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Pyfolio -- a new Python library for performance and risk analysis

Today, we are happy to announce pyfolio, our open source library for performance and risk analysis. We originally created this as an internal tool to help us vet algorithms for consideration in the Quantopian hedge fund. Pyfolio allows you to easily generate plots and information about a stock, portfolio, or algorithm.

Tear sheets, or groups of plots and charts, are the heart of pyfolio. Some predefined tear sheets are included, such as sheets that allow for analysis of returns, transactional analysis, and Bayesian analysis. Each tear sheet produces a set of plots about their respective subject.

Pyfolio is available now on Quantopian's research environment. It can be used standalone or in conjunction with zipline.FB_returns_tear_sheet

Here is part of a tear sheet analyzing the returns of Facebook's (FB) stock:

 

 

pyfolio is available now on the Quantopian Research Platform. See our forum post for further information.

Finally, see pyfolio website or pyfolio's GitHub page, where you can see the full source code or contribute to the project.

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Carl

Great! was just trying to get risk working with my output so this couldn't be more timely ...

I tried opening the notebooks (single stock and zipline algo example) in ipython server in both chrome and firefox, and got a JSON syntax error. I'm using Ipython 3.4 ...

Hi Carl,

Sorry about that. Can you open an issue on https://github.com/quantopian/pyfolio/issues with some more details? Which version of IPython are you using?

Thomas

Carl

Ahhh! apologies. For anyone else who might have this problem, it was a n00b error on my part: I was running the files in the docs directory, which are each ~<1k in length and contain only the path to the actual notebooks which are in the examples directory. Might have been better to give these files .txt (or equivalent) extensions?

Anyway, problem solved! looking forward to checking this out!

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