pyfolio is a Python library for performance and risk analysis of financial portfolios developed by Quantopian Inc. It works well with the Zipline open source backtesting library.
At the core of pyfolio is a so-called tear sheet that consists of various individual plots that provide a comprehensive image of the performance of a trading algorithm. Here's an example of a simple tear sheet analyzing a strategy:
To install pyfolio, run:
pip install pyfolio
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:
Next, clone this git repository and run
python setup.py develop
and edit the library files directly.
Bayesian tear sheet
Generating a Bayesian tearsheet requires PyMC3 and Theano. You can install these packages with the following commands:
pip install theano
pip install pymc3
Matplotlib on OSX
If you are on OSX and using a non-framework build of Python, you may need to set your backend:
echo "backend: TkAgg" > ~/.matplotlib/matplotlibrc
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:
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.