Analyzer (pyfolio) for intraday trades

Pierre Cilliers 0

Hi all,

BACKGROUND:

I have a strategy that ingests tick data (on a microsecond interval). I resample these data to daily bars to calculate my technical indicators (e.g. moving average). See the code below which indicates my two data sources (self.data/self.data0 represents tick level data and self.data1 represents daily bar data):

    datapath = os.path.join(os.getcwd(), 'input_data/EURUSD_tick_data.csv')    
    datac = bt.feeds.GenericCSVData(dataname = datapath, 
                                    fromdate = datetime.datetime(2021, 1, 3), 
                                    todate = datetime.datetime(2021, 1, 8),
                                    dtformat=('%Y%m%d'),
                                    tmformat=('%H:%M:%S:%f'),
                                    timeframe=bt.TimeFrame.MicroSeconds, 
                                    compression=1,
                                    date=0,
                                    time=1,
                                    open=2,
                                    high=3,
                                    low=2,
                                    close=3,
                                    volume=4,
                                    openinterest=-1
                                    )
   

    cerebro = bt.Cerebro(exactbars = False)

    cerebro.replaydata(datac, timeframe=bt.TimeFrame.MicroSeconds, compression=1, name='data')
    datac.plotinfo.plotmaster = datac
    cerebro.replaydata(datac, timeframe=bt.TimeFrame.Days, compression=1, name='data1')

The logic of my strategy is not that important for this inquiry, however, note that self.data is used to make trades (therefore def next() is triggered each tick and trades are executed at a tick level). Even though the technical indicators are calculated on daily bar data, the trades are executed every tick.

MY QUESTION:

Although my strategy runs end-to-end and I can get a plot after my execution, I want to calculate additional performance measures.

I have tried the following to get pyfolio tear sheets, however, it seems like it struggles with intraday trades. Is there a analyzer (or pyfolio if im using it wrong) to output performance measures for intraday trades.

    results = cerebro.run()
    strat = results[0]
    pyfoliozer = strat.analyzers.getbyname('pyfolio')
    returns, positions, transactions, gross_lev = pyfoliozer.get_pf_items()

    import pyfolio as pf

    pf.create_simple_tear_sheet(returns)
    pf.create_returns_tear_sheet(returns)

Pierre Cilliers 0

I am investigating quantstats a bit. Seems to fulfill the needs for intra-day trades (on a tick level).

Pierre Cilliers 0

Some code I am experimenting with

results = cerebro.run()
strat = results[0]
pyfoliozer = strat.analyzers.getbyname('pyfolio')
returns, positions, transactions, gross_lev = pyfoliozer.get_pf_items()
returns.index = returns.index.tz_convert(None)

# Plot the result
cerebro.plot(iplot=False)

import pandas as pd
import quantstats

quantstats.reports.html(returns, output='stats.html', title='Strategy naive')