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How to Download Portfolio Log-Returns (for a given Resolution) after a Backtest?
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Halldor Andersen
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.
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.
Kamer Ali Yüksel
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 file or just print its full contents to the console?
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.
Jack Simonson
There is no direct way to download a file of returns data. It would be possible to reverse-engineer raw data this way, and it's explicitly against our terms and conditions to download data we provide locally unless purchased via our data vendors.
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.
Kamer Ali Yüksel
Thanks, I understand but all I want is to download the periodical log-returns of the own portfolio during the backtest period, not the individual assets. I see that one can set the portfolio to an individual asset and download its data in a hacky way by doing that. But I guess that the same problem exists also with the logging mechanism you have proposed me to use, if there is such bad intention of violating your terms.
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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