Pyfolio 业绩分析

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.

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

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