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quantopian/pyfolio

Portfolio and risk analytics in Python

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George Ho

@eigenfoo

if you pass in return_fig=True, it will give you the matplotlib figure

hope I understood your question correctly

IA-UoK

@IA-UoK

hello guys,

im trying to run pyfolio on results form zipline

when i try running
returns, positions, transactions, gross_lev = pf.utils.extract_rets_pos_txn_from_zipline(results)

i get an error

AttributeError: 'RangeIndex' object has no attribute 'normalize'

any ideas?

and wouldn't pyfolio work on python 2.7?

George Ho

@eigenfoo

Hi @IA-UoK, could you please post a full stack trace?

pyfolio and zipline are experiencing some compatibility issues right now, which we're trying to fix. However, this problem doesn't sound like its happening because of that

IA-UoK

@IA-UoK

@georgh0021 here you go...

AttributeError Traceback (most recent call last)

<ipython-input-7-dbdebde5f2a4> in <module>()
----> 1 returns, positions, transactions, gross_lev = pf.utils.extract_rets_pos_txn_from_zipline(results)

/Users/im572/anaconda/envs/zl36/lib/python3.6/site-packages/pyfolio/utils.py in extract_rets_pos_txn_from_zipline(backtest)
427 """
428
--> 429 backtest.index = backtest.index.normalize()
430 if backtest.index.tzinfo is None:
431 backtest.index = backtest.index.tz_localize('UTC')

AttributeError: 'RangeIndex' object has no attribute 'normalize'

i have tried it on both python 2.7 and 3.6

same results

George Ho

@eigenfoo

hi @IA-UoK, are you using the latest version of pyfolio? Could you also open a github issue and describe how you're using zipline and pyfolio? I can't seem to recreate the bug you have

Neil

@torablien

hi there! i'm a total beginner and am looking for a portfolio analysis tool and was wondering if pyfolio is right for me. I have a portfolio of various sp500 equities and I would love to see analysis on the entire portfolio as a whole (e.g. have 2 shares FB, 6 shares GOOG, 3 shares IBM, etc.). Would pyfolio be able to help me do this?

Arash Gol-Mohammadi

@arashgmn

I guess there is a problem in tears.py (pyfolio 0.9), line 641.

change (bootstrap is not None) to (bootstrap is not False) saved my life :)

Tim Paine

@timkpaine

@twiecki et al, noticed some name squatting on cufflinks and it led us to quantopian/empyrical#105 and quantopian/pyfolio#576, we contacted pypa to get the cufflinks3 clone removed/transferred as it could be a security risk in the future, I recommend doing the same for these two

Tim Paine

@timkpaine

pypa/warehouse#4916

nyc_tinker

@nyc-tinker

I've been trying to generate a create_returns_tear_sheet and am running into 'truth value of a Series is ambiguous' errors on a single security - is this a known issue? Can't seem to find anything on the github page...

nyc_tinker

@nyc-tinker

@nyc-tinker Figured it out: looks like returns parameter I used was a dataframe object instead of a pandas series...

oksanaustenko

@oksanaustenko

I have an error when using some functions in pyfolio: pyfolio.timeseries.get_top_drawdowns(returns, top=10)

AttributeError: 'DataFrame' object has no attribute 'argmin'

ValueError: Must pass 2-d input

There are returns i'm using

Do ypu know why i'm having this error?

peanutice

@peanutice

i installed the pyfolio package and the rest of packages with python, however how do i use them?

Albert

@AlbertWh1te

Victor

@victortangggg

@peanutice https://www.youtube.com/watch?v=BCLgXjxYONg seems like good intro

Prabu Natarajan

@prabuinet

can someone help me with this error, when i run the function pf.create_returns_tear_sheet(returns) ...

std = var.dtype.type(np.sqrt(var))
AttributeError: 'float' object has no attribute 'dtype'

Prabu Natarajan

@prabuinet

got it, my returns column was object instead of float

MiniGeek

@LuisFRoch

Hi all!, is this tool a blackbox where one runs a command and gets output or is there actual documentation to modify the code? I'd appreciate some feedback; thanks!

emretezel

@emretezel

Hi everyone, is there any way to use Pyfolio from outside of notebook. I am running my Algo from PyCharm or command line and would like to see the tear sheet either as pdf or pop up on screen. Thanks!

Fabio Federici

@fabiofederici

hi all, any information of what the default risk-free rate is when creating a tear sheet?

Caio Lacerda de Castro

@CTred_gitlab

Hello guys! First time here. Does pyfolio works well with python 3.8 or should I open a separate python environment with a different version?

Juergen Jean-Marie

@juergenjeanmarie_gitlab

Where can I find an example for pyfolio for pure python?

yun jinqi

@tianjixuetu

this function returns the valley as a number,the target is a datetime

so np.argmin is right?

yun jinqi

@tianjixuetu

ok,solve it . we should add a code to the last

valley = list(underwater.index)[valley]

change number to datetime

Chao

@c3qian

Hi everyone , since the platform was shutdown, taking all instructions away. May I ask, can I still import Quantopian locally? If yes, could you please point me the reference ? Thanks

Juergen Jean-Marie

@juergenjeanmarie_gitlab

Can I use this for forex?

neoking89

@neoking89

Hi guys! a few questions: 1. do the returns need to include weekends for the tearsheet to work? I get different result, but want to standardize it for both stocks and crypto

in jupyter notebook it works perfect, but I would also like to make it work with the fantastic plots from the tearsheet in vs code. any ideas?

Louis De Bontin

@likhardcore

Hello, I'm trying to run the exemples on a jupyterlab, but I have errors from the start :
UserWarning: Module "zipline.assets" not found; mutltipliers will not be applied to position notionals.

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