Notebook

Run the cell below to create your tear sheet.

In [2]:
bt = get_backtest('5b05ccc356f61742c42b04a8')
bt.create_full_tear_sheet(round_trips=True)
100% Time: 0:00:51|###########################################################|
Start date2014-01-06
End date2018-05-17
Total months52
Backtest
Annual return 5.4%
Cumulative returns 26.0%
Annual volatility 2.2%
Sharpe ratio 2.36
Calmar ratio 3.71
Stability 0.98
Max drawdown -1.5%
Omega ratio 1.48
Sortino ratio 3.79
Skew 0.03
Kurtosis 1.08
Tail ratio 1.29
Daily value at risk -0.3%
Gross leverage 0.85
Daily turnover 591.5%
Alpha 0.04
Beta 0.08
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 1.46 2014-07-25 2014-10-16 2014-11-18 83
1 1.19 2016-04-27 2016-06-27 2016-07-22 63
2 1.14 2015-04-23 2015-05-06 2015-07-29 70
3 1.01 2018-01-19 2018-02-08 2018-04-17 63
4 1.00 2014-11-28 2014-12-31 2015-01-20 38
Stress Events mean min max
Apr14 0.06% -0.31% 0.46%
Oct14 0.02% -0.26% 0.38%
Fall2015 0.02% -0.28% 0.27%
New Normal 0.02% -0.56% 0.57%
Top 10 long positions of all time max
AMD-351 1.08%
BKNG-19917 1.07%
INTC-3951 1.07%
CHK-8461 1.07%
GOOG_L-26578 1.06%
HOG-3499 1.05%
GOOG-46631 1.05%
KMI-40852 1.05%
AMZN-16841 1.05%
CELG-1406 1.04%
Top 10 short positions of all time max
BKNG-19917 -1.07%
WMB-8214 -1.06%
AMD-351 -1.06%
AMZN-16841 -1.05%
INCY-10187 -1.05%
FCX-13197 -1.04%
GOOG-46631 -1.04%
CMG-28016 -1.04%
FB-42950 -1.03%
CHK-8461 -1.03%
Top 10 positions of all time max
AMD-351 1.08%
BKNG-19917 1.07%
INTC-3951 1.07%
CHK-8461 1.07%
WMB-8214 1.06%
GOOG_L-26578 1.06%
HOG-3499 1.05%
AMZN-16841 1.05%
GOOG-46631 1.05%
KMI-40852 1.05%
All positions ever held max
AMD-351 1.08%
BKNG-19917 1.07%
INTC-3951 1.07%
CHK-8461 1.07%
WMB-8214 1.06%
GOOG_L-26578 1.06%
HOG-3499 1.05%
AMZN-16841 1.05%
GOOG-46631 1.05%
KMI-40852 1.05%
INCY-10187 1.05%
CELG-1406 1.04%
RRC-19249 1.04%
FCX-13197 1.04%
CMG-28016 1.04%
ISRG-25339 1.04%
CAH-1376 1.04%
NFLX-23709 1.04%
FB-42950 1.03%
AZO-693 1.03%
MLM-10796 1.03%
NVDA-19725 1.03%
AVGO-38650 1.03%
HRS-3676 1.03%
DISH-13017 1.03%
AAPL-24 1.03%
BLK-20689 1.03%
MRO-5035 1.03%
MON-22140 1.03%
CF-27558 1.03%
DVN-2368 1.03%
REGN-6413 1.03%
ULTA-34953 1.03%
HAL-3443 1.03%
KHC-49229 1.03%
VRTX-8045 1.03%
WU-32603 1.03%
NWSA-44931 1.03%
EQIX-24482 1.03%
OXY-5729 1.03%
AGN-8572 1.03%
ADSK-67 1.03%
PXD-17436 1.03%
BAC-700 1.03%
IT-9930 1.03%
MGM-4831 1.03%
NEM-5261 1.02%
LLL-18738 1.02%
NRG-26143 1.02%
MTD-17895 1.02%
CCL-24692 1.02%
UAA-27822 1.02%
TXT-7674 1.02%
CXO-34440 1.02%
PDCO-26437 1.02%
AMAT-337 1.02%
IDXX-3810 1.02%
SEE-6769 1.02%
ILMN-21774 1.02%
QCOM-6295 1.02%
APA-448 1.02%
NTRS-5479 1.02%
HBAN-3472 1.02%
FTI-22784 1.02%
AGN-205 1.02%
BIIB-3806 1.02%
WDC-8132 1.02%
GPN-22443 1.02%
NFX-10231 1.02%
CRM-26401 1.02%
AKAM-20680 1.02%
CI-1539 1.02%
GRMN-22316 1.02%
V-35920 1.02%
NWS-44932 1.02%
SNI-36372 1.02%
SHW-6868 1.02%
JPM-25006 1.02%
HOLX-3629 1.02%
GS-20088 1.02%
LB-4564 1.02%
MU-5121 1.02%
CVX-23112 1.02%
RF-34913 1.02%
KEY-4221 1.02%
HES-216 1.02%
JWN-5382 1.02%
PCAR-5787 1.02%
RCL-8863 1.02%
DIS-2190 1.02%
NAVI-46782 1.02%
TDG-28161 1.02%
NTAP-13905 1.02%
SLB-6928 1.02%
PRGO-6161 1.02%
GILD-3212 1.02%
HUM-3718 1.02%
AJG-266 1.02%
MS-17080 1.02%
TMO-7493 1.02%
REG-10027 1.02%
TXN-7671 1.02%
EA-2602 1.02%
AMGN-368 1.02%
COO-1769 1.02%
NKE-5328 1.02%
EXPE-27543 1.02%
CMA-1620 1.02%
BA-698 1.02%
FDX-2765 1.02%
CHTR-39095 1.02%
GPS-3321 1.02%
MRK-5029 1.02%
MPC-41636 1.02%
SNA-6976 1.02%
HP-3647 1.02%
HPQ-3735 1.02%
VFC-7949 1.02%
AAL-45971 1.02%
MSFT-5061 1.02%
ESRX-2618 1.02%
NCLH-43981 1.02%
MOS-41462 1.02%
SYF-47415 1.02%
TWX-357 1.02%
VZ-21839 1.02%
ZBH-23047 1.02%
DAL-33729 1.02%
URI-18113 1.02%
CBRE-26367 1.02%
KMB-4263 1.02%
SIG-9774 1.02%
NOC-5387 1.02%
IBM-3766 1.02%
ZTS-44060 1.02%
NBL-5213 1.02%
MAC-10984 1.02%
UAL-28051 1.02%
A-24757 1.02%
ABBV-43694 1.02%
SYMC-7272 1.02%
FAST-2696 1.02%
JBHT-4108 1.02%
BMY-980 1.02%
AMP-27676 1.02%
PSX-42788 1.02%
CBOE-39773 1.02%
TSCO-10869 1.02%
JEC-4120 1.02%
BWA-9514 1.02%
CMI-1985 1.02%
AET-168 1.02%
GM-40430 1.02%
PNR-6082 1.02%
CMCS_A-1637 1.02%
SWK-7242 1.02%
ICE-27809 1.02%
HSIC-13862 1.02%
GT-3384 1.02%
COF-12160 1.02%
ESS-11465 1.02%
AYI-23276 1.02%
ALXN-14328 1.02%
CTAS-1941 1.02%
PCG-5792 1.02%
COST-1787 1.02%
QRVO-48384 1.02%
HAS-3460 1.02%
XOM-8347 1.02%
T-6653 1.02%
FITB-2855 1.02%
VRSN-18221 1.02%
STT-7139 1.02%
APC-455 1.02%
TMK-7488 1.02%
GD-3136 1.02%
C-1335 1.02%
HII-41111 1.02%
ADI-122 1.02%
COP-23998 1.02%
ZION-8399 1.02%
ROST-6546 1.02%
CA-1209 1.02%
IVZ-16589 1.02%
SRCL-15581 1.02%
RL-24832 1.02%
CTL-1960 1.02%
PFE-5923 1.02%
XLNX-8344 1.02%
PPG-6116 1.02%
CNC-23283 1.02%
PX-6272 1.02%
CERN-1419 1.02%
MCO-22139 1.02%
BSX-1131 1.02%
COG-1746 1.02%
FISV-2853 1.02%
HD-3496 1.01%
ABC-22954 1.01%
ATVI-9883 1.01%
PVH-6257 1.01%
IPG-3990 1.01%
GIS-3214 1.01%
EFX-2465 1.01%
EW-21382 1.01%
PM-35902 1.01%
MCD-4707 1.01%
GLW-3241 1.01%
AIV-11598 1.01%
PEP-5885 1.01%
NLSN-40755 1.01%
BBY-754 1.01%
BXP-17009 1.01%
ROP-6543 1.01%
AIZ-25955 1.01%
FFIV-20208 1.01%
CCI-19258 1.01%
OKE-5634 1.01%
CAT-1267 1.01%
ABT-62 1.01%
ETN-2633 1.01%
AMG-17800 1.01%
PBCT-5769 1.01%
FL-8383 1.01%
AMT-24760 1.01%
AVY-663 1.01%
LH-12909 1.01%
MTB-5117 1.01%
MSI-4974 1.01%
MMM-4922 1.01%
SPG-10528 1.01%
ACN-25555 1.01%
WYNN-24124 1.01%
STX-24518 1.01%
WHR-8178 1.01%
ROK-6536 1.01%
ALK-300 1.01%
PRU-23328 1.01%
TSN-7684 1.01%
JNPR-20239 1.01%
LUV-4589 1.01%
DE-2127 1.01%
WAT-13962 1.01%
EMR-2530 1.01%
EBAY-24819 1.01%
ORLY-8857 1.01%
ALL-24838 1.01%
MYL-5166 1.01%
SJM-21935 1.01%
UNH-7792 1.01%
SBUX-6683 1.01%
NOV-24809 1.01%
GWW-3421 1.01%
AXP-679 1.01%
WBA-8089 1.01%
RHT-20541 1.01%
FOX-5530 1.01%
ALB-10898 1.01%
ADS-22747 1.01%
ETFC-15474 1.01%
M-2754 1.01%
AAP-23175 1.01%
CME-24475 1.01%
UA-49830 1.01%
FOXA-12213 1.01%
MA-32146 1.01%
RHI-6465 1.01%
WFC-8151 1.01%
ADBE-114 1.01%
FMC-2893 1.01%
ARE-16843 1.01%
O-12087 1.01%
IP-3971 1.01%
SO-7011 1.01%
USB-25010 1.01%
XEC-24125 1.01%
AON-438 1.01%
ANTM-23103 1.01%
NWL-5520 1.01%
LLY-4487 1.01%
GE-3149 1.01%
KLAC-4246 1.01%
WEC-8140 1.01%
NUE-5488 1.01%
SWKS-23821 1.01%
OMC-5651 1.01%
DFS-34011 1.01%
GPC-3306 1.01%
STI-7152 1.01%
MCHP-8677 1.01%
ETR-2637 1.01%
MO-4954 1.01%
DUK-2351 1.01%
LRCX-4537 1.01%
PYPL-49242 1.01%
ORCL-5692 1.01%
DLTR-12652 1.01%
UPS-20940 1.01%
HRB-3660 1.01%
ECL-2427 1.01%
RTN-6583 1.01%
RMD-13089 1.01%
JNJ-4151 1.01%
DISC_A-36930 1.01%
MAR-25920 1.01%
CFG-47777 1.01%
BLL-939 1.01%
HCP-3490 1.01%
EQT-2587 1.01%
CL-1582 1.01%
PNC-6068 1.01%
MAT-4668 1.01%
DG-38936 1.01%
AVB-18834 1.01%
AEE-24783 1.01%
LNC-4498 1.01%
NEE-2968 1.01%
KIM-4238 1.01%
CSX-1937 1.01%
DOV-2262 1.01%
PWR-6269 1.01%
MCK-12350 1.01%
PHM-5969 1.01%
DPS-36118 1.01%
GGP-8817 1.01%
ED-2434 1.01%
UTX-7883 1.01%
MDT-4758 1.01%
VTR-18821 1.01%
VMC-7998 1.01%
SCHW-6704 1.01%
INTU-8655 1.01%
EVHC-50499 1.01%
F-2673 1.01%
ALLE-45874 1.01%
BBT-16850 1.01%
PSA-24962 1.01%
DTE-2330 1.01%
AIG-239 1.01%
PGR-5950 1.01%
TIF-7447 1.01%
EXC-22114 1.01%
PFG-23151 1.01%
KMX-16511 1.01%
UNP-7800 1.01%
AEP-161 1.01%
KSS-4313 1.01%
FLR-24833 1.01%
NSC-5442 1.01%
DGX-16348 1.01%
HSY-3695 1.01%
TROW-7590 1.01%
EOG-2564 1.01%
ADP-630 1.01%
PAYX-5767 1.01%
VIAB-27872 1.01%
SNPS-6994 1.01%
RJF-6482 1.01%
PH-5956 1.01%
WMT-8229 1.01%
CTSH-18870 1.01%
LKQ-25598 1.01%
WELL-3488 1.01%
MAA-10639 1.01%
D-2071 1.01%
TGT-21090 1.01%
CMS-1665 1.01%
DLR-26758 1.01%
DHI-2298 1.01%
EQR-9540 1.01%
KORS-42270 1.01%
UHS-7749 1.01%
LNT-18584 1.01%
ANSS-15071 1.01%
MDLZ-22802 1.01%
RSG-19147 1.01%
BAX-734 1.01%
WM-19181 1.01%
CSCO-1900 1.01%
BK-903 1.01%
CVS-4799 1.01%
AES-166 1.01%
KR-4297 1.01%
RE-13720 1.01%
CINF-1551 1.01%
TEL-34014 1.01%
LOW-4521 1.01%
VRSK-38817 1.01%
EMN-10594 1.01%
IFF-3822 1.01%
ES-5484 1.01%
SYY-7285 1.01%
ALGN-22355 1.01%
INFO-47163 1.01%
DRE-2293 1.01%
XEL-21964 1.01%
HST-9947 1.01%
CHRW-17632 1.01%
FBHS-41928 1.01%
FE-17850 1.01%
IR-4010 1.01%
TRIP-42230 1.01%
BDX-794 1.01%
HIG-14064 1.01%
MHK-4963 1.01%
AME-353 1.01%
SRE-24778 1.01%
TSS-7616 1.01%
NDAQ-27026 1.01%
EXR-26566 1.01%
SLG-17448 1.01%
LYB-39546 1.01%
IRM-14388 1.01%
CTXS-14014 1.01%
PLD-24785 1.01%
HCA-41047 1.01%
HBI-32497 1.01%
ITW-4080 1.01%
K-4192 1.01%
WY-8326 1.01%
EL-13841 1.01%
SBAC-20281 1.01%
CDNS-1385 1.01%
TJX-7457 1.01%
TRV-7041 1.01%
BEN-812 1.01%
XYL-42023 1.01%
EVHC-45269 1.01%
DVA-22110 1.01%
FIS-22876 1.01%
MAS-4665 1.01%
PG-5938 1.01%
APH-465 1.01%
KO-4283 1.01%
XL-8340 1.01%
PEG-5862 1.01%
COL-22880 1.01%
FRT-3010 1.01%
SYK-7178 1.01%
WYND-32393 1.01%
L-4569 1.01%
CPB-1795 1.01%
UNM-7797 1.01%
SCG-6701 1.01%
KSU-4315 1.01%
VLO-7990 1.01%
EXPD-2663 1.01%
PKI-20774 1.01%
CLX-1616 1.01%
PNW-6090 1.01%
CNP-24064 1.01%
MMC-4914 1.01%
CHD-1482 1.01%
PKG-20773 1.01%
DRI-12882 1.01%
FLIR-9156 1.01%
NI-5310 1.01%
AFL-185 1.01%
MNST-3450 1.01%
AOS-6949 1.01%
CB-8580 1.01%
UDR-7715 1.01%
FLS-17207 1.01%
PPL-6119 1.01%
XRAY-8352 1.01%
MET-21418 1.01%
AWK-36098 1.01%
HRL-3668 1.01%
LEG-4415 1.01%
ADM-128 1.01%
EIX-14372 1.01%
DISC_K-36914 1.01%
CB-1274 1.00%
VNO-8014 1.00%