pyfolio

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.

Installation

To install pyfolio, run:

pip install pyfolio

Development

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:

mkvirtualenv pyfolio

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

Usage

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:

jupyter notebook

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.

Questions?

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.

Support

Please open an issue for support.

Deprecated: Data Reading via pandas-datareader

As of early 2018, Yahoo Finance has suffered major API breaks with no stable replacement, and the Google Finance API has not been stable since late 2017 (source). In recent months it has become a greater and greater strain on the empyrical and pyfolio development teams to maintain support for fetching data through pandas-datareader and other third-party libraries, as these APIs are known to be unstable.

As a result, all empyrical (and therefore pyfolio, which is a downstream dependency) support for data reading functionality has been deprecated and will be removed in a future version.

Users should beware that the following functions are now deprecated:

• pyfolio.utils.default_returns_func
• pyfolio.utils.get_fama_french
• pyfolio.utils.get_returns_cached
• pyfolio.utils.get_symbol_returns_from_yahoo
• pyfolio.utils.get_treasury_yield
• pyfolio.utils.cache_dir
• pyfolio.utils.ensure_directory
• pyfolio.utils.data_path
• pyfolio.utils._1_bday_ago
• pyfolio.utils.load_portfolio_risk_factors

Users should expect regular failures from the following functions, pending patches to the Yahoo or Google Finance API:

• pyfolio.utils.default_returns_func
• pyfolio.utils.get_symbol_returns_from_yahoo

Contributing

If you'd like to contribute, a great place to look is the issues marked with help-wanted.

For a list of core developers and outside collaborators, see the GitHub contributors list.