pyfolio

Why we included this project

Backtesting a strategy only gets you so far if you cannot read what the numbers mean. pyfolio, built by Quantopian, works with the Zipline backtester to turn raw performance data into a tear sheet of plots. Those plots cover cumulative returns and drawdowns, along with rolling volatility and exposure, giving a quick read on how the algorithm actually behaved. Quant teams use them to spot risk signals like extended drawdowns or a sliding Sharpe ratio before scaling a strategy. It also includes benchmark comparisons and event analysis helpers, so you can check a strategy against a market baseline without writing those calculations yourself. The library is mature and light enough to drop straight into an existing research workflow.