In [5]:
bt = get_backtest('5967d9a6a1deeb5664209246')
bt.create_full_tear_sheet()
100% Time: 0:00:01|###########################################################| Entire data start date: 2008-01-17 Entire data end date: 2017-07-12 Backtest Months: 113
| Performance statistics | Backtest |
|---|---|
| annual_return | 0.31 |
| cum_returns_final | 12.14 |
| annual_volatility | 0.26 |
| sharpe_ratio | 1.17 |
| calmar_ratio | 1.03 |
| stability_of_timeseries | 0.88 |
| max_drawdown | -0.30 |
| omega_ratio | 1.29 |
| sortino_ratio | 1.83 |
| skew | 0.81 |
| kurtosis | 16.58 |
| tail_ratio | 1.07 |
| common_sense_ratio | 1.40 |
| gross_leverage | 0.99 |
| information_ratio | 0.04 |
| alpha | 0.27 |
| beta | 0.32 |
| Worst drawdown periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 30.39 | 2011-08-08 | 2011-10-03 | 2012-09-13 | 289 |
| 1 | 21.72 | 2008-10-08 | 2008-10-13 | 2008-10-24 | 13 |
| 2 | 16.68 | 2008-12-16 | 2009-01-20 | 2009-02-17 | 46 |
| 3 | 16.06 | 2015-05-21 | 2016-02-11 | 2016-03-16 | 215 |
| 4 | 16.00 | 2008-10-29 | 2008-11-04 | 2008-11-06 | 7 |
[-0.032 -0.058]
| Stress Events | mean | min | max |
|---|---|---|---|
| Lehmann | 0.37% | -8.06% | 14.10% |
| US downgrade/European Debt Crisis | -0.45% | -9.33% | 12.83% |
| Fukushima | 0.12% | -1.86% | 1.50% |
| EZB IR Event | -0.03% | -1.15% | 1.72% |
| Mar08 | 0.14% | -2.22% | 4.24% |
| Sept08 | 0.65% | -8.06% | 14.10% |
| 2009Q1 | 0.54% | -7.44% | 9.52% |
| 2009Q2 | 0.52% | -4.27% | 7.25% |
| Flash Crash | -0.26% | -3.37% | 4.35% |
| Apr14 | 0.05% | -2.13% | 1.09% |
| Oct14 | 0.13% | -2.00% | 1.94% |
| Fall2015 | -0.25% | -3.98% | 3.81% |
| GFC Crash | 0.37% | -13.91% | 14.10% |
| Recovery | 0.10% | -9.33% | 12.83% |
| New Normal | 0.07% | -5.16% | 4.25% |
| Top 10 long positions of all time | max |
|---|---|
| SPY-8554 | 100.86% |
| SDS-32382 | 100.59% |
| XIV-40516 | 34.96% |
| Top 10 short positions of all time | max |
|---|
| Top 10 positions of all time | max |
|---|---|
| SPY-8554 | 100.86% |
| SDS-32382 | 100.59% |
| XIV-40516 | 34.96% |
| All positions ever held | max |
|---|---|
| SPY-8554 | 100.86% |
| SDS-32382 | 100.59% |
| XIV-40516 | 34.96% |
In [ ]: