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may be some issues in portfolio calculations  #5

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may be some issues in portfolio calculations #5

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@avinashpandit
avinashpandit
opened on Apr 14, 2013

For ppQuantrade testing purpose i added one test algorithm. When i calculate profit my self i get very good result but when i use self.portfolio object i get very different output. Do you see any issues the way i am using portfolio

This is algorithm

class Test(TradingAlgorithm): ''' https://www.quantopian.com/posts/this-is-amazing !! Many transactions, so makes the algorithm explode when traded with many positions ''' def initialize(self, properties): self.debug = properties.get('debug', 0) window_length = properties.get('window_length', 3) self.purchase_price = 0 self.orderCounter = 0 self.amount = 10000 self.add_transform(SMA, 'mavg', ['price'], window_length=window_length) self.totalProfit = 0 self.max_notional = 100000.1 self.min_notional = -100000.0 
def handle_data(self, data):
    ''' ----------------------------------------------------------    Init   --'''
    user_instruction = self.manager.update(self.portfolio, self.datetime.to_pydatetime())

    ''' ----------------------------------------------------------    Scan   --'''
    for ticker in data:
        sma          = data[ticker].mavg
        price        = data[ticker].price
        cash         = self.portfolio.cash
        notional     = self.portfolio.positions[ticker].amount * price
        capital_used = self.portfolio.capital_used

        if sma * 0.95 > price :
            self.logger.info('Cash : {} Notional : {} Capital used {} ' , cash , notional , capital_used)
            self.order(ticker, self.amount)
            self.logger.info('Cash : {} Notional : {} Capital used {} ' , cash , notional , capital_used)
            self.purchase_price += price
            self.orderCounter += 1
            if self.debug:
                self.logger.info('{}: Ordering {} {} stocks @ {} '.format(self.datetime, ticker, self.amount , self.purchase_price / self.orderCounter))
        elif self.orderCounter > 0 and  self.purchase_price / self.orderCounter < 1.1 * price:
            self.logger.info('-Cash : {} Notional : {} Capital used {} ' , cash , notional , capital_used)
            self.order(ticker, -self.orderCounter * self.amount)
            self.logger.info('-Cash : {} Notional : {} Capital used {} ' , cash , notional , capital_used)
            self.totalProfit += (price - self.purchase_price / self.orderCounter) * self.amount * self.orderCounter
            if self.debug:
                self.logger.info('{}: Selling {} {} stocks @ {} Profit : {}'.format(self.datetime, ticker, -self.orderCounter * self.amount, price , self.totalProfit))
            self.purchase_price = 0
            self.orderCounter = 0

This is output
[2013-04-14 06:40] Trade Labo - INFO: Portfolio returns: 93729.21875

manually calculated returns : 192000

This is log of executed algorithm
INFO [2013-04-13 23:40:37] python /avinash/python-projects/ppQuanTrade/application/app.py --tickers XIV --algorithm Test --manager Constant --start 2012-07-01 --end 2013-03-31 --exchange nasdaq --database test
[2013-04-14 06:40] INFO: Configuration: Found local configuration file, loading ~/.quantrade/default.json
[2013-04-14 06:40] INFO: Database: Reading QuanTrade MySQL configuration...
[2013-04-14 06:40] INFO: Database: Opening database stock_data
[2013-04-14 06:40] DEBUG: Configuration: Reading commandline arguments
[2013-04-14 06:40] DEBUG: Configuration: Mapping arguments to backtest parameters dictionnary
[2013-04-14 06:40] Configuration - INFO: Reading strategie configuration from json files (192.168.1.6)
[2013-04-14 06:40] Configuration - INFO: Configuration is Done. (192.168.1.6)
[2013-04-14 06:40] Database - INFO: Reading QuanTrade MySQL configuration... (192.168.1.6)
[2013-04-14 06:40] Database - INFO: Opening database stock_data (192.168.1.6)
[2013-04-14 06:40] DataFeed - DEBUG: No matching name, trying symbol list... (192.168.1.6)
[2013-04-14 06:40] Database - INFO: Got infos: <Equity('xiv','VelocityShares Da','PCX', '','','')> (192.168.1.6)
[2013-04-14 06:40] DataFeed - INFO: Retrieving XIV quotes from database (192.168.1.6)
/usr/local/lib/python2.7/dist-packages/sqlalchemy/engine/default.py:320: Warning: Incorrect datetime value: '2012-07-01 05:00:00+00:00' for column 'Date' at row 1
cursor.execute(statement, parameters)
/usr/local/lib/python2.7/dist-packages/sqlalchemy/engine/default.py:320: Warning: Incorrect datetime value: '2013-03-31 05:00:00+00:00' for column 'Date' at row 1
cursor.execute(statement, parameters)
[2013-04-14 06:40] Engine - INFO:
-- Running backetester...
Using algorithm: Test
(192.168.1.6)
[2013-04-14 06:40] Engine - INFO:
-- Using portfolio manager: Constant
(192.168.1.6)
[2013-04-14 06:40] Engine - INFO: Algorithm Test available, getting a reference to it. (192.168.1.6)
[2013-04-14 06:40] Engine - INFO: Manager Constant available, getting a reference and initializing it. (192.168.1.6)
[2013-04-14 06:40] Database - INFO: Reading QuanTrade MySQL configuration... (192.168.1.6)
[2013-04-14 06:40] Database - INFO: Opening database stock_data (192.168.1.6)
[2013-04-14 06:40] Engine - INFO: Re-loading last Xavier Bruhiere portfolio from database (192.168.1.6)
[2013-04-14 06:40] Manager - INFO: Loading portfolio from database (192.168.1.6)
[2013-04-14 06:40] Engine - INFO: Portfolio setup successful (192.168.1.6)
[2013-04-14 06:40] Transform - INFO: Running StatefulTransform mavg
[2013-04-14 06:40] Test - INFO: Cash : 100000.0 Notional : 0.0 Capital used 0.0 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 100000.0 Notional : 0.0 Capital used 0.0 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-07-23 00:00:00+00:00: Ordering XIV 10000 stocks @ 11.8 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 97149.84375 Notional : 2825.0 Capital used -2850.15625 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 97149.84375 Notional : 2825.0 Capital used -2850.15625 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-07-24 00:00:00+00:00: Ordering XIV 10000 stocks @ 11.55 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 94274.53125 Notional : 5700.0 Capital used -5725.46875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 94274.53125 Notional : 5700.0 Capital used -5725.46875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-07-25 00:00:00+00:00: Ordering XIV 10000 stocks @ 11.5 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 91172.8125 Notional : 9225.0 Capital used -8827.1875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 91172.8125 Notional : 9225.0 Capital used -8827.1875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-07-26 00:00:00+00:00: Selling XIV -30000 stocks @ 12.3 Profit : 24000.0 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 94295.625 Notional : 8000.0 Capital used -5704.375 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 94295.625 Notional : 8000.0 Capital used -5704.375 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-09-26 00:00:00+00:00: Ordering XIV 10000 stocks @ 16.0 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 89885.78125 Notional : 13125.0 Capital used -10114.21875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 89885.78125 Notional : 13125.0 Capital used -10114.21875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-09-27 00:00:00+00:00: Selling XIV -10000 stocks @ 17.5 Profit : 39000.0 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 94101.71875 Notional : 8000.0 Capital used -5898.28125 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 94101.71875 Notional : 8000.0 Capital used -5898.28125 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-10-23 00:00:00+00:00: Ordering XIV 10000 stocks @ 16.0 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 90094.375 Notional : 11925.0 Capital used -9905.625 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 90094.375 Notional : 11925.0 Capital used -9905.625 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-10-24 00:00:00+00:00: Ordering XIV 10000 stocks @ 15.95 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 85986.40625 Notional : 16300.0 Capital used -14013.59375 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 85986.40625 Notional : 16300.0 Capital used -14013.59375 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-10-25 00:00:00+00:00: Selling XIV -20000 stocks @ 16.3 Profit : 46000.0 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 90053.28125 Notional : 11850.0 Capital used -9946.71875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 90053.28125 Notional : 11850.0 Capital used -9946.71875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-11-07 00:00:00+00:00: Ordering XIV 10000 stocks @ 15.8 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 86121.40625 Notional : 15600.0 Capital used -13878.59375 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 86121.40625 Notional : 15600.0 Capital used -13878.59375 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-11-08 00:00:00+00:00: Selling XIV -10000 stocks @ 15.6 Profit : 44000.0 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 89989.53125 Notional : 12900.0 Capital used -10010.46875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 89989.53125 Notional : 12900.0 Capital used -10010.46875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-12-21 00:00:00+00:00: Ordering XIV 10000 stocks @ 17.2 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 85579.6875 Notional : 17500.0 Capital used -14420.3125 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 85579.6875 Notional : 17500.0 Capital used -14420.3125 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-12-24 00:00:00+00:00: Selling XIV -10000 stocks @ 17.5 Profit : 47000.0 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 89671.40625 Notional : 12375.0 Capital used -10328.59375 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 89671.40625 Notional : 12375.0 Capital used -10328.59375 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-12-26 00:00:00+00:00: Ordering XIV 10000 stocks @ 16.5 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 85513.125 Notional : 16500.0 Capital used -14486.875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 85513.125 Notional : 16500.0 Capital used -14486.875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-12-27 00:00:00+00:00: Selling XIV -10000 stocks @ 16.5 Profit : 47000.0 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 89406.09375 Notional : 11775.0 Capital used -10593.90625 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 89406.09375 Notional : 11775.0 Capital used -10593.90625 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-12-28 00:00:00+00:00: Ordering XIV 10000 stocks @ 15.7 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 85247.8125 Notional : 16500.0 Capital used -14752.1875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 85247.8125 Notional : 16500.0 Capital used -14752.1875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2012-12-31 00:00:00+00:00: Selling XIV -10000 stocks @ 16.5 Profit : 55000.0 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 181275.46875 Notional : -80625.0 Capital used 81275.46875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 181275.46875 Notional : -80625.0 Capital used 81275.46875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2013-02-21 00:00:00+00:00: Ordering XIV 10000 stocks @ 21.5 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 175658.125 Notional : -78050.0 Capital used 75658.125 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 175658.125 Notional : -78050.0 Capital used 75658.125 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2013-02-22 00:00:00+00:00: Selling XIV -10000 stocks @ 22.3 Profit : 63000.0 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 180395.78125 Notional : -71625.0 Capital used 80395.78125 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 180395.78125 Notional : -71625.0 Capital used 80395.78125 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2013-02-25 00:00:00+00:00: Ordering XIV 10000 stocks @ 19.1 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 175507.96875 Notional : -67900.0 Capital used 75507.96875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: Cash : 175507.96875 Notional : -67900.0 Capital used 75507.96875 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2013-02-26 00:00:00+00:00: Ordering XIV 10000 stocks @ 19.25 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 170293.125 Notional : -67275.0 Capital used 70293.125 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: -Cash : 170293.125 Notional : -67275.0 Capital used 70293.125 (192.168.1.6)
[2013-04-14 06:40] Test - INFO: 2013-02-27 00:00:00+00:00: Selling XIV -20000 stocks @ 20.7 Profit : 92000.0 (192.168.1.6)
[2013-04-14 06:40] Transform - INFO: Finished StatefulTransform mavg
[2013-04-14 06:40] Performance - INFO: Simulated 185 trading days out of 185. (192.168.1.6)
[2013-04-14 06:40] Performance - INFO: first open: 2012-07-02 13:30:00+00:00 (192.168.1.6)
[2013-04-14 06:40] Performance - INFO: last close: 2013-03-28 20:00:00+00:00 (192.168.1.6)
[2013-04-14 06:40] Trade Labo - INFO: Portfolio returns: 93729.21875 (192.168.1.6)
/usr/local/lib/python2.7/dist-packages/sqlalchemy/engine/default.py:320: Warning: Data truncated for column 'SortinoRatio' at row 1
cursor.execute(statement, parameters)
/usr/local/lib/python2.7/dist-packages/sqlalchemy/engine/default.py:320: Warning: Data truncated for column 'Information' at row 1
cursor.execute(statement, parameters)
[2013-04-14 06:40] Trade Labo - INFO:

Returns: -6.27078125% / 15.0766152569%
Volatility: 0.0487673359095
Sharpe: -2.67210000663
Max drawdown: 0.126171024824

(192.168.1.6)

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