Notebook

Run the cell below to create your tear sheet.

In [1]:
bt = get_backtest('5d15273c4e97e1624adf85eb')
bt.create_full_tear_sheet(hide_positions='True', live_start_date='10-01-2018')
100% Time: 0:00:13|###########################################################|
Start date2018-01-04
End date2019-06-24
In-sample months8
Out-of-sample months8
All In-sample Out-of-sample
Annual return 178.0% 85.8% 318.5%
Cumulative returns 346.8% 58.0% 182.8%
Annual volatility 22.6% 20.1% 24.6%
Sharpe ratio 4.65 3.19 5.96
Calmar ratio 23.15 11.16 46.43
Stability 0.92 0.86 0.98
Max drawdown -7.7% -7.7% -6.9%
Omega ratio 2.09 1.67 2.52
Sortino ratio 8.44 5.25 11.55
Skew 0.07 -0.12 0.06
Kurtosis 0.41 0.13 0.31
Tail ratio 1.45 1.16 1.54
Daily value at risk -2.4% -2.3% -2.5%
Gross leverage 6.63 6.65 6.61
Daily turnover 5.3% 5.1% 5.5%
Alpha 1.06 0.66 1.47
Beta -0.11 -0.18 -0.05
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 7.69 2018-09-10 2018-09-20 2018-10-24 33
1 6.86 2018-10-31 2018-11-06 2018-11-16 13
2 6.53 2018-07-19 2018-08-21 2018-08-31 32
3 5.68 2018-12-31 2019-01-03 2019-01-18 15
4 5.44 2018-05-08 2018-05-16 2018-05-31 18
Stress Events mean min max
New Normal 0.42% -3.89% 5.33%