Intro

Here’s a simple example where we produce a set of plots, called a tear sheet, for a single stock.

Imports and Settings

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

import yfinance as yf
import pyfolio as pf
%matplotlib inline

Download daily stock prices using yfinance

Pyfolio expects tz-aware input set to UTC timezone.

You may have to import yfinance first by running:

pip install yfinance

fb = yf.Ticker('FB')
history = fb.history('max')
history.index = history.index.tz_localize('utc')

history.info()

<class 'pandas.core.frame.DataFrame'>
DatetimeIndex: 2243 entries, 2012-05-18 00:00:00+00:00 to 2021-04-19 00:00:00+00:00
Data columns (total 7 columns):
 #   Column        Non-Null Count  Dtype
---  ------        --------------  -----
 0   Open          2243 non-null   float64
 1   High          2243 non-null   float64
 2   Low           2243 non-null   float64
 3   Close         2243 non-null   float64
 4   Volume        2243 non-null   int64
 5   Dividends     2243 non-null   int64
 6   Stock Splits  2243 non-null   int64
dtypes: float64(4), int64(3)
memory usage: 140.2 KB

returns = history.Close.pct_change()

Create returns tear sheet

This will show charts and analysis about returns of the single stock.

pf.create_returns_tear_sheet(returns, live_start_date='2020-1-1')

Start date	2012-05-18
End date	2021-04-19
In-sample months	91
Out-of-sample months	15
	In-sample	Out-of-sample	All
Annual return	24.723%	34.871%	26.149%
Cumulative returns	436.882%	47.255%	690.583%
Annual volatility	36.174%	43.171%	37.263%
Sharpe ratio	0.79	0.91	0.81
Calmar ratio	0.46	1.01	0.49
Stability	0.88	0.64	0.89
Max drawdown	-53.623%	-34.592%	-53.623%
Omega ratio	1.17	1.17	1.17
Sortino ratio	1.21	1.33	1.23
Skew	NaN	-0.19	NaN
Kurtosis	NaN	3.52	NaN
Tail ratio	1.07	1.08	1.05
Daily value at risk	-4.444%	-5.283%	-4.575%

Worst drawdown periods	Net drawdown in %	Peak date	Valley date	Recovery date	Duration
0	53.62	2012-05-18	2012-09-04	2013-08-05	317
1	42.96	2018-07-25	2018-12-24	2020-01-09	382
2	34.59	2020-01-29	2020-03-16	2020-05-20	81
3	22.06	2014-03-10	2014-04-28	2014-07-24	99
4	21.17	2018-02-01	2018-03-27	2018-06-01	87

Trading Strategy Analysis: An Example Tear Sheet Zipline Algorithm