Pyfolio Performance Analytics

Pyfolio performance analytics: one-shot tear sheets for portfolios covering Sharpe, drawdown, annualized return, turnover, sector attribution, and 10+ core metrics.

QuantitativePortfolioAnalyticsPerformanceBacktest
✓ 0 reported success·v0.1.0·

Overview

Pyfolio Performance Analytics is a portfolio analysis toolkit built on stefan-jansen/pyfolio-reloaded. Given a return series from backtest or live trading, it generates tear sheets in one shot — Sharpe ratio, max drawdown, annualized return, turnover, per-stock round-trip analysis, sector attribution, and 10+ core metrics with visualizations. Typical use cases: (1) standardized performance reports post-backtest; (2) multi-strategy comparison and selection; (3) institutional quarterly investment performance disclosure; (4) strategy health monitoring. Integrates with Alphalens factor analysis and benchmark comparisons. Targets quant researchers and portfolio managers. Embedded constraints cover: NaN handling in return series, timestamp alignment requirements across strategies, and sector mapping consistency for attribution.

Blueprint Source

finance-bp-106

stefan-jansen/pyfolio-reloaded6b55da72 source files

Constraints

75total
50fatal
50 must-not-violate

Evidence Quality

Confidence88%

Medium confidence — review before critical use

50 non-negotiable constraints

FATALarchitecture_guardrailfinance-C-002

WHENWhen estimating intraday positions from transactions

ACTIONApply shift(1) to EOD positions before adding intraday transaction deltas

CONSEQUENCEWithout shift(1), positions at day-start are contaminated with end-of-day values, causing look-ahead bias that makes intraday-adjusted results unrepresentative of actual peak-exposure moments.

domain-constraint
FATALdomain_rulefinance-C-018

WHENWhen implementing allocation percentage calculation

ACTIONInclude cash column in the denominator when computing allocation percentages

CONSEQUENCEPortfolio allocation percentages will not sum to 100% if cash is excluded from the denominator, misrepresenting the portfolio's actual composition and misleading risk analysis

domain-constraint
FATALdomain_rulefinance-C-019

WHENWhen identifying top positions for analysis

ACTIONExclude cash column when finding top long/short/absolute positions

CONSEQUENCECash would incorrectly appear as a position holding, causing top position analysis to report cash as the largest portfolio holding rather than actual securities

domain-constraint

FAQ

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Changelog

v0.1.02026-04-23·Contributors: tangweigang-jpg

v0.1.0: Initial release. Portfolio performance analytics toolkit on pyfolio-reloaded with bilingual metadata and 3 FAQs.