How can I use Pyfolio with backtrader?
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?
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.analyzers.mysharpe.get_analysis()) strat.analyzers.mysharpe.pprint() pyfoliozer = strat.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:
Only after screening with this tool I would adventure into the fine tuning of a strategy with pyfolio.