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Tearsheet Interpretation

Hi everyone,

the tearsheet contains a number of performance statistics [1] that are not covered in the respective lecture [2], such as:

  • Stability
  • Skew
  • Kurtosis
  • Tail ratio
  • Daily value at risk
  • Percent profitable
  • Profit factor

Do any of you have experience with those stats and know which values are desired and which raise red flags?
Do any of you have some rigorous approach to the analysis of your backtests using some of the extended stats, and if so: are there any numbers you think are particularly useful when comparing in-sample and out-of-sample performance?

[1] --

[2] --

1 response

I also like to look at the "specific returns sharpe ratio" buried near the bottom of the tearsheet, which gives an idea of both how strong and consistent the alpha is.