cmorgan / pyfolio

Portfolio and risk analytics in Python

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 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.

Installation

To install pyfolio via pip issue the following command:

pip install pyfolio

For 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)

Questions?

If you find a bug, feel free to open an issue on our github tracker.

You can also join our mailing list.

Contribute

If you want to contribute, a great place to start would be the help-wanted issues.

Credits

• Gus Gordon ([email protected])
• Justin Lent ([email protected])
• Sepideh Sadeghi ([email protected])
• Thomas Wiecki ([email protected])
• Jessica Stauth ([email protected])
• Karen Rubin ([email protected])
• David Edwards ([email protected])

For a full list of contributors, see https://github.com/quantopian/pyfolio/graphs/contributors.