Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5d6c8929e21cd660e7097401')
bt.create_full_tear_sheet(round_trips=True, hide_positions=True, live_start_date='01-01-2017')
100% Time:  0:04:14|##########################################################|
Start date2011-01-04
End date2018-08-24
In-sample months71
Out-of-sample months19
All In-sample Out-of-sample
Annual return 3.7% 4.2% 1.8%
Cumulative returns 32.2% 28.3% 3.0%
Annual volatility 1.2% 1.3% 1.1%
Sharpe ratio 2.97 3.29 1.66
Calmar ratio 1.98 3.52 0.98
Stability 0.95 0.95 0.79
Max drawdown -1.9% -1.2% -1.9%
Omega ratio 1.63 1.72 1.31
Sortino ratio 5.01 5.71 2.48
Skew 0.16 0.24 -0.38
Kurtosis 1.03 0.86 1.51
Tail ratio 1.39 1.49 1.12
Daily value at risk -0.1% -0.1% -0.1%
Gross leverage 1.00 1.00 1.00
Daily turnover 7.4% 7.0% 8.9%
Alpha 0.04 0.04 0.02
Beta -0.00 -0.01 0.02
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 1.88 2018-04-10 2018-08-23 NaT NaN
1 1.21 2016-05-19 2016-09-22 2016-12-14 150
2 1.20 2015-01-29 2015-06-03 2015-08-05 135
3 0.92 2012-11-16 2013-01-29 2013-02-28 75
4 0.82 2014-06-03 2014-07-11 2014-09-09 71
/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
US downgrade/European Debt Crisis 0.03% -0.16% 0.29%
Fukushima 0.03% -0.11% 0.12%
EZB IR Event -0.00% -0.10% 0.10%
Apr14 0.02% -0.10% 0.17%
Oct14 0.02% -0.18% 0.25%
Fall2015 0.02% -0.17% 0.23%
Recovery 0.03% -0.19% 0.34%
New Normal 0.01% -0.35% 0.31%