Tools for Portfolio Backtesting and Risk Analysis
Summary
The document asks how to combine trades from multiple stocks into a portfolio and track risk measures such as beta, conditional value at risk, and drawdown through time. Replies describe several software approaches, including using R packages for market data and performance analysis, an Android portfolio analytics app, and a web-based strategy backtester. These are presented as options for users who may want to enter positions manually or work with an existing set of trades.
The answers provide recommendations rather than a comparative evaluation. They do not explain how the tools calculate portfolio metrics, whether their historical data and position tracking match the reader’s needs, or how results account for costs and execution. One software recommendation includes a founder’s disclosure, so its claims should be treated as affiliated guidance rather than independent evidence. The document’s main lesson is that portfolio analytics can be handled with programming libraries or dedicated applications, but the user must check fit and assumptions.
Key ideas
- Portfolio risk metrics can be calculated from the combined trades of multiple stocks.
- R packages are one suggested route for obtaining data and analyzing portfolio performance.
- Dedicated apps and web services offer portfolio analytics or strategy backtesting.
- The recommendations do not compare metric calculations, data quality, or modeling assumptions.
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Full text
# Software or apps for portfolio analysis and backtesting # Software or apps for portfolio analysis and backtesting I actually finished an algorithm that i can use to extract all the trades for each stock (each file for each stock). Essentially, i run this code on Excel where there are the input about one stock, and as output i got: - Entry point (Data and Price) - Exit point (Data and Price) - Profit or Loss based on point 1 and 2 Now, by using this code on 20 different stocks, i am able to collects all the trades for all the stocks. By combining them, a portfolio over a specific period (the same used for analyse the stocks) is generated. I would like to know if there is an online possibility to evaluate the portfolio during all the period. I need a software that can alone understand in every moment which position i have open and constantly calculate BETA,CVAR,DRAWDOWN, etc... during the period (essentially i need all the risk analysis over the portfolio). I can also accept a software where you must insert all the positions manually. Thanks for your patience. ## Answer by Alba (score 1) https://quant.stackexchange.com/a/53727 With a little bit of coding skills, you could utilize the R package `PerformanceAnalytics` along with the package `quantmod`. Both R and the packages are open source, so they are free and available to everyone. Here is a link to a blog post that details how to use these packages to obtain data from online sources into R and then implement a basic backtest. If you want to learn more, there is a course on Datacamp.com that teaches how to build and backtest trading strategies in R. The first chapter of the course is free, after that you have to pay for a subscription to the site. ## Answer by Marc Zuckerlieb (score 0) https://quant.stackexchange.com/a/49972 Statmetrics (www.statmetrics.org) is a free Android app for portfolio analytics and supports backtesting for multiple portfolios und calculation of portfolio risk and performance metrics (Sharp Ratio, Maximum Drawdown, Value-at-Risk, Alpha, Beta, etc.). ## Answer by ivanftp (score 0) https://quant.stackexchange.com/a/61425 PyInvesting allows you to backtest your investment strategy without writing a single line of code. - Simply fill in a form specifying your backtest details - Create signals using both technical and fundamental data - Backtest your prefered investment strategy (Relative Strength, Fundamentals, Moving Average and Strategic Allocation) - Performance analysis is a breeze with our clean and beautiful user interface - Extensive coverage of instruments (stocks, ETFs, FX and Crypto) across multiple exchanges - Allows you to go live and profit from your investment strategy where you will receive daily email updates about any live orders. Disclaimer: I’m the founder of pyinvesting.com, a backtesting software for stock market investors.
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