Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5d553370e4f6f36325ca8c9e')
bt.create_full_tear_sheet(round_trips=True,hide_positions=True,live_start_date= '2018-08-14')
100% Time:  0:01:23|##########################################################|
Start date2017-08-14
End date2019-08-14
In-sample months12
Out-of-sample months12
All In-sample Out-of-sample
Annual return 0.1% 3.3% -3.0%
Cumulative returns 0.1% 3.3% -3.0%
Annual volatility 1.6% 1.5% 1.7%
Sharpe ratio 0.05 2.11 -1.82
Calmar ratio 0.02 2.42 -0.84
Stability 0.01 0.78 0.86
Max drawdown -3.7% -1.4% -3.6%
Omega ratio 1.01 1.42 0.75
Sortino ratio 0.07 3.20 -2.35
Skew -0.18 -0.32 -0.01
Kurtosis 0.48 1.41 -0.08
Tail ratio 0.96 1.14 0.80
Daily value at risk -0.2% -0.2% -0.2%
Gross leverage 1.00 1.00 0.99
Daily turnover 8.9% 9.0% 8.9%
Alpha -0.00 0.03 -0.03
Beta 0.02 0.03 0.01
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 3.73 2018-04-10 2019-08-14 NaT NaN
1 0.43 2017-10-26 2017-11-07 2017-11-30 26
2 0.41 2017-08-22 2017-09-05 2017-09-11 15
3 0.39 2018-02-06 2018-02-13 2018-02-21 12
4 0.37 2017-09-28 2017-10-13 2017-10-20 17
Stress Events mean min max
New Normal 0.00% -0.39% 0.34%