Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5cb6ab8d19572752f9237e29')
bt.create_full_tear_sheet(round_trips=True , hide_positions=True)
100% Time: 0:00:08|###########################################################|
Start date2017-01-05
End date2019-04-15
Total months27
Backtest
Annual return 7.6%
Cumulative returns 18.1%
Annual volatility 6.0%
Sharpe ratio 1.24
Calmar ratio 1.49
Stability 0.83
Max drawdown -5.1%
Omega ratio 1.23
Sortino ratio 1.95
Skew 0.74
Kurtosis 5.46
Tail ratio 1.04
Daily value at risk -0.7%
Gross leverage 0.98
Daily turnover 9.2%
Alpha 0.07
Beta 0.04
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 5.11 2018-12-11 2019-02-25 NaT NaN
1 4.40 2017-06-07 2017-07-03 2017-09-11 69
2 4.20 2018-03-20 2018-07-31 2018-11-30 184
3 2.38 2017-03-14 2017-04-10 2017-05-25 53
4 1.74 2018-01-31 2018-02-08 2018-02-15 12
Stress Events mean min max
New Normal 0.03% -1.38% 2.78%