Run the cell below to create your tear sheet, or return to your algorithm.
In [ ]:
bt = get_backtest('5a0b95c9eedb1b4574fba981')
bt.create_full_tear_sheet()
100% Time: 0:00:02|###########################################################|
| Start date | 2009-04-20 |
|---|---|
| End date | 2017-10-11 |
| Total months | 101 |
| Backtest | |
| Annual return | 18.7% |
| Cumulative returns | 329.4% |
| Annual volatility | 10.9% |
| Sharpe ratio | 1.63 |
| Calmar ratio | 1.58 |
| Stability | 0.97 |
| Max drawdown | -11.9% |
| Omega ratio | 1.32 |
| Sortino ratio | 2.42 |
| Skew | -0.16 |
| Kurtosis | 2.39 |
| Tail ratio | 1.09 |
| Daily value at risk | -1.3% |
| Gross leverage | 0.81 |
| Daily turnover | 0.2% |
| Alpha | 0.14 |
| Beta | 0.22 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 11.85 | 2013-05-02 | 2013-08-21 | 2014-01-10 | 182 |
| 1 | 9.81 | 2016-09-06 | 2016-12-01 | 2017-05-19 | 184 |
| 2 | 8.17 | 2010-04-23 | 2010-07-02 | 2010-10-05 | 118 |
| 3 | 6.77 | 2015-03-20 | 2015-07-01 | 2015-08-17 | 107 |
| 4 | 6.61 | 2015-08-17 | 2015-09-01 | 2015-10-28 | 53 |
| Stress Events | mean | min | max |
|---|---|---|---|
| US downgrade/European Debt Crisis | 0.40% | -3.14% | 2.64% |
| Fukushima | 0.09% | -1.27% | 1.47% |
| EZB IR Event | -0.03% | -1.76% | 0.79% |
| 2009Q2 | 0.21% | -1.62% | 2.19% |
| Flash Crash | -0.15% | -1.75% | 2.40% |
| Apr14 | 0.17% | -0.88% | 0.99% |
| Oct14 | 0.16% | -1.34% | 0.93% |
| Fall2015 | -0.14% | -2.26% | 1.40% |
| Recovery | 0.09% | -3.14% | 4.16% |
| New Normal | 0.06% | -3.02% | 2.40% |
| Top 10 long positions of all time | max |
|---|---|
| SPY-8554 | 68.11% |
| Top 10 short positions of all time | max |
|---|---|
| TMV-38292 | -56.24% |
| Top 10 positions of all time | max |
|---|---|
| SPY-8554 | 68.11% |
| TMV-38292 | 56.24% |
| All positions ever held | max |
|---|---|
| SPY-8554 | 68.11% |
| TMV-38292 | 56.24% |
