pyfolio

To develop on pyfolio, it is recommended to use a virtual environment to avoid dependency conflicts. Follow these steps:

1. Create a virtual environment using mkvirtualenv.
2. Clone the repository.
3. Install the package in development mode using python setup.py develop.

mkvirtualenv pyfolio
# After cloning the repo:
python setup.py develop

To install the pyfolio library for performance and risk analysis of financial portfolios, use pip:

pip install pyfolio

The best way to explore pyfolio's capabilities is by running the provided examples in a Jupyter notebook:

1. Start a Jupyter notebook server by running jupyter notebook in your terminal.
2. In the browser, navigate to the pyfolio/examples directory.
3. Open a notebook and execute cells using Shift+Enter.

If you are using OSX with a non-framework build of Python, you may need to manually set the Matplotlib backend to TkAgg to ensure plots render correctly.

echo "backend: TkAgg" > ~/.matplotlib/matplotlibrc

As of v0.7.0, pyfolio has basic capability for analyzing intraday strategies. If a strategy has a high transaction volume relative to end-of-day positions, pyfolio attempts to reconstruct intraday positions and plot peak market exposure. You can control this behavior using the estimate_intraday parameter in tear sheet functions:

• estimate_intraday=True: Automatically attempt to reconstruct intraday positions.
• estimate_intraday=False: Disable intraday reconstruction.