Notebook
In [1]:
bt = get_backtest('57cb2d614f4c380ffbb18651')
100% Time: 0:38:22|###########################################################|
In [2]:
bt.create_full_tear_sheet()
Entire data start date: 2002-11-01
Entire data end date: 2016-09-02


Backtest Months: 165
                   Backtest
annual_return          0.12
annual_volatility      0.23
sharpe_ratio           0.63
calmar_ratio           0.21
stability              0.86
max_drawdown          -0.59
omega_ratio            1.12
sortino_ratio          0.89
skewness              -0.24
kurtosis               7.27
information_ratio      0.05
alpha                  0.05
beta                   1.16

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
0              59.15 2007-07-13  2009-03-09    2010-04-13      718
2              27.62 2011-04-29  2011-10-03    2012-03-13      228
1              26.90 2015-06-23  2016-02-11           NaT      NaN
4              18.54 2010-04-23  2010-07-06    2010-11-04      140
3              12.02 2014-07-03  2014-10-13    2015-02-05      156


2-sigma returns daily    -0.028
2-sigma returns weekly   -0.055
dtype: float64
/usr/local/lib/python2.7/dist-packages/matplotlib/__init__.py:892: UserWarning: axes.color_cycle is deprecated and replaced with axes.prop_cycle; please use the latter.
  warnings.warn(self.msg_depr % (key, alt_key))
Stress Events
                                    mean    min    max
Lehmann                           -0.002 -0.075  0.050
US downgrade/European Debt Crisis -0.001 -0.084  0.060
Fukushima                          0.002 -0.013  0.019
US Housing                        -0.005 -0.025  0.019
EZB IR Event                      -0.001 -0.016  0.013
Aug07                              0.001 -0.031  0.023
Mar08                              0.001 -0.029  0.043
Sept08                            -0.005 -0.075  0.050
2009Q1                            -0.005 -0.069  0.053
2009Q2                             0.007 -0.064  0.088
Flash Crash                       -0.005 -0.035  0.052
Apr14                             -0.001 -0.026  0.014
Oct14                              0.001 -0.025  0.021
Fall2015                          -0.003 -0.040  0.030
Low Volatility Bull Market         0.000 -0.034  0.032
GFC Crash                         -0.001 -0.113  0.105
Recovery                           0.001 -0.084  0.064
New Normal                         0.001 -0.042  0.032