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pyfolio is a Python library for performance and risk analysis of financial portfolios that works well with the Zipline open source backtesting library.

Trading Strategy Analysis: An Example Tear Sheet

At the core of pyfolio are various tear sheets that combine various individual plots and summary statistics to provide a comprehensive view of the performance of a trading algorithm.

Here’s an example of a simple tear sheet analyzing a strategy executed with the Zipline backtesting engine:

Performance Metrics

The tear sheet presents performance and risk metrics for the strategy separately during the backtest and out-of-sample periods:

Performance Plots

In addition, it visualizes how several risk and return metrics behave over time:

Installation

To install pyfolio, run:

pip install pyfolio-reloaded

or

conda install -c ml4t pyfolio-reloaded

For development, you may want to use a virtual environment to avoid dependency conflicts between pyfolio and other Python projects you have.

To get set up with a virtual env, run:

mkvirtualenv pyfolio

Next, clone this git repository and run python -m pip install .[all] and edit the library files directly.

Usage

A good way to get started is to run the pyfolio examples in a Jupyter notebook. To do this, you first want to start a Jupyter notebook server:

jupyter notebook

From the notebook list page, navigate to the pyfolio examples directory and open a notebook. Execute the code in a notebook cell by clicking on it and hitting Shift+Enter.

Questions?

If you find a bug, feel free to open an issue in this repository.

You can also join our community.

Support

Please open an issue for support.