Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5cb5278d8149e3526d966939')
bt.create_full_tear_sheet(round_trips= True , hide_positions=True)
100% Time: 0:00:22|###########################################################|
Start date2013-01-04
End date2017-01-31
Total months48
Backtest
Annual return 7.1%
Cumulative returns 32.3%
Annual volatility 5.9%
Sharpe ratio 1.20
Calmar ratio 1.55
Stability 0.91
Max drawdown -4.6%
Omega ratio 1.23
Sortino ratio 1.89
Skew 0.54
Kurtosis 3.12
Tail ratio 1.16
Daily value at risk -0.7%
Gross leverage 0.91
Daily turnover 16.1%
Alpha 0.08
Beta -0.04
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 4.60 2016-07-11 2016-08-23 2016-10-14 70
1 4.19 2016-02-11 2016-04-07 2016-06-13 88
2 4.06 2014-12-15 2015-02-19 2015-07-17 155
3 3.84 2013-10-21 2014-04-01 2014-10-03 250
4 2.95 2013-07-05 2013-09-10 2013-10-01 63
/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
Apr14 0.13% -0.31% 1.20%
Oct14 0.05% -0.75% 0.90%
Fall2015 0.03% -0.79% 0.72%
New Normal 0.03% -1.35% 2.19%