Notebook
In [1]:
# Get backtest object
bt = get_backtest('59859055e3e8b44fbeddad93')
100% Time: 0:00:31|###########################################################|
In [5]:
bt.create_full_tear_sheet(estimate_intraday=True, slippage=1)
Entire data start date: 2007-08-01
Entire data end date: 2015-07-31


Backtest Months: 95
Performance statistics Backtest
annual_return 0.08
cum_returns_final 0.81
annual_volatility 0.03
sharpe_ratio 2.37
calmar_ratio 2.15
stability_of_timeseries 0.92
max_drawdown -0.04
omega_ratio 1.55
sortino_ratio 3.99
skew 0.88
kurtosis 11.10
tail_ratio 1.23
common_sense_ratio 1.33
gross_leverage 1.00
information_ratio -0.00
alpha 0.07
beta 0.01
Worst drawdown periods net drawdown in % peak date valley date recovery date duration
0 3.60 2008-10-09 2008-11-21 2008-12-30 59
1 3.60 2014-11-24 2014-12-23 NaT NaN
2 2.81 2011-10-11 2012-07-20 2012-12-03 300
3 1.48 2011-07-01 2011-07-28 2011-08-26 41
4 1.40 2008-06-20 2008-07-02 2008-07-15 18

[-0.004 -0.008]
Stress Events mean min max
Lehmann 0.08% -0.72% 1.11%
US downgrade/European Debt Crisis 0.07% -0.28% 0.34%
Fukushima 0.05% -0.14% 0.34%
EZB IR Event 0.03% -0.19% 0.36%
Aug07 0.18% -0.37% 2.05%
Mar08 0.03% -0.32% 0.35%
Sept08 0.12% -0.72% 1.11%
2009Q1 0.09% -0.39% 1.38%
2009Q2 0.09% -0.68% 0.69%
Flash Crash 0.16% -0.07% 0.31%
Apr14 0.04% -0.31% 0.28%
Oct14 0.07% -0.26% 0.54%
Low Volatility Bull Market 0.04% 0.04% 0.04%
GFC Crash 0.07% -1.42% 2.05%
Recovery 0.02% -0.50% 0.76%
New Normal 0.02% -0.82% 0.56%