The Sharpe Ratio in the Backtest Result is different from that in Pyfolio.
What is even worse: the difference is not consistent and if you compare the same algorithm by Shape ratio, it leads to contradicting results!
1) Backtest ID 5645e601e7ed821102440b1f, Sharpe Ratio Backtest 2.08, Sharpe Ratio Pyfolio 0.81
2) Backtest ID 5645d32a71785b11076434ac, Sharpe Ratio Backtest 1.89, Sharpe Ratio Pyfolio 0.87
that means, for Pyfolio the second algorithm ist the best, while for the backtest is the opposite!
According to my computation, Pyfolio is right and the Backtest is wrong.
Is it a Bug?
Thanks for the help!