pyfolio-reloaded — Portfolio Performance Analytics

pyfolio-reloaded — Portfolio Performance Analytics

pyfolio-reloaded is the actively maintained fork of Quantopian's pyfolio, providing deep quantitative portfolio analytics. It generates beautiful tear sheets covering returns, drawdowns, Sharpe/Sortino ratios, rolling beta, factor exposures, transaction costs, and round-trip analysis — essential for evaluating backtested and live trading strategies.

Key Features

• Full tear sheets: returns, drawdowns, risk metrics, position analysis, transaction analysis
• Rolling performance metrics: Sharpe, beta, volatility, correlation
• Bayesian tear sheet (posterior distributions of performance metrics)
• Integration with Zipline, QuantConnect, and any returns Series
• Interactive Plotly output supported

Quick Start

import pyfolio as pf
import pandas as pd

# Load daily returns (index=DatetimeIndex, values=float)
returns = pd.read_csv("strategy_returns.csv", index_col=0, parse_dates=True).squeeze()
pf.create_full_tear_sheet(returns)

npx ai-supply add pyfolio-reloaded-portfolio-analytics

Curated mirror of the open-source pyfolio-reloaded (Apache-2.0). Get it from the source.