invest-tools 0.2.5

Tools to manage portfolio risk analysis

invest-tools

Tools to manage portfolio risk analysis

Installation

As a python package this should be installable through:

pip install invest-tools

Or:

poetry add invest-tools

Dependencies

The dependencies of this project can be seen in the pyproject.toml file. However for completeness there is a dependcy on pandas, statsmodels and matplotlib as the basics.

Data Inputs

There are three data inputs which should be present for the package to work as expected.

The path strings to the csvs can be passed in.

1. Portfolio price data as a CSV

TIDM	Date	Open	High	Low	Close	Volume	Adjustment
EG	01/01/2023	1	1	1	1	1	1
EG2	01/01/2023	1	1	1	1	1	1

2. Currency data as a CSV

Date	Open	High	Low	Close	Adj Close	Volume
01/01/2023	1	1	1	1	1	1

Example

Build a portfolio of two securities called EG and EG2 with the weighting split 50:50 between the two. One is denominated in GBP and one in USD.

This will output the mean returns of such a portfolio.

import numpy as np
from invest_tools import portfolio

portfolio_definition = {
    "EG": {
        "weight": 0.5,
        "currency": "gbp"
    },
    "EG2": {
        "weight": 0.5,
        "currency": "usd"
    }
}

port = portfolio.Portfolio(portfolio_definition, portfolio.Currency.GBP)
port.get_usd_converter("path/to/csv")
port.get_prices("path/to/csv")
port.build()
port.analyse()
print(port.analysis)
port.plot_correlation_heatmap()
port.plot_returns_data()

Roadmap

• Add an input validator
• Add logging
• Update risk free calculation to use new data outputs
• Add deeper analysis methods
  • Coppock Curve
  • Fama French
  • Excess Returns
  • Maximum Drawdown
  • Calculate Moments
• Add further testing
• Make the package more generic
• Investigate using Polars
• Add func to calculate number of shares to buy to achieve portfolio make up (need to take in cash total for portfolio)

License

MIT

Contact

Just open an issue I guess?