Run the cell below to create your tear sheet, or return to your algorithm.
In [1]:
bt = get_backtest('59c2936403ac71565f9e34ac')
bt.create_full_tear_sheet()
100% Time: 0:01:00|###########################################################| Entire data start date: 2008-09-02 Entire data end date: 2017-09-18 Backtest Months: 108
| Performance statistics | Backtest |
|---|---|
| annual_return | 0.11 |
| cum_returns_final | 1.66 |
| annual_volatility | 0.08 |
| sharpe_ratio | 1.45 |
| calmar_ratio | 1.01 |
| stability_of_timeseries | 0.91 |
| max_drawdown | -0.11 |
| omega_ratio | 1.30 |
| sortino_ratio | 2.24 |
| skew | 0.05 |
| kurtosis | 4.34 |
| tail_ratio | 1.19 |
| common_sense_ratio | 1.33 |
| gross_leverage | 1.00 |
| information_ratio | -0.00 |
| alpha | 0.10 |
| beta | 0.11 |
| Worst drawdown periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 11.35 | 2014-03-18 | 2014-10-14 | 2015-10-16 | 414 |
| 1 | 7.46 | 2012-04-27 | 2012-07-17 | 2012-11-05 | 137 |
| 2 | 5.46 | 2009-02-06 | 2009-03-11 | 2009-03-20 | 31 |
| 3 | 5.08 | 2011-08-31 | 2011-10-03 | 2011-10-10 | 29 |
| 4 | 4.62 | 2010-08-06 | 2010-08-31 | 2010-09-30 | 40 |
[-0.009 -0.018]
/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 |
|---|---|---|---|
| Lehmann | -0.03% | -2.06% | 1.88% |
| US downgrade/European Debt Crisis | 0.17% | -1.38% | 1.80% |
| Fukushima | 0.04% | -0.59% | 0.68% |
| EZB IR Event | 0.06% | -0.34% | 0.70% |
| Sept08 | -0.03% | -2.06% | 1.88% |
| 2009Q1 | 0.13% | -1.42% | 1.58% |
| 2009Q2 | 0.13% | -2.71% | 1.89% |
| Flash Crash | 0.18% | -0.47% | 0.83% |
| Apr14 | -0.10% | -2.73% | 1.75% |
| Oct14 | 0.05% | -1.30% | 1.36% |
| Fall2015 | 0.06% | -1.11% | 1.49% |
| GFC Crash | 0.18% | -2.71% | 2.19% |
| Recovery | 0.04% | -1.57% | 2.37% |
| New Normal | 0.03% | -2.73% | 1.75% |
| Top 10 long positions of all time | max |
|---|---|
| VVUS-11224 | 3.97% |
| MNTA-26381 | 3.30% |
| CYMI-15638 | 3.16% |
| PEGA-15365 | 3.10% |
| CRA-9349 | 2.92% |
| VSEA-20037 | 2.81% |
| DCI-2109 | 2.69% |
| ONXX-14986 | 2.64% |
| PBT-5782 | 2.62% |
| FCN-14927 | 2.55% |
| Top 10 short positions of all time | max |
|---|---|
| IWOV-20737 | -2.76% |
| STRA-15397 | -2.71% |
| CRA-9349 | -2.68% |
| EZPW-2671 | -2.67% |
| GPC-3306 | -2.61% |
| QSII-6311 | -2.59% |
| UEPS-27529 | -2.58% |
| THOR-15228 | -2.56% |
| CYBS-20197 | -2.56% |
| PSA-24962 | -2.54% |
| Top 10 positions of all time | max |
|---|---|
| VVUS-11224 | 3.97% |
| MNTA-26381 | 3.30% |
| CYMI-15638 | 3.16% |
| PEGA-15365 | 3.10% |
| CRA-9349 | 2.92% |
| VSEA-20037 | 2.81% |
| IWOV-20737 | 2.76% |
| STRA-15397 | 2.71% |
| DCI-2109 | 2.69% |
| EZPW-2671 | 2.67% |
| All positions ever held | max |
|---|---|
| VVUS-11224 | 3.97% |
| MNTA-26381 | 3.30% |
| CYMI-15638 | 3.16% |
| PEGA-15365 | 3.10% |
| CRA-9349 | 2.92% |
| VSEA-20037 | 2.81% |
| IWOV-20737 | 2.76% |
| STRA-15397 | 2.71% |
| DCI-2109 | 2.69% |
| EZPW-2671 | 2.67% |
| ONXX-14986 | 2.64% |
| PBT-5782 | 2.62% |
| GPC-3306 | 2.61% |
| QSII-6311 | 2.59% |
| UEPS-27529 | 2.58% |
| THOR-15228 | 2.56% |
| CYBS-20197 | 2.56% |
| FCN-14927 | 2.55% |
| PSA-24962 | 2.54% |
| AMSG-22862 | 2.53% |
| JAZZ-33959 | 2.52% |
| CHRW-17632 | 2.52% |
| BKE-915 | 2.51% |
| NST-20642 | 2.51% |
| MAKO-35763 | 2.50% |
| BIO-879 | 2.49% |
| FLIR-9156 | 2.48% |
| BRCM-18529 | 2.47% |
| ISCA-16029 | 2.47% |
| EW-21382 | 2.47% |
| ... | ... |
| CE-26960 | 1.23% |
| OVTI-21799 | 1.23% |
| ROIC-34972 | 1.23% |
| VAC-42125 | 1.22% |
| HDS-44990 | 1.22% |
| WWAV-43572 | 1.22% |
| STOR-48103 | 1.21% |
| PSX-42788 | 1.21% |
| GIII-3210 | 1.20% |
| CONE-43984 | 1.19% |
| WRB-916 | 1.19% |
| BRLI-10108 | 1.19% |
| NI-5310 | 1.18% |
| STRZ_A-32045 | 1.17% |
| FOSL-8816 | 1.17% |
| REN-34800 | 1.17% |
| AINV-26183 | 1.17% |
| STST-19927 | 1.16% |
| ETP-23465 | 1.15% |
| CBG-26367 | 1.14% |
| VARI-20032 | 1.13% |
| GE-3149 | 1.13% |
| FSIC-46764 | 1.13% |
| ADP-630 | 1.13% |
| BOBE-1016 | 1.13% |
| BF_A-821 | 1.00% |
| TUX-35688 | 0.74% |
| URX-35655 | 0.56% |
| DSP-34999 | 0.19% |
| MKC_V-23075 | 0.13% |
1244 rows × 1 columns
