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Pyfolio sample help
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I am trying to replicate the sample shown on https://www.backtrader.com/docu/analyzers/pyfolio.html on my computer so that I can begin to use it on my own strategy knowing it works properly. I am using python 3.6 and have downgraded to the version of PyFolio used for the backtrader integration (0.5.1).
The code I have is identical to the sample in the link:
from __future__ import (absolute_import, division, print_function, unicode_literals) import argparse import datetime import random import backtrader as bt class St(bt.Strategy): params = ( ('printout', False), ('stake', 1000), ) def __init__(self): pass def start(self): if self.p.printout: txtfields = list() txtfields.append('Len') txtfields.append('Datetime') txtfields.append('Open') txtfields.append('High') txtfields.append('Low') txtfields.append('Close') txtfields.append('Volume') txtfields.append('OpenInterest') print(','.join(txtfields)) def next(self): if self.p.printout: # Print only 1st data ... is just a check that things are running txtfields = list() txtfields.append('%04d' % len(self)) txtfields.append(self.data.datetime.datetime(0).isoformat()) txtfields.append('%.2f' % self.data0.open[0]) txtfields.append('%.2f' % self.data0.high[0]) txtfields.append('%.2f' % self.data0.low[0]) txtfields.append('%.2f' % self.data0.close[0]) txtfields.append('%.2f' % self.data0.volume[0]) txtfields.append('%.2f' % self.data0.openinterest[0]) print(','.join(txtfields)) # Data 0 for data in self.datas: toss = random.randint(1, 10) curpos = self.getposition(data) if curpos.size: if toss > 5: size = curpos.size // 2 self.sell(data=data, size=size) if self.p.printout: print('SELL {} @%{}'.format(size, data.close[0])) elif toss < 5: self.buy(data=data, size=self.p.stake) if self.p.printout: print('BUY {} @%{}'.format(self.p.stake, data.close[0])) def runstrat(args=None): args = parse_args(args) cerebro = bt.Cerebro() cerebro.broker.set_cash(args.cash) dkwargs = dict() if args.fromdate: fromdate = datetime.datetime.strptime(args.fromdate, '%Y-%m-%d') dkwargs['fromdate'] = fromdate if args.todate: todate = datetime.datetime.strptime(args.todate, '%Y-%m-%d') dkwargs['todate'] = todate data0 = bt.feeds.BacktraderCSVData(dataname=args.data0, **dkwargs) cerebro.adddata(data0, name='Data0') data1 = bt.feeds.BacktraderCSVData(dataname=args.data1, **dkwargs) cerebro.adddata(data1, name='Data1') data2 = bt.feeds.BacktraderCSVData(dataname=args.data2, **dkwargs) cerebro.adddata(data2, name='Data2') cerebro.addstrategy(St, printout=args.printout) if not args.no_pyfolio: cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio') results = cerebro.run() if not args.no_pyfolio: strat = results[0] pyfoliozer = strat.analyzers.getbyname('pyfolio') returns, positions, transactions, gross_lev = pyfoliozer.get_pf_items() if args.printout: print('-- RETURNS') print(returns) print('-- POSITIONS') print(positions) print('-- TRANSACTIONS') print(transactions) print('-- GROSS LEVERAGE') print(gross_lev) import pyfolio as pf pf.create_full_tear_sheet( returns, positions=positions, transactions=transactions, gross_lev=gross_lev, live_start_date='2005-05-01', round_trips=True) if args.plot: cerebro.plot(style=args.plot_style) def parse_args(args=None): parser = argparse.ArgumentParser( formatter_class=argparse.ArgumentDefaultsHelpFormatter, description='Sample for pivot point and cross plotting') parser.add_argument('--data0', required=False, default='../../datas/yhoo-1996-2015.txt', help='Data to be read in') parser.add_argument('--data1', required=False, default='../../datas/orcl-1995-2014.txt', help='Data to be read in') parser.add_argument('--data2', required=False, default='../../datas/nvda-1999-2014.txt', help='Data to be read in') parser.add_argument('--fromdate', required=False, default='2005-01-01', help='Starting date in YYYY-MM-DD format') parser.add_argument('--todate', required=False, default='2006-12-31', help='Ending date in YYYY-MM-DD format') parser.add_argument('--printout', required=False, action='store_true', help=('Print data lines')) parser.add_argument('--cash', required=False, action='store', type=float, default=50000, help=('Cash to start with')) parser.add_argument('--plot', required=False, action='store_true', help=('Plot the result')) parser.add_argument('--plot-style', required=False, action='store', default='bar', choices=['bar', 'candle', 'line'], help=('Plot style')) parser.add_argument('--no-pyfolio', required=False, action='store_true', help=('Do not do pyfolio things')) import sys aargs = args if args is not None else sys.argv[1:] return parser.parse_args(aargs) runstrat([])However, my output is different to the one in the link (the values of the statistics, and produces some error messages along the way which I believe is preventing some of the statistics from being calculated):
Entire data start date: 2005-01-03 Entire data end date: 2006-12-29 Out-of-Sample Months: 20 Backtest Months: 3 Performance statistics All history Backtest Out of sample annual_return -0.01 -0.07 0.00 annual_volatility 0.23 0.57 0.00 sharpe_ratio 0.05 0.12 0.22 calmar_ratio -0.05 -0.30 0.14 stability_of_timeseries -0.19 -0.41 -0.15 max_drawdown -0.24 -0.24 -0.00 omega_ratio 1.08 1.08 1.06 sortino_ratio 0.11 0.28 0.25 skew 15.26 6.14 -9.40 kurtosis 339.59 52.70 145.92 tail_ratio 0.77 0.06 1.05 common_sense_ratio 0.76 0.06 1.05 information_ratio -0.02 0.02 -0.09 alpha 0.01 0.07 -0.00 beta 0.00 0.02 0.00 /Users/maxpaton/anaconda3/lib/python3.6/site-packages/numpy/core/fromnumeric.py:52: FutureWarning: 'argmin' is deprecated, use 'idxmin' instead. The behavior of 'argmin' will be corrected to return the positional minimum in the future. Use 'series.values.argmin' to get the position of the minimum now. return getattr(obj, method)(*args, **kwds) Worst Drawdown Periods net drawdown in % peak date valley date recovery date duration 0 24.27 2005-01-10 2005-01-25 NaT NaN 1 0.80 2005-01-03 2005-01-04 2005-01-07 5 2 0.00 2005-01-03 2005-01-03 2005-01-03 1 3 0.00 2005-01-03 2005-01-03 2005-01-03 1 4 0.00 2005-01-03 2005-01-03 2005-01-03 1 [-0.029 -0.069] /Users/maxpaton/anaconda3/lib/python3.6/site-packages/seaborn/categorical.py:454: FutureWarning: remove_na is deprecated and is a private function. Do not use. box_data = remove_na(group_data) Stress Events mean min max Low Volatility Bull Market 0.00% -11.26% 29.32% Top 10 long positions of all time max Data2 35.47% Empty DataFrame Columns: [max] Index: [] Top 10 positions of all time max Data2 35.47% All positions ever held max Data2 35.47% /Users/maxpaton/anaconda3/lib/python3.6/site-packages/matplotlib/axes/_axes.py:6462: UserWarning: The 'normed' kwarg is deprecated, and has been replaced by the 'density' kwarg. warnings.warn("The 'normed' kwarg is deprecated, and has been " /Users/maxpaton/anaconda3/lib/python3.6/site-packages/pyfolio/round_trips.py:127: FutureWarning: Interpreting tuple 'by' as a list of keys, rather than a single key. Use 'by=[...]' instead of 'by=(...)'. In the future, a tuple will always mean a single key. 'block_time')) /Users/maxpaton/anaconda3/lib/python3.6/site-packages/pyfolio/round_trips.py:130: FutureWarning: Interpreting tuple 'by' as a list of keys, rather than a single key. Use 'by=[...]' instead of 'by=(...)'. In the future, a tuple will always mean a single key. grouped_rest = t.groupby(('block_dir', 'block_time')).agg({ Traceback (most recent call last): File "BT_pyfolio_eg.py", line 177, in <module> runstrat([]) File "BT_pyfolio_eg.py", line 120, in runstrat round_trips=True) File "/Users/maxpaton/anaconda3/lib/python3.6/site-packages/pyfolio/tears.py", line 192, in create_full_tear_sheet sector_mappings=sector_mappings) File "/Users/maxpaton/anaconda3/lib/python3.6/site-packages/pyfolio/plotting.py", line 49, in call_w_context return func(*args, **kwargs) File "/Users/maxpaton/anaconda3/lib/python3.6/site-packages/pyfolio/tears.py", line 584, in create_round_trip_tear_sheet portfolio_value=positions.sum(axis='columns') / (1 + returns) File "/Users/maxpaton/anaconda3/lib/python3.6/site-packages/pyfolio/round_trips.py", line 261, in extract_round_trips .join(pv, on='date', lsuffix='_') File "/Users/maxpaton/anaconda3/lib/python3.6/site-packages/pandas/core/frame.py", line 6326, in join rsuffix=rsuffix, sort=sort) File "/Users/maxpaton/anaconda3/lib/python3.6/site-packages/pandas/core/frame.py", line 6341, in _join_compat suffixes=(lsuffix, rsuffix), sort=sort) File "/Users/maxpaton/anaconda3/lib/python3.6/site-packages/pandas/core/reshape/merge.py", line 60, in merge validate=validate) File "/Users/maxpaton/anaconda3/lib/python3.6/site-packages/pandas/core/reshape/merge.py", line 554, in __init__ self._maybe_coerce_merge_keys() File "/Users/maxpaton/anaconda3/lib/python3.6/site-packages/pandas/core/reshape/merge.py", line 986, in _maybe_coerce_merge_keys raise ValueError(msg) ValueError: You are trying to merge on datetime64[ns, UTC] and datetime64[ns] columns. If you wish to proceed you should use pd.concatPlease could you tell me why this is, and suggest a solution?
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Looks like your script makes trades based on random numbers. So I wouldn't be surprised if it will give different stats with every new run.
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@ab_trader Ah yes, I see, cheers. And the errors? They seem to be causing many of the graphs to be plotting incorrectly/incompletely.
Also, my output of the worst drawdown periods seems to be incorrect in a way that's not caused by the randomness of the sampling. For example, considering the data sources are the same, when you compare my output to this:
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Even if you downgraded to
PyFolio0.5.1it would seem some of the packages that are needed as dependencies are more modern than the ones available when0.5.1was released, hence the errors.It's simply a conundrum.
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@backtrader Right. I don't see how I can use PyFolio with BackTrader in that case then, or how others in my situation can either, without downgrading each package as and when a respective error appears.
I wonder if anyone has a definitive list of the dependencies and the versions needed for it to work correctly?
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I can give you what is left behind in the 2.7 installation which has remained long un-updated.
Name: pyfolio Version: 0.5.1 Summary: pyfolio is a Python library for performance and risk analysis of financial portfolios Home-page: https://github.com/quantopian/pyfolio Author: Quantopian Inc Author-email: opensource@quantopian.com License: Apache License, Version 2.0 Location: d:\dro\bin\winpython-64bit-2.7.10.3\python-2.7.10.amd64\lib\site-packages Requires: scikit-learn, pandas-datareader, pandas, python-dateutil, seaborn, numpy, pytz, matplotlib, scipy, mock, pyparsing, funcsigs Required-by: --- Name: scikit-learn Version: 0.17.1 Summary: A set of python modules for machine learning and data mining Home-page: http://scikit-learn.org Author: Andreas Mueller Author-email: amueller@ais.uni-bonn.de License: new BSD Location: d:\dro\bin\winpython-64bit-2.7.10.3\python-2.7.10.amd64\lib\site-packages Requires: Required-by: pyfolio --- Name: pandas-datareader Version: 0.2.0 Summary: Data readers extracted from the pandas codebase,should be compatible with recent pandas versions Home-page: https://github.com/pydata/pandas-datareader Author: The PyData Development Team Author-email: pydata@googlegroups.com License: BSD License Location: d:\dro\bin\winpython-64bit-2.7.10.3\python-2.7.10.amd64\lib\site-packages Requires: pandas Required-by: pyfolio --- Name: pandas Version: 0.18.1 Summary: Powerful data structures for data analysis, time series,and statistics Home-page: http://pandas.pydata.org Author: The PyData Development Team Author-email: pydata@googlegroups.com License: BSD Location: d:\dro\bin\winpython-64bit-2.7.10.3\python-2.7.10.amd64\lib\site-packages Requires: numpy, python-dateutil, pytz Required-by: xray, pyfolio, pandas-market-calendars, pandas-datareader, odo, db.py, castra, bqplot, bokeh, blaze, baresql --- Name: python-dateutil Version: 2.4.2 Summary: Extensions to the standard Python datetime module Home-page: https://dateutil.readthedocs.org Author: Yaron de Leeuw Author-email: me@jarondl.net License: Simplified BSD Location: d:\dro\bin\winpython-64bit-2.7.10.3\python-2.7.10.amd64\lib\site-packages Requires: six Required-by: pyfolio, pandas, matplotlib, datashape, bokeh, ablog --- Name: seaborn Version: 0.7.1 Summary: Seaborn: statistical data visualization Home-page: http://stanford.edu/~mwaskom/software/seaborn/ Author: Michael Waskom Author-email: mwaskom@stanford.edu License: BSD (3-clause) Location: d:\dro\bin\winpython-64bit-2.7.10.3\python-2.7.10.amd64\lib\site-packages Requires: Required-by: pyfolio --- Name: numpy Version: 1.11.1+mkl Summary: NumPy: array processing for numbers, strings, records, and objects. Home-page: http://www.numpy.org Author: NumPy Developers Author-email: numpy-discussion@scipy.org License: BSD Location: d:\dro\bin\winpython-64bit-2.7.10.3\python-2.7.10.amd64\lib\site-packages Requires: Required-by: xray, Theano, tables, PyQwt, pyqtgraph, pyfolio, patsy, pandas, odo, numexpr, numba, netCDF4, matplotlib, lmfit, holoviews, h5py, datashape, castra, bqplot, Bottleneck, bokeh, bloscpack, blaze, bcolz --- Name: pytz Version: 2015.7 Summary: World timezone definitions, modern and historical Home-page: http://pythonhosted.org/pytz Author: Stuart Bishop Author-email: stuart@stuartbishop.net License: MIT Location: d:\dro\bin\winpython-64bit-2.7.10.3\python-2.7.10.amd64\lib\site-packages Requires: Required-by: pyfolio, plotly, pandas, matplotlib, Babel --- Name: matplotlib Version: 1.5.0rc3 Summary: Python plotting package Home-page: http://matplotlib.org Author: John D. Hunter, Michael Droettboom Author-email: matplotlib-users@python.org License: BSD Location: d:\dro\bin\winpython-64bit-2.7.10.3\python-2.7.10.amd64\lib\site-packages Requires: python-dateutil, numpy, pytz, pyparsing, cycler Required-by: scikit-image, pyfolio --- Name: scipy Version: 0.16.1 Summary: SciPy: Scientific Library for Python Home-page: http://www.scipy.org Author: SciPy Developers Author-email: scipy-dev@scipy.org License: BSD Location: d:\dro\bin\winpython-64bit-2.7.10.3\python-2.7.10.amd64\lib\site-packages Requires: Required-by: Theano, pyfolio, lmfit --- Name: mock Version: 2.0.0 Summary: Rolling backport of unittest.mock for all Pythons Home-page: https://github.com/testing-cabal/mock Author: Testing Cabal Author-email: testing-in-python@lists.idyll.org License: UNKNOWN Location: d:\dro\bin\winpython-64bit-2.7.10.3\python-2.7.10.amd64\lib\site-packages Requires: pbr, funcsigs, six Required-by: pyfolio --- Name: pyparsing Version: 2.2.0 Summary: Python parsing module Home-page: http://pyparsing.wikispaces.com/ Author: Paul McGuire Author-email: ptmcg@users.sourceforge.net License: MIT License Location: d:\dro\bin\winpython-64bit-2.7.10.3\python-2.7.10.amd64\lib\site-packages Requires: Required-by: pyfolio, packaging, matplotlib --- Name: funcsigs Version: 0.4 Summary: Python function signatures from PEP362 for Python 2.6, 2.7 and 3.2+ Home-page: http://funcsigs.readthedocs.org Author: Aaron Iles Author-email: aaron.iles@gmail.com License: ASL Location: d:\dro\bin\winpython-64bit-2.7.10.3\python-2.7.10.amd64\lib\site-packages Requires: Required-by: pyfolio, numba, mock -
I've been able to run pyfolio using:
pandas-datareader==0.2.0 pandas==0.18.1 python-dateutil==2.4.2 -
@maxpaton I converted the time index of returns, transactions, and positions from datetime64[ns, UTC] to datetime64[ns] and it works.
returns.index = returns.index.tz_convert(None) positions.index = positions.index.tz_convert(None) transactions.index = transactions.index.tz_convert(None)
