Notebook
In [2]:
# Get backtest object 
bt = get_backtest('5912a69dfb3a8965c3a2083f')

# Create all tear sheets
bt.create_full_tear_sheet()
100% Time: 0:00:01|###########################################################|
Entire data start date: 2014-06-02
Entire data end date: 2017-04-12


Backtest Months: 34
Performance statistics Backtest
annual_return 2.71
cum_returns_final 41.86
annual_volatility 0.66
sharpe_ratio 2.31
calmar_ratio 7.07
stability_of_timeseries 0.98
max_drawdown -0.38
omega_ratio 1.53
sortino_ratio 3.74
skew 0.23
kurtosis 4.41
tail_ratio 1.34
common_sense_ratio 4.97
gross_leverage 0.94
information_ratio 0.14
alpha 1.35
beta 1.86
Worst drawdown periods net drawdown in % peak date valley date recovery date duration
0 38.28 2015-06-23 2015-08-17 2015-08-25 46
1 37.86 2016-01-04 2016-02-11 2016-04-01 65
2 27.32 2015-08-25 2015-09-01 2015-10-19 40
3 26.13 2016-06-23 2016-06-27 2016-07-14 16
4 20.54 2016-10-10 2016-10-28 2016-11-07 21

[-0.077 -0.146]
Stress Events mean min max
Oct14 1.24% -10.85% 20.17%
Fall2015 1.16% -13.17% 17.81%
New Normal 0.61% -23.41% 20.17%
Top 10 long positions of all time max
UVXY-41969 107.68%
XIV-40516 87.97%
TQQQ-39214 21.20%
Top 10 short positions of all time max
Top 10 positions of all time max
UVXY-41969 107.68%
XIV-40516 87.97%
TQQQ-39214 21.20%
All positions ever held max
UVXY-41969 107.68%
XIV-40516 87.97%
TQQQ-39214 21.20%