analytics

Parameters with examples and explanations

stocksData

This parameter represents the Time Series Data fetched from AlphaVantage for all the stocks which are present in a given portfolio.
It is prefered to have the DAILIY Time Series, but Weekly and Monthly is also okay. It won't break the code.
The data is formed in the following way:

{
  SYMBOL: {
      DATE: {
        "1. open": number,
        "2. high": number,
        "3. low": number,
        "4. close": number,
        "5. volume": number
      }
  }
}

Example for stocks data

{
  AAPL: {
    '2017-01-27': {
      '1. open': '120.0000',
      '2. high': '122.4400',
      '3. low': '119.5000',
      '4. close': '121.9500',
      '5. volume': '124748449'
    },
    .
    .
    .
  },
  .
  .
  .,
  JPM: {
    '2017-01-27': {
      '1. open': '83.3000',
      '2. high': '86.9800',
      '3. low': '83.2050',
      '4. close': '86.9300',
      '5. volume': '73396847'
    },
    .
    .
    .
  }
}

symbolCompanyOverview

This parameter represents the Company Overview data fetched from AlphaVantage for all the stocks which are present in a given portfolio.
The data is formed in the following way:

{
  SYMBOL: {
      Symbol: string,
      AssetType: string,
      ...
  }
}

Example for symbolCompanyOverview

{
 BABA: {
    Symbol: 'BABA',
    AssetType: 'Common Stock',
    Exchange: 'NYSE',
    Currency: 'USD',
    Country: 'USA',
    Sector: 'Consumer Cyclical',
    Industry: 'Internet Retail',
    ...,
    LastSplitFactor: 'None',
    LastSplitDate: 'None'
  },
  JPM: {
    Symbol: 'JPM',
    AssetType: 'Common Stock',
    ...,
    LastSplitDate: '2000-06-12'
  }
}

balanceSheetPerSymbol

This parameter represents the Balance Sheet data fetched from AlphaVantage for all the stocks which are present in a given portfolio.
The data is formed in the following way:

{
  SYMBOL: {
      symbol: string,
      annualReports: [object],
      quarterlyReports: [object]
  }
}

Example for balanceSheetPerSymbol

{
  AAPL: {
    symbol: 'AAPL',
    annualReports: [Object1, ...ObjectN ],
    quarterlyReports: [Object1, ...ObjectN]
  },
  ...,
  GOOGL: {
    symbol: 'GOOGL',
    annualReports: [ Object1, ...ObjectN ],
    quarterlyReports: [ Object1, ...ObjectN ]
  },
}

Backtesting

Testing the performance of a portfolio over a historical time span

Inputs:

Parameters	Type
portfolio	A real or simulated portfolio in the form it is fetched from FinApi
stocksData	Daily/Weekly/Monthly Time Series in the from of {symbol: data fetched from AlphaVantage}
fromDate	Date
toDate	Date

Outputs:

Parameters	Type	Explanation
MDDMaxToMin	number as String	The maximum drawdown of a portfolio according to the maximum and minimum observed value
MDDInitialToMin	number as String	The maximum drawdown of a portfolio according to the initial and minimum observed value
dateMax	Date as String	The date at which the portfolio value was the highest
dateMin	Date as String	The date at which the portfolio value was the lowest
maxValue	number as String	The maximum observed value of the portfolio
minValue	number as String	The minimum observed value of the portfolio
initialValue	number as String	The initial value of the portfolio or how much it costed to buy all the stocks at the starting date
bestYear	{	Best Year performance
	changeBest: number as String	The change of the value of the portfolio
	yearBest: Date as String	The year itself
	growthRateBest: number as String}	The growth rate of the portfolio value in this year
	}
worstYear	{	Worst Year performance
changeWorst	number as String,	The change of the value of the portfolio
yearWorst	Date as String,	The year itself
growthRateWorst	number as String	The growth rate of the portfolio value in this year
	}
finalPortfolioBalance	number as String,	The final portfolio balance (if < 0 => equal to 0)
CAGR	number	Compound Annual Growth Rate of the portfolio
standardDeviation	number	Standard Deviation of the portfolio
sharpeRatio	number	Sharpe Ratio of the portfolio

Example output:

{
  fromDate: 2017-01-01T00:00:00.000Z,
  toDate: 2021-04-03T08:57:28.391Z,
  MDDMaxToMin: '-0.5293',
  MDDInitialToMin: '-0.0056',
  dateMax: '2020-08-28',
  dateMin: '2017-01-20',
  maxValue: '34841.2200',
  minValue: '16400.8600',
  initialValue: '16493.1500',
  bestYear: {
    changeBest: '8311.4400',
    yearBest: '2019',
    growthRateBest: '0.4028'
  },
  worstYear: {
    changeWorst: '-1908.7500',
    yearWorst: '2018',
    growthRateWorst: '-0.0867'
  },
  finalPortfolioBalance: 31958.44,
  CAGR: 0.16938406656595228,
  standardDeviation: 0.032812673349866026,
  sharpeRatio: 0.2787391748259358
}

Diversification of a Portfolio among criterion

Evaluates the portfolio diversification in:

industries
countries
currencies
asset classes
sectors

Inputs:

Parameters	Type
portfolio	A real or simulated portfolio in the form it is fetched from FinApi
symbolCompanyOverview	Company Overviews in the form of {symbol: data fetched from AlphaVantage}

Outputs:

Parameters	Type
industries	{
concrete industry	number
	}
countries	{
concrete country	number
	}
currencies	{
concrete currency	number
	}
assetClasses	{
concrete asset class	number
	}
sectors	{
concrete sector	number
	}

Example output:

{
  industries: {
    'Banks-Diversified': 0.6504065040650407,
    'Consumer Electronics': 0.1626016260162602,
    'Information Technology Services': 0.0813008130081301,
    'Internet Retail': 0.07317073170731708,
    'Internet Content & Information': 0.032520325203252036
  },
  countries: { USA: 1 },
  currencies: { USD: 1 },
  assetClasses: { 'Common Stock': 1 },
  sectors: {
    'Financial Services': 0.6504065040650407,
    Technology: 0.2439024390243903,
    'Consumer Cyclical': 0.07317073170731708,
    'Communication Services': 0.032520325203252036
  }
}

Price Earning Ratios

Inputs:

Parameters	Type
portfolio	A real or simulated portfolio in the form it is fetched from FinApi
symbolCompanyOverview	Company Overviews in the form of {symbol: data fetched from AlphaVantage}

Outputs:

Parameters	Type	Explanation
PERatios	{
concrete stock symbol	number	Price-Earning ratio of each of the stocks
	}
averagePERatios	number	Weighted average Price-Earning ratio

Example output:

{
  peRation: {
    AAPL: '33.4662',
    GOOGL: '34.6457',
    AMZN: '74.3694',
    IBM: '20.945',
    BABA: '25.4694',
    JPM: '17.0011'
  },
  averagePEration: 21.98755609756098
}

Dividends

Inputs:

Parameters	Type
portfolio	A real or simulated portfolio in the form it is fetched from FinApi
symbolCompanyOverview	Company Overviews in the form of {symbol: data fetched from AlphaVantage}

Outputs:

Parameters	Type	Explanation
dividendyield	{
concrete stock symbol	number	Dividendyield of each of the stocks
	}
averageDividendyield	number	Weighted average Dividendyield

Example output:

{
  dividendyield: {
    AAPL: 0.0067,
    GOOGL: 0,
    AMZN: 0,
    IBM: 0.0505,
    BABA: 0,
    JPM: 0.0232
  },
  averageDividendyield: 0.020284552845528457
}

Gain/Loss:

Inputs:

Parameters	Type
portfolio	A real or simulated portfolio in the form it is fetched from FinApi
stocksData	Daily/Weekly/Monthly Time Series in the from of {symbol: data fetched from AlphaVantage}

Outputs:

Parameters	Type	Explanation
totalGainLoss	number	Positive numbers represent Gains and negative numbers - Losses
concrete stock symbol	{
symbolGainLoss	number	Positive numbers represent Gains and negative numbers - Losses
	}

Example output:

{
  totalGainLoss: 2726.7100000000028,
  perSymbol: {
    AAPL: -226,
    GOOGL: 1172.5999999999995,
    AMZN: -362.39999999999964,
    IBM: 99.80000000000018,
    BABA: -6.089999999999918,
    JPM: 2048.800000000003
  }
}

Standard Deviation, Volatility and Correlation:

Inputs:

Parameters	Type
portfolio	A real or simulated portfolio in the form it is fetched from FinApi
stocksData	Daily/Weekly/Monthly Time Series in the from of {symbol: data fetched from AlphaVantage}

Outputs:

Parameters	Type
volatility	{
concrete stock symbol	number
	}
correlations	{
concrete correlation	number
	}
portfolioVolatility	number
standardDeviation	number

Example output:

{
  volatility: {
    Apple: 1.0304461557501514,
    Google: 0.5496680733681532,
    Amazon: 0.5993856976545141,
    IBM: 0.5765889119578946,
    'Alibaba group': 0.7140162113218156,
    'JPMorgan Chase & Co.': 0.6486754881067324
  },
  correlations: {
    'Apple to Google': 0.397373186,
    'Amazon to Apple': 0.352196405,
    'Amazon to Google': 0.57879282,
    'Apple to IBM': 0.274291102,
    'Google to IBM': 0.404049364,
    'Amazon to IBM': 0.293267182,
    'Alibaba group to Apple': 0.265261281,
    'Alibaba group to Google': 0.484715212,
    'Alibaba group to Amazon': 0.489600363,
    'Alibaba group to IBM': 0.296927759,
    'Apple to JPMorgan Chase & Co.': 0.223081253,
    'Google to JPMorgan Chase & Co.': 0.502319427,
    'Amazon to JPMorgan Chase & Co.': 0.223161337,
    'IBM to JPMorgan Chase & Co.': 0.609458275,
    'Alibaba group to JPMorgan Chase & Co.': 0.263935979
  },
  portfolioVolatility: 0.5208850412096532,
  standardDeviation: 0.032812673349866026
}

Sharpe ratio:

Inputs:

Parameters	Type
portfolio	A real or simulated portfolio in the form it is fetched from FinApi
stocksData	Daily/Weekly/Monthly Time Series in the from of {symbol: data fetched from AlphaVantage}

Outputs:

Parameters	Type
sharpeRatioPerSymbol	{
concrete stock symbol	number
	}
portfolioSharpeRatio	number

Again this should also be shown on a portfolio level

Example output:

{
  sharpeRatioPerSymbol: {
    Apple: -0.01677788742875957,
    Google: 0.3918344052565828,
    Amazon: 0.5882535062884182,
    IBM: -0.1304550726559575,
    'Alibaba group': 0.30004682245527253,
    'JPMorgan Chase & Co.': 0.18631715927443418
  },
  portfolioSharpeRatio: 0.2787391748259358
}

Debt/Equity:

Inputs:

Parameters	Type
portfolio	A real or simulated portfolio in the form it is fetched from FinApi
balanceSheetPerSymbol	Balance Sheets in the form of {symbol: data fetched from AlphaVantage}

Outputs:

Parameters	Type	Explanation
debtEquityPerStock	{
concrete stock symbol	number	Represents the Debt/Equity of each of the stocks
	}
averageDebtEquity	number	Weighted average Debt/Equity of the portfolio

Example output:

{
  debtEquityPerStock: {
    AAPL: 3.957039440456695,
    GOOGL: 0.436192393414336,
    AMZN: 2.4387713588283155,
    IBM: 6.525015680030878,
    BABA: 0.5082281505442549,
    JPM: 11.121075767663967
  },
  averageDebtEquity: 8.48989362900556
}

npm start

Performs backtesting, portfolio evaluation and analysis.

npm run pythonTest

Spawns a child python process and prints out what it returns

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data		data
src		src
.gitignore		.gitignore
.prettierrc.json		.prettierrc.json
README.md		README.md
package-lock.json		package-lock.json
package.json		package.json

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analytics

Parameters with examples and explanations

stocksData

Example for stocks data

symbolCompanyOverview

Example for symbolCompanyOverview

balanceSheetPerSymbol

Example for balanceSheetPerSymbol

Backtesting

Inputs:

Outputs:

Example output:

Diversification of a Portfolio among criterion

Inputs:

Outputs:

Example output:

Price Earning Ratios

Inputs:

Outputs:

Example output:

Dividends

Inputs:

Outputs:

Example output:

Gain/Loss:

Inputs:

Outputs:

Example output:

Standard Deviation, Volatility and Correlation:

Inputs:

Outputs:

Example output:

Sharpe ratio:

Inputs:

Outputs:

Example output:

Debt/Equity:

Inputs:

Outputs:

Example output:

npm start

npm run pythonTest

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