Portfolio management in R for private use
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