Portfolio

This page features functions for setting up and viewing the portfolio. The examples run on the bundled sample dataset.

Start a Portfolio

init-portfolio

This function sets the starting date and the initial capital, in cash. It is a must to call it before trading or using the functions that depend on the current date, e.g. available-permnos and next-date. Calling it again restarts the backtester. See init-portfolio for details.

Parameters:

• date - the starting date of the portfolio, in the format "YYYY-MM-DD"
• capital - the initial capital

Example:

(init-portfolio "1990-01-02" 10000)
;; => "Date: 1990-01-02 Cash: $10000"

Inspect the Portfolio

print-portfolio

This function prints the current holdings in a table.

Parameters:

• none

Output explanation:

Column	Format	Meaning
asset	string	Cash or the security
price	float, $	Price of the security at the last revaluation
aprc	float, $	Adjusted price of the security
quantity	float	Number of shares held; negative for a short position. Grows on dividend days when dividends are reinvested, and on splits.
tot-val	float, $	Value of the holding (negative for a short position) or the cash balance (negative when there is a loan)

Example:

(print-portfolio)

| :asset | :price |    :aprc | :quantity | :tot-val |
|--------+--------+----------+-----------+----------|
|   cash |    N/A |      N/A |       N/A |  5930.80 |
|  10002 | 133.11 | 133.1100 |      30.0 |  3993.30 |

print-portfolio-record

This function prints the daily history of the portfolio's value in a table.

Parameters:

• [n] - number of rows to print, from the start. Without it, or with zero or a negative number, the entire record is printed.

Output explanation:

Column	Format	Meaning
date	YYYY-MM-DD	Date of record
tot-value	float, $	Total value (equity) of the portfolio: cash plus long positions minus short positions
daily-ret	float, %	Daily return of the portfolio (log return)
tot-ret	float, %	Total return of the portfolio since the start (sum of log returns)
loan	float, $	Cash borrowed, i.e. the negative part of the cash balance
short	float, $	Market value of the borrowed (shorted) shares
leverage	float	(loan + short) / total value
margin	float, %	Portfolio margin: total value / gross value of all positions (long + short); 100% when there are no positions. A margin call closes all positions when it falls below MAINTENANCE-MARGIN.

Example:

(print-portfolio-record 3)

|      :date | :tot-value | :daily-ret | :tot-ret | :loan | :short | :leverage | :margin |
|------------+------------+------------+----------+-------+--------+-----------+---------|
| 1990-01-05 |  $10000.00 |      0.00% |    0.00% | $0.00 |  $0.00 |      0.00 | 100.00% |
| 1990-01-08 |  $10000.00 |      0.00% |    0.00% | $0.00 |  $0.00 |      0.00 | 100.00% |
| 1990-01-09 |  $10000.00 |      0.00% |    0.00% | $0.00 |  $0.00 |      0.00 | 100.00% |

The Buying on Margin example shows the record with loans and short positions.

print-order-record

This function prints the filled orders in a table.

Parameters:

• [n] - number of rows to print, as for print-portfolio-record

Example:

(print-order-record)

|      :date | :permno | :price |  :aprc | :quantity |
|------------+---------+--------+--------+-----------|
| 1990-02-21 |   10001 |  48.82 |  49.32 |      20.0 |
| 1990-02-21 |   10002 | 135.08 | 135.08 |      30.0 |
| 1990-02-22 |   10001 |  47.98 |  48.47 |     -20.0 |

portfolio-exposure

This function summarises the current portfolio in dollars.

Parameters:

• none

Example:

(portfolio-exposure)
;; => {:cash 5930.799999999999, :long 3993.3, :short 0.0, :equity 9924.099999999999, :gross 3993.3, :loan 0.0}

Raw records

The data behind these tables are atoms you can read directly, for example to plot them:

• portfolio - the current holdings, a map from security to {:price :aprc :quantity :tot-val ...} plus :cash
• portfolio-value - the portfolio record, one map per day
• order-record - the filled orders
• pending-order - orders that have not filled yet

(deref portfolio)
;; => {:cash {:tot-val 5930.799999999999}, "10002" {:price 133.11, :aprc 133.11000000000004, :cfacpr 2.0, :quantity 30.0, :tot-val 3993.3}}