Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5d5397b6a223586133f026df')
bt.create_full_tear_sheet(round_trips=True, hide_positions=True)
100% Time:  0:04:18|##########################################################|
Start date2011-01-04
End date2018-06-28
Total months89
Backtest
Annual return 5.0%
Cumulative returns 44.1%
Annual volatility 1.6%
Sharpe ratio 3.14
Calmar ratio 3.11
Stability 0.95
Max drawdown -1.6%
Omega ratio 1.68
Sortino ratio 5.29
Skew 0.11
Kurtosis 1.17
Tail ratio 1.37
Daily value at risk -0.2%
Gross leverage 1.00
Daily turnover 7.1%
Alpha 0.05
Beta -0.01
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 1.61 2014-12-08 2015-03-24 2015-07-15 158
1 1.53 2016-04-04 2016-07-05 2016-11-17 164
2 1.28 2011-08-23 2011-09-20 2011-10-11 36
3 1.12 2018-04-10 2018-05-09 NaT NaN
4 0.97 2015-09-29 2015-10-22 2015-12-15 56
/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 0.04% -0.23% 0.49%
Fukushima 0.02% -0.12% 0.20%
EZB IR Event 0.00% -0.11% 0.12%
Apr14 0.01% -0.18% 0.14%
Oct14 0.03% -0.28% 0.20%
Fall2015 0.03% -0.33% 0.36%
Recovery 0.03% -0.25% 0.49%
New Normal 0.01% -0.41% 0.41%