Notebook
In [1]:
bt = get_backtest('58c7bf845126854761492bce')
100% Time: 0:01:03|###########################################################|
In [2]:
bt.create_full_tear_sheet()
Entire data start date: 2002-11-01
Entire data end date: 2017-03-07


Backtest Months: 171
Performance statistics Backtest
annual_return 0.10
cum_returns_final 3.06
annual_volatility 0.08
sharpe_ratio 1.34
calmar_ratio 0.99
stability_of_timeseries 0.97
max_drawdown -0.10
omega_ratio 1.30
sortino_ratio 2.14
skew 0.89
kurtosis 13.55
tail_ratio 1.23
common_sense_ratio 1.35
gross_leverage 1.00
information_ratio -0.00
alpha 0.09
beta 0.07
Worst drawdown periods net drawdown in % peak date valley date recovery date duration
0 10.36 2008-11-07 2008-11-21 2008-12-08 22
1 8.80 2008-08-07 2008-10-07 2008-10-29 60
2 6.42 2009-06-03 2009-08-07 2010-04-28 236
3 6.02 2014-07-14 2014-10-14 2015-04-30 209
4 5.98 2016-05-02 2016-11-14 2017-02-16 209
[-0.009 -0.02 ]
/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 -0.08% -2.90% 1.49%
US downgrade/European Debt Crisis 0.24% -1.86% 1.67%
Fukushima 0.03% -0.45% 0.58%
US Housing -0.05% -0.97% 0.83%
EZB IR Event -0.09% -0.80% 0.53%
Aug07 0.21% -0.64% 2.19%
Mar08 0.19% -0.89% 1.88%
Sept08 -0.07% -2.90% 1.49%
2009Q1 -0.07% -2.49% 2.19%
2009Q2 0.18% -2.40% 2.76%
Flash Crash 0.32% -0.55% 1.34%
Apr14 0.06% -1.33% 0.94%
Oct14 -0.05% -1.01% 1.34%
Fall2015 -0.06% -0.75% 1.17%
Low Volatility Bull Market 0.03% -1.02% 1.43%
GFC Crash 0.11% -2.90% 5.61%
Recovery 0.03% -2.72% 1.98%
New Normal 0.02% -1.50% 1.56%