Enhancement: daily resample of minute simulation perf

[vonpupp]

Dear Catalyst Maintainers,

It would be very nice to be able to use pyfolio/alphalens on minute simulations, but since it is not possible at the time, maybe the easiest way is to "zoom-out" the data and resample it on a daily basis.

This might be an overwhelming task for a zipline newbie but if you could please give me some directions I could try to have a look at it.

Thanks a lot.

[fredfortier]

I agree that this is an important feature.

[vonpupp]

Great Fred, thx.

I cross reference issue-73 and issue-456, which are related. I haven't yet tested myself the response of the later.

[fredfortier]

I saw your note on issue #73 . Were you able to run minute data through pyfolio or did you have to resample it first?

[vonpupp]

I haven't yet tried re-sampling. I went for the easy path first (a daily algo) and I am having some issues with pyfolio's tearsheet. I could get the top 5 drawdown periods chart so some of the calculations work. My two cents is that things get messy when the SPY comparison kicks in. I will post more details tomorrow.

[eranhirs]

@vonpupp would like your feedback on #428 if you are still using pyfolio