Notebook
In [1]:
bt = get_backtest('594144cb0a059969efde1fc2')
bt.create_full_tear_sheet()
100% Time: 0:00:06|###########################################################|
Entire data start date: 2003-01-03
Entire data end date: 2017-06-13


Backtest Months: 173
Performance statistics Backtest
annual_return 0.11
cum_returns_final 3.62
annual_volatility 0.11
sharpe_ratio 1.03
calmar_ratio 0.52
stability_of_timeseries 0.96
max_drawdown -0.21
omega_ratio 1.32
sortino_ratio 1.69
skew 2.30
kurtosis 46.19
tail_ratio 1.26
common_sense_ratio 1.40
gross_leverage 0.33
information_ratio 0.00
alpha 0.08
beta 0.33
Worst drawdown periods net drawdown in % peak date valley date recovery date duration
0 21.41 2008-09-30 2008-10-10 2008-10-22 17
1 15.91 2009-01-08 2009-03-09 2009-05-26 99
2 9.92 2007-11-28 2008-01-22 2008-03-17 79
3 8.07 2008-10-29 2008-11-20 2008-12-01 24
4 7.91 2011-11-03 2011-12-19 2012-04-25 125

[-0.013 -0.03 ]
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Stress Events mean min max
Lehmann 0.45% -2.35% 3.69%
US downgrade/European Debt Crisis 0.27% -3.05% 3.79%
Fukushima 0.06% -2.80% 2.26%
US Housing -0.26% -2.28% 1.76%
EZB IR Event 0.04% -0.46% 1.12%
Aug07 0.18% -0.95% 1.05%
Mar08 0.37% -1.43% 3.55%
Sept08 0.62% -2.35% 3.69%
2009Q1 -0.18% -2.48% 2.47%
2009Q2 0.13% -4.59% 9.28%
Flash Crash -0.13% -3.38% 4.36%
Apr14 0.06% -0.46% 0.54%
Oct14 -0.11% -1.69% 1.66%
Fall2015 -0.01% -2.55% 1.87%
Low Volatility Bull Market 0.03% -2.11% 1.90%
GFC Crash 0.12% -6.77% 11.52%
Recovery 0.05% -3.38% 4.36%
New Normal 0.02% -3.04% 3.08%