Sector Analysis

To generate sector allocation plots in the positions tearsheet and PnL by sector in the round trips tearsheet, you must pass pyfolio a dictionary (or dict-like data structure) of symbol-sector mappings, where symbols are keys and sectors are values. create_full_tearsheet will also take symbol-sector mappings as the keyword argument sector_mappings.

In this notebook, we generate the positions tear sheet and round-trip tear sheet with sector mappings.

Imports & Settings

[1]:

# silence warnings
import warnings
warnings.filterwarnings('ignore')

[2]:

import pyfolio as pf
import pandas as pd
%matplotlib inline
import gzip
import os

Load data

We use some test data for illustration:

[3]:

returns = pd.read_csv(gzip.open('../tests/test_data/test_returns.csv.gz'),
                      index_col=0, parse_dates=True, header=None)[1]
positions = pd.read_csv(gzip.open('../tests/test_data/test_pos.csv.gz'),
                        index_col=0, parse_dates=True)
transactions = pd.read_csv(gzip.open('../tests/test_data/test_txn.csv.gz'),
                           index_col=0, parse_dates=True)

[4]:

positions.head()

[4]:
AMD CERN COST DELL GPS INTC MMM cash
index
2004-01-09 00:00:00+00:00 6961.92 21017.07875 7282.266152 21264.55188 7091.080020 21259.333890 21316.129606 -6192.360298
2004-01-12 00:00:00+00:00 18198.58 18071.25000 17675.836401 10804.31924 10685.411865 17872.477480 10882.026400 -3329.289887
2004-01-13 00:00:00+00:00 12060.86 11942.24625 12838.477446 16078.90380 16272.139000 12465.392511 12579.135758 4708.039735
2004-01-14 00:00:00+00:00 13102.40 15534.28125 14447.422640 15414.45080 15666.440185 14884.069620 13454.542620 -2749.470030
2004-01-15 00:00:00+00:00 15518.40 14547.05000 14164.039680 14407.48813 14926.122619 14422.385864 13929.159049 -2462.919316

Add Sector Mappings

[5]:

# define our sector mappings
sect_map = {'COST': 'Consumer Goods',
            'INTC': 'Technology',
            'CERN': 'Healthcare',
            'GPS': 'Technology',
            'MMM': 'Construction',
            'DELL': 'Technology',
            'AMD': 'Technology'}

Run Position Tear Sheet

[6]:

pf.create_position_tear_sheet(returns, positions, sector_mappings=sect_map)
Top 10 long positions of all time max
COST 90.01%
DELL 85.73%
CERN 83.53%
MMM 82.09%
INTC 78.59%
AMD 75.76%
GPS 62.24%
Top 10 short positions of all time max
AMD -30.12%
DELL -26.58%
CERN -25.51%
MMM -22.62%
GPS -20.09%
INTC -18.47%
COST -16.44%
Top 10 positions of all time max
COST 90.01%
DELL 85.73%
CERN 83.53%
MMM 82.09%
INTC 78.59%
AMD 75.76%
GPS 62.24%
../_images/notebooks_sector_mappings_example_12_3.png 
[7]:

pf.create_round_trip_tear_sheet(returns, positions, transactions, sector_mappings=sect_map)
Summary stats All trades Short trades Long trades
Total number of round_trips 5822.00 1155.00 4667.00
Percent profitable 0.50 0.52 0.49
Winning round_trips 2886.00 595.00 2291.00
Losing round_trips 2917.00 553.00 2364.00
Even round_trips 19.00 7.00 12.00
PnL stats All trades Short trades Long trades
Total profit $65404.25 $3560.10 $61844.15
Gross profit $448803.34 $20608.45 $428194.89
Gross loss $-383399.09 $-17048.35 $-366350.75
Profit factor $1.17 $1.21 $1.17
Avg. trade net profit $11.23 $3.08 $13.25
Avg. winning trade $155.51 $34.64 $186.90
Avg. losing trade $-131.44 $-30.83 $-154.97
Ratio Avg. Win:Avg. Loss $1.18 $1.12 $1.21
Largest winning trade $9500.14 $1623.24 $9500.14
Largest losing trade $-22902.83 $-661.29 $-22902.83
Duration stats All trades Short trades Long trades
Avg duration 13 days 03:21:49.653555479 2 days 10:39:35.064935064 15 days 18:53:36.628026569
Median duration 8 days 00:00:00 2 days 00:00:00 12 days 00:00:00
Longest duration 84 days 00:00:00 13 days 00:00:00 84 days 00:00:00
Shortest duration 0 days 00:00:01 1 days 00:00:00 0 days 00:00:01
Return stats All trades Short trades Long trades
Avg returns all round_trips 0.01% 0.01% 0.01%
Avg returns winning 0.13% 0.13% 0.12%
Avg returns losing -0.11% -0.12% -0.11%
Median returns all round_trips -0.00% 0.00% -0.00%
Median returns winning 0.02% 0.02% 0.02%
Median returns losing -0.01% -0.01% -0.01%
Largest winning trade 6.78% 6.78% 6.19%
Largest losing trade -17.23% -3.95% -17.23%
Symbol stats AMD CERN COST DELL GPS INTC MMM
Avg returns all round_trips 0.04% -0.01% -0.02% 0.02% -0.02% -0.04% 0.07%
Avg returns winning 0.13% 0.08% 0.09% 0.12% 0.12% 0.17% 0.16%
Avg returns losing -0.07% -0.08% -0.10% -0.08% -0.18% -0.21% -0.05%
Median returns all round_trips 0.00% -0.00% -0.00% 0.00% 0.00% -0.00% 0.00%
Median returns winning 0.02% 0.02% 0.02% 0.02% 0.02% 0.02% 0.03%
Median returns losing -0.01% -0.01% -0.01% -0.01% -0.02% -0.03% -0.01%
Largest winning trade 6.78% 1.69% 1.48% 3.29% 2.72% 5.01% 6.14%
Largest losing trade -1.59% -6.39% -4.48% -3.28% -17.23% -6.86% -1.60%
Profitability (PnL / PnL total) per name
symbol
COST 39.90%
INTC 38.27%
CERN 32.31%
MMM 22.15%
GPS 4.94%
AMD -6.41%
DELL -31.15%
Profitability (PnL / PnL total) per name
symbol
Consumer Goods 39.90%
Healthcare 32.31%
Construction 22.15%
Technology 5.65%
../_images/notebooks_sector_mappings_example_13_7.png
Round Trip Analysis API