Run the cell below to create your tear sheet, or return to your algorithm.
In [1]:
bt = get_backtest('5a2c43c9cc0e384569a87f5f')
bt.create_full_tear_sheet()
100% Time: 0:00:35|###########################################################|
| Start date | 2015-12-07 |
|---|---|
| End date | 2017-12-04 |
| Total months | 23 |
| Backtest | |
| Annual return | 3.1% |
| Cumulative returns | 6.2% |
| Annual volatility | 28.7% |
| Sharpe ratio | 0.25 |
| Calmar ratio | 0.08 |
| Stability | 0.48 |
| Max drawdown | -38.2% |
| Omega ratio | 1.04 |
| Sortino ratio | 0.34 |
| Skew | -0.42 |
| Kurtosis | 1.86 |
| Tail ratio | 0.87 |
| Daily value at risk | -3.6% |
| Gross leverage | 0.98 |
| Daily turnover | 22.1% |
| Alpha | 0.03 |
| Beta | 0.26 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 38.17 | 2016-01-19 | 2016-05-24 | NaT | NaN |
| 1 | 9.75 | 2015-12-07 | 2016-01-04 | 2016-01-07 | 24 |
| 2 | 3.74 | 2016-01-13 | 2016-01-14 | 2016-01-15 | 3 |
| 3 | 0.09 | 2016-01-07 | 2016-01-08 | 2016-01-11 | 3 |
| 4 | 0.00 | 2015-12-07 | 2015-12-07 | 2015-12-07 | 1 |
| Stress Events | mean | min | max |
|---|---|---|---|
| New Normal | 0.03% | -8.14% | 6.75% |
| Top 10 long positions of all time | max |
|---|---|
| WINS-49534 | 6.91% |
| SYX-20153 | 6.17% |
| PACB-40319 | 6.12% |
| WTW-23269 | 6.09% |
| CRAY-21374 | 5.96% |
| GSAT-32819 | 5.95% |
| JUNO-48317 | 5.92% |
| OSTK-23714 | 5.91% |
| FMSA-47848 | 5.84% |
| ABEO-28471 | 5.83% |
| Top 10 short positions of all time | max |
|---|---|
| GLNG-24489 | -7.05% |
| WMB-8214 | -6.98% |
| CHK-8461 | -6.94% |
| SM-4664 | -6.93% |
| WLL-25707 | -6.51% |
| CC-49210 | -6.42% |
| CNX-24758 | -6.38% |
| SEMG-39358 | -6.36% |
| TRGP-40547 | -6.08% |
| SUNE-13306 | -6.06% |
| Top 10 positions of all time | max |
|---|---|
| GLNG-24489 | 7.05% |
| WMB-8214 | 6.98% |
| CHK-8461 | 6.94% |
| SM-4664 | 6.93% |
| WINS-49534 | 6.91% |
| WLL-25707 | 6.51% |
| CC-49210 | 6.42% |
| CNX-24758 | 6.38% |
| SEMG-39358 | 6.36% |
| SYX-20153 | 6.17% |
| All positions ever held | max |
|---|---|
| GLNG-24489 | 7.05% |
| WMB-8214 | 6.98% |
| CHK-8461 | 6.94% |
| SM-4664 | 6.93% |
| WINS-49534 | 6.91% |
| WLL-25707 | 6.51% |
| CC-49210 | 6.42% |
| CNX-24758 | 6.38% |
| SEMG-39358 | 6.36% |
| SYX-20153 | 6.17% |
| PACB-40319 | 6.12% |
| WTW-23269 | 6.09% |
| TRGP-40547 | 6.08% |
| SUNE-13306 | 6.06% |
| CRAY-21374 | 5.96% |
| GSAT-32819 | 5.95% |
| TERP-47334 | 5.93% |
| JUNO-48317 | 5.92% |
| OSTK-23714 | 5.91% |
| FMSA-47848 | 5.84% |
| TK-13289 | 5.84% |
| GPRO-47208 | 5.84% |
| ABEO-28471 | 5.83% |
| CIE-39073 | 5.81% |
| PBYI-42689 | 5.80% |
| CLVS-42166 | 5.79% |
| ESPR-44989 | 5.77% |
| FCX-13197 | 5.74% |
| MIME-49606 | 5.74% |
| QUAD-39860 | 5.73% |
| NMBL-46002 | 5.73% |
| BLUE-44935 | 5.72% |
| NVAX-14112 | 5.71% |
| FPRX-45430 | 5.71% |
| ARRY-22192 | 5.70% |
| SWN-7244 | 5.70% |
| IPXL-37849 | 5.69% |
| CYH-21608 | 5.65% |
| CWEI-8941 | 5.64% |
| AMD-351 | 5.63% |
| FEYE-45451 | 5.63% |
| ENLC-25850 | 5.62% |
| MNKD-26524 | 5.62% |
| XBIT-48926 | 5.61% |
| TGTX-13984 | 5.61% |
| TLRD-7203 | 5.60% |
| SGMO-21447 | 5.58% |
| ECR-47168 | 5.58% |
| EPE-46191 | 5.58% |
| KRNT-48872 | 5.58% |
| LC-48220 | 5.58% |
| CONN-25646 | 5.56% |
| MDGL-33298 | 5.55% |
| IMMU-3891 | 5.55% |
| AAOI-45503 | 5.55% |
| CARA-46283 | 5.55% |
| NAV-5199 | 5.55% |
| NVCR-49460 | 5.55% |
| IMGN-3885 | 5.55% |
| SALT-45996 | 5.54% |
| HCC-50780 | 5.52% |
| MUX-7845 | 5.52% |
| TRHC-50333 | 5.52% |
| SRPT-16999 | 5.51% |
| DYN-43462 | 5.51% |
| X-8329 | 5.51% |
| EXAS-22364 | 5.51% |
| DNR-15789 | 5.48% |
| SGH-50900 | 5.48% |
| DVAX-25972 | 5.48% |
| AERI-45733 | 5.47% |
| CALA-47830 | 5.47% |
| AKAO-46528 | 5.47% |
| CDE-1374 | 5.46% |
| GPT-26520 | 5.46% |
| CENX-14484 | 5.46% |
| AMBA-43495 | 5.45% |
| AKS-10897 | 5.45% |
| FIT-49139 | 5.45% |
| CLF-1595 | 5.45% |
| SBLK-28112 | 5.44% |
| TIVO-16661 | 5.44% |
| KEM-4265 | 5.44% |
| TROX-40530 | 5.43% |
| SHOP-49060 | 5.43% |
| CPXX-45390 | 5.43% |
| OMER-38827 | 5.40% |
| SPPI-24517 | 5.40% |
| LL-35036 | 5.39% |
| MYOK-49535 | 5.39% |
| NTLA-49934 | 5.39% |
| TRTN-50119 | 5.38% |
| PTLA-44770 | 5.37% |
| MTW-4656 | 5.37% |
| NVDA-19725 | 5.37% |
| LOXO-47432 | 5.37% |
| ICHR-50509 | 5.37% |
| NKTR-24572 | 5.37% |
| DERM-47845 | 5.36% |
| ANAB-50616 | 5.36% |
| ITCI-46053 | 5.36% |
| ENDP-21750 | 5.36% |
| ACIA-33321 | 5.35% |
| RH-43599 | 5.35% |
| HA-3431 | 5.35% |
| CPA-27908 | 5.34% |
| GNCM_A-3274 | 5.34% |
| EXEL-21383 | 5.34% |
| SGMS-22637 | 5.34% |
| HPQ-3735 | 5.33% |
| WVE-49585 | 5.33% |
| IPI-36093 | 5.33% |
| NEM-5261 | 5.33% |
| FIZZ-6104 | 5.33% |
| PNY-6091 | 5.32% |
| MGI-26435 | 5.32% |
| JOY-22996 | 5.32% |
| ZGNX-40461 | 5.31% |
| EZPW-2671 | 5.31% |
| FOLD-33949 | 5.30% |
| STRP-45130 | 5.30% |
| RICE-46240 | 5.30% |
| OLED-14774 | 5.30% |
| REN-34800 | 5.30% |
| NLNK-42147 | 5.30% |
| FGEN-48088 | 5.30% |
| OCN-15697 | 5.30% |
| ANGI-42175 | 5.29% |
| TBRA-49010 | 5.29% |
| CRC-48073 | 5.29% |
| TELL-4982 | 5.29% |
| UNT-7806 | 5.29% |
| OCLR-21366 | 5.29% |
| HTZ-50070 | 5.28% |
| S-2938 | 5.28% |
| LINE-27993 | 5.28% |
| TSRO-43124 | 5.28% |
| ARNA-21724 | 5.28% |
| HL-3585 | 5.27% |
| NVMI-21427 | 5.27% |
| EXTN-49560 | 5.27% |
| KRO-25764 | 5.27% |
| SN-42264 | 5.27% |
| RXDX-44685 | 5.27% |
| CLCD-49001 | 5.26% |
| QUOT-46497 | 5.26% |
| NPTN-40807 | 5.26% |
| EROS-45867 | 5.25% |
| TVTY-371 | 5.25% |
| UCTT-26146 | 5.25% |
| CO-33188 | 5.24% |
| EVH-49100 | 5.24% |
| VTAE-47778 | 5.24% |
| TMST-47162 | 5.24% |
| AXLL-3189 | 5.24% |
| VERI-50868 | 5.24% |
| ESIO-2612 | 5.23% |
| EXTR-19973 | 5.23% |
| HOMB-32302 | 5.22% |
| BAS-27886 | 5.22% |
| FCPT-49543 | 5.22% |
| PMCS-17098 | 5.22% |
| WPX-42251 | 5.22% |
| LKFN-17401 | 5.22% |
| GKOS-49178 | 5.22% |
| GMCR-9736 | 5.22% |
| W-47833 | 5.21% |
| ALNY-26335 | 5.21% |
| ALRM-49192 | 5.21% |
| GEO-11710 | 5.21% |
| SCLN-6714 | 5.21% |
| MDXG-34049 | 5.21% |
| PTCT-44955 | 5.21% |
| XENT-47373 | 5.20% |
| CXW-22102 | 5.20% |
| HPY-27559 | 5.20% |
| ONCE-48547 | 5.20% |
| COHR-1751 | 5.20% |
| RGNX-49409 | 5.20% |
| PETS-25867 | 5.19% |
| ORBC-32829 | 5.19% |
| RGLD-6455 | 5.19% |
| HLX-17180 | 5.19% |
| GBT-49335 | 5.19% |
| KITE-47169 | 5.18% |
| SEDG-48823 | 5.17% |
| MDVN-28160 | 5.17% |
| RLYP-45851 | 5.17% |
| NRG-26143 | 5.17% |
| ADMS-46722 | 5.17% |
| AVXS-49751 | 5.17% |
| MEG-4779 | 5.17% |
| TTD-50288 | 5.17% |
| ADRO-48925 | 5.16% |
| EBIX-18693 | 5.16% |
| CLR-33856 | 5.15% |
| TRR-7592 | 5.14% |
| OKE-5634 | 5.14% |
| LITE-49288 | 5.14% |
| IIIN-3849 | 5.14% |
| TDOC-49222 | 5.14% |
| ERII-36518 | 5.14% |
| DXPE-17196 | 5.14% |
| WYNN-24124 | 5.14% |
| TREE-36742 | 5.13% |
| AROC-34575 | 5.13% |
| MXL-39393 | 5.13% |
| CSII-32325 | 5.13% |
| LCI-23602 | 5.13% |
| LNTH-49189 | 5.13% |
| INO-3150 | 5.13% |
| NVRO-48025 | 5.13% |
| IONS-4031 | 5.13% |
| MG-38818 | 5.12% |
| TGH-34810 | 5.12% |
| UAA-27822 | 5.12% |
| WIX-45800 | 5.12% |
| HSC-3686 | 5.12% |
| RYI-47464 | 5.12% |
| KRA-39079 | 5.12% |
| SEMI-46980 | 5.12% |
| ITGR-22015 | 5.12% |
| FSLR-32902 | 5.11% |
| CPHD-21603 | 5.11% |
| OLLI-49271 | 5.11% |
| GOGL-16570 | 5.11% |
| TLN-49003 | 5.10% |
| TRNC-47367 | 5.10% |
| DDD-12959 | 5.10% |
| BPMC-49000 | 5.10% |
| SODA-40353 | 5.09% |
| CUTR-26157 | 5.09% |
| INVN-42165 | 5.09% |
| LPSN-21415 | 5.09% |
| SXC-41733 | 5.09% |
| ARIA-11880 | 5.09% |
| DWA-26750 | 5.09% |
| SLCA-42436 | 5.08% |
| STMP-26286 | 5.08% |
| RRC-19249 | 5.07% |
| CZZ-34560 | 5.07% |
| FMI-45499 | 5.07% |
| TTMI-22072 | 5.07% |
| AMKR-18655 | 5.07% |
| FNSR-20866 | 5.07% |
| CACQ-45880 | 5.07% |
| OSUR-22151 | 5.07% |
| VYGR-49579 | 5.06% |
| CAI-33864 | 5.06% |
| LOCK-43467 | 5.06% |
| AOBC-24519 | 5.06% |
| DK-32042 | 5.06% |
| ATSG-27231 | 5.05% |
| PCRX-40815 | 5.05% |
| AFFX-15064 | 5.05% |
| ZSPH-47150 | 5.05% |
| BRKR-25307 | 5.04% |
| LPI-42263 | 5.03% |
| MAT-4668 | 5.02% |
| OAS-39797 | 5.02% |
| NEWP-5280 | 5.02% |
| ANF-15622 | 5.02% |
| TUMI-42811 | 5.02% |
| VA-48091 | 5.01% |
| MYGN-13698 | 5.01% |
| BDBD-28667 | 5.01% |
| AIMT-49323 | 5.01% |
| WIN-27019 | 5.00% |
| AKBA-46583 | 5.00% |
| ZAGG-32502 | 5.00% |
| FN-39824 | 4.99% |
| NEFF-48131 | 4.98% |
| NBR-5214 | 4.97% |
| UIS-7761 | 4.96% |
| LJPC-11512 | 4.96% |
| BPT-1068 | 4.96% |
| NTRI-21697 | 4.95% |
| SQ-49610 | 4.95% |
| CORT-26191 | 4.93% |
| FRAN-41737 | 4.93% |
| NTK-39764 | 4.93% |
| FTK-27496 | 4.93% |
| TSE-47098 | 4.91% |
| AXDX-15934 | 4.89% |
| LGIH-45818 | 4.89% |
| ISIL-21166 | 4.88% |
| VNDA-28326 | 4.88% |
| SWI-38388 | 4.88% |
| INSM-21778 | 4.87% |
| EGL-43151 | 4.87% |
| NSP-16323 | 4.85% |
| AVP-660 | 4.85% |
| PLUG-20776 | 4.85% |
| AMAG-659 | 4.83% |
| AXON-49107 | 4.82% |
| GIMO-44892 | 4.81% |
| CSC-1898 | 4.80% |
| GEN-33862 | 4.78% |
| WNR-27997 | 4.77% |
| SGYP-32331 | 4.76% |
| SPXC-7086 | 4.75% |
| HSKA-17227 | 4.73% |
| GLUU-33566 | 4.70% |
| ACOR-28077 | 4.65% |
| UPL-22406 | 4.61% |
| CHGG-45847 | 4.61% |
| MMYT-40028 | 4.45% |
| SWC-12362 | 4.42% |
| RYAM-47128 | 4.41% |
| VNR-34931 | 4.20% |
| AVAV-33194 | 4.20% |
| INVA-26676 | 4.19% |
| I-44539 | 4.04% |
| WGO-8168 | 4.03% |
| NNBR-11003 | 3.89% |
| FLXN-46344 | 3.84% |
| BEAT-35929 | 3.57% |
| PRO-34118 | 3.53% |
| GLBL-49312 | 3.42% |
| SCAI-45757 | 3.31% |
| MSG-49458 | 3.28% |
| TRVN-46272 | 3.22% |
| RETA-49995 | 3.21% |
| ASMB-40622 | 3.13% |
| TCMD-50169 | 2.99% |
| GNMK-39685 | 2.89% |
| LXRX-21413 | 2.89% |
| RFP-40576 | 2.84% |
| GNW-26323 | 2.77% |
| CASH-9700 | 2.74% |
| XLRN-45431 | 2.65% |
| BCRX-10905 | 2.63% |
| HZN-49218 | 2.62% |
| VSLR-47820 | 2.53% |
| URGN-50831 | 2.52% |
| TPL-7551 | 2.47% |
| OME-18601 | 2.37% |
| AGRO-40782 | 2.27% |
| CNV-48125 | 2.19% |
| CCO-27777 | 2.11% |
| ORIG-41919 | 1.98% |
| RMR-49627 | 1.89% |
| MSGN-39171 | 1.88% |
| DTSI-25319 | 1.78% |
| RARX-50411 | 1.77% |
| JOUT-21286 | 1.73% |
| NVGS-45915 | 1.50% |
| KERX-21789 | 1.46% |
| EVRI-27639 | 1.44% |
| SNOW-46282 | 1.43% |
| VHI-7958 | 1.34% |
| LPG-46867 | 1.32% |
| SYRS-50091 | 1.30% |
| ITG-25095 | 1.29% |
| PGNX-17908 | 1.26% |
| ARCO-41242 | 1.19% |
| ATRA-47901 | 1.11% |
| HK-31032 | 0.86% |
| NIHD-24622 | 0.74% |
| GDEN-19717 | 0.63% |
| YERR-40050 | 0.55% |
| INSW-50465 | 0.47% |
| AEPI-162 | 0.42% |
| NL-5331 | 0.36% |
| MDCA-12800 | 0.30% |
| GSOL-21398 | 0.18% |
| BYSI-50692 | 0.12% |
| BCOM-34977 | 0.00% |
| Summary Statistics | |
|---|---|
| Annualized Specific Return | -5.51% |
| Annualized Common Return | 10.26% |
| Annualized Total Return | 3.41% |
| Specific Sharpe Ratio | -0.30 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | 0.19 | 3.34% | 6.79% |
| consumer_cyclical | 0.09 | 1.32% | 2.66% |
| financial_services | 0.03 | 0.58% | 1.15% |
| real_estate | 0.00 | -0.00% | -0.01% |
| consumer_defensive | 0.01 | 0.03% | 0.06% |
| health_care | 0.48 | 3.56% | 7.25% |
| utilities | 0.00 | 0.18% | 0.37% |
| communication_services | 0.03 | -0.15% | -0.30% |
| energy | 0.10 | -1.92% | -3.80% |
| industrials | 0.08 | 2.23% | 4.51% |
| technology | 0.10 | 1.44% | 2.91% |
| momentum | 1.77 | -1.16% | -2.30% |
| size | -0.71 | 2.39% | 4.84% |
| value | -0.40 | -0.48% | -0.96% |
| short_term_reversal | -0.50 | -2.69% | -5.32% |
| volatility | 2.01 | 2.20% | 4.45% |
