portfolio

package module
v0.2.0 Latest Latest
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 Go to latest Published: Jun 29, 2023 License: MIT Imports: 20 Imported by: 1

README

Portfolio Go Reference Continuous Integration

This module contains quantitative portfolio analysis equations, portfolio back-testing, and asset data organization/cleaning data structures.

This module will continue to work on Windows, MacOS, and Linux.

While our main focus is our website. We value community engagement and will put effort into reviewing contributions and fixing issues on this repository.

Note, the API is not stable and will continue to change without notice until version v1.0

Getting Started

  1. Make sure you have a sufficiently new Go SDK installed installed (see the module file for the minimum required version)
  2. Get the package by running go get github.com/portfoliotree/portfolio in your terminal

DISCLAIMER

Please remember, investing carries inherent risks including but not limited to the potential loss of principal. Past performance is no guarantee of future results. The data, equations, and calculations in these docs and code are for informational purposes only and should not be considered financial advice. It is important to carefully consider your own financial situation before making any investment decisions. You should seek the advice of a licensed financial professional before making any investment decisions. You should seek code review of an experienced software developer before consulting this library (or any library that imports it) to inform investment decisions.

Documentation

Index

Examples

Constants

View Source 
const (
	// ServerURLEnvironmentVariableName is used in testing to override the host
	//  and scheme for server calls.
	ServerURLEnvironmentVariableName = "PORTFOLIO_TREE_URL"

	// DefaultURL is the scheme and host for the API calls.
	DefaultURL = "https://portfoliotree.com"
)
View Source 
const (
	PolicyAlgorithmEqualWeights    = "EqualWeights"
	PolicyAlgorithmConstantWeights = "ConstantWeights"
)
View Source 
const (
	ReturnsURLPath = "/api/returns"
)

Variables

This section is empty.

Functions

This section is empty.

Types

type Component 

type Component struct {
	Type string `yaml:"type,omitempty"`
	ID   string `yaml:"id,omitempty"`
}

func (*Component) UnmarshalYAML 

func (component *Component) UnmarshalYAML(value *yaml.Node) error

func (Component) Validate 

func (component Component) Validate() error

type ComponentReturnsProvider 

type ComponentReturnsProvider interface {
	ComponentReturnsList(ctx context.Context, component Component) (returns.List, error)
	ComponentReturnsTable(ctx context.Context, component ...Component) (returns.Table, error)
}

ComponentReturnsProvider is currently used for tests.

type Policy 

type Policy struct {
	RebalancingInterval backtestconfig.Interval `yaml:"rebalancing_interval,omitempty"`

	Weights                  []float64               `yaml:"weights,omitempty"`
	WeightsAlgorithm         string                  `yaml:"weights_algorithm,omitempty"`
	WeightsAlgorithmLookBack backtestconfig.Window   `yaml:"weights_algorithm_look_back_window,omitempty"`
	WeightsUpdatingInterval  backtestconfig.Interval `yaml:"weights_updating_interval,omitempty"`
}

type Specification 

type Specification struct {
	Name      string      `yaml:"name"`
	Benchmark Component   `yaml:"benchmark"`
	Assets    []Component `yaml:"assets"`
	Policy    Policy      `yaml:"policy"`

	Filepath  string `yaml:"-"`
	FileIndex int    `yaml:"-"`
}

Specification models a portfolio.

func ParseOneSpecification 

func ParseOneSpecification(in string) (Specification, error)

ParseOneSpecification decodes the contents of in to a Specification It supports a string containing YAML. The resulting Specification may have default values for unset fields.

func ParseSpecificationFile 

func ParseSpecificationFile(specificationFilePath string) ([]Specification, error)

ParseSpecificationFile opens a file and parses the contents into a Specification It supports YAML files at the moment but may support other encodings in the future.

func ParseSpecifications 

func ParseSpecifications(r io.Reader) ([]Specification, error)

ParseSpecifications decodes the contents of in to a list of Specifications The resulting Specification may have default values for unset fields.

func WalkDirectoryAndParseSpecificationFiles 

func WalkDirectoryAndParseSpecificationFiles(dir fs.FS) ([]Specification, error)

func (*Specification) AssetReturns 

func (pf *Specification) AssetReturns(ctx context.Context) (returns.Table, error)

func (*Specification) Backtest 

func (pf *Specification) Backtest(ctx context.Context, weightsAlgorithm backtestconfig.PolicyWeightCalculatorFunc) (backtest.Result, error)
Example 
package main

import (
	"context"
	"fmt"
	"time"

	"github.com/portfoliotree/portfolio"
)

func main() {
	// language=yaml
	const portfolioSpecYAML = `---
type: Portfolio
spec:
  name: 60/40
  benchmark: BIGPX
  assets: [ACWI, AGG]
  policy:
    weights: [60, 40]
    weights_algorithm: ConstantWeights
    rebalancing_interval: Quarterly
`

	pf, err := portfolio.ParseOneSpecification(portfolioSpecYAML)
	if err != nil {
		panic(err)
	}

	ctx := context.Background()
	result, err := pf.Backtest(ctx, nil)
	if err != nil {
		panic(err)
	}

	portfolioReturns := result.Returns()
	fmt.Printf("Annualized Risk: %.2f%%\n", portfolioReturns.AnnualizedRisk()*100)
	fmt.Printf("Annualized Return: %.2f%%\n", portfolioReturns.AnnualizedArithmeticReturn()*100)
	fmt.Printf("Backtest start date: %s\n", result.ReturnsTable.FirstTime().Format(time.DateOnly))
	fmt.Printf("Backtest end date: %s\n", result.ReturnsTable.LastTime().Format(time.DateOnly))

}

Output:

Annualized Risk: 11.46%
Annualized Return: 5.10%
Backtest start date: 2008-03-31
Backtest end date: 2023-06-14

func (*Specification) BacktestWithStartAndEndTime 

func (pf *Specification) BacktestWithStartAndEndTime(ctx context.Context, start, end time.Time, weightsFn backtestconfig.PolicyWeightCalculatorFunc) (backtest.Result, error)

func (*Specification) ParseValues 

func (pf *Specification) ParseValues(q url.Values) error

func (*Specification) RemoveAsset 

func (pf *Specification) RemoveAsset(index int) error

func (*Specification) Validate 

func (pf *Specification) Validate() error

Validate does some simple validations. Server you should do additional validations.

func (*Specification) Values 

func (pf *Specification) Values() url.Values

Source Files

View all Source files

Directories

Path Synopsis
Package backtest calculates portfolio returns and asset weights from historic asset returns.
 Package backtest calculates portfolio returns and asset weights from historic asset returns.
backtestconfig
Package calculations implements various finance equations used in the rest of the package.
 Package calculations implements various finance equations used in the rest of the package.
internal
fixtures
Package returns implements data structures and convenience methods for interacting with a list of returns or sets of date-aligned returns.
 Package returns implements data structures and convenience methods for interacting with a list of returns or sets of date-aligned returns.

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