Notebook

Run the cell below to create your tear sheet, or return to your algorithm.

In [1]:
bt = get_backtest('5a2c43c9cc0e384569a87f5f')
bt.create_full_tear_sheet()
100% Time: 0:00:35|###########################################################|
Start date2015-12-07
End date2017-12-04
Total months23
Backtest
Annual return 3.1%
Cumulative returns 6.2%
Annual volatility 28.7%
Sharpe ratio 0.25
Calmar ratio 0.08
Stability 0.48
Max drawdown -38.2%
Omega ratio 1.04
Sortino ratio 0.34
Skew -0.42
Kurtosis 1.86
Tail ratio 0.87
Daily value at risk -3.6%
Gross leverage 0.98
Daily turnover 22.1%
Alpha 0.03
Beta 0.26
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 38.17 2016-01-19 2016-05-24 NaT NaN
1 9.75 2015-12-07 2016-01-04 2016-01-07 24
2 3.74 2016-01-13 2016-01-14 2016-01-15 3
3 0.09 2016-01-07 2016-01-08 2016-01-11 3
4 0.00 2015-12-07 2015-12-07 2015-12-07 1
Stress Events mean min max
New Normal 0.03% -8.14% 6.75%
Top 10 long positions of all time max
WINS-49534 6.91%
SYX-20153 6.17%
PACB-40319 6.12%
WTW-23269 6.09%
CRAY-21374 5.96%
GSAT-32819 5.95%
JUNO-48317 5.92%
OSTK-23714 5.91%
FMSA-47848 5.84%
ABEO-28471 5.83%
Top 10 short positions of all time max
GLNG-24489 -7.05%
WMB-8214 -6.98%
CHK-8461 -6.94%
SM-4664 -6.93%
WLL-25707 -6.51%
CC-49210 -6.42%
CNX-24758 -6.38%
SEMG-39358 -6.36%
TRGP-40547 -6.08%
SUNE-13306 -6.06%
Top 10 positions of all time max
GLNG-24489 7.05%
WMB-8214 6.98%
CHK-8461 6.94%
SM-4664 6.93%
WINS-49534 6.91%
WLL-25707 6.51%
CC-49210 6.42%
CNX-24758 6.38%
SEMG-39358 6.36%
SYX-20153 6.17%
All positions ever held max
GLNG-24489 7.05%
WMB-8214 6.98%
CHK-8461 6.94%
SM-4664 6.93%
WINS-49534 6.91%
WLL-25707 6.51%
CC-49210 6.42%
CNX-24758 6.38%
SEMG-39358 6.36%
SYX-20153 6.17%
PACB-40319 6.12%
WTW-23269 6.09%
TRGP-40547 6.08%
SUNE-13306 6.06%
CRAY-21374 5.96%
GSAT-32819 5.95%
TERP-47334 5.93%
JUNO-48317 5.92%
OSTK-23714 5.91%
FMSA-47848 5.84%
TK-13289 5.84%
GPRO-47208 5.84%
ABEO-28471 5.83%
CIE-39073 5.81%
PBYI-42689 5.80%
CLVS-42166 5.79%
ESPR-44989 5.77%
FCX-13197 5.74%
MIME-49606 5.74%
QUAD-39860 5.73%
NMBL-46002 5.73%
BLUE-44935 5.72%
NVAX-14112 5.71%
FPRX-45430 5.71%
ARRY-22192 5.70%
SWN-7244 5.70%
IPXL-37849 5.69%
CYH-21608 5.65%
CWEI-8941 5.64%
AMD-351 5.63%
FEYE-45451 5.63%
ENLC-25850 5.62%
MNKD-26524 5.62%
XBIT-48926 5.61%
TGTX-13984 5.61%
TLRD-7203 5.60%
SGMO-21447 5.58%
ECR-47168 5.58%
EPE-46191 5.58%
KRNT-48872 5.58%
LC-48220 5.58%
CONN-25646 5.56%
MDGL-33298 5.55%
IMMU-3891 5.55%
AAOI-45503 5.55%
CARA-46283 5.55%
NAV-5199 5.55%
NVCR-49460 5.55%
IMGN-3885 5.55%
SALT-45996 5.54%
HCC-50780 5.52%
MUX-7845 5.52%
TRHC-50333 5.52%
SRPT-16999 5.51%
DYN-43462 5.51%
X-8329 5.51%
EXAS-22364 5.51%
DNR-15789 5.48%
SGH-50900 5.48%
DVAX-25972 5.48%
AERI-45733 5.47%
CALA-47830 5.47%
AKAO-46528 5.47%
CDE-1374 5.46%
GPT-26520 5.46%
CENX-14484 5.46%
AMBA-43495 5.45%
AKS-10897 5.45%
FIT-49139 5.45%
CLF-1595 5.45%
SBLK-28112 5.44%
TIVO-16661 5.44%
KEM-4265 5.44%
TROX-40530 5.43%
SHOP-49060 5.43%
CPXX-45390 5.43%
OMER-38827 5.40%
SPPI-24517 5.40%
LL-35036 5.39%
MYOK-49535 5.39%
NTLA-49934 5.39%
TRTN-50119 5.38%
PTLA-44770 5.37%
MTW-4656 5.37%
NVDA-19725 5.37%
LOXO-47432 5.37%
ICHR-50509 5.37%
NKTR-24572 5.37%
DERM-47845 5.36%
ANAB-50616 5.36%
ITCI-46053 5.36%
ENDP-21750 5.36%
ACIA-33321 5.35%
RH-43599 5.35%
HA-3431 5.35%
CPA-27908 5.34%
GNCM_A-3274 5.34%
EXEL-21383 5.34%
SGMS-22637 5.34%
HPQ-3735 5.33%
WVE-49585 5.33%
IPI-36093 5.33%
NEM-5261 5.33%
FIZZ-6104 5.33%
PNY-6091 5.32%
MGI-26435 5.32%
JOY-22996 5.32%
ZGNX-40461 5.31%
EZPW-2671 5.31%
FOLD-33949 5.30%
STRP-45130 5.30%
RICE-46240 5.30%
OLED-14774 5.30%
REN-34800 5.30%
NLNK-42147 5.30%
FGEN-48088 5.30%
OCN-15697 5.30%
ANGI-42175 5.29%
TBRA-49010 5.29%
CRC-48073 5.29%
TELL-4982 5.29%
UNT-7806 5.29%
OCLR-21366 5.29%
HTZ-50070 5.28%
S-2938 5.28%
LINE-27993 5.28%
TSRO-43124 5.28%
ARNA-21724 5.28%
HL-3585 5.27%
NVMI-21427 5.27%
EXTN-49560 5.27%
KRO-25764 5.27%
SN-42264 5.27%
RXDX-44685 5.27%
CLCD-49001 5.26%
QUOT-46497 5.26%
NPTN-40807 5.26%
EROS-45867 5.25%
TVTY-371 5.25%
UCTT-26146 5.25%
CO-33188 5.24%
EVH-49100 5.24%
VTAE-47778 5.24%
TMST-47162 5.24%
AXLL-3189 5.24%
VERI-50868 5.24%
ESIO-2612 5.23%
EXTR-19973 5.23%
HOMB-32302 5.22%
BAS-27886 5.22%
FCPT-49543 5.22%
PMCS-17098 5.22%
WPX-42251 5.22%
LKFN-17401 5.22%
GKOS-49178 5.22%
GMCR-9736 5.22%
W-47833 5.21%
ALNY-26335 5.21%
ALRM-49192 5.21%
GEO-11710 5.21%
SCLN-6714 5.21%
MDXG-34049 5.21%
PTCT-44955 5.21%
XENT-47373 5.20%
CXW-22102 5.20%
HPY-27559 5.20%
ONCE-48547 5.20%
COHR-1751 5.20%
RGNX-49409 5.20%
PETS-25867 5.19%
ORBC-32829 5.19%
RGLD-6455 5.19%
HLX-17180 5.19%
GBT-49335 5.19%
KITE-47169 5.18%
SEDG-48823 5.17%
MDVN-28160 5.17%
RLYP-45851 5.17%
NRG-26143 5.17%
ADMS-46722 5.17%
AVXS-49751 5.17%
MEG-4779 5.17%
TTD-50288 5.17%
ADRO-48925 5.16%
EBIX-18693 5.16%
CLR-33856 5.15%
TRR-7592 5.14%
OKE-5634 5.14%
LITE-49288 5.14%
IIIN-3849 5.14%
TDOC-49222 5.14%
ERII-36518 5.14%
DXPE-17196 5.14%
WYNN-24124 5.14%
TREE-36742 5.13%
AROC-34575 5.13%
MXL-39393 5.13%
CSII-32325 5.13%
LCI-23602 5.13%
LNTH-49189 5.13%
INO-3150 5.13%
NVRO-48025 5.13%
IONS-4031 5.13%
MG-38818 5.12%
TGH-34810 5.12%
UAA-27822 5.12%
WIX-45800 5.12%
HSC-3686 5.12%
RYI-47464 5.12%
KRA-39079 5.12%
SEMI-46980 5.12%
ITGR-22015 5.12%
FSLR-32902 5.11%
CPHD-21603 5.11%
OLLI-49271 5.11%
GOGL-16570 5.11%
TLN-49003 5.10%
TRNC-47367 5.10%
DDD-12959 5.10%
BPMC-49000 5.10%
SODA-40353 5.09%
CUTR-26157 5.09%
INVN-42165 5.09%
LPSN-21415 5.09%
SXC-41733 5.09%
ARIA-11880 5.09%
DWA-26750 5.09%
SLCA-42436 5.08%
STMP-26286 5.08%
RRC-19249 5.07%
CZZ-34560 5.07%
FMI-45499 5.07%
TTMI-22072 5.07%
AMKR-18655 5.07%
FNSR-20866 5.07%
CACQ-45880 5.07%
OSUR-22151 5.07%
VYGR-49579 5.06%
CAI-33864 5.06%
LOCK-43467 5.06%
AOBC-24519 5.06%
DK-32042 5.06%
ATSG-27231 5.05%
PCRX-40815 5.05%
AFFX-15064 5.05%
ZSPH-47150 5.05%
BRKR-25307 5.04%
LPI-42263 5.03%
MAT-4668 5.02%
OAS-39797 5.02%
NEWP-5280 5.02%
ANF-15622 5.02%
TUMI-42811 5.02%
VA-48091 5.01%
MYGN-13698 5.01%
BDBD-28667 5.01%
AIMT-49323 5.01%
WIN-27019 5.00%
AKBA-46583 5.00%
ZAGG-32502 5.00%
FN-39824 4.99%
NEFF-48131 4.98%
NBR-5214 4.97%
UIS-7761 4.96%
LJPC-11512 4.96%
BPT-1068 4.96%
NTRI-21697 4.95%
SQ-49610 4.95%
CORT-26191 4.93%
FRAN-41737 4.93%
NTK-39764 4.93%
FTK-27496 4.93%
TSE-47098 4.91%
AXDX-15934 4.89%
LGIH-45818 4.89%
ISIL-21166 4.88%
VNDA-28326 4.88%
SWI-38388 4.88%
INSM-21778 4.87%
EGL-43151 4.87%
NSP-16323 4.85%
AVP-660 4.85%
PLUG-20776 4.85%
AMAG-659 4.83%
AXON-49107 4.82%
GIMO-44892 4.81%
CSC-1898 4.80%
GEN-33862 4.78%
WNR-27997 4.77%
SGYP-32331 4.76%
SPXC-7086 4.75%
HSKA-17227 4.73%
GLUU-33566 4.70%
ACOR-28077 4.65%
UPL-22406 4.61%
CHGG-45847 4.61%
MMYT-40028 4.45%
SWC-12362 4.42%
RYAM-47128 4.41%
VNR-34931 4.20%
AVAV-33194 4.20%
INVA-26676 4.19%
I-44539 4.04%
WGO-8168 4.03%
NNBR-11003 3.89%
FLXN-46344 3.84%
BEAT-35929 3.57%
PRO-34118 3.53%
GLBL-49312 3.42%
SCAI-45757 3.31%
MSG-49458 3.28%
TRVN-46272 3.22%
RETA-49995 3.21%
ASMB-40622 3.13%
TCMD-50169 2.99%
GNMK-39685 2.89%
LXRX-21413 2.89%
RFP-40576 2.84%
GNW-26323 2.77%
CASH-9700 2.74%
XLRN-45431 2.65%
BCRX-10905 2.63%
HZN-49218 2.62%
VSLR-47820 2.53%
URGN-50831 2.52%
TPL-7551 2.47%
OME-18601 2.37%
AGRO-40782 2.27%
CNV-48125 2.19%
CCO-27777 2.11%
ORIG-41919 1.98%
RMR-49627 1.89%
MSGN-39171 1.88%
DTSI-25319 1.78%
RARX-50411 1.77%
JOUT-21286 1.73%
NVGS-45915 1.50%
KERX-21789 1.46%
EVRI-27639 1.44%
SNOW-46282 1.43%
VHI-7958 1.34%
LPG-46867 1.32%
SYRS-50091 1.30%
ITG-25095 1.29%
PGNX-17908 1.26%
ARCO-41242 1.19%
ATRA-47901 1.11%
HK-31032 0.86%
NIHD-24622 0.74%
GDEN-19717 0.63%
YERR-40050 0.55%
INSW-50465 0.47%
AEPI-162 0.42%
NL-5331 0.36%
MDCA-12800 0.30%
GSOL-21398 0.18%
BYSI-50692 0.12%
BCOM-34977 0.00%