Perf attrib tearsheets #441
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This looks great. I would drop the histogram alpha plot (probably can delete it alltogether for now), and remove the stackplot from the exposures, as we discussed, and replace it with a line-plot for now. |
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+1 to replacing the stackplot with a line plot |
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made those changes, tearsheet now looks like this:
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@yankees714 could you take a look when you get a chance? |
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I'm fine to merge after engineering review. |
| """ | ||
| Plot each factor's contribution to performance. | ||
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| Parameters | ||
| ---------- | ||
| exposures : pd.DataFrame |
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So this was just unused?
pyfolio/perf_attrib.py
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| colors=COLORS | ||
| ) | ||
| for s in factors_and_specific: | ||
| ax.plot(factors_and_specific[s]) |
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For clarity, can we use something like field or col here instead of s?
pyfolio/perf_attrib.py
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| labels=exposures.columns, | ||
| colors=COLORS) | ||
| for s in exposures: | ||
| ax.plot(exposures[s]) |
pyfolio/utils.py
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| @@ -622,3 +623,9 @@ def set_legend_location(ax): | |||
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| ax.legend(frameon=True, framealpha=0.5, loc='upper left', | |||
| bbox_to_anchor=(1.05, 1)) | |||
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| color_cycle = cycler('color', COLORS) | |||
| ax.set_prop_cycle(color_cycle) | |||
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Seems like we might be able to do this in one line, without importing cycler? Like:
ax.set_prop_cycle('color', COLORS)https://matplotlib.org/api/_as_gen/matplotlib.axes.Axes.set_prop_cycle.html
pyfolio/perf_attrib.py
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| positions, | ||
| factor_returns, | ||
| factor_loadings, | ||
| pos_in_dollars=pos_in_dollars |
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Trailing comma here will make future diffs cleaner
| @@ -612,7 +613,7 @@ def get_symbol_rets(symbol, start=None, end=None): | |||
| end=end) | |||
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| def set_legend_location(ax): | |||
| def set_legend_location(ax, autofmt_xdate=True): | |||
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Do we ever pass autofmt_xdate=False?
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we don't as of now, I wanted to pass it as an option in case we want to handle formatting elsewhere in future plots
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responded to @yankees714's feedback, will squash commits and merge once tests pass |
- pass all perf attrib data to plot_returns - use line plot for factor contrib - format x-axis dates on plots
vikram-narayan
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add perf attrib tearsheet
