Sharpe Ratio BT vs Pyfolio different values

I have a very simple strategy and in the end I run:
cerebro.addanalyzer(bt.analyzers.SharpeRatio) cerebro.addanalyzer(bt.analyzers.Returns) cerebro.addanalyzer(bt.analyzers.PyFolio)
Then I compare the return and Sharpe from bt to Pyfolio and they are
different:Sharpe Ratio 1.22111855094Total return 0.671019659277
Entire data start date: 20120924 Entire data end date: 20170922 Backtest months: 59 BacktestAnnual return 14.4% Cumulative returns 95.6% Annual volatility 15.2% Sharpe ratio 0.96 Calmar ratio 0.86 Stability 0.90 Max drawdown 16.8% Omega ratio 1.18 Sortino ratio 1.48 Skew 0.86 Kurtosis 8.21 Tail ratio 1.02 Daily value at risk 1.9% Gross leverage 0.60 Daily turnover 0.2% Alpha 0.04 Beta 0.81
Is it due to the Risk Free rate? Comission? Slippage?

Look at SharpeRatio analyzer code in backtrader and check how many parameters does it have. Any of those parameters will influence the result. Pyfolio Sharpe ratio has to rely on some default parameters as well, they are probably different than bt.SharpeRatio defaults.

These days
pyfolio
relies onempyrical
for calculations likeSharpe
.The definition of the
sharpe_ratio
inempyrical
(See here: empyrical  Sharpe Ratiodef sharpe_ratio(returns, risk_free=0, period=DAILY, annualization=None):
There is already a difference with the following :
 ``riskfreerate`` (default: 0.01 > 1%)
and a second here:
 ``timeframe``: (default: ``TimeFrame.Years``)
because
empyrical
has a default ofDAILY
. This may be an entirely different thing and not directly related to the timeframe.You'll have to check both sources.