Notebook

Load a backtest containing an in sample period through the live trading period

In [26]:
in_out_sample = get_backtest("56ca6dc761187f0dec4ffebc")

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In [27]:
in_out_sample.create_full_tear_sheet(live_start_date="2015-05-13", hide_positions=True, bayesian=False)

Entire data start date: 2013-05-13
Entire data end date: 2016-02-18


Out-of-Sample Months: 9
Backtest Months: 24
                   Backtest  Out_of_Sample  All_History
annual_return          0.12           0.27         0.16
annual_volatility      0.10           0.14         0.11
sharpe_ratio           1.19           1.83         1.42
calmar_ratio           1.81           5.49         2.35
stability              0.91           0.93         0.94
max_drawdown          -0.07          -0.05        -0.07
omega_ratio            1.21           1.37         1.27
sortino_ratio          1.78           2.95         2.18
skewness              -0.04           0.51         0.27
kurtosis               0.67           3.17         2.73
information_ratio     -0.01           0.10         0.03
alpha                  0.12           0.26         0.16
beta                   0.02           0.03         0.02

Worst Drawdown Periods
   net drawdown in %  peak date valley date recovery date duration
0               6.98 2015-03-25  2015-06-05    2015-07-17       83
1               6.64 2015-01-30  2015-02-09    2015-03-19       35
4               5.16 2013-10-23  2014-01-29    2014-02-20       87
2               5.01 2016-01-07  2016-01-21    2016-01-28       16
3               4.08 2016-02-11  2016-02-18           NaT      NaN


2-sigma returns daily    -0.013
2-sigma returns weekly   -0.025
dtype: float64

Stress Events
             mean    min    max
Apr14       0.001 -0.018  0.012
Oct14       0.001 -0.018  0.022
Fall2015    0.001 -0.015  0.020
New Normal  0.001 -0.030  0.042
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