What is the quickest way to view returns as log scale?

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What is the quickest way to view returns as log scale?

vladimir prelovac

posted Dec 14, 2016

Is it possible to load a backtest and draw a log scale chart of returns?

While at it is it easy to add CAGR returns to it (since Q shows only total returns)

3 responses

Steven Williams

also wondering.

I just happened to notice the tear sheet gives you logarithmic returns.

backtest = get_backtest('XXX')  
backtest.create_full_tear_sheet()

Use Pyfolio. https://www.quantopian.com/posts/new-feature-comprehensive-backtest-analysis

The full tear sheet gives the log returns and a lot of other info. In a Notebook run the following.

my_backtest = get_backtest('59736cfb8d32cc4e1a9ddb59')  
my_backtest.create_full_tear_sheet()

You can also run specific plots. To get just the plot of the log returns do something like this.


import pyfolio as pf  
my_backtest = get_backtest('59736cfb8d32cc4e1a9ddb59')  
pf.plotting.plot_rolling_returns(my_backtest.daily_performance.returns, logy=True)

Replace 59736cfb8d32cc4e1a9ddb59 with your desired backtest ID.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.