Notebook
In [3]:
bt = get_backtest('5679697838454c117c8426da')
bt.create_full_tear_sheet()
100% Time: 0:00:01|###########################################################|
Entire data start date: 2012-01-03
Entire data end date: 2012-12-31


Backtest Months: 11
                   Backtest
annual_return          0.67
annual_volatility      0.65
sharpe_ratio           1.12
calmar_ratio           2.11
stability              0.75
max_drawdown          -0.32
omega_ratio            1.20
sortino_ratio          1.63
skewness              -0.17
kurtosis               0.14
information_ratio      0.06
alpha                  0.59
beta                   1.04

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
1              31.93 2012-03-26  2012-05-14    2012-07-17       82
0              26.53 2012-09-24  2012-12-31           NaT      NaN
3              17.13 2012-02-06  2012-02-15    2012-03-06       22
2              15.41 2012-07-19  2012-07-24    2012-08-03       12
4              10.62 2012-08-13  2012-09-05    2012-09-07       20


2-sigma returns daily    -0.079
2-sigma returns weekly   -0.141
dtype: float64
Stress Events
               mean    min    max
EZB IR Event  0.002 -0.077  0.091
Recovery      0.003 -0.120  0.104

Top 10 long positions of all time (and max%)
[u'XIV-40516' u'VXX-38054']
[ 1.008  1.008]


Top 10 short positions of all time (and max%)
[]
[]


Top 10 positions of all time (and max%)
[u'XIV-40516' u'VXX-38054']
[ 1.008  1.008]


All positions ever held
[u'XIV-40516' u'VXX-38054']
[ 1.008  1.008]