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...