From d723a20ea10fd084550ec2c5ca83307085f20155 Mon Sep 17 00:00:00 2001
From: Justin Lent <jlent@quantopian.com>
Date: Tue, 3 Nov 2015 11:37:03 -0800
Subject: [PATCH 1/3] ENH implement plot_monthly_returns_timeseries in
 plotting.py to render monthly bars representing monthly returns of an algo

---
 pyfolio/plotting.py | 45 +++++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 45 insertions(+)

diff --git a/pyfolio/plotting.py b/pyfolio/plotting.py
index 79813772..59dcffdf 100644
--- a/pyfolio/plotting.py
+++ b/pyfolio/plotting.py
@@ -1344,3 +1344,48 @@ def show_worst_drawdown_periods(returns, top=5):
     drawdown_df['net drawdown in %'] = list(
         map(utils.round_two_dec_places, drawdown_df['net drawdown in %']))
     print(drawdown_df.sort('net drawdown in %', ascending=False))
+
+
+def plot_monthly_returns_timeseries(returns, ax=None, **kwargs):
+    """
+    Plots monthly returns as a timeseries.
+
+    Parameters
+    ----------
+    returns : pd.Series
+        Daily returns of the strategy, noncumulative.
+         - See full explanation in tears.create_full_tear_sheet.
+    ax : matplotlib.Axes, optional
+        Axes upon which to plot.
+    **kwargs, optional
+        Passed to seaborn plotting function.
+
+    Returns
+    -------
+    ax : matplotlib.Axes
+        The axes that were plotted on.
+    """
+
+    if ax is None:
+        ax = plt.gca()
+
+    monthly_ret_table = timeseries.aggregate_returns(returns, 'monthly')
+    monthly_ret_table = monthly_ret_table.reset_index()
+    monthly_ret_table.columns = ['year', 'month', 'returns']
+
+    # Generate month-year labels for the x-axis corresponding to
+    # the returns plotted
+    date_labels = [str(i[1]) + ' - ' + str(i[0]) for i in
+                   zip(monthly_ret_table.year.values,
+                   monthly_ret_table.month.values)]
+
+    sns.barplot(x=date_labels,
+                y=monthly_ret_table.returns,
+                color='steelblue')
+    locs, labels = plt.xticks()
+    plt.setp(labels, rotation=90)
+
+    ax.set_ylabel('Return')
+    ax.set_xlabel('Month')
+    ax.set_title("Monthly Returns")
+    return ax

From f8c3f94adafb00bd8266309f6445fc02729a1436 Mon Sep 17 00:00:00 2001
From: Justin Lent <jlent@quantopian.com>
Date: Tue, 3 Nov 2015 15:53:44 -0800
Subject: [PATCH 2/3] ENH only show yearly boundary on x-axis in monthly
 returns timeseries plot

---
 pyfolio/plotting.py | 15 +++++++++++++++
 1 file changed, 15 insertions(+)

diff --git a/pyfolio/plotting.py b/pyfolio/plotting.py
index 59dcffdf..a1869be6 100644
--- a/pyfolio/plotting.py
+++ b/pyfolio/plotting.py
@@ -1388,4 +1388,19 @@ def plot_monthly_returns_timeseries(returns, ax=None, **kwargs):
     ax.set_ylabel('Return')
     ax.set_xlabel('Month')
     ax.set_title("Monthly Returns")
+
+    # only show x-labels on year boundary
+    xticks_coord = []
+    xticks_label = []
+    count = 0
+    for i in monthly_ret_table.month:
+        if int(i) == 1:
+            xticks_label.append(date_labels[count])
+            xticks_coord.append(count)
+
+        count += 1
+
+    ax.set_xticks(xticks_coord)
+    ax.set_xticklabels(xticks_label)
+
     return ax

From ab34514474f66baf89ada4daefe983e68b1d468d Mon Sep 17 00:00:00 2001
From: Justin Lent <jlent@quantopian.com>
Date: Wed, 4 Nov 2015 11:52:00 -0800
Subject: [PATCH 3/3] ENH re-implement using PeriodIndex. Plot yearly boundary
 lines.

---
 pyfolio/plotting.py | 31 +++++++++++++------------------
 1 file changed, 13 insertions(+), 18 deletions(-)

diff --git a/pyfolio/plotting.py b/pyfolio/plotting.py
index a1869be6..57ebd0b3 100644
--- a/pyfolio/plotting.py
+++ b/pyfolio/plotting.py
@@ -1366,40 +1366,35 @@ def plot_monthly_returns_timeseries(returns, ax=None, **kwargs):
         The axes that were plotted on.
     """
 
+    def cumulate_returns(x):
+        return timeseries.cum_returns(x)[-1]
+
     if ax is None:
         ax = plt.gca()
 
-    monthly_ret_table = timeseries.aggregate_returns(returns, 'monthly')
-    monthly_ret_table = monthly_ret_table.reset_index()
-    monthly_ret_table.columns = ['year', 'month', 'returns']
-
-    # Generate month-year labels for the x-axis corresponding to
-    # the returns plotted
-    date_labels = [str(i[1]) + ' - ' + str(i[0]) for i in
-                   zip(monthly_ret_table.year.values,
-                   monthly_ret_table.month.values)]
+    monthly_rets = returns.resample('M', how=cumulate_returns).to_period()
 
-    sns.barplot(x=date_labels,
-                y=monthly_ret_table.returns,
+    sns.barplot(x=monthly_rets.index,
+                y=monthly_rets.values,
                 color='steelblue')
+
     locs, labels = plt.xticks()
     plt.setp(labels, rotation=90)
 
-    ax.set_ylabel('Return')
-    ax.set_xlabel('Month')
-    ax.set_title("Monthly Returns")
-
     # only show x-labels on year boundary
     xticks_coord = []
     xticks_label = []
     count = 0
-    for i in monthly_ret_table.month:
-        if int(i) == 1:
-            xticks_label.append(date_labels[count])
+    for i in monthly_rets.index:
+        if i.month == 1:
+            xticks_label.append(i)
             xticks_coord.append(count)
+            # plot yearly boundary line
+            ax.axvline(count, color='gray', ls='--', alpha=0.3)
 
         count += 1
 
+    ax.axhline(0.0, color='darkgray', ls='-')
     ax.set_xticks(xticks_coord)
     ax.set_xticklabels(xticks_label)