In [8]:

    

%matplotlib inline
import pyfolio as pf
from pyfolio import timeseries
from pyfolio.utils import APPROX_BDAYS_PER_MONTH
from pyfolio import tears
from pyfolio import bayesian


    

In [9]:

    

stock_rets = pf.utils.get_symbol_rets('FB')


    

In [10]:

    

rolling_window = APPROX_BDAYS_PER_MONTH * 6
rolling_beta = timeseries.rolling_fama_french(
    stock_rets,
    rolling_window=rolling_window)


    

In [4]:

    

len(rolling_beta.dropna())


    

    
Out[4]:





804

In [5]:

    

rolling_beta.shape


    

    
Out[5]:





(866, 3)

In [6]:

    

ok = bayesian.model_returns_t_alpha_beta(stock_rets, rolling_beta, samples=2000)


    

    




 [-----------------100%-----------------] 2000 of 2000 complete in 7.2 sec

In [7]:

    

import pymc3 as pm
pm.traceplot(ok);


    

In [1]:

    

out_of_sample = stock_rets.index[-40]
tears.create_bayesian_tear_sheet(stock_rets, live_start_date=out_of_sample, benchmark_rets=rolling_beta)


    

    




---------------------------------------------------------------------------
NameError                                 Traceback (most recent call last)
<ipython-input-1-a75cae2db678> in <module>()
----> 1 out_of_sample = stock_rets.index[-40]
      2 tears.create_bayesian_tear_sheet(stock_rets, live_start_date=out_of_sample, benchmark_rets=rolling_beta)

NameError: name 'stock_rets' is not defined

In [9]:

    

pf.plotting.plot_rolling_fama_french(stock_rets, rolling_window=30)


    

    
Out[9]:





<matplotlib.axes._subplots.AxesSubplot at 0x10e993a10>