Blog and Vision

Aktualisiert: 19. Okt. 2019

Project-idea: Create tool for screening financial instruments and opt for best asset


Main idea: type in a stock and through an API like Google Finance/Yahoo Finance/Bloomberg retrieving the stock prices. Those stock prices can then be computed with a statistics library. Those computed results then get displayed in a table on the User-Front-End. All the stocks can be added into a list on the User-Front. On the left-hand side there is going to be all the names or ISINs of the stock, on the right-hand side there is going to be a listing of all calculated ratios/figures.


This table will be persisted into a database per each user. Each user will have its own session and can register themself. In addition to that there will be a sample template with a few stocks to start with - this is provided to each and every user by default.


Peer Review:

Since you persisted all the stock-ISINs in a table this table can be considered a portfolio. The portfolio can then be compared in a fashion of a peer review.

Also each stock's figure can be peer reviewed.


Charts:

The portfolios figures can be displayed as a Candle-Chart/Bar-Chart and anything else there is availble.


Export Options:

The table can then be exported as an Excel-spreadsheet, Csv-File or Pdf-table with static values.


Additional ideas:

These ideas are only to be implemented if there is enough time left:

+ Manipulation/Creation of own formula. The Python Pandas equation of each figure/stats can be edited and costum adjusted. Those costum adjusted equations are persisted in yet another list (database)

+desktop app written in C++ using the Rest-API of our Controller

+dynamic Excel-Spreadsheet. There is plug-in provided to Excel to be able to use our computations and load them into an excel spreadsheet. They are updated automatically.

+ including charts into exported Excel/Pdf-file (CSV obviously doesn't work)



Specific stats/figures for screening:

drawn from book "Practical Risk-Adjusted Performance Measurement" by Carl R. Bacon as published by Wiley

Descriptive stuff:+ annualised return+ continuously compounded returns (or log returns)+ mean absolute deviation + skewness+ kurtosis+ correlation (other Benchmarks for instance)

Risk (but drawdown, see below):+ sharpe ratio+ revised sharpe ratio+ adjusted sharpe ratio+ skewness-kurtosis ratio

Regression+ Jensen's Alpha (no diff. to "normal" regression alpha)+ Beta (systematic risk or vol) of Capital Asset Pricing Model (no diff. to "normal" regression alpha)

Drawdown+Max Drawdown


Goal

Our goal is it to have a tool that brings up the best stocks to choose from in your portfolio. Those are the ones you want to invest in.


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Team: Rama, Georg Roles: Rama: Design (Css/Bootstrap), not Export (PDF/EXCEL), Button-Icons, miscellaneous on back-end (database,...), not supporting Georg with setting up stats, Java-Script (jQuery),