Author: Philippe Lacroix-Ouellete, HEC Montréal. ([email protected])

  pip install git+https://github.com/phil-lo/pyportlib.git

Firstly, this package manages a stock prices/statements within a set directory, and so, directly from import. To override the default directory, use set_client_dir(str) in your script. You can build equity portfolios and compute its historical performances, including intraday transactions PnL. Some key metrics can also be computed (see /reporting/ and /metrics/stats.py).

On the other hand, you can leverage the Position object to retreive and manipulate stock data with quantities. It is then possible to compute its daily performance and statistics obviously for research purposes. Financial statements can also be retreived.

• Construct portfolios with transactions

  • Track cash changes within the portfolio and cash account on any given date.
  • Transaction can be entered through the Transaction object within the code or a transaction.csv within the portoflio directory
  • Transactions and Cash changes can be updated through the questrade connection. See below.
  • Compute daily PnL in $ or % and compute other key risk metrics, by position tags.

• Generate a tearsheat from portoflio performance, plots, etc.

  • Compute strategy performance
  • Build custom and dynamic benchmarks etc.

Most of the stats and plots modules wrap around quantstats package. Currently has yahoo as implemented source (yfinance and yahoo_fin)

See /examples/ and /tests/

Update your portfolio with the questrade connection. Retreive account information and transactions and QuestradeConnection can manage all of your portfolio changes firectly from your account.

Example is available in /examples/questrade.

Package also offers utility functions useful for any quantitative/analytics research workflow such as indices symbols, calendar management and rolling date ranges.

• Facilitating what-if scenarios, with temporary positions that do not persist in your actual account transaction. Instead of creating a new portfolio everytime.