tearsheet-generator

# Tearsheet Generator Skill

## About

This skill generates custom tearsheets using the [QuantStats library](https://github.com/ranaroussi/quantstats) - a Python library for portfolio analytics.

**Key Features:**
- Custom SVG visualizations (returns, drawdowns, monthly heatmaps)
- Professional HTML tearsheets
- MAE (Maximum Adverse Excursion) analysis
- Leverage recommendations based on risk metrics
- Copyable strategy configurations

Generate comprehensive trading strategy tearsheets with:
- IBM Plex Mono font styling (QuantStats format)
- MAE (Max Adverse Excursion) percentile analysis (p90-p99)
- Optimal leverage recommendations with stop-loss levels
- Fixed Position (Static) vs Full Position (Dynamic) analysis
- 10%, 20%, 30% liquidation buffer calculations
- Full trade list with entry/exit details and MAE stats
- Copyable strategy config text boxes
- Multiple leverage scenario comparisons (1x, 10x, 15x, 20x)

## Quick Start

```bash
# Generate tearsheet from trades CSV
/generate-tearsheet SOL_MTF_EMA_001 --trades ./trades.csv --capital 10000

# Verify backtest with Nautilus Trader
/verify-backtest SOL_MTF_EMA_001 --trades ./trades.csv

# Test optimal leverage configuration
/verify-mae-lev SOL_MTF_EMA_001 --leverage p95
```

## Commands

### /generate-tearsheet
Generate a complete tearsheet with all analysis sections.

### /verify-backtest
Verify tearsheet results against Nautilus Trader for accuracy validation.

### /verify-mae-lev
Run backtest with optimal leverage config derived from MAE analysis.

## Output Files

Each tearsheet generation produces:
- `{strategy}_comparison.html` - Full HTML tearsheet
- `{strategy}_comparison_metrics.json` - JSON metrics for programmatic access

## Key Sections

### 1. Key Performance Metrics
- B&H, Fix1x, Dyn1x, Fix10x, Dyn10x columns
- Cumulative Return, CAGR, Sharpe, Sortino, Max DD, Calmar
- Intratrade risk metrics with liquidation distance

### 2. MAE Analysis & Optimal Leverage
- MAE distribution table (min, mean, p50, p75, p90-p99, max)
- Safe leverage recommendations per percentile
- Stop loss table with % PRICE movement (not position cost)

### 3. Fixed Position (Static) Analysis
- Leverage table: 5x, 10x, 15x, 20x, 25x, 30x
- Columns: Liq @ %Price, Rec. SL, Max Loss, +10% Buffer, +20% Buffer, Risk Level

### 4. Full Position (Dynamic) Analysis
- Warning about compounding risk
- Leverage table: 1x, 2x, 3x, 5x, 10x
- Recommendation per leverage level

### 5. Buffer Analysis Summary
- +10%, +20%, +30% buffers above worst MAE
- Safety check for 10x, 15x, 20x leverage

### 6. Full Trade List
- All trades with entry/exit times, prices, side, PnL, MAE, MFE, duration
- Scrollable table with sticky headers
- Summary row with averages

### 7. Strategy Configuration
- Original config text box (copyable JSON)
- MAE-optimized config text box (copyable JSON)
- Backtest methodology description

## Dependencies

- Python 3.10+
- pandas, numpy, matplotlib
- StrategyComparisonTearsheet from backtesting.tearsheets

## Installation

The skill uses the tearsheet generator at:
`/Users/DanBot/Desktop/dev/Backtests/backtesting/tearsheets/strategy_comparison_tearsheet.py`

Ensure this path is accessible or update the script paths accordingly.