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 0x7f073687d210>
In [5]:
bt.create_simple_tear_sheet()
Start date2006-01-05
End date2013-12-31
Total months95
Backtest
Annual return 12.8%
Cumulative returns 161.7%
Annual volatility 4.3%
Sharpe ratio 2.83
Calmar ratio 2.91
Stability 0.97
Max drawdown -4.4%
Omega ratio 1.77
Sortino ratio 5.43
Skew 2.61
Kurtosis 31.47
Tail ratio 1.44
Daily value at risk -0.5%
Gross leverage 1.00
Daily turnover 38.4%
Alpha 0.12
Beta 0.01