Getting to portfolio performance data.

[RandyT]

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.

[ab_trader]

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.

[jaikumarm]

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 :)

[cnimativ]

QSTrader's tear sheet is great.

Would be nice to get a confusion matrix as well!

[RandyT]

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