Notebook

Run the cell below to create your tear sheet.

In [3]:
bt = get_backtest('5b0028f48d29dc43afca2920')
100% Time: 0:00:11|###########################################################|
In [4]:
bt.create_full_tear_sheet(live_start_date='2016-01-15',round_trips = True)
Start date2014-05-16
End date2017-11-17
In-sample months20
Out-of-sample months22
All In-sample Out-of-sample
Annual return -1.3% 9.1% -9.8%
Cumulative returns -4.5% 15.7% -17.4%
Annual volatility 7.2% 7.4% 7.0%
Sharpe ratio -0.15 1.22 -1.45
Calmar ratio -0.06 1.43 -0.49
Stability 0.33 0.68 0.52
Max drawdown -20.7% -6.4% -20.1%
Omega ratio 0.98 1.23 0.78
Sortino ratio -0.20 1.75 -1.88
Skew -0.28 -0.30 -0.29
Kurtosis 1.69 1.39 2.07
Tail ratio 0.97 1.01 0.96
Daily value at risk -0.9% -0.9% -0.9%
Gross leverage 1.00 0.99 1.00
Daily turnover 28.2% 28.7% 27.8%
Alpha -0.00 0.09 -0.09
Beta -0.07 -0.06 -0.08
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 20.67 2015-08-05 2017-11-06 NaT NaN
1 6.27 2014-12-15 2015-05-06 2015-07-16 154
2 3.06 2014-06-03 2014-06-30 2014-09-22 80
3 1.48 2014-11-06 2014-11-07 2014-11-19 10
4 1.47 2014-10-14 2014-10-16 2014-10-27 10
Stress Events mean min max
Oct14 0.27% -0.75% 1.02%
Fall2015 -0.01% -1.51% 0.79%
New Normal -0.00% -1.95% 2.06%
Top 10 long positions of all time max
NE-5249 1.67%
CAM-13176 1.63%
ATW-624 1.52%
GNW-26323 1.51%
KRFT-43405 1.43%
BRCD-20061 1.41%
RAD-6330 1.38%
CSIQ-32856 1.33%
FOSL-8816 1.32%
AKS-10897 1.25%
Top 10 short positions of all time max
DNR-15789 -2.76%
GEVA-42112 -2.18%
CHK-8461 -1.94%
WLL-25707 -1.88%
LPI-42263 -1.66%
LINE-27993 -1.63%
NVAX-14112 -1.62%
SUNE-13306 -1.58%
AMD-351 -1.52%
ESV-2621 -1.51%
Top 10 positions of all time max
DNR-15789 2.76%
GEVA-42112 2.18%
CHK-8461 1.94%
WLL-25707 1.88%
NE-5249 1.67%
LPI-42263 1.66%
CAM-13176 1.63%
LINE-27993 1.63%
NVAX-14112 1.62%
SUNE-13306 1.58%
All positions ever held max
DNR-15789 2.76%
GEVA-42112 2.18%
CHK-8461 1.94%
WLL-25707 1.88%
NE-5249 1.67%
LPI-42263 1.66%
CAM-13176 1.63%
LINE-27993 1.63%
NVAX-14112 1.62%
SUNE-13306 1.58%
ATW-624 1.52%
AMD-351 1.52%
ESV-2621 1.51%
GNW-26323 1.51%
SCTY-43721 1.51%
OPEN-38418 1.50%
ECA-23021 1.45%
BTU-22660 1.43%
OAS-39797 1.