User Guide

Overview

Portfolio Workstation is a financial data research platform designed for those who wish to explore financial ideas.  The workflow has been designed to be easy to learn, yet flexible to allow for the exploration of complex financial ideas.  The basic workflow is as follows:

  1. Use Data Connectors to bring data into the software.
  2. Drag and drop Data into the Portfolio Builder to build baskets of data.
  3. Select a Data or Portfolio Builder item to build resultant Charts and Summary Reports.
  4. Modify the the Chart and Summary Report output by editing Chart Controls
  5. Rinse and repeat.
  6. Use Workbooks to store discrete groups of data sets and associated Portfolios.  Pre-made workbooks can be found here.

There is no need to save your work.  When exiting the software, all settings are saved for all workbooks.

Data Connectors

dataconnectors1

Portfolio workstation includes built-in data connectors that make data sets available to the user in the Data tab.

Yahoo!

Yahoo! Data Connector

Enter in any available ticker symbol and select Add Symbol. Portfolio workstation will attempt to download the data from http://finance.yahoo.com. Note: Some quotes are unavailable due to complex splits.  Use the Google connector if this occurs.

Google

Google Data Connector

Enter in any available ticker symbol and select Add Symbol. Portfolio workstation will attempt to download the data from http://finance.google.com.

Quandl

quandldataconnector

Quandl futures data is downloaded from http://www.quandl.com. The Portfolio Workstation Quandl data connector allows the download of monthly contract data as well as continuous contract data.  To add a monthly contract, select the Exchange, Symbol, Month, Year and click Add Contract. To add a continuous contract select the Contract roll duration (in months) and select Add Continuous Contract.

CSV

CSV

Data from stored .CSV files may be imported into Portfolio Workstation  To start the import wizard, click Import Wizard.

CSV Import Wizard

Select Period, Data Format, and Column Indexes.  Click Next.

CSV Import Wizard

Click Directory and browse to the directory holding your CSV files.

CSV Import Wizard

Select files to be imported.  Symbol designations appear in an editable cell whose value can be changed.  Click Finish.

CSV Import Wizard

The imported data files will appear in the Data tab.

Federal Reserve Economic Data (FRED)

freddataconnector

Portfolio Workstation allows the overlay of fifty (50) publicly available Federal Reserve data sets from http://research.stlouisfed.org.

To get started click Refresh All. A request will be made to the FRED archive and all available data sets will be downloaded.

To view a data series by itself simply click the item in the table.

To select items to be overlaid on top of other data check the check box by the item and then select you Data item or Portfolio Builder item.  All selections may be cleared by clicking the Clear Selections button.

My FRED

myfred

The My FRED data connector allows the user to supply their own 32-character FRED API key and add any publicly available data set.  Base functionality is similar to the FRED data connector. FRED API keys may be acquired by registering the St. Louis Federal Reserve at https://research.stlouisfed.org/useraccount/register/step1.

Data set symbols are found by searching here: https://research.stlouisfed.org/fred2/tags/series.

Once the desired data set is found, its symbol can be seen in the web browser address bar or beneath the data set title as shown here:

symbolexample

NOTE:  Some data available in FRED is owned by third parties and subject to copyright restrictions. Before using data owned by third parties for anything other than your own personal use, you must contact the data owner to obtain permission.  Using the data via Portfolio Workstation does not constitute such permission.  Look for the word ‘Copyright” in the data set notes.

Data

The Data tab contains data sets that can be used to construct Portfolios.  To populate the Data tab select a data connector and add your data.  Data Connector instructions may be found within this guide.

data

The Data tab includes:

Workbook: This drop down menu allows the user to select the current Workbook.
Refresh All Data: This button refreshes all loaded data items.
Sort: This enables the Sorting Wizard.

 

Data Status Icon: One of three status icons may be displayed next to the data set:

      •  Data Not Available Data not loaded
      •  Data Not Up to Date Data not up-to-date
      •  Data Up to Date Data is up-to-date

Symbol: The assigned symbol to the data set – This is likely to be a ticker symbol.
Period: Time frame represented by each row of data in the set
Source: Data Connector from where the data came from

Right clicking on a data item enables the user to Refresh, view Online Details¸and Remove the item.

Sorting Wizard

The Sorting Wizard allows data items in the Data tab to be sorted by summary statistic, correlation, or technical indicators.

sortwizardtype

First, select the sort type.  Possible values are Summary Stats, Correlations, and Technicals.

sortwizardstats

If sorting by summary statistics, select Sort Order, and the desired statistic from the list and click Finish.

sortwizardcorrelations

If sorting by Correlations, select Sort Order, and the desired Correlation Target from the list.  Correlation target items are derived from the Data tab’s contents. Data items whose data does not span the full width of the chard tab will not be sorted and will appear at the bottom of the Data tab.

If sorting by technical indicators, select Sort Order, desired indicator and input parameters.

Currently available technical indicators:

Average True Range (%):  Parameters value equals the desired time tab in periods. Fourteen (14) periods is the standard value.
Relative Strength Index (RSI):
 Parameters value equals the desired time tab in periods. Fourteen (14) periods is the standard value.

Click Finish to execute the sort.  Items in the Data tab will reorder accordingly.

Portfolio Builder

The Portfolio Builder allows the user to combine data sets, define direction, and set allocation of each set.  Clicking on each item within the Portfolio Builder will cause the Chart and Summary Report to render for the particular item.

Portfolio Builder

Data is arranged by Portfolio.  A Portfolio contains one Long group and one Short group.  Within these groups can exist dozens of data sets that are available within the Data tab.  Items in the Long group will be modeled as though the user took a long position.  Items in the Short group will be modeled as though the user took a short position. Used together, these can represent spread positions in the portfolio.

One of three status icons may be displayed next to the data set:

      • Data Not Available Data not loaded
      • Data Not Up to Date Data not up-to-date
      • Data Up to Date Data is up-to-date

To populate the Long and Short groups, click and drag data items from the Data tab.

To add a data set to the portfolio builder and automatically create a new portfolio click and drag a line item from the Data tab to the open area of the Portfolio Builder tab. Clicking on Add Portfolio will also create a new Portfolio.

The control, Allocation Type appears when Portfolio, Long, or Short are selected.

Allocation Type

Setting the Allocation Type to equal causes the group to evenly distribute weighting across all data sets within a Long or a Short group.  Setting the Allocation Type to custom enables the Set Allocation button (also available from the drop down menu). Allocations can be set to any positive number.

Set Allocation

All items are removed by using the Delete button or by right-clicking and selecting Remove Item.

Workbooks

Workbooks allow users to group, save, import, and export items in the Data and Portfolio Builder windows.   The Default workbook  is present by default.  All workbooks automatically save upon application close.

workbooks

Create: Enter a name in the field to the left and click Create to create a new Workbook.
Delete:
Deletes a selected Workbook.
Export: Exports Workbooks via the Export Workbook Wizard into workbooks.xml.
Import: Imports Workbooks via the Import Workbook Wizard.  A valid workbooks.xml file is required.
Move Up: Moves a selected Workbook up one row in the selection list.
Move Down: Moves a selected Workbook down one row in the selection list.

Chart

Chart View


candlestickchart
Candlestick chart


linechart
Line chart

The Chart view produces a graphical representation of any Data Set, Long, Short, or Portfolio that is selected.  Two types of charts may be rendered:  candlestick charts and line charts. The following regions are of importance:

      • Title Bar: This lists the name, date and closing price of the last bar displayed.
      • Left Y-Axis: This axis describes the values for any overlays.
      • Right Y-Axis:  This axis describes the Data Set, Long, Short, or Portfolio that is selected.
      • X-Axis: This axis describes the time period for the chart.
      • Charted Data: The data will be displayed as a line or a candlestick chart.
      • Legend: The legend displays the symbols for all Data Sets and overlays visible.

 Export functionality is available via the camera icon.

Volume

volume

The volume display charts volume given for each period within the selected data set.  Volume is unavailable for portfolio charts.

Mini-map

minimap

The Mini-map is a navigation tool that allows the user to use the accompanying slider bar to set the start date and end date of the Chart View.

Ratio Charts

A ratio chart exists when a Data Set has been drag-and-dropped into the Denominator field within the Chart Controls.  

Ratio charts are calculated by:

      1. Clicking on a desired Portfolio, Long,  Short, or Data Set.
      2. The software will:
        1. Aggregate and allocate Long positions
        2. Aggregate and allocate Short positions
        3. Create individual candlestick charts for Long and Short containers
        4. If Short and Long positions exist, a candlestick  ratio chart is produced by:
          1. Finding the percent change for each Period for the Long container
          2. Finding the percent change for each Period for the Short container
          3. Aggregating the above percent changes and building a new bar series for the candlestick ratio chart.  Note: This process causes only Open and Close data to be charted (i.e. the wicks disappear).   This is required behavior as it becomes impossible to tell when the highs and lows occurred within the aggregated bar.
        5. For each resultant bar the open price is divided by the denominators open price for the same period.  The close price of each resultant bar is divided by the close price of the denominator for the same period.

Spread Charts

A spread chart exists when a Portfolio has one or more Data Set(s) in the Long container and one or more Data Set(s) in the Short container.  Spread charts within Portfolio Workstation are Net Asset Value (NAV) Charts.  Our NAV Charts start at a hypothetical $1000 and are rebalanced at the Open  and the Close of each Period.

Spread charts are calculated by:

      1. Clicking on a desired Portfolio.
      2. The software will:
        1. Aggregate and allocate Long positions
        2. Aggregate and allocate Short positions
        3. Create individual NAV charts for Long and Short containers
        4. If Short and Long positions exist, a NAV Spread Chart is produced by:
          1. Finding the percent change for each Period for the Long container
          2. Finding the percent change for each Period for the Short container
          3. Aggregating the above percent changes and building a new bar series for the NAV spread chart.  Note: This process causes only Open and Close data to be charted (i.e. the wicks disappear).   This is required behavior as it becomes impossible to tell when the highs and lows occurred within the aggregated bar.

Components

The Components tab shows each Data Set, and if selected, the Long, Short, or Portfolio.  This view allows quick visual comparisons between data sets and their aggregate performance.  Overlays are not applied to the Components tab.  Chart labeling is otherwise, identical to the Chart tab.

Data Viewer

The Data Viewer tab allows the user to view the data used to render the current contents of the Chart tab.

 dataviewer

Data is arranged in a standard OHLC Bar format that includes Date, Open, High, Low, Close, and Volume.

An additional column is included for Errors.  This column will populate with data errors such as:

    • If the Open, Low, or Close is higher than the High
    • If the Open, High, or Close is lower than the Low
    • Date problems
    • Improperly assigned data columns

How to Export:

    1. Click on the camera icon in the upper right hand corner.
    2. Select a directory for the export and select OK.
    3. Within the directory you will find three new files where XXXX represents the data item name of your export:
      • Summary Report: XXXX.json
      • .CSV Data: XXXX_MM_DD_YYYY.csv
      • Chart Image: XXXX_MM_DD_YYYY.png

Correlations

The Correlations tab displays the correlation matrix.  All items within a selected Data Item, Long, Short, or Portfolio are displayed across both the x and y axis.  Resultant correlation coefficients between each item are displayed in tabular form.

correlations

The Pearson product-moment correlation coefficient (http://en.wikipedia.org/wiki/Pearson_product-moment_correlation_coefficient) is used.

Chart Controls

Chart Controls allow the user to change what is displayed within the Chart tab.  The user can use these controls to “zoom in” and “zoom out” their view of the Chart.

chartcontrols

Period: The amount of time a single point of data represents within the Chart.  This can be set to as short as one (1) second or as long as one (1) year depending on data granularity.
Rebalance: Sets the period in which rebalancing of the selected portfolios occurs.

If the Rebalance value is identical to the selected Period value, rebalances occur at both the open and close of each period. This is the most accurate picture that can be portrayed.

However, if the Rebalance value is different from the selected Period value, rebalances occur using the open price of each scheduled rebalance.

Cost (%):  Sets the cost for each rebalance as a percentage of the portfolio value.
Start Date: When the Chart begins.
End Date: When the Chart ends.
Clear: Clears the Start Date or End Date field.  A cleared field allows all available data to be shown.

Denominator:  The denominator area allows any selected Data, Portfolio, Long or Short item to be shown in terms of a selected Data item.  This allows the user to create ratio charts.

To create a ratio chart:  Drag and drop a single Data item into the area, then select a Data, Portfolio, Long or Short item.

Click the associated Clear button to remove the denominator and revert to a standard Chart.

Show Denominator: Alows the user to turn on and off ratio charting.
Show Portfolio: Allows the user to toggle the Portfolio, Long, or Short (depending on what is selected) display.
Show Volume: Allows the user to toggle the Volume chart on and off.

Summary Report

The Summary Report outputs summary statistics on the most recent Chart rendered.

summaryreport2

  • Total Return (%):  The total percentage return at the End Date.
  • CAGR (%): Compound Annual Growth Rate:  The year-over-year growth rate of over the charted period of time.

CAGR = ((Ending Value / Beginning Value) ^ (1 / Number of Years)) – 1

  • Maximum Drawdown (%): The largest single drop from peak to bottom within the Chart.
  • Profit Factor: Probability of a winning trade multiplied by the average win size, divided by the probability of a losing trade multiplied by the average loss size.

Profit Factor = (PW * AW) / (PL * AL) where:
PW = probability of a winning period
AW = average size of a win
PL = probability of a losing period
AL = average size of a loss

  • Average Period Return (%): The arithmetic mean percentage return.  Return is defined as the Open minus the High.  All returns are added together and divided by the total number of periods.  
  • Standard Deviation (%): The standard deviation of period returns.
  • Sharpe Ratio: A ratio developed by Nobel laureate William F. Sharpe to measure risk-adjusted performance.

Sharpe Ratio = Arithmetic Average Return / Standard Deviation of Returns

  • Average Compounded Return (%): The rate of return, usually expressed as a percentage, that represents the cumulative effect that a series of gains or losses have on an original amount of capital over a period of time.
  • Downside Deviation (%): A measure of downside risk that focuses on returns that fall below a minimum threshold or minimum acceptable return (MAR).  Portfolio Workstation uses a MAR of ‘0’.00′.  
  • Sortino Ratio:  The Sortino ratio subtracts the risk-free rate of return from the portfolio’s return, and then divides that by the downside deviation. A large Sortino ratio indicates there is a low probability of a large loss.

Sortino Ratio = Average Return / Standard Deviation of Negative Returns

  • Average Win Size (%):  The average favorable movement per period (as a percentage).
  • Probability of a Win (%): The chance that a period moved favorably (as a percentage).
  • Longest Winning Streak: The largest number of consecutive periods that moved favorably.
  • Max Expected Winning Streak:

MEWS = ln(1/T)/ln(W) where:
T = number of periods
W = number of winning periods

  • Average Loss Size (%): The average unfavorable movement per period (as a percentage).
  • Probability of a Loss (%): The chance that a period moved unfavorably (as a percentage).
  • Longest Losing Streak: The largest number of consecutive periods that moved unfavorably.
  • Max Expected Losing Streak:

MELS = ln(1/T)/ln(L) where:
T = number of periods
L = number of losing periods

  • Period: The amount of time represented by one point of data on the chart.
  • Period Count: The number of periods on the chart.

Sort Details

The Sort Details tab displays the sorted list of data items and their respective sort criteria.

SortDetails