PyFolio performance issues on Pandas Data Frame
PyFolio is returning a single value for each day when generating data frame for returns and positions. Meanwhile, transaction data frame shows intra-day execution.
When the data is ingested from Generic CSV feed, PyFolio is able to iterate through each data observation and return positions and returns value
You may want to let us know (in code terms) what you have done and what your expectations are. Your message isn't clear at all.
In any case one can tray to read between the lines that your problems may have to do with intraday data and
pyfolioexpects daily returns (at least with the versions that worked, because the API kept changing and there could of course have been an update)
Apologies for not articulating the problem well enough in the first post. However, you have correctly inferred that I am facing issues with not being able to see intraday positions and returns from PyFolio analyzer.
My run strat function looks like this:
def runstrat1(): args = parse_args() # Create a cerebro entity cerebro = bt.Cerebro(stdstats=True) # Add a strategy cerebro.addstrategy(strategy1.TestStrategy) # Get a pandas dataframe datapath = ('./dataset/data2.csv') dataframe = pd.read_csv(datapath,parse_dates=True,index_col=0) # Pass it to the backtrader datafeed and add it to the cerebro data = PandasDataExpanded(dataname=dataframe) cerebro.adddata(data) # Add PyFolio Analyzer cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio') # Run over everything strats = cerebro.run() returns, positions, transactions, gross_lev = pyfoliozer.get_pf_items() for each in strat0.analyzers: each.print() print(positions['cash']) # Plot the result if not args.noplot: cerebro.plot(style='bar') return positions
My class for pandas data feed look like this:
class PandasDataExpanded(btfeeds.PandasData): lines = ('barCount',) params = (('barCount', -1),)