[Thomas Wiecki]

We are pleased to announce the release of pyfolio 0.5.0. Available via our conda channel "quantopian" or via pypi.

What is it

=======

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 but can also be used stand-alone. 

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. It includes all common risk metrics, like Sharpe ratio, alpha and beta, as well as more advanced Bayesian analyses.

Homepage: http://quantopian.github.io/pyfolio/

Code: https://github.com/quantopian/pyfolio

Release notes

===========

This is a major release from 0.4.0 that includes many new analyses and features. We recommend that all users upgrade to this new version. Also update your dependencies, specifically, pandas>=0.18.0, seaborn>=0.6.0 and zipline>=0.8.4.

New features

• New capacity tear-sheet to assess how much capital can be traded on a strategy PR284. Andrew Campbell.
• Bootstrap analysis to assess uncertainty in performance metrics PR261. Thomas Wiecki
• Refactored round-trip analysis to be more general and have better output. Now does full portfolio reconstruction to match trades PR293. Thomas Wiecki, Andrew Campbell. See the tutorial for more information.
• Prettier printing of tables in notebooks PR289. Thomas Wiecki
• Faster max-drawdown calculation PR281. Devin Stevenson
• New metrics tail-ratio and common sense ratio PR276. Thomas Wiecki
• Log-scaled cumulative returns plot and raw returns plot PR294. Thomas Wiecki

Bug fixes

• Many depracation fixes for Pandas 0.18.0, seaborn 0.6.0, and zipline 0.8.4

See http://quantopian.github.io/pyfolio/whatsnew/#v050-april-21-2016-olympia  for more details.

Best,

Thomas

[Xuchun Li]

Hi, 

How can I save the tear sheet results in local disk, such at all the images of the trading algorithm performance? Thanks.

Regards,

Xuchun

[Thomas Wiecki]

Hi Xuchun,

import matplotlib.pyplot as plt

create_tear_sheet()

plt.savefig('mytear.png')

Should do the trick. This will probably just save the latest tear sheet created so you probably can't use create_full_tear_sheet().

HTH,

Thomas

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[Xuchun Li]

Hi Thomas,

Thanks for the reply. 

I use below command to plot return chart.

import pyfolio as pf

pf.create_returns_tear_sheet(returns)

import matplotlib.pyplot as plt

plt.savefig('mytear.png')

But when I run the above code from my MAC terminal, it pop up a new window which shows the return chart. And never run the code plt.savefig('mytear.png') to save the file. If I close the pop up chart window, plt.savefig('mytear.png') save an empty file. How can I solve this problem?

Xuchun

[Thomas Wiecki]

Alternatively, you can try:

fig = pf.create_returns_tear_sheet(returns, return_fig=True)

fig.save('mytear.png')

[Xuchun Li]

This code has same problem. But I have figured out the solution as follows.

pf.plot_monthly_returns_dist(returns)

plt.savefig('monthly_returns_dist.png')

plt.close()

Thanks anyway. Do you know how to load local csv file for zipline backtest?

Xuchun