In [1]:
bt=get_backtest("59a46e3dee59a9510a4a6179")
100% Time: 0:00:00|###########################################################|
In [2]:
bt.create_full_tear_sheet()
Entire data start date: 2017-01-03 Entire data end date: 2017-08-01 Backtest Months: 6
| Performance statistics | Backtest |
|---|---|
| annual_return | 0.88 |
| cum_returns_final | 0.44 |
| annual_volatility | 0.55 |
| sharpe_ratio | 1.42 |
| calmar_ratio | 3.60 |
| stability_of_timeseries | 0.35 |
| max_drawdown | -0.25 |
| omega_ratio | 1.35 |
| sortino_ratio | 2.16 |
| skew | 0.15 |
| kurtosis | 3.09 |
| tail_ratio | 1.04 |
| common_sense_ratio | 1.96 |
| gross_leverage | 0.38 |
| information_ratio | 0.07 |
| alpha | 1.06 |
| beta | -1.46 |
| Worst drawdown periods | net drawdown in % | peak date | valley date | recovery date | duration |
|---|---|---|---|---|---|
| 0 | 24.55 | 2017-01-18 | 2017-03-16 | 2017-04-18 | 65 |
| 1 | 18.07 | 2017-05-17 | 2017-06-06 | 2017-06-20 | 25 |
| 2 | 16.19 | 2017-04-18 | 2017-04-20 | 2017-05-16 | 21 |
| 3 | 4.45 | 2017-06-20 | 2017-06-22 | 2017-06-27 | 6 |
| 4 | 3.08 | 2017-06-28 | 2017-06-29 | 2017-07-06 | 7 |
[-0.067 -0.125]
| Stress Events | mean | min | max |
|---|---|---|---|
| New Normal | 0.31% | -10.45% | 14.77% |
| Top 10 long positions of all time | max |
|---|
| Top 10 short positions of all time | max |
|---|---|
| ZSAN-48506 | -38.24% |
| DARE-46730 | -36.35% |
| GLYC-46135 | -31.14% |
| AUPH-47621 | -31.07% |
| FENX-49032 | -30.98% |
| NAKD-49672 | -30.32% |
| GLBR-40531 | -29.82% |
| DDC-39 | -29.45% |
| CBLI-32415 | -29.12% |
| CDXC-33808 | -28.74% |
| Top 10 positions of all time | max |
|---|---|
| ZSAN-48506 | 38.24% |
| DARE-46730 | 36.35% |
| GLYC-46135 | 31.14% |
| AUPH-47621 | 31.07% |
| FENX-49032 | 30.98% |
| NAKD-49672 | 30.32% |
| GLBR-40531 | 29.82% |
| DDC-39 | 29.45% |
| CBLI-32415 | 29.12% |
| CDXC-33808 | 28.74% |
| All positions ever held | max |
|---|---|
| ZSAN-48506 | 38.24% |
| DARE-46730 | 36.35% |
| GLYC-46135 | 31.14% |
| AUPH-47621 | 31.07% |
| FENX-49032 | 30.98% |
| NAKD-49672 | 30.32% |
| GLBR-40531 | 29.82% |
| DDC-39 | 29.45% |
| CBLI-32415 | 29.12% |
| CDXC-33808 | 28.74% |
| CXRX-46079 | 28.55% |
| CPRX-32844 | 28.40% |
| RT-4971 | 27.90% |
| INAP-20615 | 27.75% |
| MVIS-15531 | 27.31% |
| PLUG-20776 | 26.74% |
| LUB-4577 | 26.70% |
| QBAK-21680 | 26.58% |
| CCCR-45268 | 25.94% |
| AEHR-17336 | 25.94% |
| CYCC-28246 | 25.84% |
| DRYS-26994 | 25.70% |
| VHC-30464 | 25.58% |
| TGTX-13984 | 25.55% |
| GALT-25536 | 25.53% |
| HTGM-49018 | 25.47% |
| CALA-47830 | 25.42% |
| DWCH-22886 | 25.35% |
| SPCB-45432 | 25.32% |
| HLTH-48945 | 25.22% |
| ... | ... |
| SBBP-49500 | 21.13% |
| APRI-21423 | 21.10% |
| APTO-47949 | 21.09% |
| SPEX-22934 | 20.98% |
| IMGN-3885 | 20.47% |
| TSRI-7615 | 20.39% |
| PME-41783 | 20.28% |
| ZN-33116 | 20.28% |
| ENOC-33881 | 20.16% |
| ABEO-28471 | 20.14% |
| RWLK-47683 | 20.00% |
| SGMO-21447 | 19.70% |
| FSAM-47936 | 19.67% |
| TEAR-26855 | 19.41% |
| KTOV-49611 | 19.07% |
| AVEO-39350 | 19.00% |
| HK-31032 | 18.95% |
| NXTD-45218 | 18.54% |
| ADPT-47191 | 18.52% |
| MFCB-16934 | 18.46% |
| ACRX-40827 | 18.42% |
| RLJE-41042 | 18.26% |
| QURE-46310 | 17.96% |
| SINO-36277 | 17.95% |
| SKY-6924 | 17.54% |
| CDI-1375 | 17.21% |
| MBRX-50013 | 16.40% |
| DVAX-25972 | 16.40% |
| TCCO-39906 | 15.76% |
| DAC-32684 | 15.43% |
110 rows × 1 columns
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