How to create pyfolio round trip tearsheet?

Arun Lama

Hi, I'm trying to create round_trip_tearsheet using pyfolio because it has trade stats like profit factor, average winning trade, average losing trade, percent profitable, etc. I found two ways to do it. One is by adding round_trips= True in pf.create_full_tearsheet and another is using pf.create_round_trip_tear_sheet but I failed in both.

upon running the first one, I get some stats and charts but not the stats I want with RuntimeError: Selected KDE bandwidth is 0. Cannot estiamte density.

Second alternative with create_round_trip_tear_sheet gives KeyError: ('block_dir', 'block_time')

Please shed some light here on how I can get those trade stats. Thank you in advance. @ab_trader Below is my full code.

%matplotlib inline
from datetime import datetime
import backtrader as bt
import pandas as pd
import math
import pyfolio as pf
import backtrader.analyzers as btanalyzers
class SmaCross(bt.Strategy):
    params = dict(pslow=20,order_percentage= 0.99,ticker = 'NEPSE')
    
    def log(self, txt, dt=None):
            dt = dt or self.datas[0].datetime.date(0)
            print('%s, %s' % (dt.isoformat(), txt))
            
    def __init__(self):
        sma = bt.talib.SMA(self.data.close,timeperiod=self.p.pslow)
        self.crossover = bt.ind.CrossOver(self.data.close, sma, plot = True)  
    
    def next(self):
        if not self.position:  
            if self.crossover > 0: 
                
                amount_to_invest = (self.p.order_percentage*self.broker.cash)
                self.size = math.floor(amount_to_invest/self.data.close)
                self.buy(size=self.size)           
#                 self.log('%s,Buy, %d,%d 0,%.0f' % (self.params.ticker,self.size,self.data.close[0],cerebro.broker.getvalue()))
        elif self.crossover < 0: 
                self.close() 
#                 self.log('%s,Sell, %d,%d 0,%.0f' % (self.params.ticker,self.size,self.data.close[0],cerebro.broker.getvalue()))
    
cerebro = bt.Cerebro()  
feed = pd.read_csv('test.csv',index_col = 'Date',parse_dates = True)
data = bt.feeds.PandasData(dataname = feed)
cerebro.adddata(data) 
cerebro.addstrategy(SmaCross)  
print('Starting Portfolio Value: %.0f' % cerebro.broker.getvalue())
# strat = cerebro.run()
print('Final Portfolio Value: %.0f' % cerebro.broker.getvalue())
cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio')
results = cerebro.run()
strat = results[0]
pyfoliozer = strat.analyzers.getbyname('pyfolio')
returns, positions, transactions, gross_lev = pyfoliozer.get_pf_items()
pf.create_round_trip_tear_sheet(returns, positions, transactions)
# pf.create_full_tear_sheet(
#     returns,
#     positions=positions,
#     transactions=transactions,
#     round_trips=True)

run-out

@Arun-Lama said in How to create pyfolio round trip tearsheet?:

profit factor, average winning trade, average losing trade, percent profitable, etc.

These items can be found in the trade analyzer.

If you want a decent tear sheet you can use QuantStats. Just create an indicator that will give you the value of the portfolio and you can send that into QuantStats to get a tearsheet. I use the following analyzer:

class CashMarket(bt.analyzers.Analyzer):
    """
    Analyzer returning cash and market values
    """

    def start(self):
        super(CashMarket, self).start()

    def create_analysis(self):
        self.rets = {}
        self.vals = 0.0

    def notify_cashvalue(self, cash, value):
        self.vals = (cash, value)
        self.rets[self.strategy.datetime.datetime()] = self.vals

    def get_analysis(self):
        return self.rets