In [3]:
bt = get_backtest('5b63275e5c039a4388c2d6fd')
bt.create_full_tear_sheet()
100% Time: 0:00:00|###########################################################|
| Start date | 2016-05-18 |
|---|---|
| End date | 2018-07-06 |
| Total months | 25 |
| Backtest | |
| Annual return | 1.6% |
| Cumulative returns | 3.4% |
| Annual volatility | 1.5% |
| Sharpe ratio | 1.02 |
| Calmar ratio | 1.00 |
| Stability | 0.74 |
| Max drawdown | -1.6% |
| Omega ratio | 2.08 |
| Sortino ratio | 2.06 |
| Skew | 4.35 |
| Kurtosis | 62.37 |
| Tail ratio | inf |
| Daily value at risk | -0.2% |
| Gross leverage | 0.01 |
| Daily turnover | 13.8% |
| Alpha | 0.02 |
| Beta | 0.00 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 1.58 | 2018-02-13 | 2018-03-19 | NaT | NaN |
| 1 | 0.32 | 2018-01-17 | 2018-01-18 | 2018-01-19 | 3 |
| 2 | 0.28 | 2017-03-27 | 2017-08-11 | 2017-11-27 | 176 |
| 3 | 0.20 | 2016-06-23 | 2016-06-24 | 2016-06-27 | 3 |
| 4 | 0.17 | 2016-09-09 | 2016-09-13 | 2016-11-09 | 44 |
| Stress Events | mean | min | max |
|---|---|---|---|
| New Normal | 0.01% | -0.81% | 1.11% |
| Top 10 long positions of all time | max |
|---|---|
| TSLA-39840 | 44.44% |
| Top 10 short positions of all time | max |
|---|---|
| TSLA-39840 | -44.60% |
| Top 10 positions of all time | max |
|---|---|
| TSLA-39840 | 44.60% |
| All positions ever held | max |
|---|---|
| TSLA-39840 | 44.60% |
Performance Relative to Common Risk Factors¶
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 0.27% |
| Annualized Common Return | 1.27% |
| Annualized Total Return | 1.57% |
| Specific Sharpe Ratio | 0.14 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | 0.00 | 0.00% | 0.00% |
| consumer_cyclical | 0.05 | 1.15% | 2.47% |
| financial_services | 0.00 | 0.00% | 0.00% |
| real_estate | 0.00 | 0.00% | 0.00% |
| consumer_defensive | 0.00 | 0.00% | 0.00% |
| health_care | 0.00 | 0.00% | 0.00% |
| utilities | 0.00 | 0.00% | 0.00% |
| communication_services | 0.00 | 0.00% | 0.00% |
| energy | 0.00 | 0.00% | 0.00% |
| industrials | 0.00 | 0.00% | 0.00% |
| technology | 0.00 | 0.00% | 0.00% |
| momentum | 0.01 | 0.02% | 0.04% |
| size | 0.11 | 0.01% | 0.01% |
| value | -0.04 | 0.10% | 0.22% |
| short_term_reversal | 0.02 | 0.01% | 0.02% |
| volatility | 0.01 | -0.02% | -0.04% |
