Merge pull request #294 from quantopian/tweaks

Add log-scaling version of cumulative returns and raw returns plot to returns tear-sheet

pyfolio/plotting.py

@@ -568,9 +568,57 @@ def show_perf_stats(returns, factor_returns, live_start_date=None,
                       fmt='{0:.2f}')
 
 
+def plot_returns(returns,
+                 live_start_date=None,
+                 ax=None):
+    """
+    Plots raw returns over time.
+
+    Backtest returns are in green, and out-of-sample (live trading)
+    returns are in red.
+
+    Parameters
+    ----------
+    returns : pd.Series
+        Daily returns of the strategy, noncumulative.
+         - See full explanation in tears.create_full_tear_sheet.
+    live_start_date : datetime, optional
+        The date when the strategy began live trading, after
+        its backtest period. This date should be normalized.
+    ax : matplotlib.Axes, optional
+        Axes upon which to plot.
+    **kwargs, optional
+        Passed to plotting function.
+
+    Returns
+    -------
+    ax : matplotlib.Axes
+        The axes that were plotted on.
+
+    """
+
+    if ax is None:
+        ax = plt.gca()
+
+    ax.set(xlabel='', ylabel='Returns')
+
+    if live_start_date is not None:
+        live_start_date = utils.get_utc_timestamp(live_start_date)
+        is_returns = returns.loc[returns.index < live_start_date]
+        oos_returns = returns.loc[returns.index >= live_start_date]
+        is_returns.plot(ax=ax, color='g')
+        oos_returns.plot(ax=ax, color='r')
+
+    else:
+        returns.plot(ax=ax, color='g')
+
+    return ax
+
+
 def plot_rolling_returns(returns,
                          factor_returns=None,
                          live_start_date=None,
+                         logy=False,
                          cone_std=None,
                          legend_loc='best',
                          volatility_match=False,
@@ -596,6 +644,8 @@ def plot_rolling_returns(returns,
     live_start_date : datetime, optional
         The date when the strategy began live trading, after
         its backtest period. This date should be normalized.
+    logy : bool, optional
+        Whether to log-scale the y-axis.
     cone_std : float, or tuple, optional
         If float, The standard deviation to use for the cone plots.
         If tuple, Tuple of standard deviation values to use for the cone plots
@@ -624,12 +674,12 @@ def cone(in_sample_returns (pd.Series),
     ax : matplotlib.Axes
         The axes that were plotted on.
 
-"""
+    """
     if ax is None:
         ax = plt.gca()
 
-    ax.set_ylabel('Cumulative returns')
-    ax.set_xlabel('')
+    ax.set(xlabel='', ylabel='Cumulative returns',
+           yscale='log' if logy else 'linear')
 
     if volatility_match and factor_returns is None:
         raise ValueError('volatility_match requires passing of'

pyfolio/tears.py

@@ -264,29 +264,45 @@ def create_returns_tear_sheet(returns, live_start_date=None,
                              bootstrap=bootstrap,
                              live_start_date=live_start_date)
 
+    vertical_sections = 12
+
     if live_start_date is not None:
-        vertical_sections = 11
+        vertical_sections += 1
         live_start_date = utils.get_utc_timestamp(live_start_date)
-    else:
-        vertical_sections = 10
 
     if bootstrap:
         vertical_sections += 1
 
     fig = plt.figure(figsize=(14, vertical_sections * 6))
     gs = gridspec.GridSpec(vertical_sections, 3, wspace=0.5, hspace=0.5)
     ax_rolling_returns = plt.subplot(gs[:2, :])
-    ax_rolling_returns_vol_match = plt.subplot(gs[2, :],
+
+    i = 2
+    ax_rolling_returns_vol_match = plt.subplot(gs[i, :],
                                                sharex=ax_rolling_returns)
-    ax_rolling_beta = plt.subplot(gs[3, :], sharex=ax_rolling_returns)
-    ax_rolling_sharpe = plt.subplot(gs[4, :], sharex=ax_rolling_returns)
-    ax_rolling_risk = plt.subplot(gs[5, :], sharex=ax_rolling_returns)
-    ax_drawdown = plt.subplot(gs[6, :], sharex=ax_rolling_returns)
-    ax_underwater = plt.subplot(gs[7, :], sharex=ax_rolling_returns)
-    ax_monthly_heatmap = plt.subplot(gs[8, 0])
-    ax_annual_returns = plt.subplot(gs[8, 1])
-    ax_monthly_dist = plt.subplot(gs[8, 2])
-    ax_return_quantiles = plt.subplot(gs[9, :])
+    i += 1
+    ax_rolling_returns_log = plt.subplot(gs[i, :],
+                                         sharex=ax_rolling_returns)
+    i += 1
+    ax_returns = plt.subplot(gs[i, :],
+                             sharex=ax_rolling_returns)
+    i += 1
+    ax_rolling_beta = plt.subplot(gs[i, :], sharex=ax_rolling_returns)
+    i += 1
+    ax_rolling_sharpe = plt.subplot(gs[i, :], sharex=ax_rolling_returns)
+    i += 1
+    ax_rolling_risk = plt.subplot(gs[i, :], sharex=ax_rolling_returns)
+    i += 1
+    ax_drawdown = plt.subplot(gs[i, :], sharex=ax_rolling_returns)
+    i += 1
+    ax_underwater = plt.subplot(gs[i, :], sharex=ax_rolling_returns)
+    i += 1
+    ax_monthly_heatmap = plt.subplot(gs[i, 0])
+    ax_annual_returns = plt.subplot(gs[i, 1])
+    ax_monthly_dist = plt.subplot(gs[i, 2])
+    i += 1
+    ax_return_quantiles = plt.subplot(gs[i, :])
+    i += 1
 
     plotting.plot_rolling_returns(
         returns,
@@ -308,6 +324,24 @@ def create_returns_tear_sheet(returns, live_start_date=None,
     ax_rolling_returns_vol_match.set_title(
         'Cumulative returns volatility matched to benchmark.')
 
+    plotting.plot_rolling_returns(
+        returns,
+        factor_returns=benchmark_rets,
+        logy=True,
+        live_start_date=live_start_date,
+        cone_std=cone_std,
+        ax=ax_rolling_returns_log)
+    ax_rolling_returns_log.set_title(
+        'Cumulative Returns on logarithmic scale')
+
+    plotting.plot_returns(
+        returns,
+        live_start_date=live_start_date,
+        ax=ax_returns,
+    )
+    ax_returns.set_title(
+        'Returns')
+
     plotting.plot_rolling_beta(
         returns, benchmark_rets, ax=ax_rolling_beta)
 
@@ -343,7 +377,7 @@ def create_returns_tear_sheet(returns, live_start_date=None,
         ax=ax_return_quantiles)
 
     if bootstrap:
-        ax_bootstrap = plt.subplot(gs[10, :])
+        ax_bootstrap = plt.subplot(gs[i, :])
         plotting.plot_perf_stats(returns, benchmark_rets,
                                  ax=ax_bootstrap)