display_perf¶

Defined in fynance.backtest

display_perf(y_idx, y_est, period=252, title='', params_iv={}, plot_drawdown=True, plot_roll_sharpe=True, x_axis=None, underlying='Underlying', win=252, fees=0)[source]

Plot performance and print KPI of backtest.

Print dynamic plot of performance indicators (perf, rolling sharpe and draw down) of a strategy (raw and iso-volatility) versus its underlying.

Parameters:

y_idxnp.ndarray[np.float64, ndim=1]: Time series of log-returns of the underlying.
y_estnp.ndarray[np.float64, ndim=1]: Time series of the signal’s strategy.
periodint, optional: Number of period per year. Default is 252.
titlestr or list of str, optional: Title of performance strategy, default is empty.
plot_drawdownbool, optional: If true plot drawdowns, default is True.
plot_roll_sharpebool, optional: If true plot rolling sharpe ratios, default is True.
x_axislist or np.asarray, optional: x-axis to plot (e.g. list of dates).
underlyingstr, optional: Name of the underlying, default is ‘Underlying’.
winint, optional: Size of the window of rolling sharpe, default is 252.
feesfloat, optional: Fees to apply at the strategy performance.

Returns:

perf_idxnp.ndarray[np.float64, ndim=1]: Time series of underlying performance.
perf_estnp.ndarray[np.float64, ndim=1]: Time series of raw strategy performance.
perf_ivonp.ndarray[np.float64, ndim=1]: Time series of iso-vol strategy performance.