Notebook

Run the cell below to create your tear sheet.

In [4]:
bt = get_backtest('5afd4565a6737843af0292a3')
bt.create_full_tear_sheet(live_start_date='2018-03-09',round_trips = True)
100% Time: 0:00:33|###########################################################|
Start date2016-03-10
End date2018-05-16
In-sample months23
Out-of-sample months2
All In-sample Out-of-sample
Annual return 25.9% 24.9% 37.9%
Cumulative returns 65.6% 55.7% 6.3%
Annual volatility 10.5% 10.5% 10.8%
Sharpe ratio 2.25 2.17 3.03
Calmar ratio 5.76 5.51 11.89
Stability 0.94 0.94 0.73
Max drawdown -4.5% -4.5% -3.2%
Omega ratio 1.47 1.45 1.65
Sortino ratio 3.88 3.71 5.84
Skew 0.72 0.71 0.87
Kurtosis 3.36 3.55 1.58
Tail ratio 1.38 1.37 1.52
Daily value at risk -1.2% -1.2% -1.2%
Gross leverage 1.00 1.00 1.00
Daily turnover 14.8% 14.8% 14.9%
Alpha 0.25 0.24 0.33
Beta -0.10 -0.08 -0.17
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 4.51 2016-11-11 2016-12-27 2017-01-11 44
1 4.37 2017-01-17 2017-02-07 2017-02-23 28
2 3.97 2017-12-04 2018-01-11 2018-02-05 46
3 3.94 2016-07-20 2016-08-05 2016-08-25 27
4 3.47 2018-02-23 2018-03-08 2018-03-28 24
Stress Events mean min max
New Normal 0.09% -2.20% 4.05%
Top 10 long positions of all time max
BHVN-50839 6.03%
SNAP-50683 5.04%
BPMC-49000 4.99%
UPL-50782 4.92%
BPT-1068 4.92%
FGEN-48088 4.90%
YEXT-50781 4.86%
EVHC-50499 4.84%
CFMS-49211 4.84%
WRD-50537 4.83%
Top 10 short positions of all time max
SGYP-32331 -5.00%
AMD-351 -4.95%
P-41579 -4.91%
GPRO-47208 -4.91%
TSLA-39840 -4.89%
ACAD-26322 -4.86%
JCP-4118 -4.85%
DVAX-25972 -4.85%
GLUU-33566 -4.84%
ICPT-43505 -4.83%
Top 10 positions of all time max
BHVN-50839 6.03%
SNAP-50683 5.04%
SGYP-32331 5.00%
BPMC-49000 4.99%
AMD-351 4.95%
UPL-50782 4.92%
BPT-1068 4.92%
P-41579 4.91%
GPRO-47208 4.91%
FGEN-48088 4.90%
All positions ever held max
BHVN-50839 6.03%
SNAP-50683 5.04%
SGYP-32331 5.00%
BPMC-49000 4.99%
AMD-351 4.95%
UPL-50782 4.92%
BPT-1068 4.92%
P-41579 4.91%
GPRO-47208 4.91%
FGEN-48088 4.90%
TSLA-39840 4.89%
YEXT-50781 4.86%
ACAD-26322 4.86%
JCP-4118 4.85%
DVAX-25972 4.85%
EVHC-50499 4.84%
CFMS-49211 4.84%
GLUU-33566 4.84%
WRD-50537 4.83%
ICPT-43505 4.83%
TWTR-45815 4.83%
OKTA-50758 4.82%
ARRY-22192 4.81%
CPG-46206 4.81%
VRX-10908 4.80%
CLF-1595 4.80%
AIMT-49323 4.80%
MACK-42735 4.79%
OCLR-21366 4.79%
INO-3150 4.79%
ARIA-11880 4.78%
PEN-49413 4.77%
SQ-49610 4.77%
ASPS-38633 4.77%
S-2938 4.77%
ICHR-50509 4.76%
MU-5121 4.76%
AG-40607 4.76%
LOCO-47382 4.75%
NVDA-19725 4.75%
LC-48220 4.74%
OPK-23120 4.74%
AKS-10897 4.74%
BB-19831 4.74%
TTD-50288 4.74%
ADRO-48925 4.74%
RNG-45521 4.74%
CHRS-48026 4.74%
SHAK-48543 4.74%
GSM-38638 4.74%
ZIOP-31341 4.73%
XOG-50368 4.73%
BETR-49318 4.73%
ATRS-22418 4.73%
PGNX-17908 4.73%
FRAC-50612 4.73%
LTRP_A-47578 4.72%
HUBS-47872 4.72%
DERM-47845 4.72%
NFLX-23709 4.71%
KLDX-49463 4.71%
CBI-1287 4.71%
ADPT-47191 4.71%
KITE-47169 4.70%
QRVO-48384 4.70%
TXMD-28966 4.70%
CHK-8461 4.70%
ARWR-10417 4.70%
TDOC-49222 4.69%
SWIR-21561 4.69%
PLUG-20776 4.69%
PMC-34241 4.69%
PSTG-49464 4.69%
TROX-40530 4.69%
AMBA-43495 4.69%
EVBG-50264 4.69%
LILA_K-49206 4.69%
NKTR-24572 4.69%
MULE-50719 4.69%
TPL-7551 4.68%
EVHC-45269 4.68%
ELGX-23769 4.68%
FLOW-49434 4.68%
SCMP-34477 4.68%
AVXS-49751 4.67%
SHOP-49060 4.67%
ELF-50320 4.67%
WOW-50902 4.67%
HRG-8414 4.67%
TREE-36742 4.66%
OTIC-47495 4.66%
PIR-6000 4.66%
NVAX-14112 4.66%
LNKD-41451 4.66%
LITE-49288 4.66%
INCY-10187 4.66%
ONVO-41829 4.65%
SYNT-24790 4.65%
CLNE-33924 4.65%
OMER-38827 4.65%
COTV-50002 4.65%
GPS-3321 4.65%
DPLO-47883 4.65%
GKOS-49178 4.64%
STMP-26286 4.64%
DBD-2100 4.64%
XENT-47373 4.64%
FND-50798 4.64%
LKSD-50312 4.64%
MEDP-50194 4.64%
BW-49208 4.64%
AR-45618 4.64%
COUP-50350 4.64%
ANIP-25565 4.64%
INOV-48629 4.64%
AMPH-47193 4.64%
FIT-49139 4.64%
XPER-25705 4.64%
SUM-48746 4.63%
NXPI-39994 4.63%
AYX-50735 4.63%
WYNN-24124 4.63%
YRCW-8370 4.63%
MNK-44917 4.63%
VRTX-8045 4.63%
FNSR-20866 4.63%
SPWH-46777 4.63%
ARCH-50357 4.63%
EXEL-21383 4.63%
TCMD-50169 4.63%
BLUE-44935 4.63%
FDC-49496 4.63%
JUNO-48317 4.63%
ZOES-46742 4.63%
CSIQ-32856 4.63%
AA-50428 4.62%
AXDX-15934 4.62%
NOMD-47572 4.62%
DFIN-50310 4.62%
MELI-34525 4.62%
KN-46369 4.62%
ACIA-33321 4.62%
PRTY-48933 4.62%
URI-18113 4.62%
TIME-46965 4.62%
MDCO-21906 4.62%
IGT-48892 4.62%
TEAM-49655 4.62%
KTOS-20947 4.62%
ALXN-14328 4.62%
REN-34800 4.61%
OR-47173 4.61%
FSLR-32902 4.61%
NYRT-46760 4.61%
BCEI-50824 4.61%
GOOS-50713 4.61%
HALO-26766 4.61%
AGI-44156 4.61%
SKX-20284 4.61%
UAA-27822 4.60%
LB-4564 4.60%
WTW-23269 4.60%
FWON_K-47272 4.60%
SRPT-16999 4.60%
ILMN-21774 4.60%
HTZ-50070 4.60%
BL-50418 4.60%
KEM-4265 4.60%
ATUS-50970 4.60%
ATKR-50040 4.60%
CDEV-50376 4.60%
WTTR-50789 4.60%
SYNH-48027 4.60%
ENDP-21750 4.59%
EVH-49100 4.59%
MRD-47126 4.59%
DLTH-49615 4.59%
ALRM-49192 4.59%
QTNA-50417 4.59%
SINA-21448 4.59%
DDD-12959 4.59%
TWLO-50077 4.59%
FEYE-45451 4.59%
GRPN-42118 4.58%
BCC-44089 4.58%
BOX-48486 4.58%
OPHT-45498 4.58%
CACC-1216 4.58%
AERI-45733 4.58%
WDC-8132 4.58%
VSTO-48531 4.58%
ABMD-53 4.58%
PETQ-51064 4.58%
STX-24518 4.58%
UNFI-16129 4.57%
SEDG-48823 4.57%
FCPT-49543 4.57%
SPB-38708 4.57%
CORT-26191 4.57%
RIG-9038 4.57%
COHR-1751 4.57%
BBY-754 4.57%
OPB-46768 4.57%
COMM-45734 4.57%
INSY-44665 4.57%
BUFF-49279 4.56%
MEET-30658 4.56%
PANW-43202 4.56%
HABT-48126 4.55%
PEIX-27129 4.55%
ASIX-50260 4.55%
IONS-4031 4.55%
PE-46989 4.55%
DHT-27705 4.55%
MTCH-49608 4.55%
BNED-49310 4.54%
RH-43599 4.54%
LCI-23602 4.54%
GEO-11710 4.53%
KNDI-32972 4.53%
USNA-15408 4.53%
MBLY-47430 4.53%
WAIR-41757 4.53%
ARNC-2 4.53%
CMG-28016 4.53%
ABCO-23176 4.52%
LULU-34395 4.52%
CSC-1898 4.52%
NBIX-14972 4.52%
DB-23113 4.52%
ALKS-301 4.52%
SOI-50870 4.52%
KERX-21789 4.52%
ANET-47063 4.51%
IRBT-27780 4.51%
PVAC-6258 4.51%
SBLK-28112 4.50%
PBI-5773 4.50%
MYCC-45453 4.50%
M-2754 4.50%
RUBI-46671 4.50%
RICE-46240 4.50%
HES-216 4.49%
SD-50348 4.49%
MDVN-28160 4.49%
BANC-23943 4.49%
FCX-13197 4.49%
ATGE-2371 4.49%
RBA-18480 4.48%
TELL-4982 4.48%
SODA-40353 4.48%
RRD-2248 4.48%
HPQ-3735 4.47%
TBI-15165 4.47%
CLDR-50810 4.46%
SNBR-19559 4.46%
TGI-15905 4.43%
SC-46215 4.42%
IRTC-50399 4.41%
KLIC-4248 4.41%
DATA-44747 4.40%
SAGE-47332 4.40%
FRO-22983 4.38%
HZNP-41766 4.36%
WEB-27762 4.34%
CWH-50366 4.34%
PVG-42366 4.33%
LZB-4621 4.33%
GLOG-42746 4.32%
NTLA-49934 4.29%
URBN-10303 4.28%
CPSI-23667 4.19%
RDUS-46871 4.17%
OLED-14774 4.16%
AOBC-24519 4.10%
WTI-26986 4.09%
YELP-42596 4.09%
HMHC-45861 4.08%
BRCD-20061 4.03%
CJ-50690 4.03%
OMF-45670 4.03%
LXFT-44986 4.00%
INST-49594 3.93%
VIRT-48943 3.93%
VRTS-37869 3.89%
TAHO-39938 3.89%
HCC-50780 3.88%
ACHN-32790 3.88%
MUX-7845 3.88%
INVN-42165 3.81%
AGEN-21104 3.70%
CXO-34440 3.70%
EXTR-19973 3.66%
CBL-9890 3.62%
KRNT-48872 3.61%
WPM-27437 3.60%
OKE-5634 3.53%
ZLTQ-42037 3.52%
XON-45239 3.51%
SPWR-27817 3.51%
AKRX-270 3.49%
TRUE-46929 3.48%
PTCT-44955 3.45%
ETSY-48934 3.42%
FNBC-44709 3.41%
DEPO-18010 3.28%
BOJA-49024 3.27%
MOV-14762 3.25%
UCTT-26146 3.17%
AUY-25714 3.17%
ONDK-48290 3.15%
MDXG-34049 3.14%
TRTN-50119 3.04%
ABX-64 3.03%
AAC-47842 3.02%
ANF-15622 2.97%
FCAU-47888 2.95%
HDP-48257 2.93%
ZEN-46918 2.92%
AKAM-20680 2.85%
CBPO-35846 2.85%
X-8329 2.84%
IVC-4084 2.68%
BZH-10728 2.64%
SUPN-42877 2.63%
NRE-49511 2.55%
AAXN-22846 2.55%
CZR-42461 2.53%
AXON-49107 2.52%
ITGR-22015 2.51%
SPKE-47372 2.46%
NRG-26143 2.46%
AUPH-47621 2.43%
VRAY-48015 2.43%
ERII-36518 2.43%
WIX-45800 2.41%
CCJ-14479 2.38%
UIS-7761 2.37%
SPLK-42815 2.35%
TECD-7372 2.34%
PBYI-42689 2.33%
OSUR-22151 2.33%
ATEN-46598 2.32%
DDC-39 2.32%
TLRD-7203 2.31%
CVE-38896 2.30%
JAG-50633 2.28%
SNCR-32234 2.27%
WRLD-8268 2.27%
ZUMZ-27229 2.27%
SIG-9774 2.23%
MOH-25349 2.21%
TLN-49003 2.18%
HRTX-22651 2.03%
NVRO-48025 2.02%
GRUB-46693 1.93%
ARNA-21724 1.93%
KMI-40852 1.92%
RETA-49995 1.88%
VG-32143 1.87%
MB-49156 1.87%
TBPH-46932 1.86%
MFRM-42184 1.86%
NVMI-21427 1.83%
PRTA-43730 1.83%
RUN-49321 1.82%
IPHI-40399 1.78%
LL-35036 1.76%
ALDR-46869 1.73%
DY-2385 1.70%
SOHU-21813 1.62%
NAV-5199 1.61%
BKD-27830 1.59%
ATHN-34692 1.56%
BMRN-20330 1.52%
RARE-46285 1.51%
CHGG-45847 1.48%
KSS-4313 1.45%
FL-8383 1.44%
EIGI-45735 1.44%
CZZ-34560 1.38%
VRTV-47143 1.37%
BTG-44884 1.37%
CTRL-45212 1.33%
FOLD-33949 1.26%
APA-448 1.25%
HSKA-17227 1.25%
SHLD-26169 1.24%
DKS-24070 1.23%
CRAY-21374 1.21%
W-47833 1.20%
OCSL-36371 1.14%
CASH-9700 1.14%
NPTN-40807 1.13%
RIC-16681 1.12%
RGNX-49409 1.07%
BLCM-48304 1.07%
UEPS-27529 1.03%
AY-47123 1.02%
ALGN-22355 1.00%
IAG-24491 0.98%
MDR-4752 0.96%
BKS-9693 0.95%
FRTA-50398 0.92%
CHS-8612 0.88%
KGC-9189 0.83%
AFSI-32871 0.82%
SLCA-42436 0.78%
PLCE-24789 0.78%
CO-33188 0.77%
TTI-7633 0.77%
AMAG-659 0.77%
SGMO-21447 0.72%
RPD-49275 0.71%
CRUS-1882 0.71%
VNDA-28326 0.70%
BOOT-47980 0.69%
EXAS-22364 0.66%
ZBRA-8388 0.65%
MIME-49606 0.64%
NEWR-48253 0.64%
CYBR-47779 0.61%
SFS-47776 0.60%
VET-44278 0.60%
FINL-2845 0.59%
CATO-1219 0.58%
NVCR-49460 0.57%
MDCA-12800 0.57%
PETS-25867 0.57%
BRKS-12512 0.52%
NVGS-45915 0.51%
SMCI-33609 0.50%
CRBP-47955 0.49%
EGO-24547 0.49%
XTLY-49199 0.47%
FRAN-41737 0.45%
PCTY-46569 0.44%
NHTC-18595 0.43%
ACRS-49465 0.43%
DNOW-46949 0.42%
MBI-4684 0.41%
LDRH-45619 0.39%
WMB-8214 0.39%
HZN-49218 0.30%
APTI-50318 0.29%
KTWO-46870 0.27%
MCRB-49195 0.27%
ESND-7866 0.26%
FOSL-8816 0.25%
SGMS-22637 0.24%
BLDP-13798 0.22%
BEAT-35929 0.20%
NEM-5261 0.18%
SA-26203 0.14%
CSU-17639 0.11%
CLDX-19187 0.08%
SAND-43329 0.06%
DXCM-27173 0.04%
HBM-40301 0.03%
ACET-84 0.01%