Notebook

Run the cell below to create your tear sheet.

In [2]:
bt = get_backtest('5d37ab07e7d6fd60a3750f6a')
bt.create_full_tear_sheet(round_trips=True, hide_positions='True', live_start_date='10-01-2018')
100% Time: 0:00:37|###########################################################|
Start date2004-07-02
End date2019-07-19
In-sample months170
Out-of-sample months9
All In-sample Out-of-sample
Annual return 15.4% 15.0% 22.4%
Cumulative returns 764.2% 635.4% 17.5%
Annual volatility 15.1% 15.4% 8.1%
Sharpe ratio 1.03 0.99 2.55
Calmar ratio 0.83 0.81 5.63
Stability 0.98 0.98 0.90
Max drawdown -18.6% -18.6% -4.0%
Omega ratio 1.19 1.18 1.51
Sortino ratio 1.46 1.40 4.07
Skew -0.40 -0.40 -0.03
Kurtosis 2.03 1.89 0.69
Tail ratio 0.97 0.96 1.12
Daily value at risk -1.8% -1.9% -0.9%
Gross leverage 1.00 1.00 1.00
Daily turnover 4.6% 4.8% 1.6%
Alpha 0.15 0.14 0.21
Beta 0.09 0.10 -0.14
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 18.63 2008-12-18 2009-06-10 2010-08-31 444
1 18.42 2014-08-29 2014-10-13 2015-02-13 121
2 16.14 2015-07-17 2015-11-09 2016-06-01 229
3 15.01 2007-07-13 2007-09-10 2007-11-09 86
4 14.67 2016-08-15 2016-12-30 2017-07-24 246
Stress Events mean min max
Lehmann 0.07% -2.53% 2.61%
US downgrade/European Debt Crisis 0.26% -3.23% 2.35%
Fukushima 0.32% -2.20% 3.10%
EZB IR Event -0.07% -1.51% 1.84%
Aug07 -0.17% -3.53% 1.24%
Mar08 -0.01% -1.81% 1.49%
Sept08 0.06% -2.53% 2.61%
2009Q1 -0.24% -2.12% 2.35%
2009Q2 -0.10% -2.61% 3.68%
Flash Crash 0.18% -1.43% 2.10%
Apr14 0.08% -0.83% 0.66%
Oct14 0.07% -3.67% 2.81%
Fall2015 -0.24% -4.28% 2.18%
Low Volatility Bull Market 0.07% -4.43% 3.09%
GFC Crash 0.06% -3.53% 4.03%
Recovery 0.04% -3.98% 4.02%
New Normal 0.06% -4.44% 3.37%