In [3]:
# Get backtest object
bt = get_backtest('588e7fe79c134c5e1ad0369c')
# Create all tear sheets
bt.create_full_tear_sheet()
100% Time: 0:00:02|###########################################################| Entire data start date: 2005-01-03 Entire data end date: 2017-01-27 Backtest Months: 144
| Performance statistics | Backtest |
|---|---|
| annual_return | 0.08 |
| annual_volatility | 0.08 |
| sharpe_ratio | 0.97 |
| calmar_ratio | 0.81 |
| stability_of_timeseries | 0.96 |
| max_drawdown | -0.10 |
| omega_ratio | 1.19 |
| sortino_ratio | 1.40 |
| skew | -0.25 |
| kurtosis | 2.62 |
| tail_ratio | 1.00 |
| common_sense_ratio | 1.08 |
| information_ratio | 0.00 |
| alpha | 0.07 |
| beta | 0.22 |
| Worst Drawdown Periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 10.05 | 2006-05-10 | 2006-06-14 | 2006-11-14 | 135 |
| 1 | 8.60 | 2013-05-08 | 2013-08-19 | 2014-03-05 | 216 |
| 2 | 8.05 | 2008-05-20 | 2009-07-09 | 2009-08-04 | 316 |
| 3 | 6.59 | 2010-05-12 | 2010-07-06 | 2010-09-14 | 90 |
| 4 | 5.65 | 2010-01-19 | 2010-02-08 | 2010-03-05 | 34 |
[-0.01 -0.021]
| Stress Events | mean | min | max |
|---|---|---|---|
| Lehmann | 0.00% | 0.00% | 0.00% |
| US downgrade/European Debt Crisis | 0.20% | -1.67% | 2.86% |
| Fukushima | 0.16% | -0.50% | 0.92% |
| EZB IR Event | -0.01% | -0.73% | 1.10% |
| Aug07 | -0.05% | -1.62% | 0.88% |
| Mar08 | -0.05% | -1.58% | 1.56% |
| Sept08 | 0.00% | 0.00% | 0.00% |
| 2009Q1 | 0.00% | 0.00% | 0.00% |
| 2009Q2 | -0.00% | -0.03% | 0.00% |
| Flash Crash | -0.06% | -1.39% | 1.85% |
| Apr14 | 0.02% | -0.72% | 0.56% |
| Oct14 | 0.08% | -1.18% | 1.04% |
| Fall2015 | 0.00% | 0.00% | 0.00% |
| Low Volatility Bull Market | 0.04% | -2.40% | 2.34% |
| GFC Crash | 0.00% | -1.65% | 1.63% |
| Recovery | 0.06% | -2.25% | 2.86% |
| New Normal | 0.02% | -3.26% | 1.92% |
| Top 10 long positions of all time | max |
|---|---|
| TLT-23921 | 32.75% |
| GLD-26807 | 30.82% |
| VBR-25901 | 29.35% |
| VTI-22739 | 28.00% |
| Top 10 short positions of all time | max |
|---|
| Top 10 positions of all time | max |
|---|---|
| TLT-23921 | 32.75% |
| GLD-26807 | 30.82% |
| VBR-25901 | 29.35% |
| VTI-22739 | 28.00% |
| All positions ever held | max |
|---|---|
| TLT-23921 | 32.75% |
| GLD-26807 | 30.82% |
| VBR-25901 | 29.35% |
| VTI-22739 | 28.00% |
