Notebook
In [1]:
import pyfolio
bt = get_backtest('57ba3ba62437c80fffb45ade')
100% Time: 0:08:39|###########################################################|
In [3]:
bt.create_full_tear_sheet(hide_positions=False)
Entire data start date: 2003-01-06
Entire data end date: 2016-08-19


Backtest Months: 163
                   Backtest
annual_return          0.11
annual_volatility      0.19
sharpe_ratio           0.63
calmar_ratio           0.21
stability              0.85
max_drawdown          -0.52
omega_ratio            1.13
sortino_ratio          0.89
skewness              -0.10
kurtosis              12.76
information_ratio      0.06
alpha                  0.04
beta                   1.00

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
0              52.17 2008-05-16  2009-03-09    2011-02-11      716
2              21.71 2011-04-29  2011-10-03    2012-03-19      232
1              18.32 2015-04-23  2016-02-11           NaT      NaN
3              12.41 2007-10-31  2008-01-22    2008-05-15      142
4               7.70 2014-09-05  2014-10-15    2014-10-31       41


2-sigma returns daily    -0.024
2-sigma returns weekly   -0.044
dtype: float64
Stress Events
                                    mean    min    max
Lehmann                           -0.003 -0.072  0.041
US downgrade/European Debt Crisis -0.000 -0.070  0.051
Fukushima                          0.002 -0.016  0.017
US Housing                        -0.004 -0.022  0.015
EZB IR Event                      -0.000 -0.011  0.015
Aug07                              0.001 -0.026  0.024
Mar08                              0.001 -0.030  0.036
Sept08                            -0.006 -0.072  0.041
2009Q1                            -0.004 -0.049  0.039
2009Q2                             0.004 -0.056  0.065
Flash Crash                       -0.003 -0.030  0.042
Apr14                              0.001 -0.019  0.010
Oct14                              0.001 -0.022  0.020
Fall2015                          -0.003 -0.037  0.031
Low Volatility Bull Market         0.001 -0.034  0.028
GFC Crash                         -0.001 -0.104  0.132
Recovery                           0.001 -0.070  0.051
New Normal                         0.000 -0.037  0.031