Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5b33b97606e14a42c28db443')
bt.create_full_tear_sheet(round_trips = True)
100% Time: 0:00:07|###########################################################|
Start date2014-08-12
End date2018-04-02
Total months43
Backtest
Annual return 3.9%
Cumulative returns 14.8%
Annual volatility 4.6%
Sharpe ratio 0.85
Calmar ratio 0.59
Stability 0.72
Max drawdown -6.6%
Omega ratio 1.15
Sortino ratio 1.23
Skew -0.13
Kurtosis 1.33
Tail ratio 0.97
Daily value at risk -0.6%
Gross leverage 1.00
Daily turnover 29.7%
Alpha 0.04
Beta -0.01
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 6.59 2016-01-19 2016-04-08 2017-05-04 338
1 6.32 2015-01-23 2015-07-07 2015-12-04 226
2 2.53 2018-01-26 2018-02-14 NaT NaN
3 2.09 2017-11-21 2018-01-02 2018-01-17 42
4 2.07 2017-06-07 2017-06-12 2017-07-07 23
/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
Oct14 -0.01% -0.64% 0.60%
Fall2015 0.05% -0.35% 0.53%
New Normal 0.02% -1.06% 1.28%
Top 10 long positions of all time max
MNST-3450 2.67%
NFLX-23709 2.60%
INCY-10187 2.57%
STX-24518 2.46%
MLM-10796 2.42%
DVN-2368 2.35%
CSX-1937 2.34%
ABBV-43694 2.33%
ALXN-14328 2.33%
CHK-8461 2.31%
Top 10 short positions of all time max
CHK-8461 -3.80%
UAA-27822 -2.62%
CB-1274 -2.56%
RL-24832 -2.48%
FCX-13197 -2.47%
TRIP-42230 -2.46%
NRG-26143 -2.46%
AKAM-20680 -2.44%
MAT-4668 -2.39%
DVN-2368 -2.36%
Top 10 positions of all time max
CHK-8461 3.80%
MNST-3450 2.67%
UAA-27822 2.62%
NFLX-23709 2.60%
INCY-10187 2.57%
CB-1274 2.56%
RL-24832 2.48%
FCX-13197 2.47%
TRIP-42230 2.46%
NRG-26143 2.46%
All positions ever held max
CHK-8461 3.80%
MNST-3450 2.67%
UAA-27822 2.62%
NFLX-23709 2.60%
INCY-10187 2.57%
CB-1274 2.56%
RL-24832 2.48%
FCX-13197 2.47%
TRIP-42230 2.46%
NRG-26143 2.46%
STX-24518 2.46%
AKAM-20680 2.44%
MLM-10796 2.42%
MAT-4668 2.39%
DVN-2368 2.36%
CSX-1937 2.34%
NFX-10231 2.34%
ABBV-43694 2.33%
ALXN-14328 2.33%
KORS-42270 2.31%
NBL-5213 2.31%
APC-455 2.31%
QRVO-48384 2.31%
VMC-7998 2.30%
SBUX-6683 2.30%
CF-27558 2.30%
CFG-47777 2.29%
DFS-34011 2.29%
SYMC-7272 2.28%
BA-698 2.28%
EBAY-24819 2.28%
MRO-5035 2.28%
AMZN-16841 2.27%
UAL-28051 2.27%
HPQ-3735 2.27%
XEC-24125 2.26%
FLIR-9156 2.26%
UNP-7800 2.26%
ILMN-21774 2.26%
COG-1746 2.26%
TGT-21090 2.26%
AYI-23276 2.25%
KMI-40852 2.25%
TDG-28161 2.25%
PH-5956 2.25%
RCL-8863 2.25%
NKE-5328 2.25%
ROST-6546 2.24%
DAL-33729 2.24%
NCLH-43981 2.24%
MU-5121 2.24%
NEM-5261 2.24%
MOS-41462 2.23%
CDNS-1385 2.23%
MGM-4831 2.23%
OKE-5634 2.23%
M-2754 2.23%
SJM-21935 2.23%
EA-2602 2.23%
RF-34913 2.23%
MPC-41636 2.23%
LKQ-25598 2.23%
AMGN-368 2.23%
AAPL-24 2.23%
DISH-13017 2.22%
BSX-1131 2.22%
VRTX-8045 2.22%
HOLX-3629 2.22%
WYNN-24124 2.22%
RHT-20541 2.22%
MCO-22139 2.22%
IDXX-3810 2.22%
IP-3971 2.22%
NVDA-19725 2.22%
DGX-16348 2.21%
PKG-20773 2.21%
REGN-6413 2.21%
ETFC-15474 2.21%
JEC-4120 2.21%
WDC-8132 2.21%
APA-448 2.21%
VFC-7949 2.21%
BMY-980 2.20%
HOG-3499 2.20%
SNI-36372 2.20%
GWW-3421 2.20%
XRAY-8352 2.20%
GOOG_L-26578 2.20%
PNR-6082 2.20%
KSU-4315 2.20%
GPS-3321 2.20%
ROK-6536 2.19%
FAST-2696 2.19%
WMB-8214 2.19%
IPG-3990 2.19%
ALB-10898 2.19%
PCAR-5787 2.19%
COO-1769 2.19%
LEG-4415 2.19%
PGR-5950 2.19%
GLW-3241 2.19%
GIS-3214 2.19%
CTL-1960 2.19%
NAVI-46782 2.19%
CTAS-1941 2.19%
ORLY-8857 2.19%
BLL-939 2.19%
LUV-4589 2.19%
MSI-4974 2.19%
AVY-663 2.19%
CNC-23283 2.18%
O-12087 2.18%
CXO-34440 2.18%
MCK-12350 2.18%
LNC-4498 2.18%
SIG-9774 2.18%
F-2673 2.18%
EIX-14372 2.18%
FTI-22784 2.18%
BBT-16850 2.18%
GM-40430 2.18%
CBOE-39773 2.18%
CBRE-26367 2.18%
CHTR-39095 2.18%
NWSA-44931 2.18%
CVS-4799 2.17%
CELG-1406 2.17%
AOS-6949 2.17%
KSS-4313 2.17%
USB-25010 2.17%
SHW-6868 2.17%
WYND-32393 2.17%
TEL-34014 2.17%
NDAQ-27026 2.17%
VRSK-38817 2.17%
SLG-17448 2.17%
MDLZ-22802 2.17%
IVZ-16589 2.17%
SYF-47415 2.17%
ALK-300 2.17%
PSA-24962 2.16%
FLS-17207 2.16%
IFF-3822 2.16%
CAH-1376 2.16%
GILD-3212 2.16%
UNM-7797 2.16%
GS-20088 2.16%
ZION-8399 2.16%
ANSS-15071 2.16%
EOG-2564 2.16%
JNPR-20239 2.16%
NLSN-40755 2.16%
CERN-1419 2.16%
MYL-5166 2.16%
ETN-2633 2.16%
BAC-700 2.16%
EQT-2587 2.16%
OXY-5729 2.16%
STT-7139 2.16%
CMS-1665 2.15%
BKNG-19917 2.15%
ABT-62 2.15%
HBAN-3472 2.15%
COP-23998 2.15%
PHM-5969 2.15%
VTR-18821 2.15%
INTC-3951 2.15%
AMG-17800 2.15%
AMP-27676 2.15%
AIZ-25955 2.15%
PVH-6257 2.15%
LOW-4521 2.15%
HP-3647 2.15%
EXPD-2663 2.15%
HRL-3668 2.15%
GPN-22443 2.15%
PXD-17436 2.15%
CA-1209 2.15%
UNH-7792 2.15%
NWL-5520 2.15%
URI-18113 2.15%
EVHC-45269 2.15%
STI-7152 2.15%
XYL-42023 2.15%
CLX-1616 2.15%
KR-4297 2.14%
AVGO-38650 2.14%
COF-12160 2.14%
JBHT-4108 2.14%
DVA-22110 2.14%
SNPS-6994 2.14%
UHS-7749 2.14%
ADSK-67 2.14%
ADM-128 2.14%
LLL-18738 2.14%
PDCO-26437 2.14%
DHI-2298 2.14%
SWKS-23821 2.14%
FE-17850 2.14%
MCHP-8677 2.14%
PFG-23151 2.14%
ESS-11465 2.14%
DLTR-12652 2.14%
SNA-6976 2.14%
VZ-21839 2.14%
PPG-6116 2.14%
AIG-239 2.14%
AXP-679 2.14%
VIAB-27872 2.14%
HIG-14064 2.14%
DISC_A-36930 2.14%
BIIB-3806 2.14%
EXR-26566 2.14%
PCG-5792 2.13%
PLD-24785 2.13%
EQIX-24482 2.13%
KEY-4221 2.13%
DLR-26758 2.13%
VRSN-18221 2.13%
FITB-2855 2.13%
MON-22140 2.13%
SCG-6701 2.13%
BEN-812 2.13%
REG-10027 2.13%
LH-12909 2.13%
BWA-9514 2.13%
EMN-10594 2.13%
RMD-13089 2.13%
JWN-5382 2.13%
NI-5310 2.13%
SBAC-20281 2.13%
CMG-28016 2.13%
IRM-14388 2.13%
TIF-7447 2.13%
ARE-16843 2.13%
MAA-10639 2.13%
TSS-7616 2.13%
AZO-693 2.13%
XL-8340 2.13%
FMC-2893 2.13%
MAR-25920 2.13%
EVHC-50499 2.13%
DPS-36118 2.12%
NUE-5488 2.12%
HBI-32497 2.12%
A-24757 2.12%
FDX-2765 2.12%
RRC-19249 2.12%
PEP-5885 2.12%
CAT-1267 2.12%
AON-438 2.12%
AEP-161 2.12%
FB-42950 2.12%
MA-32146 2.12%
CHRW-17632 2.12%
ADS-22747 2.12%
MHK-4963 2.12%
LRCX-4537 2.12%
FLR-24833 2.12%
ETR-2637 2.12%
NEE-2968 2.12%
INTU-8655 2.12%
AES-166 2.12%
BBY-754 2.12%
KIM-4238 2.12%
MMC-4914 2.12%
WHR-8178 2.12%
CMA-1620 2.12%
WAT-13962 2.12%
HD-3496 2.12%
TMO-7493 2.12%
HES-216 2.12%
ATVI-9883 2.12%
TJX-7457 2.12%
UTX-7883 2.12%
FL-8383 2.12%
EXPE-27543 2.12%
LYB-39546 2.12%
CMI-1985 2.12%
DIS-2190 2.12%
ADI-122 2.11%
SPG-10528 2.11%
SLB-6928 2.11%
BK-903 2.11%
WU-32603 2.11%
EFX-2465 2.11%
AMT-24760 2.11%
BAX-734 2.11%
AET-168 2.11%
SYY-7285 2.11%
TSN-7684 2.11%
ACN-25555 2.11%
KMB-4263 2.11%
WY-8326 2.11%
PRU-23328 2.11%
ISRG-25339 2.11%
WFC-8151 2.11%
PRGO-6161 2.11%
WBA-8089 2.11%
DE-2127 2.11%
UDR-7715 2.11%
SRE-24778 2.11%
TXT-7674 2.11%
NTAP-13905 2.11%
PWR-6269 2.11%
MSFT-5061 2.11%
XLNX-8344 2.11%
ALL-24838 2.11%
DRE-2293 2.11%
GGP-8817 2.11%
MAS-4665 2.10%
ALGN-22355 2.10%
ECL-2427 2.10%
ZBH-23047 2.10%
C-1335 2.10%
GT-3384 2.10%
PSX-42788 2.10%
ABC-22954 2.10%
AWK-36098 2.10%
BDX-794 2.10%
BLK-20689 2.10%
PPL-6119 2.10%
AIV-11598 2.10%
ULTA-34953 2.10%
TXN-7671 2.10%
FFIV-20208 2.10%
TROW-7590 2.10%
ADBE-114 2.10%
AVB-18834 2.10%
L-4569 2.10%
FISV-2853 2.10%
MAC-10984 2.10%
CTSH-18870 2.10%
NTRS-5479 2.10%
HAS-3460 2.10%
PFE-5923 2.10%
PEG-5862 2.10%
AME-353 2.10%
KMX-16511 2.10%
FOXA-12213 2.10%
OMC-5651 2.09%
FBHS-41928 2.09%
AMAT-337 2.09%
SYK-7178 2.09%
EW-21382 2.09%
GPC-3306 2.09%
COL-22880 2.09%
HRB-3660 2.09%
COST-1787 2.09%
EMR-2530 2.09%
LB-4564 2.09%
MTD-17895 2.09%
HST-9947 2.09%
PKI-20774 2.09%
SRCL-15581 2.09%
VLO-7990 2.09%
EQR-9540 2.09%
IR-4010 2.09%
SO-7011 2.09%
DRI-12882 2.09%
T-6653 2.09%
ITW-4080 2.09%
KLAC-4246 2.09%
K-4192 2.09%
PNW-6090 2.09%
QCOM-6295 2.09%
CTXS-14014 2.09%
PX-6272 2.08%
DOV-2262 2.08%
D-2071 2.08%
ESRX-2618 2.08%
WELL-3488 2.08%
MS-17080 2.08%
MCD-4707 2.08%
RSG-19147 2.08%
CME-24475 2.08%
XOM-8347 2.08%
CHD-1482 2.08%
WEC-8140 2.08%
HRS-3676 2.08%
MTB-5117 2.08%
MDT-4758 2.08%
ICE-27809 2.08%
DUK-2351 2.08%
TSCO-10869 2.08%
LLY-4487 2.08%
LNT-18584 2.08%
TRV-7041 2.08%
AEE-24783 2.08%
CINF-1551 2.08%
DG-38936 2.08%
ES-5484 2.08%
AAL-45971 2.08%
GRMN-22316 2.08%
HSY-3695 2.08%
ORCL-5692 2.07%
ALLE-45874 2.07%
PNC-6068 2.07%
IT-9930 2.07%
SEE-6769 2.07%
HUM-3718 2.07%
CRM-26401 2.07%
CNP-24064 2.07%
RE-13720 2.07%
XEL-21964 2.07%
RHI-6465 2.07%
RJF-6482 2.07%
AJG-266 2.07%
PM-35902 2.07%
JPM-25006 2.07%
ROP-6543 2.07%
MO-4954 2.07%
CPB-1795 2.07%
CL-1582 2.06%
MRK-5029 2.06%
HCA-41047 2.06%
EXC-22114 2.06%
NSC-5442 2.06%
DTE-2330 2.06%
EL-13841 2.06%
PYPL-49242 2.06%
GE-3149 2.06%
TMK-7488 2.06%
CSCO-1900 2.06%
CB-8580 2.06%
PAYX-5767 2.06%
CI-1539 2.06%
ADP-630 2.06%
KHC-49229 2.06%
HAL-3443 2.06%
ED-2434 2.06%
KO-4283 2.05%
FIS-22876 2.05%
ZTS-44060 2.05%
JNJ-4151 2.05%
FRT-3010 2.05%
PBCT-5769 2.05%
RTN-6583 2.05%
IBM-3766 2.05%
CVX-23112 2.05%
CCL-24692 2.05%
APH-465 2.05%
WMT-8229 2.05%
SWK-7242 2.05%
SCHW-6704 2.05%
UPS-20940 2.04%
WM-19181 2.04%
HSIC-13862 2.04%
MMM-4922 2.04%
BXP-17009 2.03%
CCI-19258 2.03%
V-35920 2.03%
GD-3136 2.03%
CMCS_A-1637 2.03%
AGN-8572 2.02%
AFL-185 2.02%
NOC-5387 2.01%
AGN-205 1.01%