In [2]:
bt = get_backtest('5881a7241ee54f5e005ec083')
bt.create_full_tear_sheet()
100% Time: 0:00:02|###########################################################| Entire data start date: 2003-01-02 Entire data end date: 2017-01-18 Backtest Months: 168
| Performance statistics | Backtest |
|---|---|
| annual_return | 0.23 |
| annual_volatility | 0.17 |
| sharpe_ratio | 1.32 |
| calmar_ratio | 0.86 |
| stability_of_timeseries | 0.99 |
| max_drawdown | -0.27 |
| omega_ratio | 1.27 |
| sortino_ratio | 1.99 |
| skew | 0.30 |
| kurtosis | 8.03 |
| tail_ratio | 1.07 |
| common_sense_ratio | 1.32 |
| information_ratio | 0.06 |
| alpha | 0.17 |
| beta | 0.58 |
| Worst Drawdown Periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 26.62 | 2008-05-15 | 2008-10-27 | 2008-12-05 | 147 |
| 1 | 15.58 | 2008-12-16 | 2009-03-09 | 2009-03-23 | 70 |
| 2 | 15.31 | 2011-07-22 | 2011-08-10 | 2011-09-14 | 39 |
| 3 | 13.97 | 2016-08-29 | 2016-12-01 | NaT | NaN |
| 4 | 13.92 | 2004-03-05 | 2004-05-10 | 2004-11-12 | 181 |
[-0.02 -0.04]
| Stress Events | mean | min | max |
|---|---|---|---|
| Lehmann | 0.22% | -4.70% | 3.48% |
| US downgrade/European Debt Crisis | 0.29% | -6.32% | 4.52% |
| Fukushima | -0.14% | -1.48% | 1.71% |
| US Housing | -0.26% | -3.04% | 1.66% |
| EZB IR Event | -0.32% | -2.64% | 1.17% |
| Aug07 | 0.37% | -2.16% | 2.12% |
| Mar08 | 0.11% | -2.22% | 4.23% |
| Sept08 | 0.15% | -4.70% | 3.48% |
| 2009Q1 | -0.24% | -3.57% | 4.74% |
| 2009Q2 | 0.56% | -3.21% | 5.26% |
| Flash Crash | 0.17% | -3.32% | 4.27% |
| Apr14 | 0.36% | -0.28% | 0.94% |
| Oct14 | -0.05% | -2.01% | 1.74% |
| Fall2015 | 0.01% | -3.99% | 2.85% |
| Low Volatility Bull Market | 0.07% | -3.47% | 2.86% |
| GFC Crash | 0.10% | -7.49% | 10.21% |
| Recovery | 0.11% | -6.32% | 4.53% |
| New Normal | 0.09% | -3.99% | 3.02% |
| Top 10 long positions of all time | max |
|---|---|
| TLT-23921 | 110.95% |
| SPY-8554 | 105.12% |
| Top 10 short positions of all time | max |
|---|
| Top 10 positions of all time | max |
|---|---|
| TLT-23921 | 110.95% |
| SPY-8554 | 105.12% |
| All positions ever held | max |
|---|---|
| TLT-23921 | 110.95% |
| SPY-8554 | 105.12% |
In [ ]:
bt = get_backtest('5881aaba2f30735df7329d70')
bt.create_full_tear_sheet()