This post was originally featured on the Quantopian Blog and authored by Dr. Thomas Wiecki.
Today, we are happy to announce pyfolio, our open source library for performance and risk analysis. We originally created this as an internal tool to help us vet algorithms for consideration in the Quantopian hedge fund. Pyfolio allows you to easily generate plots and information about a stock, portfolio, or algorithm.
Tear sheets, or groups of plots and charts, are the heart of pyfolio. Some predefined tear sheets are included, such as sheets that allow for analysis of returns, transactional analysis, and Bayesian analysis. Each tear sheet produces a set of plots about their respective subject.
Here is part of a tear sheet analyzing the returns of Facebook's (FB) stock:
pyfolio is available now on the Quantopian Research Platform. See our forum post for further information.