Incremental portfolio analytics (OnlinePortfolioAnalytics.jl)

Specific Domains Finance and Economics
1

Hi,

Sharing OnlinePortfolioAnalytics https://femtotrader.github.io/OnlinePortfolioAnalytics.jl/

This project aims to provide users with functionality for performing quantitative portfolio analytics via online algorithms.

It depends especially on OnlineStatsBase.jl and Tables.jl

Check it out and let me know your thoughts!

Best regards

PS : for your information

Some other packages tackling similar problem (but not using online algorithm) are:

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Backtesting framework
2

Hi everyone,

Since my initial announcement back in April 2024, I’ve made significant progress on GitHub - femtotrader/OnlinePortfolioAnalytics.jl: A Julia quantitative portfolio analytics (risk / performance) via online algorithms. Here’s a summary of what’s new:

New Metrics (30+ streaming statistics)

The package now includes a comprehensive set of portfolio analytics:

  • Risk metrics: VaR, Expected Shortfall (CVaR), MaxDrawDown, UlcerIndex, Downside/Upside Deviation

  • Risk-adjusted returns: Sharpe Ratio, Treynor Ratio, Sortino Ratio, Calmar Ratio, Omega Ratio, Modigliani (M²)

  • Benchmark-relative: Beta, Jensen’s Alpha, Information Ratio, Tracking Error, Market Capture ratios

  • Core statistics: Annualized Return, Volatility, RMS, Prod, LogProd

Key Features

  • Rolling window framework for time-windowed analytics

  • TSFrames.jl integration for seamless time series support (and more globally Tables.jl interface)

  • Validated against R’s PerformanceAnalytics package for accuracy

  • 530+ passing tests

Installation

using Pkg
Pkg.add("OnlinePortfolioAnalytics")

Feedback and contributions are welcome! Check out the GitHub - femtotrader/OnlinePortfolioAnalytics.jl: A Julia quantitative portfolio analytics (risk / performance) via online algorithms and let me know your thoughts.

There is still room for improvements / code cleanup!

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