Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5bdb7cdf8ea73f43cf8fd221')
bt.create_returns_tear_sheet()
100% Time: 0:00:20|###########################################################|
Start date2015-10-13
End date2017-10-13
Total months24
Backtest
Annual return 0.8%
Cumulative returns 1.6%
Annual volatility 1.3%
Sharpe ratio 0.61
Calmar ratio 0.35
Stability 0.27
Max drawdown -2.3%
Omega ratio 1.10
Sortino ratio 0.90
Skew 0.05
Kurtosis 0.55
Tail ratio 1.05
Daily value at risk -0.2%
Gross leverage 1.00
Daily turnover 6.5%
Alpha 0.01
Beta 0.01
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 2.32 2015-12-17 2016-09-06 2016-12-06 254
1 1.18 2017-03-15 2017-05-25 NaT NaN
2 0.27 2017-01-26 2017-01-31 2017-02-16 16
3 0.25 2015-10-22 2015-10-26 2015-11-02 8
4 0.24 2015-11-23 2015-12-03 2015-12-15 17