{
"cells": [
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Single stock analysis example in pyfolio\n",
"\n",
"Here's a simple example where we produce a set of plots, called a tear sheet, for a single stock."
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"## Import pyfolio and matplotlib"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"outputs": [],
"source": [
"import pyfolio as pf\n",
"%matplotlib inline\n",
"\n",
"# silence warnings\n",
"import warnings\n",
"warnings.filterwarnings('ignore')"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"## Fetch the daily returns for a stock"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"outputs": [],
"source": [
"stock_rets = pf.utils.get_symbol_rets('FB')"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"## Create a returns tear sheet for the single stock\n",
"This will show charts and analysis about returns of the single stock."
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {
"scrolled": false
},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Entire data start date: 2012-05-21\n",
"Entire data end date: 2017-08-22\n",
"In-sample months: 42\n",
"Out-of-sample months: 20\n"
]
},
{
"data": {
"text/html": [
"\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" All | \n",
" In-sample | \n",
" Out-of-sample | \n",
"
\n",
" \n",
" \n",
" \n",
" | Annual return | \n",
" 32.8% | \n",
" 32.9% | \n",
" 32.6% | \n",
"
\n",
" \n",
" | Cumulative returns | \n",
" 343.7% | \n",
" 172.7% | \n",
" 62.7% | \n",
"
\n",
" \n",
" | Annual volatility | \n",
" 38.0% | \n",
" 43.2% | \n",
" 24.3% | \n",
"
\n",
" \n",
" | Sharpe ratio | \n",
" 0.93 | \n",
" 0.87 | \n",
" 1.28 | \n",
"
\n",
" \n",
" | Calmar ratio | \n",
" 0.61 | \n",
" 0.61 | \n",
" 2.38 | \n",
"
\n",
" \n",
" | Stability | \n",
" 0.92 | \n",
" 0.89 | \n",
" 0.88 | \n",
"
\n",
" \n",
" | Max drawdown | \n",
" -53.6% | \n",
" -53.6% | \n",
" -13.7% | \n",
"
\n",
" \n",
" | Omega ratio | \n",
" 1.20 | \n",
" 1.18 | \n",
" 1.29 | \n",
"
\n",
" \n",
" | Sortino ratio | \n",
" 1.50 | \n",
" 1.39 | \n",
" 2.09 | \n",
"
\n",
" \n",
" | Skew | \n",
" 1.89 | \n",
" 1.73 | \n",
" 2.12 | \n",
"
\n",
" \n",
" | Kurtosis | \n",
" 23.62 | \n",
" 19.44 | \n",
" 24.74 | \n",
"
\n",
" \n",
" | Tail ratio | \n",
" 1.11 | \n",
" 1.04 | \n",
" 1.02 | \n",
"
\n",
" \n",
" | Daily value at risk | \n",
" -4.7% | \n",
" -5.3% | \n",
" -2.9% | \n",
"
\n",
" \n",
" | Alpha | \n",
" 0.20 | \n",
" 0.21 | \n",
" 0.18 | \n",
"
\n",
" \n",
" | Beta | \n",
" 1.04 | \n",
" 1.01 | \n",
" 1.11 | \n",
"
\n",
" \n",
"
\n",
"
\n",
"\n",
"
\n",
" \n",
" \n",
" | Worst drawdown periods | \n",
" Net drawdown in % | \n",
" Peak date | \n",
" Valley date | \n",
" Recovery date | \n",
" Duration | \n",
"
\n",
" \n",
" \n",
" \n",
" | 0 | \n",
" 47.90 | \n",
" 2012-05-21 | \n",
" 2012-09-04 | \n",
" 2013-07-25 | \n",
" 309 | \n",
"
\n",
" \n",
" | 1 | \n",
" 22.06 | \n",
" 2014-03-10 | \n",
" 2014-04-28 | \n",
" 2014-07-24 | \n",
" 99 | \n",
"
\n",
" \n",
" | 2 | \n",
" 17.34 | \n",
" 2013-10-18 | \n",
" 2013-11-25 | \n",
" 2013-12-17 | \n",
" 43 | \n",
"
\n",
" \n",
" | 3 | \n",
" 16.57 | \n",
" 2015-07-21 | \n",
" 2015-08-24 | \n",
" 2015-10-19 | \n",
" 65 | \n",
"
\n",
" \n",
" | 4 | \n",
" 13.68 | \n",
" 2016-10-24 | \n",
" 2016-12-30 | \n",
" 2017-02-08 | \n",
" 78 | \n",
"
\n",
" \n",
"
\n",
"