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quantopian / pyfolio

Portfolio and risk analytics in Python
https://quantopian.github.io/pyfolio
Apache License 2.0
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Using Monthly Return Series in Pyfolio #680

Open MD-python opened 3 years ago

MD-python commented 3 years ago

Problem Description

Please provide a minimal, self-contained, and reproducible example:

I'm relatively new to python and pyfolio - is there any way to use monthly returns instead of daily returns?

Please provide the full traceback:

[Paste traceback here]

Please provide any additional information below: The annualised return and annualised volatility numbers are skewed as it is calculating the numbers on 3 Total Months of data, when I have ~80 monthly data points.

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MD-python commented 3 years ago

Hi, just wondering if anyone could assist on this - for clarity, I just want to know whether it's possible to use monthly instead of daily returns in pyfolio. Any help appreciated.