Notebook

Run the cell below to create your tear sheet.

In [4]:
pf.plotting.plot_rolling_returns(bt_returns)
Out[4]:
<matplotlib.axes._subplots.AxesSubplot at 0x7f37210dc210>
In [6]:
bt.create_simple_tear_sheet()
Start date2014-01-06
End date2018-11-08
Total months58
Backtest
Annual return 7.6%
Cumulative returns 42.5%
Annual volatility 3.0%
Sharpe ratio 2.48
Calmar ratio 3.50
Stability 0.98
Max drawdown -2.2%
Omega ratio 1.52
Sortino ratio 4.06
Skew 0.14
Kurtosis 1.84
Tail ratio 1.32
Daily value at risk -0.3%
Gross leverage 1.00
Daily turnover 36.2%
Alpha 0.07
Beta 0.03
In [ ]: