Period Dollar Cost Average BacktesterHere is a simple script to calculate the profits and other dollar cost average strategy statistics. This strategy was created to avoid asset price volatility, so the pump and dump scheme does not affect the portfolio. By dividing the investment amount into periods, the investor doesn’t need to analyze the market, fundamental analysis, or anything. The goal is to increase the asset holdings and avoid fast and robust price movements.
This indicator has some configurations.
Amount to buy: the amount to buy at each time
Broker fee %: the fee percentage that the broker has for spot trade
Frequency: the frequency of the investments. Example: 1 Day means that every day, it will buy an amount of the asset
Starting Date: when the indicator will start the investment simulation
Ending Date: when the indicator will end the investment simulation
InfoCell With/Height: it relates to the panel for view purposes. Change the values to fit better on your screen.
This indicator has three lines:
Total Invested (green): total amount invested at the end of the period
Total Net Profit (pink): total profit by converting the amount of the asset bought at the latest closing price
Holding Profits (yellow): the amount that would be in the portfolio if the investor had invested all the capital in a signal trade at the beginning of the period.
The statistics panel has some information to help you understand buying the asset in one or more trades. So, besides those three lines that were mentioned above, here are the other statistics:
Entry Price: The price of the asset when the first investment was made
Gross Profit: Total amount of profit, not excluding the losses
Gross Losses: Total amount of losses, not excluding the profits
Profit Factor: The Gross Profit divided by the Gross Loss. A value above 1 means it’s profitable.
Profit/Trades: Net profit per trade. This includes the broker fees.
Recovery Factor: The Net profit divided by the relative drawdown. The higher the recovery factor, the faster the recovery of a loss
Total Asset Bought: The amount of the asset that was bought at the end of the investment plan
Absolute Drawdown: The total amount of losses that made the account balance go below its initial value
Relative Drawdown: The max drawdown that occurred, no matter the account balance amount
Total Trades: number of times the investment was made in the selected period
Total Fee: total Fee that was spent on the total investment
Total Winning Trades: the total amount of winning trades. A trade is considered a winner if the net profit is up compared with the latest investment.
Total Losing Trades: the total amount of losing trades. A trade is considered a loser if the net profit is down compared to the latest investment.
Max consecutive wins: the max amount of consecutive winning trades
Max consecutive losses: the max amount of consecutive losing trades
The chart above uses the default configuration of the indicator. Placed on the BTCUSD market, taking the time range of January 1st, 2018 to January 1st, 2022, 4 years. Buying a BTC amount with 10 USDT every day in that period would generate a more than 500% profit. Compared to the profit amount by just holding the count, which was close to 350% profit, the dollar cost average by period would be much more profitable.
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Portfolio Performance - Effects of RebalancingFunction:
- Can be used to evaluate the performance of a portfolio containing 2 assets over a set time interval
- Shows the % return of the portfolio over the time interval defined by the user
- Includes a threshold rebalancing algorithm to show the effects that rebalancing has on the portfolio over the long term
- Created to evaluate of the performance of portfolios containing different weightings of stocks and bonds over time assuming that the user would rebalance the portfolio when asset weights crossed a threshold
Instructions:
- To be used with dividends adjustments turned on
- Add this script to a symbol. e.g. AMEX:SPY
- Click the chart to define the entry time and the exit time. i.e. the time interval
- Define the initial investment of the portfolio. Default setting is $100,000
- Define the second asset to be included in the portfolio. e.g. BATS:AGG
- The strategy comes pre-populated with a portfolio that has a weight of 80% asset 1 and 20% asset 2. i.e. 80% AMEX:SPY and 20% BATS:AGG if the symbols mentioned above were chosen
- The 7 lines show the weighted % return of each portfolio over the time period defined by the user
- Each line (except the blue) is the return based on a different rebalancing threshold. The default settings are 1%, 2.5%, 5%, 10%, 15%, 20%, 30%
- The blue line is the % return of a portfolio that was made up of 100% asset 1 over the time interval. i.e. 100% AMEX:SPY
- Asset weights and rebalancing thresholds are adjustable via the settings
- Each plot can be turned on and turned off via a tick box in the settings
Smart RebalanceThis script is based on the portfolio rebalancing strategy. It's designed to work with cryptocurrencies, but it can work with any market.
How portfolio rebalance works?
Let's assume your initial capital is $1000, and you want to distribute it into 4 coins. This script takes the USDT as the stable coin for the initial money, so in case you want other currency, the pairs must be with that fiat as the quote.
Following our example, you would take BTC, ETH, BNB, and FTT. After selecting the coins, it's time to choose how much allocation is on each. Let's put 25% on each. This way, $250 of our capital on each coin.
After selecting the coins and their allocation, you choose the price change ratio for rebalancing. Let's use 1%. Next, you start to watch the markets. The first thing that happens, following our example, is the BTCUSDT price moving 1% up.
That amount hit the ratio of 1% for the rebalance. Hence, you sell 1% of BTC for USDT and redistribute to the other coins, buying 0.25% of each currency to rebalance the portfolio.
Next, ETHUSDT goes 1% down, time to rebalance again. This time, you need to take 0.33% of each other coin and buy ETH, so this way, it's all divided as the chosen allocation.
Why use rebalancing?
Looks easy, right? It is, but very time demanding. Demands even more if you raise the number of coins you want to distribute. Having a system to do that automatically is a must to work efficiently. Rebalancing spreads the risk among multiple currencies. This way, you earn small when it goes up, but you lose small when it goes down.
What this script helps with portfolio rebalance?
This indicator will not buy/sell for you but will help you choose the best markets for your rebalancing. Which coin will work best in that period? Do I need to have more than 8 coins? How much must be my ratio? Those questions you can answer using this indicator.
What this script has?
Start and End dates
The script will work for a certain period. All calculations will be done in that period.
Coin Ratio %
The amount of price movement of each asset that will be used to calculate the rebalancing
Initial Capital and Broker Fee
The amount of capital to be used on the rebalancing and the broker fee you want to use the strategy. The cost will be applied on every trade, buying or selling the coins.
Assets, allocations, and colors
It's possible to select from 2 to 10 assets to be used on the portfolio. Each purchase must have the allocation %. Suppose the sum of the allocations is different from 100%. In that case, a warning message will appear on the chart instead of the statistics.
Panel and tooltips
There is a panel with a summary of the results
Set allocations automatically
There is an option to make the indicator use the daily asset volume from the day before to determine the allocation percentage of each asset. This option is better if you are unsure how much allocation you want to use on each coin.
Use this indicator as a backtest for your rebalancing strategy. The selected market on the chart will not affect the calculation on this indicator, but the time frame will. The higher the time frame, the higher the coin ratio % must be.
About the code
The code is written to use arrays to store the values of each asset, making the calculations on each candle inside the time range. The for-loops are used to reduce the code length and make it easy to change the analysis of all assets. Finally, the script has some comments on the code.
Portfolio Performance - 2 AssetsFunction:
- Can be used to evaluate the performance of portfolios containing 2 assets over a set time interval
- Created to evaluate of the performance of portfolios containing different weightings of stocks and bonds over time
- Shows the % return of each portfolio over the time interval defined by the user
- Capable of showing the risk adjusted % return of each portfolio over the time interval defined by the user (setting turned off by default)
Instructions:
- To be used with dividends adjustments turned on
- Add this script to a symbol. e.g. NASDAQ:BND
- Click the chart to define the entry time and the exit time. i.e. the time interval
- Define the second asset to be included in the portfolio. e.g. AMEX:VOO
- The strategy comes pre-populated with 6 portfolios with the most common stock/bond weightings (100% stocks/0% bonds, 80% stocks/20% bonds, 60% stocks/40% bonds, et cetera)
- The 6 lines show the weighted % return of each portfolio over the time period defined by the user
- All asset weights are adjustable via the settings
- Each plot can be turned on and turned off via a tick box in the settings
- There are 6 plots that show the risk adjusted returns of each portfolio (setting turned off by default)
TradingPortfolioLibrary "TradingPortfolio"
Simple functions for portfolio management. A portfolio is essentially
a float array with 3 positions that gets passed around
into these functions that ensure it gets properly updated as trading ensues.
An example usage:
import hugodanielcom/TradingPortfolio/XXXX as portfolio
var float my_portfolio = portfolio.init(0.0, strategy.initial_capital) // Initialize the portfolio with the strategy capital
if close < 10.0
portfolio.buy(my_portfolio, 10.0, close) // Buy when the close is below 10.0
plot(portfolio.total(my_portfolio), title = "Total portfolio value")
get_balance(portfolio) Gets the number of tokens and fiat available in the supplied portfolio.
Parameters:
portfolio : A portfolio float array as created by the `init()` function.
Returns: The tokens and fiat in a tuple
set_balance(portfolio, new_crypto, new_fiat) Sets the portfolio number of tokens and fiat amounts. This function overrides the current values in the portfolio and sets the provided ones as the new portfolio.
Parameters:
portfolio : A portfolio float array as created by the `init()` function.
new_crypto : The new amount of tokens in the portfolio.
new_fiat : The new amount of fiat in the portfolio
Returns: The tokens and fiat in a tuple
init(crypto, fiat) This function returns a clean portfolio. Start by calling this function and pass its return value as an argument to the other functions in this library.
Parameters:
crypto : The initial amount of tokens in the portfolio (defaults to 0.0).
fiat : The initial amount of fiat in the portfolio (defaults to 0.0).
Returns: The portfolio (a float )
crypto(portfolio) Gets the number of tokens in the portfolio
Parameters:
portfolio : A portfolio float array as created by the `init()` function.
Returns: The amount of tokens in the portfolio
fiat(portfolio) Gets the fiat in the portfolio
Parameters:
portfolio : A portfolio float array as created by the `init()` function.
Returns: The amount of fiat in the portfolio
retained(portfolio) Gets the amount of reatined fiat in the portfolio. Retained fiat is not considered as part of the balance when buying/selling, but it is considered as part of the total of the portfolio.
Parameters:
portfolio : A portfolio float array as created by the `init()` function.
Returns: The amount of retained fiat in the portfolio
retain(portfolio, fiat_to_retain) Sets the amount of fiat to retain. It removes the amount from the current fiat in the portfolio and marks it as retained.
Parameters:
portfolio : A portfolio float array as created by the `init()` function.
fiat_to_retain : The amount of fiat to remove and mark as retained.
Returns: void
total(portfolio, token_value) Calculates the total fiat value of the portfolio. It multiplies the amount of tokens by the supplied value and adds to the result the current fiat and retained amount.
Parameters:
portfolio : A portfolio float array as created by the `init()` function.
token_value : The fiat value of a unit (1) of token
Returns: A float that corresponds to the total fiat value of the portfolio (retained amount included)
ratio(portfolio, token_value) Calculates the ratio of tokens / fiat. The retained amount of fiat is not considered, only the active fiat being considered for trading.
Parameters:
portfolio : A portfolio float array as created by the `init()` function.
token_value : The fiat value of a unit (1) of token
Returns: A float between 1.0 and 0.0 that corresponds to the portfolio ratio of token / fiat (i.e. 0.6 corresponds to a portfolio whose value is made by 60% tokens and 40% fiat)
can_buy(portfolio, amount, token_value) Asserts that there is enough balance to buy the requested amount of tokens.
Parameters:
portfolio : A portfolio float array as created by the `init()` function.
amount : The amount of tokens to assert that can be bought
token_value : The fiat value of a unit (1) of token
Returns: A boolean value, true if there is capacity to buy the amount of tokens provided.
can_sell(portfolio, amount) Asserts that there is enough token balance to sell the requested amount of tokens.
Parameters:
portfolio : A portfolio float array as created by the `init()` function.
amount : The amount of tokens to assert that can be sold
Returns: A boolean value, true if there is capacity to sold the amount of tokens provided.
buy(portfolio, amount, token_value) Adjusts the portfolio state to perform the equivalent of a buy operation (as in, buy the requested amount of tokens at the provided value and set the portfolio accordingly).
Parameters:
portfolio : A portfolio float array as created by the `init()` function.
amount : The amount of tokens to buy
token_value : The fiat value of a unit (1) of token
Returns: A boolean value, true the requested amount of tokens was "bought" and the portfolio updated. False if nothing was changed.
sell(portfolio, amount, token_value) Adjusts the portfolio state to perform the equivalent of a sell operation (as in, sell the requested amount of tokens at the provided value and set the portfolio accordingly).
Parameters:
portfolio : A portfolio float array as created by the `init()` function.
amount : The amount of tokens to sell
token_value : The fiat value of a unit (1) of token
Returns: A boolean value, true the requested amount of tokens was "sold" and the portfolio updated. False if nothing was changed.
Portfolio IndexPortfolio Index Indicator
Compare a selected asset against a 3 assets portfolio.
Inputs :
- Equity : Default 10000, Initial capital for the portfolio
- %Holding : % of Holding for each Portfolio Element
- Asset in the chart as compared asset
Output :
- Delta between selected asset and portfolio
RedK Portfolio Tracker [Table Version]RedK Portfolio Tracker is a simple tool that enables a trader to monitor and track a portfolio of up to 10 holdings (+ free cash) in real time - directly on the chart
Now that we have tables in Pine, this is a table version of my previously published Portfolio Tracker
- The table works better in visualizing the various table elements (title row, column labels..etc), and is more flexible in allowing color coding of gain/loss. for many traders, myself included, these simple visual signals are valuable in helping timely trading decisions.
I'll come back and improve this script as i'm really enjoying the ability to track things this way - if you liked this and want to receive the updates, please flag / favorite it below and you'll get notified when i publish new versions.
Some new features for the table version:
- ability to change default color of various table elements (text, default background, title background, gain/loss color, border..etc)
- ability to change the text size to suit your monitor and visual preference
- ability to change table position
The "portfolio-specific" inputs are similar to the previous version - we get the ability to enter up to 10 positions, entry price and qty, then also add the free cash
- also a change from prior version, this table will plot by default on the price chart, but will have no scale - the portfolio ploy itself will also show (blue/orange stepping line) but the PnL plot will be hidden by default -- how we plot the portfolio & P/L is possibly one of the areas for improvements for next versions - also thinking of other adding valuable data i track in my own trading, like the quarterly dividends for the held positions .. we'll see - this is just a start
hope some will find this useful. feel free to comment.
Tabular Portfolio by CJS V1This is a useful indicator that sits on top of the charts, in the right hand bottom corner and shows the current price, profit or loss in value and percent of upto 20 scrips fed in, in a Tabular form using tables feature.
Allows to mark a/c id also if you have multiple broker or individual accounts.
Colors are customisable.
Stocks get updated no matter what is your current selected scrip.
Gives total investment and total PnL also in percent.
Useful to monitor your portfolio status in once screen and while you are looking at charts.
Give feedback for improvement or issues, if any.
Credits to RedKTrader from where the idea was picked up.
Move visual order to front, if the charts and other indicators overlap the table view.
Risk Position Sizing tool using Coefficient of VariationA way to manage portfolio risk using relative standard deviation, also known as coefficient of variation. This tool tells you how much of each stock in shares and in value to buy adjusted for their volatility risk for a given starting account capital. A problem many people have is how to diversify an account and adjusting it for the risk involved in each equity. Many would put in an equal amount of capital value into each share but is it really equal if some equities have more risk than others? A solution is to adjust the portfolio by giving less weight to those that are more volatile or risky. It's done by using a starting percent of the account, preferably a small percent of it, and buying up shares with that same amount for each equity. Each equity will also be divided by the COV to risk adjust the portfolio by giving less weight to the more volatile stocks. This is done until as much of the initial capital in the account as possible is spent.
COV is how far away the price is from the mean or average. The further the price is from the mean the more risk or volatility there is. It uses standard deviation in its calculation. The problem with SD and ATR is that they are not relative to the past or to other equities to compare to. An application where COV can be used is risk portfolio management formulas. This does not take into account correlation or other equation parts in some portfolio management formulas but only the risk or volatility, the default volatility length is mostly arbitrary, and the lower risk stocks may end up being the slowest in performance.
The text label will show how many shares will be bought and how much value each equity will have. At the end it will show the initial capital that was started off with, the total shares bought, the total value of all the shares, and the amount of capital left over. If the sources are not blank then they will be used, to blank them you will need to reset the settings to default otherwise they might still be read. If you want to add more than the given 10 equity spaces to the portfolio then you will need to add in the code manually and add it to the chart. The denominator is perhaps the important part in these types of risk position sizing tools, you can change to other things such as risk-reward ratio instead of volatility or change the volatility type, etc.
RedK_Portfolio Tracker v2: few enhancements and display optionsThis is an update for the PTracker v1 that I published couple of days ago. wanted to publish this as a separate script to get a chance to show how the new Portfolio Summary Infobox can be displayed on the price chart as an option. In my opinion, that info box is the most important element in this tool and that's the piece i was most looking for.
quick note here: you can track your portfolio (if not so many positions) by entering something like (without the brackets) in TradingView's chart symbol area - TradingView will resolve these symbols and chart the total -- there's a nice post by our friend @boji1 about this in a lot more details - however, that wouldn't show the stats that i need to look at to track my portfolio on daily basis.
i also made couple of other enhancements, like adding the ability to include "free cash" in the portfolio - While this free cash value will impact the Total P/L and P/L %, as part of the overall portfolio (and the denominator), it will not impact the "cost of positions" or the (current) "value of positions" -- also "Cash" will not count towards the total 10 positions that we can track with this tool.
Using Portfolio Tracker as a floating panel on the price chart
====================================================
By default, when the Portfolio Tracker is added to the chart, it will occupy its own lower panel like the picture above.
if your charts are already busy (like mine :)) - you most probably already have a couple of lower studies and it's crowded there.
in this case, you can use the Object Tree tool after adding the PTracker, to drag it onto the price panel, or you can also do that by right-clicking on the infobox and choose to move up to the price panel.
when you do that, remember to also use the Style settings of PTracker to hide both Portfolio and PnL plots, and choose Scale = no scale - this way you get the infobox to work like a floating panel on the price chart
here's a screenshot that shows this scenario - also shows how the infobox color can be easily changed from the PTracker settings to suit your chart background and for best visibility
i hope this is useful in your trading - i look forward to @TradingView team surprising us with a real portfolio tracking capability soon :)
good luck.
Simple Portfolio TrackerThis is just a simple portfolio tracker that i started to play around with - i'm sure there are smarter ways to do this, but i chose the simpler way :) -- please feel free to use this, or consider it as a starting point to your own indicator.
i will come back later and add some more stuff once i get time. for example, show the total value, recent change, P&L % ..etc
So the simple idea is to track a portfolio of few positions and watch how the total portfolio and the PnL changes over time as the price of the individual holdings move up and down. it can be added to any chart.
The code is currently set to track 5 positions - settings allow to enter if the positions is used or not, symbol, amount and cost price..
** note: more positions can be added by editing the code and copying and pasting the marked "position block" that contains the input statements and the calculations, then changing/replacing the position identifier (_1, _2, ..etc) in all variables with new number..
--- don't forget to add these extra positions you insert in the code to the formula lines that calculate the totals
i tried to make this as easy as possible in the code. the code includes a sample portfolio as default values just to help "demo" how this works
the input is made easy, thanks to the recent addition of the "inline" feature in the input() statement
i don't know if some traders will find this useful ?? or if more about how to use it is needed.. let me know in the comments.. as i mentioned, i was just playing with the idea over the weekend so didn't really put a lot of work into it.
Credits and thanks to @boji1 for inspiring this :)
Portfolio and Risk Management: Gold Based Net Growth CoefficientHello, if our topic is stocks, whatever signal we get, we have to divide and reduce the risk.
Apart from the risk, we need inflation-free figures to detect a clear growth.
Gold is one of the most successful tools to beat inflation in this regard in the historical context.
When the economy is good, we have to beat both commodities and inflation.
For this purpose, I found it appropriate to develop a net growth factor free from gold growth.
Investors need several stocks with a high growth rate and as much risk-free as possible.
Personally, I think that the science of portfolio and risk management will last a lifetime and should continue.
I think this subject is a research and development subject.(R & D)
My research and publications on this matter will continue publicly.
I wish everyone a good day.
NOTE : You can determine the return in the time period you want to look back by adjusting the period in the rate you want from the menu.
The standard value is 200 days. (1 year)
Order Size CalculatorScript to calculate the amount of stocks for of an order in relation to depot size (money), risk awareness, profit target and ATR
Order Size CalculatorThis script calculates the amount of stocks in a trade based on risk awareness.
The risk awarness is part of portfolio management and the book "sustainable & successfull trading" by Faik Giese.
Input is depot size (cash and stocks), risk per depot position, max. Stop-Loss and ATR.
