Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5cee8296d797b36132edc851')
bt.create_full_tear_sheet()
100% Time: 0:00:53|###########################################################|
Start date2015-01-06
End date2019-05-24
Total months52
Backtest
Annual return 9.3%
Cumulative returns 47.8%
Annual volatility 8.9%
Sharpe ratio 1.04
Calmar ratio 0.69
Stability 0.91
Max drawdown -13.5%
Omega ratio 1.20
Sortino ratio 1.55
Skew -0.17
Kurtosis 4.72
Tail ratio 1.18
Daily value at risk -1.1%
Gross leverage 1.00
Daily turnover 11.2%
Alpha 0.10
Beta -0.02
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 13.48 2016-02-02 2016-08-23 2016-12-12 225
1 9.20 2015-05-01 2015-07-31 2015-12-09 159
2 5.44 2018-05-17 2018-06-25 2018-09-14 87
3 4.98 2016-12-22 2017-04-13 2017-07-31 158
4 4.13 2017-12-18 2018-03-05 2018-04-10 82
/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
Fall2015 0.04% -1.74% 1.36%
New Normal 0.04% -3.54% 3.10%
Top 10 long positions of all time max
PCG-5792 3.53%
NVAX-14112 2.92%
WFT-19336 2.63%
RPTP-21364 2.43%
IMMU-3891 2.42%
SGMO-21447 2.37%
ARRY-22192 2.37%
GSAT-32819 2.35%
TLN-49003 2.33%
CPE-12011 2.33%
Top 10 short positions of all time max
EPE-46191 -3.26%
ICPT-43505 -2.62%
SRPT-16999 -2.55%
CIE-39073 -2.42%
PCG-5792 -2.39%
ACAD-26322 -2.37%
ITCI-46053 -2.33%
ACHN-32790 -2.32%
FMSA-47848 -2.32%
TGTX-13984 -2.31%
Top 10 positions of all time max
PCG-5792 3.53%
EPE-46191 3.26%
NVAX-14112 2.92%
WFT-19336 2.63%
ICPT-43505 2.62%
SRPT-16999 2.55%
RPTP-21364 2.43%
IMMU-3891 2.42%
CIE-39073 2.42%
SGMO-21447 2.37%
All positions ever held max
PCG-5792 3.53%
EPE-46191 3.26%
NVAX-14112 2.92%
WFT-19336 2.63%
ICPT-43505 2.62%
SRPT-16999 2.55%
RPTP-21364 2.43%
IMMU-3891 2.42%
CIE-39073 2.42%
SGMO-21447 2.37%
ARRY-22192 2.37%
ACAD-26322 2.37%
GSAT-32819 2.35%
TLN-49003 2.33%
ITCI-46053 2.33%
CPE-12011 2.33%
ACHN-32790 2.32%
FMSA-47848 2.32%
TGTX-13984 2.31%
RGLS-43472 2.30%
SGYP-32331 2.30%
DRYS-26994 2.30%
WATT-46650 2.30%
APLS-51423 2.29%
SPPI-24517 2.29%
MDXG-34049 2.29%
ARWR-10417 2.29%
KERX-21789 2.28%
UPL-50782 2.28%
MDGL-33298 2.27%
TXMD-28966 2.26%
PRTA-43730 2.26%
XOMA-8346 2.26%
CYH-21608 2.26%
NLNK-42147 2.26%
PLSE-49957 2.26%
MNKD-26524 2.26%
VKTX-48997 2.26%
OMER-38827 2.25%
SNAP-50683 2.25%
GBT-49335 2.25%
TRXC-29042 2.25%
ZIOP-31341 2.25%
MRTX-45080 2.25%
TSRO-43124 2.25%
LJPC-11512 2.24%
IDRA-14255 2.24%
NG-25781 2.24%
AGEN-21104 2.24%
ARAV-46582 2.23%
ATRA-47901 2.23%
AXDX-15934 2.23%
OSTK-23714 2.23%
BLUE-44935 2.23%
KPTI-45799 2.23%
SNCR-32234 2.22%
ALNY-26335 2.22%
RYI-47464 2.22%
RVNC-46315 2.22%
PTCT-44955 2.21%
AOBC-24519 2.21%
TSLA-39840 2.21%
BPMC-49000 2.21%
FLXN-46344 2.20%
WRLD-8268 2.20%
PI-50138 2.20%
RTRX-41663 2.20%
MLND-43478 2.20%
INSY-44665 2.20%
CHRS-48026 2.19%
NBR-5214 2.19%
IOVA-36209 2.19%
PTE-26972 2.19%
LXRX-21413 2.19%
DVN-2368 2.19%
ESPR-44989 2.19%
SLDB-51692 2.19%
PBYI-42689 2.19%
SENS-49825 2.19%
NWBO-23322 2.19%
EROS-45867 2.18%
RARE-46285 2.18%
BCRX-10905 2.18%
NAVI-46782 2.18%
NFX-10231 2.18%
CRON-51806 2.18%
CBI-1287 2.18%
CORT-26191 2.18%
HTZ-50070 2.18%
LNTH-49189 2.18%
EGO-24547 2.17%
ADRO-48925 2.17%
SGRY-49456 2.17%
MAXR-51271 2.17%
BNFT-45428 2.17%
ASNA-2105 2.17%
GSM-38638 2.17%
EOLS-51743 2.17%
SALT-45996 2.17%
PGNX-17908 2.17%
AKRX-270 2.17%
VYGR-49579 2.17%
APC-455 2.17%
BHVN-50839 2.16%
CVNA-50807 2.16%
ALDR-46869 2.16%
CRSP-50400 2.16%
ALLY-46015 2.16%
AKCA-51037 2.16%
BETR-49318 2.16%
OCLR-21366 2.16%
LNG-22096 2.16%
OTIC-47495 2.16%
DVAX-25972 2.16%
DOVA-50985 2.16%
CARA-46283 2.15%
AMAG-659 2.15%
CWH-50366 2.15%
NK-49298 2.15%
FRTA-50398 2.15%
EIX-14372 2.15%
GLYC-46135 2.15%
HIIQ-44113 2.15%
CZR-42461 2.15%
APRN-50990 2.15%
ADMS-46722 2.15%
GTHX-50879 2.15%
RGNX-49409 2.15%
RETA-49995 2.15%
WTI-26986 2.15%
TREE-36742 2.15%
DERM-47845 2.15%
NTRA-49236 2.15%
MTCH-49608 2.15%
CIM-35081 2.14%
EXAS-22364 2.14%
WSC-49494 2.14%
XON-45239 2.14%
IMGN-3885 2.14%
AMBC-44636 2.14%
ECYT-40814 2.14%
QURE-46310 2.14%
SN-42264 2.14%
EVBG-50264 2.14%
AUPH-47621 2.14%
FOSL-8816 2.14%
RUN-49321 2.14%
EPZM-44830 2.13%
AAOI-45503 2.13%
ANAB-50616 2.13%
CRZO-17358 2.13%
EGRX-46354 2.13%
TWLO-50077 2.13%
JUNO-48317 2.13%
ADNT-50390 2.13%
NTLA-49934 2.13%
SRNE-33062 2.13%
URGN-50831 2.13%
SBLK-28112 2.13%
TELL-4982 2.13%
INSM-21778 2.13%
SPN-14141 2.13%
PVG-42366 2.13%
CBB-24891 2.13%
CIFS-51100 2.13%
CRC-48073 2.13%
TEAM-49655 2.13%
FOLD-33949 2.13%
AMPE-35897 2.12%
COLL-49016 2.12%
SAGE-47332 2.12%
LC-48220 2.12%
INFI-21744 2.12%
RUBY-52187 2.12%
THC-5343 2.12%
EOG-2564 2.12%
C-1335 2.12%
OCN-15697 2.12%
AMC-46027 2.12%
RIGL-25226 2.12%
VNDA-28326 2.12%
MHLD-36164 2.12%
AIMT-49323 2.12%
GEVA-42112 2.12%
TK-13289 2.12%
PTLA-44770 2.12%
XPER-25705 2.12%
EXK-33236 2.12%
GNC-41182 2.12%
VCEL-16437 2.12%
GOOS-50713 2.12%
NBIX-14972 2.11%
DHI-2298 2.11%
AXGN-4413 2.11%
KURA-49572 2.11%
ENDP-21750 2.11%
CAI-33864 2.11%
AVP-660 2.11%
FCX-13197 2.11%
SHLD-26169 2.11%
CZZ-34560 2.11%
TISI-7487 2.11%
UNFI-16129 2.11%
UIS-7761 2.11%
EHTH-32726 2.11%
CERS-16333 2.11%
TMST-47162 2.11%
WIN-27019 2.11%
TNDM-45852 2.11%
ZUMZ-27229 2.11%
OXY-5729 2.11%
ONVO-41829 2.11%
OPK-23120 2.11%
NLY-17702 2.11%
GOGO-44965 2.11%
RLYP-45851 2.11%
COP-23998 2.10%
ATRS-22418 2.10%
RXDX-44685 2.10%
DNR-15789 2.10%
XNCR-45942 2.10%
JNCE-50619 2.10%
MRCY-18183 2.10%
SSTI-50927 2.10%
ROKU-51231 2.10%
ICHR-50509 2.10%
ACI-88 2.10%
SIG-9774 2.10%
PLUG-20776 2.10%
INO-3150 2.10%
ABEO-28471 2.10%
ESIO-2612 2.10%
CRK-1663 2.10%
SCMP-34477 2.10%
NVCR-49460 2.10%
CXO-34440 2.10%
NTNX-50338 2.10%
BLCM-48304 2.10%
CLVS-42166 2.10%
USAT-31164 2.10%
BAS-27886 2.10%
SIEN-47968 2.10%
VIRT-48943 2.10%
ZAGG-32502 2.10%
ASRT-18010 2.10%
KND-23221 2.10%
FET-42784 2.10%
KITE-47169 2.10%
PDS-5855 2.10%
GILD-3212 2.10%
GLUU-33566 2.10%
FARO-17508 2.10%
DCPH-51233 2.10%
MUX-7845 2.09%
EDIT-49736 2.09%
STNG-39422 2.09%
TGH-34810 2.09%
HAL-3443 2.09%
CUTR-26157 2.09%
RH-43599 2.09%
NKTR-24572 2.09%
CBAY-46189 2.09%
NGD-27323 2.09%
BOLD-50135 2.09%
CTMX-49470 2.09%
MTSI-42646 2.09%
SEDG-48823 2.09%
ETM-19693 2.09%
ENPH-42749 2.09%
CIR-20696 2.09%
TTS-40545 2.09%
MAG-34175 2.09%
JCP-4118 2.09%
RAD-6330 2.09%
IPHI-40399 2.09%
ACLS-21717 2.09%
FB-42950 2.09%
BTE-28232 2.09%
BRS-5645 2.09%
BKD-27830 2.09%
AKBA-46583 2.09%
AKAO-46528 2.09%
CLDX-19187 2.09%
HBM-40301 2.09%
STT-7139 2.09%
CHK-8461 2.09%
OLED-14774 2.09%
BHC-10908 2.09%
MSFT-5061 2.09%
RCII-24827 2.09%
AERI-45733 2.09%
KGC-9189 2.09%
AUY-25714 2.09%
SOHU-21813 2.09%
PRTK-32095 2.09%
DDS-2126 2.09%
CXW-22102 2.09%
AMZN-16841 2.08%
SPWR-27817 2.08%
GOOG_L-26578 2.08%
UCTT-26146 2.08%
CEF-1402 2.08%
PUMP-50718 2.08%
ACIA-33321 2.08%
CATO-1219 2.08%
LE-46579 2.08%
BK-903 2.08%
MA-32146 2.08%
TGI-15905 2.08%
ONCE-48547 2.08%
CALA-47830 2.08%
LTRP_A-47578 2.08%
CCRN-24893 2.08%
PRGO-6161 2.08%
ARNA-21724 2.08%
DBD-2100 2.08%
AAPL-24 2.08%
RY-13732 2.08%
BAC-700 2.08%
PACB-40319 2.08%
SPTN-21939 2.08%
SVU-7233 2.08%
GS-20088 2.08%
ETSY-48934 2.08%
SFLY-32660 2.08%
VRAY-48015 2.08%
MDCO-21906 2.08%
SWN-7244 2.08%
REI-42894 2.08%
STRP-45130 2.08%
WVE-49585 2.08%
NRG-26143 2.08%
AXGT-49107 2.08%
MED-4766 2.08%
TAL-27704 2.08%
VNTR-51091 2.08%
MGNX-45643 2.08%
BOOM-1034 2.08%
OSUR-22151 2.08%
HAWK-44570 2.08%
DO-13635 2.08%
TAHO-39938 2.08%
HK-31032 2.08%
VRTX-8045 2.08%
UNIT-48962 2.07%
LBRD_K-48010 2.07%
EFII-2460 2.07%
IAG-24491 2.07%
DNLI-51542 2.07%
HRTX-22651 2.07%
EVTC-44466 2.07%
SGMS-22637 2.07%
REVG-50636 2.07%
AG-40607 2.07%
TLRD-7203 2.07%
HIBB-15815 2.07%
NAK-26776 2.07%
CLDR-50810 2.07%
SFS-47776 2.07%
GTT-44938 2.07%
LCI-23602 2.07%
FTR-2069 2.07%
CDEV-50376 2.07%
LKSD-50312 2.07%
CNR-935 2.07%
EQT-2587 2.07%
FINL-2845 2.07%
WOW-50902 2.07%
HPR-26865 2.07%
QCOM-6295 2.07%
P-41579 2.07%
AGN-8572 2.07%
V-35920 2.07%
INTC-3951 2.07%
INSP-51975 2.07%
PETS-25867 2.07%
SGH-50900 2.07%
YNDX-41484 2.07%
NAT-17553 2.07%
REV-14420 2.07%
AABA-14848 2.07%
AFSI-32871 2.07%
FGEN-48088 2.07%
CSIQ-32856 2.07%
SPB-8414 2.07%
BW-49208 2.07%
MNTA-26381 2.07%
WW-23269 2.07%
RRD-2248 2.07%
ATKR-50040 2.07%
PIRS-47377 2.07%
DESP-51201 2.07%
WFC-8151 2.07%
SMCI-33609 2.07%
COHR-1751 2.07%
SONC-7027 2.07%
REN-34800 2.07%
FSCT-51350 2.07%
XEC-24125 2.07%
EVHC-50499 2.06%
ENVA-47979 2.06%
MYOK-49535 2.06%
WMB-8214 2.06%
SLB-6928 2.06%
TRHC-50333 2.06%
VECO-12267 2.06%
TER-7401 2.06%
QCP-50403 2.06%
AGI-44156 2.06%
NANO-5188 2.06%
ALKS-301 2.06%
PVAC-6258 2.06%
VSTM-42426 2.06%
INGN-46370 2.06%
T-6653 2.06%
SPKE-47372 2.06%
WTTR-50789 2.06%
ATNX-50938 2.06%
INFN-33979 2.06%
SFIX-51467 2.06%
COUP-50350 2.06%
HUD-51722 2.06%
AA-50428 2.06%
OR-47173 2.06%
PETQ-51064 2.06%
LGND-12200 2.06%
MAC-10984 2.06%
VZ-21839 2.06%
XLRN-45431 2.06%
DIN-3846 2.06%
OME-18601 2.06%
CVE-38896 2.06%
NVTA-48628 2.06%
ATSG-27231 2.06%
NCMI-33317 2.06%
INVA-26676 2.06%
ISEE-45498 2.06%
GG-22226 2.06%
ANF-15622 2.06%
EEQ-24073 2.06%
AMGN-368 2.06%
TTD-50288 2.06%
MGI-26435 2.06%
USX-52090 2.06%
SUPN-42877 2.06%
AEP-161 2.06%
CAR-17991 2.06%
MDB-51314 2.06%
LGIH-45818 2.06%
NOV-24809 2.06%
LSCC-4549 2.06%
RDC-6392 2.06%
MNK-44917 2.06%
EVH-49100 2.06%
AAXN-22846 2.06%
GRUB-46693 2.06%
XOG-50368 2.06%
STAR-24862 2.06%
IONS-4031 2.06%
TUP-15041 2.06%
CWEN-49043 2.06%
IIIN-3849 2.06%
IPI-36093 2.06%
HDP-48257 2.06%
HZN-49218 2.06%
TWTR-45815 2.06%
ARCB-41 2.06%
PFE-5923 2.05%
HZO-18917 2.05%
LITE-49288 2.05%
UAA-27822 2.05%
INST-49594 2.05%
ABBV-43694 2.05%
FNFG-24551 2.05%
IOC-26617 2.05%
MTW-4656 2.05%
CSTM-44780 2.05%
FIT-49139 2.05%
JNJ-4151 2.05%
NNBR-11003 2.05%
SHOP-49060 2.05%
SSYS-12107 2.05%
WGO-8168 2.05%
OZK-17264 2.05%
GPRE-28159 2.05%
CSTE-42704 2.05%
RAI-20277 2.05%
EFX-2465 2.05%
EXTR-19973 2.05%
GE-3149 2.05%
CNCE-46367 2.05%
TRP-7591 2.05%
HQY-47397 2.05%
CPG-46206 2.05%
KEM-4265 2.05%
RESI-43712 2.05%
AEIS-13777 2.05%
MB-49156 2.05%
TRTN-50119 2.05%
ECHO-38798 2.05%
AMWD-405 2.05%
WLL-25707 2.05%
APTI-50318 2.05%
WWE-20818 2.05%
NTRI-21697 2.05%
QDEL-6297 2.05%
HES-216 2.05%
TECK-31886 2.05%
AVAV-33194 2.05%
APPN-50903 2.05%
ORCL-5692 2.05%
HSKA-17227 2.05%
RAMP-110 2.05%
CONN-25646 2.05%
NYRT-46760 2.05%
PNK-49877 2.05%
HEAR-40197 2.05%
CJ-50690 2.05%
UBNT-42027 2.05%
FL-8383 2.05%
MERC-4797 2.05%
KBH-4199 2.05%
LILA_K-49206 2.05%
TDOC-49222 2.05%
NVRO-48025 2.05%
SCVL-8733 2.05%
CRBP-47955 2.05%
CLW-37775 2.05%
ARCH-50357 2.05%
IRBT-27780 2.05%
PCRX-40815 2.05%
NOG-35961 2.05%
JAG-50633 2.05%
QTS-45617 2.05%
BL-50418 2.05%
GKOS-49178 2.05%
BRK_B-11100 2.05%
CAA-7050 2.05%
VCRA-42726 2.05%
MU-5121 2.05%
AMED-25392 2.04%
ENTA-44332 2.04%
LVNT_A-43298 2.04%
YRCW-8370 2.04%
ASIX-50260 2.04%
IBM-3766 2.04%
CENT_A-33297 2.04%
M-2754 2.04%
LL-35036 2.04%
KRA-39079 2.04%
PEN-49413 2.04%
WRD-50537 2.04%
SAVE-41498 2.04%
QEP-39778 2.04%
BKS-9693 2.04%
KL-51124 2.04%
INOV-48629 2.04%
INCY-10187 2.04%
TVTY-371 2.04%
AYX-50735 2.04%
GPOR-28116 2.04%
MMYT-40028 2.04%
GES-24811 2.04%
GME-23438 2.04%
MEET-30658 2.04%
DDD-12959 2.04%
SLCA-42436 2.04%
KTWO-46870 2.04%
DXCM-27173 2.04%
COMM-45734 2.04%
SPB-38708 2.04%
NTGR-25354 2.04%
MRK-5029 2.04%
IO-3996 2.04%
QUAD-39860 2.04%
AVGO-38650 2.04%
AMRX-51987 2.04%
PM-35902 2.04%
GGP-8817 2.04%
MDR-4752 2.04%
CRCM-46241 2.04%
AR-45618 2.04%
RRGB-23904 2.04%
OSB-49758 2.04%
NUVA-26291 2.04%
PDLI-5847 2.04%
NAV-5199 2.04%
BNS-1010 2.04%
PLT-10655 2.04%
ORLY-8857 2.04%
IVR-38531 2.04%
WIFI-41374 2.04%
TWI-9066 2.04%
COKE-1753 2.04%
DXPE-17196 2.04%
PEGI-45526 2.04%
BCOR-24011 2.04%
ASMB-40622 2.04%
EYES-48113 2.04%
PLAY-47884 2.04%
CVLT-32622 2.04%
COST-1787 2.04%
JELD-50634 2.04%
EQR-9540 2.04%
AMBA-43495 2.04%
HCC-50780 2.04%
LZB-4621 2.04%
FE-17850 2.04%
LOW-4521 2.04%
PLD-24785 2.04%
ZS-51832 2.04%
MIC-26898 2.04%
REGI-42385 2.04%
CMPR-27674 2.04%
MBI-4684 2.04%
TBPH-46932 2.04%
VRTV-47143 2.04%
ANIK-8910 2.04%
CC-49210 2.04%
AVXS-49751 2.04%
MTRX-5105 2.04%
RHT-20541 2.04%
STX-24518 2.04%
KO-4283 2.04%
FPRX-45430 2.03%
EMR-2530 2.03%
AZZ-694 2.03%
FCAU-47888 2.03%
SPG-10528 2.03%
NMIH-45831 2.03%
SO-7011 2.03%
HALO-26766 2.03%
ATEN-46598 2.03%
YELP-42596 2.03%
DLTH-49615 2.03%
AFL-185 2.03%
SRE-24778 2.03%
MDLZ-22802 2.03%
KELY_A-4212 2.03%