Single stock analysis example in pyfolio

Here's a simple example where we produce a set of plots, called a tear sheet, for a single stock.

Import pyfolio and matplotlib



In [2]:

    
import pyfolio as pf
%matplotlib inline

# silence warnings
import warnings
warnings.filterwarnings('ignore')

Fetch the daily returns for a stock



In [3]:

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

Create a returns tear sheet for the single stock

This will show charts and analysis about returns of the single stock.



In [4]:

    
pf.create_returns_tear_sheet(stock_rets, live_start_date='2015-12-1')









    



Entire data start date: 2012-05-21
Entire data end date: 2017-08-22
In-sample months: 42
Out-of-sample months: 20






    







  
    
      
      All
      In-sample
      Out-of-sample
    
  
  
    
      Annual return
      32.8%
      32.9%
      32.6%
    
    
      Cumulative returns
      343.7%
      172.7%
      62.7%
    
    
      Annual volatility
      38.0%
      43.2%
      24.3%
    
    
      Sharpe ratio
      0.93
      0.87
      1.28
    
    
      Calmar ratio
      0.61
      0.61
      2.38
    
    
      Stability
      0.92
      0.89
      0.88
    
    
      Max drawdown
      -53.6%
      -53.6%
      -13.7%
    
    
      Omega ratio
      1.20
      1.18
      1.29
    
    
      Sortino ratio
      1.50
      1.39
      2.09
    
    
      Skew
      1.89
      1.73
      2.12
    
    
      Kurtosis
      23.62
      19.44
      24.74
    
    
      Tail ratio
      1.11
      1.04
      1.02
    
    
      Daily value at risk
      -4.7%
      -5.3%
      -2.9%
    
    
      Alpha
      0.20
      0.21
      0.18
    
    
      Beta
      1.04
      1.01
      1.11
    
  








    







  
    
      Worst drawdown periods
      Net drawdown in %
      Peak date
      Valley date
      Recovery date
      Duration
    
  
  
    
      0
      47.90
      2012-05-21
      2012-09-04
      2013-07-25
      309
    
    
      1
      22.06
      2014-03-10
      2014-04-28
      2014-07-24
      99
    
    
      2
      17.34
      2013-10-18
      2013-11-25
      2013-12-17
      43
    
    
      3
      16.57
      2015-07-21
      2015-08-24
      2015-10-19
      65
    
    
      4
      13.68
      2016-10-24
      2016-12-30
      2017-02-08
      78



In [ ]:

	All	In-sample	Out-of-sample
Annual return	32.8%	32.9%	32.6%
Cumulative returns	343.7%	172.7%	62.7%
Annual volatility	38.0%	43.2%	24.3%
Sharpe ratio	0.93	0.87	1.28
Calmar ratio	0.61	0.61	2.38
Stability	0.92	0.89	0.88
Max drawdown	-53.6%	-53.6%	-13.7%
Omega ratio	1.20	1.18	1.29
Sortino ratio	1.50	1.39	2.09
Skew	1.89	1.73	2.12
Kurtosis	23.62	19.44	24.74
Tail ratio	1.11	1.04	1.02
Daily value at risk	-4.7%	-5.3%	-2.9%
Alpha	0.20	0.21	0.18
Beta	1.04	1.01	1.11

Worst drawdown periods	Net drawdown in %	Peak date	Valley date	Recovery date	Duration
0	47.90	2012-05-21	2012-09-04	2013-07-25	309
1	22.06	2014-03-10	2014-04-28	2014-07-24	99
2	17.34	2013-10-18	2013-11-25	2013-12-17	43
3	16.57	2015-07-21	2015-08-24	2015-10-19	65
4	13.68	2016-10-24	2016-12-30	2017-02-08	78