Portfolio management in R for private use

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Portfolio management in R for private use

Johannes Lips-2
Hi all,

I've just wanted to share some code I've written to keep track of my
small portfolio in R, since I couldn't find anything suitable on the
internet.
https://github.com/hannes101/myRportfolio/
I would be glad if someone could offer me some nice documents on good
ways to keep track on the performance of the whole portfolio and
possible summaries one could easily obtain. I couldn't really find a lot
of documentation on all these packages and most of it was rather
academic and not really suited for a portfolio, mainly following a
Buy&Hold strategy.
If you have any suggestions or additional comments, please let me know.

All the best,

Johannes

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Re: Portfolio management in R for private use

braverock
On 01/12/2017 02:16 AM, Johannes Lips wrote:

> Hi all,
>
> I've just wanted to share some code I've written to keep track of my
> small portfolio in R, since I couldn't find anything suitable on the
> internet.
> https://github.com/hannes101/myRportfolio/
> I would be glad if someone could offer me some nice documents on good
> ways to keep track on the performance of the whole portfolio and
> possible summaries one could easily obtain. I couldn't really find a lot
> of documentation on all these packages and most of it was rather
> academic and not really suited for a portfolio, mainly following a
> Buy&Hold strategy.
> If you have any suggestions or additional comments, please let me know.

Johannes,

Thanks for sharing your code.  It is always useful to see how other
people are using the packages.

I'm a little unclear on what your question is.

I'm also not clear what you are referring to when you discuss 'not
really suited for a portfolio', since among other things we use blotter
for reconciliation of accounts doing many thousands of trades per day,
which is not quite 'buy and hold' nor 'academic'.  Perhaps you could
provide links to what you've referenced so far?

Anyway, I'll guess at what you might be asking, and see if that
clarifies things.

You're using addTxns() to load your trades into blotter, which is as
expected for trade accounting on actual trades.

After you've called updatePortf() and updateAcct(), you have all the
'tracking' and 'performance' data for your portfolio.

I don't see calls to tradeStats(), perTradeStats(), dailyStats(), or
dailyEqPL(), which might give you more of the 'tracking' information
you're looking for.

I also don't see a call to PortfReturns(), which would extract %-returns
from your blotter portfolio, and make all the standard portfolio
analysis of packages such as PerformanceAnalytics or PortfolioAnalytics,
which generally expect %-returns, available.

So, maybe this answers your question, and maybe it doesn't.  If I
haven't answered your question, could you please be more specific about
what you want to do?

Regards,

Brian

--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

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Re: Portfolio management in R for private use

Johannes Lips-2
On 12.01.2017 11:32, Brian G. Peterson wrote:

> On 01/12/2017 02:16 AM, Johannes Lips wrote:
>> Hi all,
>>
>> I've just wanted to share some code I've written to keep track of my
>> small portfolio in R, since I couldn't find anything suitable on the
>> internet.
>> https://github.com/hannes101/myRportfolio/
>> I would be glad if someone could offer me some nice documents on good
>> ways to keep track on the performance of the whole portfolio and
>> possible summaries one could easily obtain. I couldn't really find a lot
>> of documentation on all these packages and most of it was rather
>> academic and not really suited for a portfolio, mainly following a
>> Buy&Hold strategy.
>> If you have any suggestions or additional comments, please let me know.
>
> Johannes,
>
> Thanks for sharing your code.  It is always useful to see how other
> people are using the packages.
>
> I'm a little unclear on what your question is.
>
> I'm also not clear what you are referring to when you discuss 'not
> really suited for a portfolio', since among other things we use
> blotter for reconciliation of accounts doing many thousands of trades
> per day, which is not quite 'buy and hold' nor 'academic'. Perhaps you
> could provide links to what you've referenced so far?
>
> Anyway, I'll guess at what you might be asking, and see if that
> clarifies things.
>
> You're using addTxns() to load your trades into blotter, which is as
> expected for trade accounting on actual trades.
>
> After you've called updatePortf() and updateAcct(), you have all the
> 'tracking' and 'performance' data for your portfolio.
>
> I don't see calls to tradeStats(), perTradeStats(), dailyStats(), or
> dailyEqPL(), which might give you more of the 'tracking' information
> you're looking for.
>
> I also don't see a call to PortfReturns(), which would extract
> %-returns from your blotter portfolio, and make all the standard
> portfolio analysis of packages such as PerformanceAnalytics or
> PortfolioAnalytics, which generally expect %-returns, available.
>
Thanks for your response Brian!
I didn't want to imply that blotter is not up to the task or anything
like that. I just meant that most tutorials and examples, I could find
are on a more advanced level, which is not really necessary for the task
of managing and keeping track of a small ETF portfolio in R. So I
basically tried to boil it down to the most basic commands, but at the
same time offering the possibility using the powerful tools provided.
I was specifically looking for something like these commands, so that
you can get a quick overview on the portfolio. I will try to experiment
around with the commands you've mentioned.
Basically I just tried to write a basic tutorial, so that one could more
easily use R to keep track of a small portfolio and I was asking on
feedback on how to improve that.

Regards,
Johannes

> So, maybe this answers your question, and maybe it doesn't.  If I
> haven't answered your question, could you please be more specific
> about what you want to do?
>
> Regards,
>
> Brian
>

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