Hands-On Machine Learning for Algorithmic Trading

In and out-of-sample performance with pyfolio

Pyfolio facilitates the analysis of portfolio performance and risk in-sample and out-of-sample using many standard metrics. It produces tear sheets covering the analysis of returns, positions, and transactions, as well as event risk during periods of market stress using several built-in scenarios, and also includes Bayesian out-of-sample performance analysis.

It relies on portfolio returns and position data, and can also take into account the transaction costs and slippage losses of trading activity. The metrics are computed using the empyrical library that can also be used on a standalone basis.

The performance DataFrame produced by the zipline backtesting engine can be translated into the requisite ...