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 is an example of a tear sheet of a the Zipline algo included as one of our example notebooks:
See also slides of a recent talk about pyfolio.
To install pyfolio via pip issue the following command:
pip install pyfolioFor development, clone the git repo and run python setup.py develop
and edit the library files directly. Make sure to reload or restart
the IPython kernel when you make changes.
pyfolio has the following dependencies:
- numpy
- scipy
- pandas
- matplotlib
- seaborn
- pymc3 (optional)
- zipline (optional; requires master, not 0.7.0)
If you find a bug, feel free to open an issue on our github tracker.
You can also join our mailing list.
If you want to contribute, a great place to start would be the help-wanted issues.
- Gus Gordon (gus@quantopian.com)
- Justin Lent (justin@quantopian.com)
- Sepideh Sadeghi (sp.sadeghi@gmail.com)
- Thomas Wiecki (thomas@quantopian.com)
- Jessica Stauth (jstauth@quantopian.com)
- Karen Rubin (karen@quantopian.com)
- David Edwards (dedwards@quantopian.com)
For a full list of contributors, see https://github.com/quantopian/pyfolio/graphs/contributors.