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:
Also see slides of a talk about pyfolio.
To install pyfolio, run:
pip install pyfolioFor 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 pyfolioNext, clone this git repository and run python setup.py develop
and edit the library files directly.
Generating a Bayesian tearsheet requires PyMC3 and Theano. You can install these packages with the following commands:
pip install theanopip install pymc3If you are on OSX and using a non-framework build of Python, you may need to set your backend:
echo "backend: TkAgg" > ~/.matplotlib/matplotlibrcA 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 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.
If you find a bug, feel free to open an issue in this repository.
You can also join our mailing list or our Gitter channel.
If you'd like to contribute, a great place to look is the issues marked with help-wanted.
For a list of contributors, see https://github.com/quantopian/pyfolio/graphs/contributors.