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How to Download Portfolio Log-Returns after Backtest

How to Download Portfolio Log-Returns (for a given Resolution) after a Backtest?

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hi Kamer.

You can calculate and "download" the log returns of the portfolio by appending Portfolio.TotalHoldingsValue to a DataFrame:

### In OnData()
if not self.Portfolio.Invested:
self.SetHoldings(self.symbol, 1)
self.df = self.df.append({"PortfolioValue":self.cash},ignore_index=True)
return

# Append dictionary to DataFrame
self.df = self.df.append({"PortfolioValue":self.Portfolio.TotalHoldingsValue},ignore_index=True)

And then calculate the log return:

# Calculate the portfolio log returns
logPct = np.log(self.df["PortfolioValue"]).diff().dropna()

I've attached a backtest where I demonstrate the above.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hello, thank you very much! I perfectly understood now how to put them to a dataframe but did not understand how to download the file consisting of that dataframe. I would be glad if you can enlighten me further on that.

Ok. I see now self.Log, does that download the dataframe as a fileĀ  or just print its full contents to the console?

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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