Run the cell below to create your tear sheet.
In [ ]:
bt = get_backtest('5b05ccc356f61742c42b04a8')
bt.create_full_tear_sheet(round_trips=True)
100% Time: 0:00:51|###########################################################|
| Start date | 2014-01-06 |
|---|---|
| End date | 2018-05-17 |
| Total months | 52 |
| Backtest | |
| Annual return | 5.4% |
| Cumulative returns | 26.0% |
| Annual volatility | 2.2% |
| Sharpe ratio | 2.36 |
| Calmar ratio | 3.71 |
| Stability | 0.98 |
| Max drawdown | -1.5% |
| Omega ratio | 1.48 |
| Sortino ratio | 3.79 |
| Skew | 0.03 |
| Kurtosis | 1.08 |
| Tail ratio | 1.29 |
| Daily value at risk | -0.3% |
| Gross leverage | 0.85 |
| Daily turnover | 591.5% |
| Alpha | 0.04 |
| Beta | 0.08 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 1.46 | 2014-07-25 | 2014-10-16 | 2014-11-18 | 83 |
| 1 | 1.19 | 2016-04-27 | 2016-06-27 | 2016-07-22 | 63 |
| 2 | 1.14 | 2015-04-23 | 2015-05-06 | 2015-07-29 | 70 |
| 3 | 1.01 | 2018-01-19 | 2018-02-08 | 2018-04-17 | 63 |
| 4 | 1.00 | 2014-11-28 | 2014-12-31 | 2015-01-20 | 38 |
| Stress Events | mean | min | max |
|---|---|---|---|
| Apr14 | 0.06% | -0.31% | 0.46% |
| Oct14 | 0.02% | -0.26% | 0.38% |
| Fall2015 | 0.02% | -0.28% | 0.27% |
| New Normal | 0.02% | -0.56% | 0.57% |
| Top 10 long positions of all time | max |
|---|---|
| AMD-351 | 1.08% |
| BKNG-19917 | 1.07% |
| INTC-3951 | 1.07% |
| CHK-8461 | 1.07% |
| GOOG_L-26578 | 1.06% |
| HOG-3499 | 1.05% |
| GOOG-46631 | 1.05% |
| KMI-40852 | 1.05% |
| AMZN-16841 | 1.05% |
| CELG-1406 | 1.04% |
| Top 10 short positions of all time | max |
|---|---|
| BKNG-19917 | -1.07% |
| WMB-8214 | -1.06% |
| AMD-351 | -1.06% |
| AMZN-16841 | -1.05% |
| INCY-10187 | -1.05% |
| FCX-13197 | -1.04% |
| GOOG-46631 | -1.04% |
| CMG-28016 | -1.04% |
| FB-42950 | -1.03% |
| CHK-8461 | -1.03% |
| Top 10 positions of all time | max |
|---|---|
| AMD-351 | 1.08% |
| BKNG-19917 | 1.07% |
| INTC-3951 | 1.07% |
| CHK-8461 | 1.07% |
| WMB-8214 | 1.06% |
| GOOG_L-26578 | 1.06% |
| HOG-3499 | 1.05% |
| AMZN-16841 | 1.05% |
| GOOG-46631 | 1.05% |
| KMI-40852 | 1.05% |
| All positions ever held | max |
|---|---|
| AMD-351 | 1.08% |
| BKNG-19917 | 1.07% |
| INTC-3951 | 1.07% |
| CHK-8461 | 1.07% |
| WMB-8214 | 1.06% |
| GOOG_L-26578 | 1.06% |
| HOG-3499 | 1.05% |
| AMZN-16841 | 1.05% |
| GOOG-46631 | 1.05% |
| KMI-40852 | 1.05% |
| INCY-10187 | 1.05% |
| CELG-1406 | 1.04% |
| RRC-19249 | 1.04% |
| FCX-13197 | 1.04% |
| CMG-28016 | 1.04% |
| ISRG-25339 | 1.04% |
| CAH-1376 | 1.04% |
| NFLX-23709 | 1.04% |
| FB-42950 | 1.03% |
| AZO-693 | 1.03% |
| MLM-10796 | 1.03% |
| NVDA-19725 | 1.03% |
| AVGO-38650 | 1.03% |
| HRS-3676 | 1.03% |
| DISH-13017 | 1.03% |
| AAPL-24 | 1.03% |
| BLK-20689 | 1.03% |
| MRO-5035 | 1.03% |
| MON-22140 | 1.03% |
| CF-27558 | 1.03% |
| DVN-2368 | 1.03% |
| REGN-6413 | 1.03% |
| ULTA-34953 | 1.03% |
| HAL-3443 | 1.03% |
| KHC-49229 | 1.03% |
| VRTX-8045 | 1.03% |
| WU-32603 | 1.03% |
| NWSA-44931 | 1.03% |
| EQIX-24482 | 1.03% |
| OXY-5729 | 1.03% |
| AGN-8572 | 1.03% |
| ADSK-67 | 1.03% |
| PXD-17436 | 1.03% |
| BAC-700 | 1.03% |
| IT-9930 | 1.03% |
| MGM-4831 | 1.03% |
| NEM-5261 | 1.02% |
| LLL-18738 | 1.02% |
| NRG-26143 | 1.02% |
| MTD-17895 | 1.02% |
| CCL-24692 | 1.02% |
| UAA-27822 | 1.02% |
| TXT-7674 | 1.02% |
| CXO-34440 | 1.02% |
| PDCO-26437 | 1.02% |
| AMAT-337 | 1.02% |
| IDXX-3810 | 1.02% |
| SEE-6769 | 1.02% |
| ILMN-21774 | 1.02% |
| QCOM-6295 | 1.02% |
| APA-448 | 1.02% |
| NTRS-5479 | 1.02% |
| HBAN-3472 | 1.02% |
| FTI-22784 | 1.02% |
| AGN-205 | 1.02% |
| BIIB-3806 | 1.02% |
| WDC-8132 | 1.02% |
| GPN-22443 | 1.02% |
| NFX-10231 | 1.02% |
| CRM-26401 | 1.02% |
| AKAM-20680 | 1.02% |
| CI-1539 | 1.02% |
| GRMN-22316 | 1.02% |
| V-35920 | 1.02% |
| NWS-44932 | 1.02% |
| SNI-36372 | 1.02% |
| SHW-6868 | 1.02% |
| JPM-25006 | 1.02% |
| HOLX-3629 | 1.02% |
| GS-20088 | 1.02% |
| LB-4564 | 1.02% |
| MU-5121 | 1.02% |
| CVX-23112 | 1.02% |
| RF-34913 | 1.02% |
| KEY-4221 | 1.02% |
| HES-216 | 1.02% |
| JWN-5382 | 1.02% |
| PCAR-5787 | 1.02% |
| RCL-8863 | 1.02% |
| DIS-2190 | 1.02% |
| NAVI-46782 | 1.02% |
| TDG-28161 | 1.02% |
| NTAP-13905 | 1.02% |
| SLB-6928 | 1.02% |
| PRGO-6161 | 1.02% |
| GILD-3212 | 1.02% |
| HUM-3718 | 1.02% |
| AJG-266 | 1.02% |
| MS-17080 | 1.02% |
| TMO-7493 | 1.02% |
| REG-10027 | 1.02% |
| TXN-7671 | 1.02% |
| EA-2602 | 1.02% |
| AMGN-368 | 1.02% |
| COO-1769 | 1.02% |
| NKE-5328 | 1.02% |
| EXPE-27543 | 1.02% |
| CMA-1620 | 1.02% |
| BA-698 | 1.02% |
| FDX-2765 | 1.02% |
| CHTR-39095 | 1.02% |
| GPS-3321 | 1.02% |
| MRK-5029 | 1.02% |
| MPC-41636 | 1.02% |
| SNA-6976 | 1.02% |
| HP-3647 | 1.02% |
| HPQ-3735 | 1.02% |
| VFC-7949 | 1.02% |
| AAL-45971 | 1.02% |
| MSFT-5061 | 1.02% |
| ESRX-2618 | 1.02% |
| NCLH-43981 | 1.02% |
| MOS-41462 | 1.02% |
| SYF-47415 | 1.02% |
| TWX-357 | 1.02% |
| VZ-21839 | 1.02% |
| ZBH-23047 | 1.02% |
| DAL-33729 | 1.02% |
| URI-18113 | 1.02% |
| CBRE-26367 | 1.02% |
| KMB-4263 | 1.02% |
| SIG-9774 | 1.02% |
| NOC-5387 | 1.02% |
| IBM-3766 | 1.02% |
| ZTS-44060 | 1.02% |
| NBL-5213 | 1.02% |
| MAC-10984 | 1.02% |
| UAL-28051 | 1.02% |
| A-24757 | 1.02% |
| ABBV-43694 | 1.02% |
| SYMC-7272 | 1.02% |
| FAST-2696 | 1.02% |
| JBHT-4108 | 1.02% |
| BMY-980 | 1.02% |
| AMP-27676 | 1.02% |
| PSX-42788 | 1.02% |
| CBOE-39773 | 1.02% |
| TSCO-10869 | 1.02% |
| JEC-4120 | 1.02% |
| BWA-9514 | 1.02% |
| CMI-1985 | 1.02% |
| AET-168 | 1.02% |
| GM-40430 | 1.02% |
| PNR-6082 | 1.02% |
| CMCS_A-1637 | 1.02% |
| SWK-7242 | 1.02% |
| ICE-27809 | 1.02% |
| HSIC-13862 | 1.02% |
| GT-3384 | 1.02% |
| COF-12160 | 1.02% |
| ESS-11465 | 1.02% |
| AYI-23276 | 1.02% |
| ALXN-14328 | 1.02% |
| CTAS-1941 | 1.02% |
| PCG-5792 | 1.02% |
| COST-1787 | 1.02% |
| QRVO-48384 | 1.02% |
| HAS-3460 | 1.02% |
| XOM-8347 | 1.02% |
| T-6653 | 1.02% |
| FITB-2855 | 1.02% |
| VRSN-18221 | 1.02% |
| STT-7139 | 1.02% |
| APC-455 | 1.02% |
| TMK-7488 | 1.02% |
| GD-3136 | 1.02% |
| C-1335 | 1.02% |
| HII-41111 | 1.02% |
| ADI-122 | 1.02% |
| COP-23998 | 1.02% |
| ZION-8399 | 1.02% |
| ROST-6546 | 1.02% |
| CA-1209 | 1.02% |
| IVZ-16589 | 1.02% |
| SRCL-15581 | 1.02% |
| RL-24832 | 1.02% |
| CTL-1960 | 1.02% |
| PFE-5923 | 1.02% |
| XLNX-8344 | 1.02% |
| PPG-6116 | 1.02% |
| CNC-23283 | 1.02% |
| PX-6272 | 1.02% |
| CERN-1419 | 1.02% |
| MCO-22139 | 1.02% |
| BSX-1131 | 1.02% |
| COG-1746 | 1.02% |
| FISV-2853 | 1.02% |
| HD-3496 | 1.01% |
| ABC-22954 | 1.01% |
| ATVI-9883 | 1.01% |
| PVH-6257 | 1.01% |
| IPG-3990 | 1.01% |
| GIS-3214 | 1.01% |
| EFX-2465 | 1.01% |
| EW-21382 | 1.01% |
| PM-35902 | 1.01% |
| MCD-4707 | 1.01% |
| GLW-3241 | 1.01% |
| AIV-11598 | 1.01% |
| PEP-5885 | 1.01% |
| NLSN-40755 | 1.01% |
| BBY-754 | 1.01% |
| BXP-17009 | 1.01% |
| ROP-6543 | 1.01% |
| AIZ-25955 | 1.01% |
| FFIV-20208 | 1.01% |
| CCI-19258 | 1.01% |
| OKE-5634 | 1.01% |
| CAT-1267 | 1.01% |
| ABT-62 | 1.01% |
| ETN-2633 | 1.01% |
| AMG-17800 | 1.01% |
| PBCT-5769 | 1.01% |
| FL-8383 | 1.01% |
| AMT-24760 | 1.01% |
| AVY-663 | 1.01% |
| LH-12909 | 1.01% |
| MTB-5117 | 1.01% |
| MSI-4974 | 1.01% |
| MMM-4922 | 1.01% |
| SPG-10528 | 1.01% |
| ACN-25555 | 1.01% |
| WYNN-24124 | 1.01% |
| STX-24518 | 1.01% |
| WHR-8178 | 1.01% |
| ROK-6536 | 1.01% |
| ALK-300 | 1.01% |
| PRU-23328 | 1.01% |
| TSN-7684 | 1.01% |
| JNPR-20239 | 1.01% |
| LUV-4589 | 1.01% |
| DE-2127 | 1.01% |
| WAT-13962 | 1.01% |
| EMR-2530 | 1.01% |
| EBAY-24819 | 1.01% |
| ORLY-8857 | 1.01% |
| ALL-24838 | 1.01% |
| MYL-5166 | 1.01% |
| SJM-21935 | 1.01% |
| UNH-7792 | 1.01% |
| SBUX-6683 | 1.01% |
| NOV-24809 | 1.01% |
| GWW-3421 | 1.01% |
| AXP-679 | 1.01% |
| WBA-8089 | 1.01% |
| RHT-20541 | 1.01% |
| FOX-5530 | 1.01% |
| ALB-10898 | 1.01% |
| ADS-22747 | 1.01% |
| ETFC-15474 | 1.01% |
| M-2754 | 1.01% |
| AAP-23175 | 1.01% |
| CME-24475 | 1.01% |
| UA-49830 | 1.01% |
| FOXA-12213 | 1.01% |
| MA-32146 | 1.01% |
| RHI-6465 | 1.01% |
| WFC-8151 | 1.01% |
| ADBE-114 | 1.01% |
| FMC-2893 | 1.01% |
| ARE-16843 | 1.01% |
| O-12087 | 1.01% |
| IP-3971 | 1.01% |
| SO-7011 | 1.01% |
| USB-25010 | 1.01% |
| XEC-24125 | 1.01% |
| AON-438 | 1.01% |
| ANTM-23103 | 1.01% |
| NWL-5520 | 1.01% |
| LLY-4487 | 1.01% |
| GE-3149 | 1.01% |
| KLAC-4246 | 1.01% |
| WEC-8140 | 1.01% |
| NUE-5488 | 1.01% |
| SWKS-23821 | 1.01% |
| OMC-5651 | 1.01% |
| DFS-34011 | 1.01% |
| GPC-3306 | 1.01% |
| STI-7152 | 1.01% |
| MCHP-8677 | 1.01% |
| ETR-2637 | 1.01% |
| MO-4954 | 1.01% |
| DUK-2351 | 1.01% |
| LRCX-4537 | 1.01% |
| PYPL-49242 | 1.01% |
| ORCL-5692 | 1.01% |
| DLTR-12652 | 1.01% |
| UPS-20940 | 1.01% |
| HRB-3660 | 1.01% |
| ECL-2427 | 1.01% |
| RTN-6583 | 1.01% |
| RMD-13089 | 1.01% |
| JNJ-4151 | 1.01% |
| DISC_A-36930 | 1.01% |
| MAR-25920 | 1.01% |
| CFG-47777 | 1.01% |
| BLL-939 | 1.01% |
| HCP-3490 | 1.01% |
| EQT-2587 | 1.01% |
| CL-1582 | 1.01% |
| PNC-6068 | 1.01% |
| MAT-4668 | 1.01% |
| DG-38936 | 1.01% |
| AVB-18834 | 1.01% |
| AEE-24783 | 1.01% |
| LNC-4498 | 1.01% |
| NEE-2968 | 1.01% |
| KIM-4238 | 1.01% |
| CSX-1937 | 1.01% |
| DOV-2262 | 1.01% |
| PWR-6269 | 1.01% |
| MCK-12350 | 1.01% |
| PHM-5969 | 1.01% |
| DPS-36118 | 1.01% |
| GGP-8817 | 1.01% |
| ED-2434 | 1.01% |
| UTX-7883 | 1.01% |
| MDT-4758 | 1.01% |
| VTR-18821 | 1.01% |
| VMC-7998 | 1.01% |
| SCHW-6704 | 1.01% |
| INTU-8655 | 1.01% |
| EVHC-50499 | 1.01% |
| F-2673 | 1.01% |
| ALLE-45874 | 1.01% |
| BBT-16850 | 1.01% |
| PSA-24962 | 1.01% |
| DTE-2330 | 1.01% |
| AIG-239 | 1.01% |
| PGR-5950 | 1.01% |
| TIF-7447 | 1.01% |
| EXC-22114 | 1.01% |
| PFG-23151 | 1.01% |
| KMX-16511 | 1.01% |
| UNP-7800 | 1.01% |
| AEP-161 | 1.01% |
| KSS-4313 | 1.01% |
| FLR-24833 | 1.01% |
| NSC-5442 | 1.01% |
| DGX-16348 | 1.01% |
| HSY-3695 | 1.01% |
| TROW-7590 | 1.01% |
| EOG-2564 | 1.01% |
| ADP-630 | 1.01% |
| PAYX-5767 | 1.01% |
| VIAB-27872 | 1.01% |
| SNPS-6994 | 1.01% |
| RJF-6482 | 1.01% |
| PH-5956 | 1.01% |
| WMT-8229 | 1.01% |
| CTSH-18870 | 1.01% |
| LKQ-25598 | 1.01% |
| WELL-3488 | 1.01% |
| MAA-10639 | 1.01% |
| D-2071 | 1.01% |
| TGT-21090 | 1.01% |
| CMS-1665 | 1.01% |
| DLR-26758 | 1.01% |
| DHI-2298 | 1.01% |
| EQR-9540 | 1.01% |
| KORS-42270 | 1.01% |
| UHS-7749 | 1.01% |
| LNT-18584 | 1.01% |
| ANSS-15071 | 1.01% |
| MDLZ-22802 | 1.01% |
| RSG-19147 | 1.01% |
| BAX-734 | 1.01% |
| WM-19181 | 1.01% |
| CSCO-1900 | 1.01% |
| BK-903 | 1.01% |
| CVS-4799 | 1.01% |
| AES-166 | 1.01% |
| KR-4297 | 1.01% |
| RE-13720 | 1.01% |
| CINF-1551 | 1.01% |
| TEL-34014 | 1.01% |
| LOW-4521 | 1.01% |
| VRSK-38817 | 1.01% |
| EMN-10594 | 1.01% |
| IFF-3822 | 1.01% |
| ES-5484 | 1.01% |
| SYY-7285 | 1.01% |
| ALGN-22355 | 1.01% |
| INFO-47163 | 1.01% |
| DRE-2293 | 1.01% |
| XEL-21964 | 1.01% |
| HST-9947 | 1.01% |
| CHRW-17632 | 1.01% |
| FBHS-41928 | 1.01% |
| FE-17850 | 1.01% |
| IR-4010 | 1.01% |
| TRIP-42230 | 1.01% |
| BDX-794 | 1.01% |
| HIG-14064 | 1.01% |
| MHK-4963 | 1.01% |
| AME-353 | 1.01% |
| SRE-24778 | 1.01% |
| TSS-7616 | 1.01% |
| NDAQ-27026 | 1.01% |
| EXR-26566 | 1.01% |
| SLG-17448 | 1.01% |
| LYB-39546 | 1.01% |
| IRM-14388 | 1.01% |
| CTXS-14014 | 1.01% |
| PLD-24785 | 1.01% |
| HCA-41047 | 1.01% |
| HBI-32497 | 1.01% |
| ITW-4080 | 1.01% |
| K-4192 | 1.01% |
| WY-8326 | 1.01% |
| EL-13841 | 1.01% |
| SBAC-20281 | 1.01% |
| CDNS-1385 | 1.01% |
| TJX-7457 | 1.01% |
| TRV-7041 | 1.01% |
| BEN-812 | 1.01% |
| XYL-42023 | 1.01% |
| EVHC-45269 | 1.01% |
| DVA-22110 | 1.01% |
| FIS-22876 | 1.01% |
| MAS-4665 | 1.01% |
| PG-5938 | 1.01% |
| APH-465 | 1.01% |
| KO-4283 | 1.01% |
| XL-8340 | 1.01% |
| PEG-5862 | 1.01% |
| COL-22880 | 1.01% |
| FRT-3010 | 1.01% |
| SYK-7178 | 1.01% |
| WYND-32393 | 1.01% |
| L-4569 | 1.01% |
| CPB-1795 | 1.01% |
| UNM-7797 | 1.01% |
| SCG-6701 | 1.01% |
| KSU-4315 | 1.01% |
| VLO-7990 | 1.01% |
| EXPD-2663 | 1.01% |
| PKI-20774 | 1.01% |
| CLX-1616 | 1.01% |
| PNW-6090 | 1.01% |
| CNP-24064 | 1.01% |
| MMC-4914 | 1.01% |
| CHD-1482 | 1.01% |
| PKG-20773 | 1.01% |
| DRI-12882 | 1.01% |
| FLIR-9156 | 1.01% |
| NI-5310 | 1.01% |
| AFL-185 | 1.01% |
| MNST-3450 | 1.01% |
| AOS-6949 | 1.01% |
| CB-8580 | 1.01% |
| UDR-7715 | 1.01% |
| FLS-17207 | 1.01% |
| PPL-6119 | 1.01% |
| XRAY-8352 | 1.01% |
| MET-21418 | 1.01% |
| AWK-36098 | 1.01% |
| HRL-3668 | 1.01% |
| LEG-4415 | 1.01% |
| ADM-128 | 1.01% |
| EIX-14372 | 1.01% |
| DISC_K-36914 | 1.01% |
| CB-1274 | 1.00% |
| VNO-8014 | 1.00% |
