3. Question on PyFolio
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2019-10-02: The community is currently in read-only mode

Question on PyFolio

  • S

    First of all, thank you for developing such a great backtesting tool, I started getting familiar with it.
    While I am trying and use Pyfolio with Backtrader I ran into the following question:
    Firstly I understand that PyFolio does not support Intraday timeframe(Error occurred), the smallest granularity they support is Days.
    I am currently working on an intraday trading strategy with 1min,10min, 1day bar(3 data feeds, same ticker), the strategy is using indicators from all three data feeds and transactions were placed only on the 1min bar.
    However, I don't mind have the performance analysis on a daily basis, as long as Pyfolio supports.
    Is there any way I could format the trading result and feed to Pyfolio and make it works?
    I would really appreciate it if you could provide any guidelines or thoughts

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    B
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  • B
    administrators

    @sylvain said in Question on PyFolio:

    Is there any way I could format the trading result and feed to Pyfolio and make it works?

    Your use case is not covered by the PyFolioAnalyzer which is the analyzer wrapping the calls to PyFolio.

    You would have to use the existing code as basis for a new analyzer which decides which data feeds to consider.

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