Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5bdb810f0474d7461a12759e')
bt.create_returns_tear_sheet()
100% Time: 0:01:56|###########################################################|
Start date2005-02-03
End date2015-10-09
Total months128
Backtest
Annual return 3.9%
Cumulative returns 50.9%
Annual volatility 1.5%
Sharpe ratio 2.59
Calmar ratio 2.16
Stability 0.95
Max drawdown -1.8%
Omega ratio 1.58
Sortino ratio 4.28
Skew 0.26
Kurtosis 7.42
Tail ratio 1.35
Daily value at risk -0.2%
Gross leverage 1.00
Daily turnover 6.1%
Alpha 0.04
Beta -0.01
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 1.82 2007-07-25 2007-08-09 2008-02-27 156
1 1.17 2014-05-13 2014-08-12 2014-11-11 131
2 1.07 2009-07-08 2009-08-05 2009-10-27 80
3 1.04 2011-08-24 2011-09-21 2011-10-27 47
4 0.87 2008-11-21 2008-11-28 2008-12-03 9