual return 13.1%
Cumulative returns 320.1%
Annual volatility 11.4%
Sharpe ratio 1.13
Calmar ratio 0.91
Stability 0.99
Max drawdown -14.4%
Omega ratio 1.22
Sortino ratio 1.66
Skew -0.11
Kurtosis 3.49
Tail ratio 1.05
Daily value at risk -1.4%
Gross leverage 1.00
Daily turnover 6.5%
Alpha 0.11
Beta 0.18
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 14.44 2008-12-19 2009-03-16 2009-06-02 118
1 13.88 2008-05-15 2008-11-17 2008-12-09 149
2 10.31 2018-08-30 2018-11-02 NaT NaN
3 9.38 2018-01-26 2018-02-08 2018-06-05 93
4 8.06 2016-09-22 2016-11-14 2017-02-08 100
/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
Lehmann 0.08% -2.48% 2.98%
US downgrade/European Debt Crisis 0.14% -3.88% 2.09%
Fukushima -0.04% -0.50% 0.78%
EZB IR Event -0.13% -1.07% 1.12%
Aug07 0.11% -0.57% 1.03%
Mar08 0.15% -1.38% 1.57%
Sept08 -0.05% -2.48% 2.49%
2009Q1 -0.29% -4.24% 3.10%
2009Q2 0.23% -2.42% 4.67%
Flash Crash 0.02% -1.33% 1.56%
Apr14 0.11% -0.95% 0.63%
Oct14 0.17% -0.73% 0.87%
Fall2015 -0.15% -1.44% 0.91%
Low Volatility Bull Market -0.01% -1.64% 1.22%
GFC Crash 0.03% -4.24% 4.67%
Recovery 0.06% -3.88% 3.01%
New Normal 0.05% -3.84% 2.64%