How can I use Pyfolio with backtrader?

Michael Scofield

So, as the document mentioned that the API of pyfolio changed.

I would like to know how can I integrate pyfolio with backtrader.

Can someone give me an example to explain the procedure of integrating pyfolio with backtrader?

Thanks!

lvaghi

Hi Michael,
I see that nobody answered your question. So I think the following lines of coding
could be a starting point for you:

    # Add a strategy
    cerebro.addstrategy(TestStrategy,df_alloc)
    # Analyzer
    cerebro.addanalyzer(btanalyzers.SharpeRatio, _name='mysharpe')
    cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio')
      # Set our desired cash start
    cerebro.broker.setcash(initcash)
    cerebro.broker.setcommission(commission=0.0)

    # Print out the starting conditions
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Run over everything
    strat = cerebro.run()
    #cerebro.plot(numfigs = 1,grid = True,iplot=True)
    # Print out the final result
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
    print('Sharpe Ratio:', strat[0].analyzers.mysharpe.get_analysis())
    strat[0].analyzers.mysharpe.pprint()
    pyfoliozer = strat[0].analyzers.getbyname('pyfolio')
    returns, positions, transactions, gross_lev = pyfoliozer.get_pf_items()
    import pyfolio as pf
    pf.create_full_tear_sheet(
        returns,
        positions=positions,
        transactions=transactions,
        #gross_lev=gross_lev,
        live_start_date='2008-01-01',  # This date is sample specific
        round_trips=True)

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

Of course you will have to install pyfolio! The instruction are here: https://quantopian.github.io/pyfolio/

Pyfolio will give you lots of information (not all of unquestionable utility). I think it is more important to
get first a good synthetic view, and for this I like (and strongly suggest) the one contributed by Richard O' Regan:
https://community.backtrader.com/topic/670/it-s-here-a-beta-you-can-use-right-now-essential-trade-statistics-all-in-one-place
Only after screening with this tool I would adventure into the fine tuning of a strategy with pyfolio.
Good luck...

赵锴

@lvaghi
Thank you for your answer ,But when I run these codes below, my notebook cannot finish the excutation:

pf.create_full_tear_sheet(
        returns,
        positions=positions,
        transactions=transactions,
        #gross_lev=gross_lev,
        live_start_date='2008-01-01',  # This date is sample specific
        round_trips=True)

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

The figures will not come out ,only statistics tables show below like this :
![alt text]( image url)

赵锴

@lvaghi
After ten thousand seconds, Finally the excutation finish with Error below:

ValueError                                Traceback (most recent call last)
<ipython-input-24-96657bf07fb3> in <module>
     10     #gross_lev = gross_lev,
     11     live_start_date='2010-05-01',
---> 12     round_trips=True)

E:\anaconda\lib\site-packages\pyfolio\tears.py in create_full_tear_sheet(returns, positions, transactions, market_data, benchmark_rets, slippage, live_start_date, sector_mappings, bayesian, round_trips, estimate_intraday, hide_positions, cone_std, bootstrap, unadjusted_returns, style_factor_panel, sectors, caps, shares_held, volumes, percentile, turnover_denom, set_context, factor_returns, factor_loadings, pos_in_dollars, header_rows, factor_partitions)
    233                     transactions=transactions,
    234                     sector_mappings=sector_mappings,
--> 235                     estimate_intraday=False)
    236 
    237             if market_data is not None:

E:\anaconda\lib\site-packages\pyfolio\plotting.py in call_w_context(*args, **kwargs)
     50         if set_context:
     51             with plotting_context(), axes_style():
---> 52                 return func(*args, **kwargs)
     53         else:
     54             return func(*args, **kwargs)

E:\anaconda\lib\site-packages\pyfolio\tears.py in create_round_trip_tear_sheet(returns, positions, transactions, sector_mappings, estimate_intraday, return_fig)
    850         return
    851 
--> 852     round_trips.print_round_trip_stats(trades)
    853 
    854     plotting.show_profit_attribution(trades)

E:\anaconda\lib\site-packages\pyfolio\round_trips.py in print_round_trip_stats(round_trips, hide_pos)
    397     """
    398 
--> 399     stats = gen_round_trip_stats(round_trips)
    400 
    401     print_table(stats['summary'], float_format='{:.2f}'.format,

E:\anaconda\lib\site-packages\pyfolio\round_trips.py in gen_round_trip_stats(round_trips)
    368 
    369     stats = {}
--> 370     stats['pnl'] = agg_all_long_short(round_trips, 'pnl', PNL_STATS)
    371     stats['summary'] = agg_all_long_short(round_trips, 'pnl',
    372                                           SUMMARY_STATS)

E:\anaconda\lib\site-packages\pyfolio\round_trips.py in agg_all_long_short(round_trips, col, stats_dict)
     81                  .T
     82                  .rename_axis({1.0: 'All trades'},
---> 83                               axis='columns'))
     84     stats_long_short = (round_trips
     85                         .groupby('long')[col]

E:\anaconda\lib\site-packages\pandas\util\_decorators.py in wrapper(*args, **kwargs)
    219         @wraps(func)
    220         def wrapper(*args, **kwargs):
--> 221             return func(*args, **kwargs)
    222 
    223         kind = inspect.Parameter.POSITIONAL_OR_KEYWORD

E:\anaconda\lib\site-packages\pandas\core\generic.py in rename_axis(self, mapper, **kwargs)
   1326                 return self._set_axis_name(mapper, axis=axis, inplace=inplace)
   1327             else:
-> 1328                 raise ValueError("Use `.rename` to alter labels " "with a mapper.")
   1329         else:
   1330             # Use new behavior.  Means that index and/or columns

ValueError: Use `.rename` to alter labels with a mapper.