PortFin is a project designed to compare the performance of dynamically allocated investment portfolios with the market, S&P500. It leverages historical data of the assets of the S&P500 to generate new portfolios each year and allocates assets accordingly. All the information are then compiled into a PDF report.
Some benchmark results are saved in the exemples folder.
To run PortFin, use the following command:
python main.py [-h] [-y YEARS] [-w WINDOW] [-o OPTIMIZER] [-t TYPE] [-g GAMMA] [-m MONEY] [-r REINVEST] [-n NAME] [-f] [-F] [-W WEIGHT]-
-h, --help: Show the help message and exit. -
-y YEARS, --years YEARS: Specify the number of years of data to download. -
-w WINDOW, --window WINDOW: Set the number of years needed to backtest the stock. -
-o OPTIMIZER, --optimizer OPTIMIZER: Choose the optimizer to use (hierarchical or efficient). The default is hierarchical. -
-t TYPE, --type TYPE: Specify the objective to use (max_sharpe or min_volatility). The default is max_sharpe. (Note: this option is only available for the efficient optimizer.) -
-g GAMMA, --gamma GAMMA: Set the regularization parameter. The default value is 0.1. -
-m MONEY, --money MONEY: Specify the initial investment amount. The default is $1000. -
-r REINVEST, --reinvest REINVEST: Set the amount of money to reinvest each year. The default is $0. -
-n NAME, --name NAME: Specify the name of the PDF report. The default is "report.pdf." -
-f, --full: Enable this option to generate a full report. By default, this option is set to False. -
-F, --force: Enable this option to force a reload of the ticker data. By default, this option is set to False. -
-W WEIGHT, --weight WEIGHT: Set the minimum weight of each asset. The default is 0.05.