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Collection: github.com
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.
Quantopian also offers a fully managed service for professionals
that includes Zipline, Alphalens, Pyfolio, FactSet data, and more.
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:
Also see slides of a talk about
pyfolio.
pip install pyfolio
mkvirtualenv pyfolioNext, clone this git repository and run
python setup.py develop
and edit the library files directly.
echo "backend: TkAgg" > ~/.matplotlib/matplotlibrc
jupyter notebookFrom 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.