Portfolio-level performance measurement including return metrics, risk metrics, risk-adjusted ratios, rolling analysis, and HTML reports

Portfolio Analytics Compute portfolio level performance metrics from equity curves and trade logs. Covers return metrics, risk metrics, risk adjusted ratios, drawdown analysis, rolling windows, benchmark comparison, trade level statistics, and automated HTML report generation via quantstats. When to Use This Skill After backtesting a strategy (e.g., from vectorbt or strategy framework ) Comparing multiple strategies or parameter sets side by side Generating investor ready performance reports Evaluating live trading performance against benchmarks Assessing risk adjusted returns for portfolio allocation decisions Prerequisites Input Format All analytics start from an equity curve — a time indexed Series of portfolio values: Return Metrics Total Return CAGR (Compound Annual Growth Rate) Daily Mean Return Cumulative Returns Risk Metrics Annualized Volatility Value at Risk (VaR) Historical VaR at a given confidence level: Conditional VaR (CVaR / Expected Shortfall) Maximum Drawdown Time Underwater Risk Adjusted Ratios Sharpe Ratio Sortino Ratio Calmar Ratio Omega Ratio Information Ratio Rolling Analysis Rolling Sharpe Rolling Max Drawdown Trade Level Analysis When you have individual trade records: Monthly / Yearly Return Tables Benchmark Comparison Quantstats HTML Reports Generate investor ready HTML reports with one function call: See references/quantstats guide.md for full API reference and customization. Integration with Vectorbt Files File Description references/metrics guide.md Formulas, derivations, annualization factors, interpretation benchmarks references/quantstats guide.md Quantstats library API, customization, integration patterns scripts/analyze portfolio.py Single portfolio analysis with all metrics, rolling stats, monthly table scripts/compare strategies.py Multi strategy comparison with ranking by risk adjusted metrics Related Skills vectorbt — Backtesting engine that produces equity curves for analysis risk management — Portfolio level risk guardrails and allocation position sizing — Optimal position sizing using portfolio metrics kelly criterion — Optimal growth rate sizing from win rate and payoff trading visualization — Chart generation for equity curves and drawdowns

portfolio-analytics