Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5bd27ff358d3b545e09cdbd8')
bt.create_full_tear_sheet()
100% Time: 0:00:02|###########################################################|
Start date2013-06-04
End date2017-12-29
Total months54
Backtest
Annual return -12.7%
Cumulative returns -46.3%
Annual volatility 10.4%
Sharpe ratio -1.25
Calmar ratio -0.26
Stability 0.94
Max drawdown -48.5%
Omega ratio 0.76
Sortino ratio -1.47
Skew -6.61
Kurtosis 129.25
Tail ratio 0.87
Daily value at risk -1.4%
Gross leverage 0.99
Daily turnover 200.0%
Alpha -0.20
Beta 0.49
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 48.50 2014-04-24 2017-12-07 NaT NaN
1 4.95 2013-09-26 2014-03-03 2014-04-16 145
2 2.96 2013-08-01 2013-08-27 2013-09-26 41
3 2.95 2013-06-04 2013-06-24 2013-07-08 25
4 1.23 2013-07-11 2013-07-19 2013-07-25 11
/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
Apr14 0.10% -0.86% 1.42%
Oct14 -0.04% -1.93% 1.71%
Fall2015 -0.36% -12.91% 3.37%
New Normal -0.05% -12.91% 3.37%
Top 10 long positions of all time max
QQQ-19920 100.17%
Top 10 short positions of all time max
Top 10 positions of all time max
QQQ-19920 100.17%
All positions ever held max
QQQ-19920 100.17%