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Getting to portfolio performance data.



  • I'm in the process of porting a "tearsheet" writer from QSTrader. A very good friend wrote this code and I would like to have it available in BT. Check out the image below to see some of the output. Similar to Pyfolio, but focuses on the things that I believe are most important when developing systems.

    I'm close to having this working but could use a little guidance as to how to get to the following data:

    avg_bot
    avg_price
    avg_sld
    cost_basis
    init_commission
    init_price
    market_value
    net
    net_incl_comm
    net_total
    realised_pnl
    total_bot
    total_commission
    total_sld
    unrealised_pnl
    

    I see much of what I need being derived or created in tradeanalyzer.py, but not clear to me how I access this from the analyzer I am creating. Help would be appreciated. I only see self._returns, self._positions, self._transactions and self._gross_lev from where I am working which may be enough to calculate these, but I feel like this is being done somewhere else for me.

    Help much appreciated.

    0_1487722960486_Selection_NNN(084).png



  • Agree that pyfolio has a lot of excessive information.
    If you would consider to add calmar ratio to your stats, that would be really appreciated.



  • maybe a trades chart with up and down arrows for when the trades were entered and exited, I use it to generally eyeball and do a sanity check on when the trades occurred and whether I as a human agree with it :)



  • QSTrader's tear sheet is great.

    Would be nice to get a confusion matrix as well!



  • @jaikumarm The trade chart is possible today with the standard cerebro.plot() function if you have the appropriate analyzers configured.