{"action":"created","issue":{"url":"https://api.github.com/repos/quantopian/pyfolio/issues/284","repository_url":"https://api.github.com/repos/quantopian/pyfolio","labels_url":"https://api.github.com/repos/quantopian/pyfolio/issues/284/labels{/name}","comments_url":"https://api.github.com/repos/quantopian/pyfolio/issues/284/comments","events_url":"https://api.github.com/repos/quantopian/pyfolio/issues/284/events","html_url":"https://github.com/quantopian/pyfolio/pull/284","id":139096266,"number":284,"title":"Capacity tear sheet","user":{"login":"a-campbell","id":6374406,"avatar_url":"https://avatars.githubusercontent.com/u/6374406?v=3","gravatar_id":"","url":"https://api.github.com/users/a-campbell","html_url":"https://github.com/a-campbell","followers_url":"https://api.github.com/users/a-campbell/followers","following_url":"https://api.github.com/users/a-campbell/following{/other_user}","gists_url":"https://api.github.com/users/a-campbell/gists{/gist_id}","starred_url":"https://api.github.com/users/a-campbell/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/a-campbell/subscriptions","organizations_url":"https://api.github.com/users/a-campbell/orgs","repos_url":"https://api.github.com/users/a-campbell/repos","events_url":"https://api.github.com/users/a-campbell/events{/privacy}","received_events_url":"https://api.github.com/users/a-campbell/received_events","type":"User","site_admin":false},"labels":[],"state":"open","locked":false,"assignee":{"login":"twiecki","id":674200,"avatar_url":"https://avatars.githubusercontent.com/u/674200?v=3","gravatar_id":"","url":"https://api.github.com/users/twiecki","html_url":"https://github.com/twiecki","followers_url":"https://api.github.com/users/twiecki/followers","following_url":"https://api.github.com/users/twiecki/following{/other_user}","gists_url":"https://api.github.com/users/twiecki/gists{/gist_id}","starred_url":"https://api.github.com/users/twiecki/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/twiecki/subscriptions","organizations_url":"https://api.github.com/users/twiecki/orgs","repos_url":"https://api.github.com/users/twiecki/repos","events_url":"https://api.github.com/users/twiecki/events{/privacy}","received_events_url":"https://api.github.com/users/twiecki/received_events","type":"User","site_admin":false},"milestone":null,"comments":4,"created_at":"2016-03-07T21:15:23Z","updated_at":"2016-03-13T16:22:18Z","closed_at":null,"pull_request":{"url":"https://api.github.com/repos/quantopian/pyfolio/pulls/284","html_url":"https://github.com/quantopian/pyfolio/pull/284","diff_url":"https://github.com/quantopian/pyfolio/pull/284.diff","patch_url":"https://github.com/quantopian/pyfolio/pull/284.patch"},"body":"There are two main analyses here: constraining ticker and a capacity sweep.\r\n\r\nThe constraining ticker analysis asks \"What is the maximum capital base I could have deployed this strategy on without ever consuming more than X% of the {average, 10th_percentile, 90th_percentile} daily volume for each traded name.\r\n\r\nThe capacity sweep asks \"How does my strategy's Sharpe ratio decay as I increase capital base and incur greater slippage on my trades?\"\r\n\r\nAnother change of note is the inclusion of market data in this tear sheet. Since we will likely want to use market data for future tear sheets, we should be sure that we like the Panel data format we are asking for in this API change.\r\n\r\n![screenshot 2016-03-07 15 42 28](https://cloud.githubusercontent.com/assets/6374406/13582616/5799531a-e47b-11e5-94e1-f99e59fdae33.png)\r\n![screenshot 2016-03-07 15 42 44](https://cloud.githubusercontent.com/assets/6374406/13582617/579e60da-e47b-11e5-9e55-8753ae159782.png)\r\n![screenshot 2016-03-07 15 42 57](https://cloud.githubusercontent.com/assets/6374406/13582615/5799112a-e47b-11e5-845b-7c9ac74c4853.png)\r\n\r\nWondering if it is useful to display the most liquid names in the constraining ticker analysis? "},"comment":{"url":"https://api.github.com/repos/quantopian/pyfolio/issues/comments/195989521","html_url":"https://github.com/quantopian/pyfolio/pull/284#issuecomment-195989521","issue_url":"https://api.github.com/repos/quantopian/pyfolio/issues/284","id":195989521,"user":{"login":"twiecki","id":674200,"avatar_url":"https://avatars.githubusercontent.com/u/674200?v=3","gravatar_id":"","url":"https://api.github.com/users/twiecki","html_url":"https://github.com/twiecki","followers_url":"https://api.github.com/users/twiecki/followers","following_url":"https://api.github.com/users/twiecki/following{/other_user}","gists_url":"https://api.github.com/users/twiecki/gists{/gist_id}","starred_url":"https://api.github.com/users/twiecki/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/twiecki/subscriptions","organizations_url":"https://api.github.com/users/twiecki/orgs","repos_url":"https://api.github.com/users/twiecki/repos","events_url":"https://api.github.com/users/twiecki/events{/privacy}","received_events_url":"https://api.github.com/users/twiecki/received_events","type":"User","site_admin":false},"created_at":"2016-03-13T16:22:18Z","updated_at":"2016-03-13T16:22:18Z","body":"OK, done with this round."}}