Ok, I found the solution. See the code below where I have just modified the interactive legend example:
import pandas as pd
from bokeh.palettes import Spectral4
from bokeh.plotting import figure, output_file, show
from bokeh.sampledata.stocks import AAPL, IBM, MSFT, GOOG
from bokeh.models import Legend
from bokeh.io import output_notebook
output_notebook()
p = figure(plot_width=800, plot_height=250, x_axis_type="datetime", toolbar_location='above')
p.title.text = 'Click on legend entries to mute the corresponding lines'
legend_it = []
for data, name, color in zip([AAPL, IBM, MSFT, GOOG], ["AAPL", "IBM", "MSFT", "GOOG"], Spectral4):
df = pd.DataFrame(data)
df['date'] = pd.to_datetime(df['date'])
c = p.line(df['date'], df['close'], line_width=2, color=color, alpha=0.8,
muted_color=color, muted_alpha=0.2)
legend_it.append((name, [c]))
legend = Legend(items=legend_it)
legend.click_policy="mute"
p.add_layout(legend, 'right')
show(p)
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