PyFolio Performance Reporting in Python

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Pyfolio is a Python library that takes a return series of an asset, hedge fund, trading strategy, anything with daily returns and automatically generates some really cool statistics and charts. There is a LOT of cool stuff to explore in the library, have fun!

Performance statistics Backtest
annual_return 0.98
annual_volatility 0.62
sharpe_ratio 1.41
calmar_ratio 1.71
stability_of_timeseries 0.91
max_drawdown -0.57
omega_ratio 1.27
sortino_ratio 2.01
skew -0.51
kurtosis 2.12
tail_ratio 1.00
common_sense_ratio 1.99
information_ratio 0.09
alpha 0.28
beta 4.04
Worst Drawdown Periods Net Drawdown in % peak date valley date recovery date duration
0 57.39 2015-08-10 2016-02-11 2016-07-20 248
1 36.33 2014-07-03 2014-10-16 2015-04-09 201
2 33.72 2012-03-26 2012-06-01 2012-07-02 71
3 26.86 2014-01-22 2014-02-05 2014-05-09 78
4 22.88 2013-04-12 2013-06-24 2013-07-11 65
Pyfolio1.png

Super secret, proprietary, trading strategy

The monthly, annual, and distribution of returns could be great tools for fund tear sheets. The “stress events” section below is really neat 🙂

Stress Events mean min max
EZB IR Event 0.25% -7.64% 9.19%
Apr14 0.21% -5.83% 3.64%
Oct14 0.12% -10.71% 8.81%
Fall2015 -1.47% -16.23% 11.31%
Recovery 0.58% -10.54% 11.66%
New Normal 0.29% -21.24% 12.58%

Pyfolio2.png

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