Metadata-Version: 2.1
Name: portfolio-backtest
Version: 0.1.5
Summary: portfolio-backtest is a python library         for backtest portfolio asset allocation on Python 3.7 and above.
Home-page: https://github.com/10mohi6/portfolio-backtest-python
Author: 10mohi6
Author-email: 10.mohi.6.y@gmail.com
License: MIT
Description: # portfolio-backtest
        
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        portfolio-backtest is a python library for backtest portfolio asset allocation on Python 3.7 and above.
        
        ## Installation
        
            $ pip install portfolio-backtest
        
        ## Usage
        
        ### basic run
        ```python
        from portfolio_backtest import Backtest
        
        Backtest(tickers=["VTI", "AGG", "GLD"]).run()
        ```
        ![tangency-portfolio.png](https://raw.githubusercontent.com/10mohi6/portfolio-backtest-python/main/tests/tangency-portfolio.png)
        ![minimum-variance-portfolio.png](https://raw.githubusercontent.com/10mohi6/portfolio-backtest-python/main/tests/minimum-variance-portfolio.png)
        ![hierarchical-risk-parity-portfolio.png](https://raw.githubusercontent.com/10mohi6/portfolio-backtest-python/main/tests/hierarchical-risk-parity-portfolio.png)
        ![minimum-cvar-portfolio.png](https://raw.githubusercontent.com/10mohi6/portfolio-backtest-python/main/tests/minimum-cvar-portfolio.png)
        ![cumulative-return.png](https://raw.githubusercontent.com/10mohi6/portfolio-backtest-python/main/tests/cumulative-return.png)
        
        ### advanced run
        ```python
        from portfolio_backtest import Backtest
        import pprint
        
        bt = Backtest(
            tickers={
                "VTI": 0.6,
                "AGG": 0.25,
                "GLD": 0.15,
            },
            target_return=0.1,
            target_cvar=0.025,
            data_dir="data",
            start="2011-04-10",
            end="2021-04-10",
        )
        pprint.pprint(bt.run(plot=True))
        ```
        ```python
        [{'Annual volatility': '10.9%',
          'Conditional Value at Risk': '',
          'Expected annual return': '9.6%',
          'Sharpe Ratio': '0.70',
          'portfolio': 'Your Portfolio',
          'tickers': {'AGG': 0.25, 'GLD': 0.15, 'VTI': 0.6}},
         {'Annual volatility': '6.3%',
          'Conditional Value at Risk': '',
          'Expected annual return': '7.0%',
          'Sharpe Ratio': '0.79',
          'portfolio': 'Tangency Portfolio',
          'tickers': {'AGG': 0.67099, 'GLD': 0.0, 'VTI': 0.32901}},
         {'Annual volatility': '4.3%',
          'Conditional Value at Risk': '',
          'Expected annual return': '4.3%',
          'Sharpe Ratio': '0.53',
          'portfolio': 'Minimum Variance Portfolio',
          'tickers': {'AGG': 0.91939, 'GLD': 0.00525, 'VTI': 0.07536}},
         {'Annual volatility': '4.0%',
          'Conditional Value at Risk': '',
          'Expected annual return': '4.1%',
          'Sharpe Ratio': '0.51',
          'portfolio': 'Hierarchical Risk Parity Portfolio',
          'tickers': {'AGG': 0.89041, 'GLD': 0.05695, 'VTI': 0.05263}},
         {'Annual volatility': '',
          'Conditional Value at Risk': '0.5%',
          'Expected annual return': '4.2%',
          'Sharpe Ratio': '',
          'portfolio': 'Minimum CVaR Portfolio',
          'tickers': {'AGG': 0.93215, 'GLD': 0.0, 'VTI': 0.06785}},
         {'Annual volatility': '7.7%',
          'Conditional Value at Risk': '',
          'Expected annual return': '10.0%',
          'Sharpe Ratio': '1.04',
          'portfolio': 'Semi Variance Portfolio (target return 10.0%)',
          'tickers': {'AGG': 0.39504, 'GLD': 0.0, 'VTI': 0.60496}},
         {'Annual volatility': '',
          'Conditional Value at Risk': '2.5%',
          'Expected annual return': '13.3%',
          'Sharpe Ratio': '',
          'portfolio': 'Return Maximize CVaR Portfolio (target CVaR 2.5%)',
          'tickers': {'AGG': 0.08851, 'GLD': 0.0, 'VTI': 0.91149}}]
        ```
        ![advanced-your-portfolio.png](https://raw.githubusercontent.com/10mohi6/portfolio-backtest-python/main/tests/advanced-your-portfolio.png)
        ![advanced-tangency-portfolio.png](https://raw.githubusercontent.com/10mohi6/portfolio-backtest-python/main/tests/advanced-tangency-portfolio.png)
        ![advanced-minimum-variance-portfolio.png](https://raw.githubusercontent.com/10mohi6/portfolio-backtest-python/main/tests/advanced-minimum-variance-portfolio.png)
        ![advanced-hierarchical-risk-parity-portfolio.png](https://raw.githubusercontent.com/10mohi6/portfolio-backtest-python/main/tests/advanced-hierarchical-risk-parity-portfolio.png)
        ![advanced-minimum-cvar-portfolio.png](https://raw.githubusercontent.com/10mohi6/portfolio-backtest-python/main/tests/advanced-minimum-cvar-portfolio.png)
        ![advanced-return-maximize-cvar-portfolio-(target-cvar-2.5%).png](https://raw.githubusercontent.com/10mohi6/portfolio-backtest-python/main/tests/advanced-return-maximize-cvar-portfolio-(target-cvar-2.5%25).png)
        ![advanced-semi-variance-portfolio-(target-return-10.0%).png](https://raw.githubusercontent.com/10mohi6/portfolio-backtest-python/main/tests/advanced-semi-variance-portfolio-(target-return-10.0%25).png)
        ![advanced-cumulative-return.png](https://raw.githubusercontent.com/10mohi6/portfolio-backtest-python/main/tests/advanced-cumulative-return.png)
        
        ## Supported Portfolio
        - Your Portfolio
        - Hierarchical Risk Parity Portfolio
        - Tangency Portfolio
        - Minimum Variance Portfolio
        - Minimum CVaR Portfolio
        - Semi Variance Portfolio
        - Return Maximize CVaR Portfolio
        
Keywords: portfolio stock ETF mutual fund python backtest         asset allocation CVaR HRP Variance Minimum tangency
Platform: UNKNOWN
Classifier: Development Status :: 4 - Beta
Classifier: Programming Language :: Python
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.7
Classifier: Programming Language :: Python :: 3.8
Classifier: Programming Language :: Python :: 3.9
Classifier: Intended Audience :: Developers
Classifier: Intended Audience :: Financial and Insurance Industry
Classifier: Operating System :: OS Independent
Classifier: Topic :: Office/Business :: Financial :: Investment
Classifier: License :: OSI Approved :: MIT License
Requires-Python: >=3.7.0
Description-Content-Type: text/markdown
