Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5bdabf9c606aae42c0839d5d')
bt.create_returns_tear_sheet()
100% Time: 0:00:27|###########################################################|
Start date2016-10-24
End date2018-10-31
Total months24
Backtest
Annual return 2.8%
Cumulative returns 5.7%
Annual volatility 1.3%
Sharpe ratio 2.17
Calmar ratio 2.23
Stability 0.88
Max drawdown -1.2%
Omega ratio 1.41
Sortino ratio 3.43
Skew 0.01
Kurtosis -0.04
Tail ratio 1.10
Daily value at risk -0.1%
Gross leverage 1.00
Daily turnover 6.5%
Alpha 0.03
Beta 0.00
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 1.24 2017-03-15 2017-05-25 2017-11-15 176
1 1.09 2018-09-06 2018-10-17 NaT NaN
2 0.73 2018-04-10 2018-05-07 2018-06-05 41
3 0.44 2018-07-23 2018-07-27 2018-08-14 17
4 0.31 2018-08-21 2018-08-29 2018-09-04 11