Technical analysis, portfolio analysis, risk analysis, and benchmarking tools for personal use, written in Python.
- see main_technicals.py, main_benchmark.py for examples
- portfolio summary stats visuals - implied and historical volatility, YTD yield, max yield, 1Y yield, YTD high and low
- add fib retracement levels to axis
- high priority: portfolio allocation optimisation - https://freedium.cfd/https://towardsdatascience.com/automating-portfolio-optimization-using-python-9f344b9380b9
- parabolic sar + aroon
- kelly criterion for sizing, + other allocation tools like efficient frontier/optimising by var
- backtesting
- add option to return dollar value var/es
- add compatibility to plot and calculate portfolio holdings with different dates, i.e. purchased from when, and be able to plot cumulative returns from there