I’ll just show you my old,unoptimized Pyro. It’s only on version 1.3 right now, but the difference isn’t that big. I removed a point from Blast Shield and moved it to CoF for survivability testing. 
First, like any auto-attacker, you need to maximize your WPS. This directly increases your damage. More about it here: CLICK.
Second, maximize your primary skill, take as many sources of flat damage as possible.
Third, even though Pyro is a glass cannon type of build, you still have to survive somehow. So look for +HP, +leech. and CC resists wherever you can.
Performance (1.3 PT):