_images/logo.png

Exporting Results

Pyfolio Example

Raw Statistics

Start date2017-02-15
End date2017-11-01
Total months36
Backtest
Annual return 228.9%
Cumulative returns 3811.7%
Annual volatility 47.9%
Sharpe ratio 2.72
Calmar ratio 9.38
Stability 0.96
Max drawdown -24.4%
Omega ratio 2.70
Sortino ratio 6.84
Skew NaN
Kurtosis NaN
Tail ratio 2.50
Daily value at risk -5.5%
Alpha 0.99
Beta 0.44


Tearsheet Charts

_images/mean_reversion.png