Notebook
In [1]:
# Get backtest object
bt = get_backtest('5806415821d2301059e514f0')

# Create all tear sheets
bt.create_full_tear_sheet()
100% Time: 0:00:01|###########################################################|
Entire data start date: 2010-12-01
Entire data end date: 2016-10-13


Backtest Months: 70
Performance statistics Backtest
annual_return 0.30
annual_volatility 0.22
sharpe_ratio 1.34
calmar_ratio 2.16
stability_of_timeseries 0.96
max_drawdown -0.14
omega_ratio 1.28
sortino_ratio 2.04
skew 0.07
kurtosis 7.73
tail_ratio 1.07
common_sense_ratio 1.39
information_ratio 0.04
alpha 0.31
beta -0.15
Worst Drawdown Periods net drawdown in % peak date valley date recovery date duration
0 14.09 2011-10-03 2011-12-09 2012-02-01 88
1 12.27 2015-01-30 2015-03-10 2015-08-21 146
2 11.60 2011-06-01 2011-07-28 2011-08-04 47
3 11.50 2011-08-10 2011-08-11 2011-08-18 7
4 11.34 2015-08-24 2016-01-05 2016-01-20 108

[-0.026 -0.048]
/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 0.88% -11.50% 7.28%
Fukushima -0.00% -1.63% 2.51%
EZB IR Event -0.04% -2.21% 1.95%
Apr14 0.25% -2.48% 1.88%
Oct14 0.34% -1.98% 3.41%
Fall2015 -0.14% -3.11% 1.76%
Recovery 0.17% -11.50% 8.68%
New Normal 0.09% -4.57% 4.83%