In [1]:
# Get backtest object
bt = get_backtest('5847c731c9cbc264e999216e')
# Create all tear sheets
bt.create_full_tear_sheet()
100% Time: 0:00:00|###########################################################| Entire data start date: 2011-10-05 Entire data end date: 2016-11-28 Backtest Months: 61
| Performance statistics | Backtest |
|---|---|
| annual_return | 1.03 |
| annual_volatility | 0.55 |
| sharpe_ratio | 1.57 |
| calmar_ratio | 2.00 |
| stability_of_timeseries | 0.97 |
| max_drawdown | -0.51 |
| omega_ratio | 1.38 |
| sortino_ratio | 2.28 |
| skew | -0.38 |
| kurtosis | 7.35 |
| tail_ratio | 1.09 |
| common_sense_ratio | 2.22 |
| information_ratio | 0.10 |
| alpha | 0.52 |
| beta | 2.46 |
| Worst Drawdown Periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 51.45 | 2015-10-19 | 2016-02-11 | 2016-06-03 | 165 |
| 1 | 39.02 | 2012-03-26 | 2012-06-01 | 2012-08-03 | 95 |
| 2 | 35.74 | 2016-06-06 | 2016-06-27 | 2016-07-29 | 40 |
| 3 | 28.95 | 2014-12-24 | 2015-01-30 | 2015-03-23 | 64 |
| 4 | 25.78 | 2015-08-24 | 2015-09-01 | 2015-10-12 | 36 |
[-0.066 -0.124]
/usr/local/lib/python2.7/dist-packages/numpy/lib/function_base.py:3834: RuntimeWarning: Invalid value encountered in percentile RuntimeWarning)
| Stress Events | mean | min | max |
|---|---|---|---|
| EZB IR Event | 0.15% | -7.74% | 9.13% |
| Apr14 | 0.19% | -6.08% | 3.52% |
| Oct14 | 0.46% | -11.57% | 7.48% |
| Fall2015 | 0.40% | -14.13% | 26.53% |
| Recovery | 0.35% | -12.00% | 10.42% |
| New Normal | 0.34% | -26.18% | 26.53% |
| Top 10 long positions of all time | max |
|---|---|
| XIV-40516 | 100.84% |
| Top 10 short positions of all time | max |
|---|
| Top 10 positions of all time | max |
|---|---|
| XIV-40516 | 100.84% |
| All positions ever held | max |
|---|---|
| XIV-40516 | 100.84% |
