analytics

Backtesting

Testing the performance of a portfolio over a historical time span

Inputs:

Parameters	Type
portfolio	The exact same portfolio, which can be fetched from the finApi
stocksData	Daily/Weekly/Monthly Time Series in the from of {symbol: data fetched from AlphaVantage}
fromDate	Date
toDate	Date

Outputs:

Parameters	Type	Explanation
MDDMaxToMin	number as String	The maximum drawdown of a portfolio according to the maximum and minimum observed value
MDDInitialToMin	number as String	The maximum drawdown of a portfolio according to the initial and minimum observed value
dateMax	Date as String	The date at which the portfolio value was the highest
dateMin	Date as String	The date at which the portfolio value was the lowest
maxValue	number as String	The maximum observed value of the portfolio
minValue	number as String	The minimum observed value of the portfolio
initialValue	number as String	The initial value of the portfolio or how much it costed to buy all the stocks at the starting date
bestYear	{	Best Year performance
	changeBest: number as String	The change of the value of the portfolio
	yearBest: Date as String	The year itself
	growthRateBest: number as String}	The growth rate of the portfolio value in this year
	}
worstYear	{	Worst Year performance
changeWorst	number as String,	The change of the value of the portfolio
yearWorst	Date as String,	The year itself
growthRateWorst	number as String	The growth rate of the portfolio value in this year
	}
finalPortfolioBalance	number as String,	The final portfolio balance (if < 0 => equal ot 0)
CAGR	number	Compund Annual Growth Rate of the portfolio
standardDeviation	number	Standard Deviation
sharpeRatio	number	Sharpe Ratio

Example output:

{
    "MDDMaxToMin": "-0.6242",
    "MDDInitialToMin": "0.0000",
    "dateMax": "2021-02-05",
    "dateMin": "2017-01-06",
    "maxValue": "17333.6900",
    "minValue": "6513.9700",
    "initialValue": "6513.9700",
    "bestYear": {
        "changeBest": "3914.8400",
        "yearBest": "2020",
        "growthRateBest": "0.3336"
    },
    "worstYear": {
        "changeWorst": "-137.9000",
        "yearWorst": "2018",
        "growthRateWorst": "-0.0153"
    },
    "finalPortfolioBalance": "10156.1700",
    "CAGR": 0.24892224713946032,
    "standardDeviation": 0.030303142486978612,
    "sharpeRatio": 0.46716646357345853
}

Diversification of a Portfolio among criterion

Evaluates the portfolio diversification in: _ industries _ countries _ currencies _ asset classes * sectors

Inputs:

Parameters	Type
portfolio	The exact same portfolio, which can be fetched from the finApi
symbolCompanyOverview	Company Overviews in the form of {symbol: data fetched from AlphaVantage}

Outputs:

Parameters	Type
industries	{
concrete industry	number
	}
countries	{
concrete country	number
	}
currencies	{
concrete currency	number
	}
assetClasses	{
concrete asset class	number
	}
sectors	{
concrete sector	number
	}

Example output:

{
  industries: {
    'Consumer Electronics': 0.09523809523809523,
    'Internet Content & Information': 0.19047619047619047,
    'Internet Retail': 0.19047619047619047,
    'Information Technology Services': 0.14285714285714285,
    'Banks-Diversified': 0.38095238095238093
  },
  countries: { USA: 0.9999999999999999 },
  currencies: { USD: 0.9999999999999999 },
  assetClasses: { 'Common Stock': 0.9999999999999999 },
  sectors: {
    Technology: 0.23809523809523808,
    'Communication Services': 0.19047619047619047,
    'Consumer Cyclical': 0.19047619047619047,
    'Financial Services': 0.38095238095238093
  }
}

Price Earning Ratios

Inputs:

Parameters	Type
portfolio	The exact same portfolio, which can be fetched from the finApi
symbolCompanyOverview	Company Overviews in the form of {symbol: data fetched from AlphaVantage}

Outputs:

Parameters	Type
PERatios	{
concrete stock symbol	number
	}
averagePERatios	number

Example output:

{
  PERatios: {
    AAPL: '33.4662',
    GOOGL: '34.6457',
    AMZN: '74.3694',
    IBM: '20.945',
    BABA: '25.4694',
    JPM: '17.0011'
  },
  averagePEration: 28.763647619047617
}

Dividends

Inputs:

Parameters	Type
portfolio	The exact same portfolio, which can be fetched from the finApi
symbolCompanyOverview	Company Overviews in the form of {symbol: data fetched from AlphaVantage}

Outputs:

Parameters	Type
dividendyield	{
concrete stock symbol	number
	}
averageDividendyield	number

Example output:

{
  dividendyield: {
    AAPL: 0.0067,
    GOOGL: 0,
    AMZN: 0,
    IBM: 0.0505,
    BABA: 0,
    JPM: 0.0232
  },
  averageDividendyield: 0.01669047619047619
}

Gain/Loss:

Inputs:

Parameters	Type
portfolio	The exact same portfolio, which can be fetched from the finApi
stocksData	Daily/Weekly/Monthly Time Series in the from of {symbol: data fetched from AlphaVantage}

Outputs:

Parameters	Type
totalGainLoss	number
concrete stock symbol	{
symbolGainLoss	number
	}

Example output:

{
  totalGainLoss: 1020.6800000000001,
  AAPL: { symbolGainLoss: -22.599999999999994 },
  GOOGL: { symbolGainLoss: 1172.5999999999995 },
  AMZN: { symbolGainLoss: -362.39999999999964 },
  IBM: { symbolGainLoss: 29.940000000000055 },
  BABA: { symbolGainLoss: -1.7399999999999523 },
  JPM: { symbolGainLoss: 204.8800000000001 }
}

Volatility and Correlation:

Inputs:

Parameters	Type
portfolio	The exact same portfolio, which can be fetched from the finApi
stocksData	Daily/Weekly/Monthly Time Series in the from of {symbol: data fetched from AlphaVantage}

Outputs:

Parameters	Type
volatility	{
concrete stock symbol	number
	}
correlations	{
concrete correlation	number
	}

Example output:

{
  volatility: {
    Apple: 1.0304461557501514,
    Google: 0.5496680733681532,
    Amazon: 0.5993856976545141,
    IBM: 0.5765889119578946,
    'Alibaba group': 0.7140162113218156,
    'JPMorgan Chase & Co.': 0.6486754881067324
  },
  correlations: {
    'Apple to Google': 0.397373186,
    'Amazon to Apple': 0.352196405,
    'Amazon to Google': 0.57879282,
    'Apple to IBM': 0.274291102,
    'Google to IBM': 0.404049364,
    'Amazon to IBM': 0.293267182,
    'Alibaba group to Apple': 0.265261281,
    'Alibaba group to Google': 0.484715212,
    'Alibaba group to Amazon': 0.489600363,
    'Alibaba group to IBM': 0.296927759,
    'Apple to JPMorgan Chase & Co.': 0.223081253,
    'Google to JPMorgan Chase & Co.': 0.502319427,
    'Amazon to JPMorgan Chase & Co.': 0.223161337,
    'IBM to JPMorgan Chase & Co.': 0.609458275,
    'Alibaba group to JPMorgan Chase & Co.': 0.263935979
  }
}

Sharpe ratio:

Inputs:

Parameters	Type
portfolio	The exact same portfolio, which can be fetched from the finApi
stocksData	Daily/Weekly/Monthly Time Series in the from of {symbol: data fetched from AlphaVantage}

Outputs:

Parameters	Type
{
concrete stock symbol	number
}

Example output:

{
  Apple: -0.01677788742875957,
  Google: 0.3918344052565828,
  Amazon: 0.5882535062884182,
  IBM: -0.1304550726559575,
  'Alibaba group': 0.30004682245527253,
  'JPMorgan Chase & Co.': 0.18631715927443418
}

Debt/Equity:

Inputs:

Parameters	Type
portfolio	The exact same portfolio, which can be fetched from the finApi
balanceSheetPerSymbol	Balance Sheets in the form of {symbol: data fetched from AlphaVantage}

Outputs:

Parameters	Type
debtEquityPerStock	{
concrete stock symbol	number
	}
totalDebtEquity	number
averageDebtEquity	number

Example output:

{
  debtEquityPerStock: {
    AAPL: 3.957039440456695,
    GOOGL: 0.436192393414336,
    AMZN: 2.4387713588283155,
    IBM: 6.525015680030878,
    BABA: 0.5082281505442549,
    JPM: 11.121075767663967
  },
  totalDebtEquity: 24.986322790938445,
  averageDebtEquity: 4.164387131823074
}

npm start

Performs backtesting, portfolio evaluation and analysis.

npm run pythonTest

Spawns a child python process and prints out what it returns