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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.
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 pyfolioNext, clone this git repository and run python setup.py develop
and edit the library files directly.
If 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.