In [1]:
bt = get_backtest('594144cb0a059969efde1fc2')
bt.create_full_tear_sheet()
100% Time: 0:00:06|###########################################################| Entire data start date: 2003-01-03 Entire data end date: 2017-06-13 Backtest Months: 173
| Performance statistics | Backtest |
|---|---|
| annual_return | 0.11 |
| cum_returns_final | 3.62 |
| annual_volatility | 0.11 |
| sharpe_ratio | 1.03 |
| calmar_ratio | 0.52 |
| stability_of_timeseries | 0.96 |
| max_drawdown | -0.21 |
| omega_ratio | 1.32 |
| sortino_ratio | 1.69 |
| skew | 2.30 |
| kurtosis | 46.19 |
| tail_ratio | 1.26 |
| common_sense_ratio | 1.40 |
| gross_leverage | 0.33 |
| information_ratio | 0.00 |
| alpha | 0.08 |
| beta | 0.33 |
| Worst drawdown periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 21.41 | 2008-09-30 | 2008-10-10 | 2008-10-22 | 17 |
| 1 | 15.91 | 2009-01-08 | 2009-03-09 | 2009-05-26 | 99 |
| 2 | 9.92 | 2007-11-28 | 2008-01-22 | 2008-03-17 | 79 |
| 3 | 8.07 | 2008-10-29 | 2008-11-20 | 2008-12-01 | 24 |
| 4 | 7.91 | 2011-11-03 | 2011-12-19 | 2012-04-25 | 125 |
[-0.013 -0.03 ]
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| Stress Events | mean | min | max |
|---|---|---|---|
| Lehmann | 0.45% | -2.35% | 3.69% |
| US downgrade/European Debt Crisis | 0.27% | -3.05% | 3.79% |
| Fukushima | 0.06% | -2.80% | 2.26% |
| US Housing | -0.26% | -2.28% | 1.76% |
| EZB IR Event | 0.04% | -0.46% | 1.12% |
| Aug07 | 0.18% | -0.95% | 1.05% |
| Mar08 | 0.37% | -1.43% | 3.55% |
| Sept08 | 0.62% | -2.35% | 3.69% |
| 2009Q1 | -0.18% | -2.48% | 2.47% |
| 2009Q2 | 0.13% | -4.59% | 9.28% |
| Flash Crash | -0.13% | -3.38% | 4.36% |
| Apr14 | 0.06% | -0.46% | 0.54% |
| Oct14 | -0.11% | -1.69% | 1.66% |
| Fall2015 | -0.01% | -2.55% | 1.87% |
| Low Volatility Bull Market | 0.03% | -2.11% | 1.90% |
| GFC Crash | 0.12% | -6.77% | 11.52% |
| Recovery | 0.05% | -3.38% | 4.36% |
| New Normal | 0.02% | -3.04% | 3.08% |
| Top 10 long positions of all time | max |
|---|---|
| SPY-8554 | 199.61% |
| Top 10 short positions of all time | max |
|---|---|
| SPY-8554 | -57.60% |
| Top 10 positions of all time | max |
|---|---|
| SPY-8554 | 199.61% |
| All positions ever held | max |
|---|---|
| SPY-8554 | 199.61% |
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