Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5bdedf04054dd14442ef0d54')
bt.create_full_tear_sheet(round_trips = True, hide_positions = True)
100% Time: 0:00:14|###########################################################|
Start date2008-01-04
End date2008-12-31
Total months11
Backtest
Annual return 12.1%
Cumulative returns 12.1%
Annual volatility 2.4%
Sharpe ratio 4.71
Calmar ratio 13.69
Stability 0.90
Max drawdown -0.9%
Omega ratio 2.25
Sortino ratio 8.57
Skew 0.11
Kurtosis 1.54
Tail ratio 1.48
Daily value at risk -0.3%
Gross leverage 1.00
Daily turnover 7.7%
Alpha 0.11
Beta -0.02
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 0.88 2008-10-10 2008-10-14 2008-10-24 11
1 0.88 2008-11-21 2008-11-28 2008-12-03 9
2 0.78 2008-03-17 2008-05-06 2008-05-27 52
3 0.69 2008-09-10 2008-09-18 2008-09-26 13
4 0.57 2008-12-03 2008-12-08 2008-12-16 10
/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
Lehmann 0.04% -0.31% 0.38%
Mar08 0.03% -0.22% 0.22%
Sept08 0.03% -0.31% 0.38%
GFC Crash 0.04% -0.51% 0.59%