Portfolio

info

We are currently working on this concept guide.

The Portfolio serves as the central hub for managing and tracking all positions across active strategies for the trading node or backtest. It consolidates position data from multiple instruments, providing a unified view of your holdings, risk exposure, and overall performance. Explore this section to understand how PoseiTrader aggregates and updates portfolio state to support effective trading and risk management.

Portfolio Statistics

There are a variety of built-in portfolio statistics which are used to analyse a trading portfolios performance for both backtests and live trading.

The statistics are generally categorized as follows.

• PnLs based statistics (per currency)
• Returns based statistics
• Positions based statistics
• Orders based statistics

It's also possible to call a traders PortfolioAnalyzer and calculate statistics at any arbitrary time, including during a backtest, or live trading session.

Custom Statistics

Custom portfolio statistics can be defined by inheriting from the PortfolioStatistic base class, and implementing any of the calculate_ methods.

For example, the following is the implementation for the built-in WinRate statistic:

import pandas as pd
from typing import Any
from posei_trader.analysis.statistic import PortfolioStatistic


class WinRate(PortfolioStatistic):
    """
    Calculates the win rate from a realized PnLs series.
    """

    def calculate_from_realized_pnls(self, realized_pnls: pd.Series) -> Any | None:
        # Preconditions
        if realized_pnls is None or realized_pnls.empty:
            return 0.0

        # Calculate statistic
        winners = [x for x in realized_pnls if x > 0.0]
        losers = [x for x in realized_pnls if x <= 0.0]

        return len(winners) / float(max(1, (len(winners) + len(losers))))

These statistics can then be registered with a traders PortfolioAnalyzer.

stat = WinRate()

# Register with the portfolio analyzer
engine.portfolio.analyzer.register_statistic(stat)

:::info
See the `PortfolioAnalyzer` [API Reference](../api_reference/analysis.md#class-portfolioanalyzer) for details on available methods.
:::

tip

Ensure your statistic is robust to degenerate inputs such as None, empty series, or insufficient data.

The expectation is that you would then return None, NaN or a reasonable default.

Backtest Analysis

Following a backtest run, a performance analysis will be carried out by passing realized PnLs, returns, positions and orders data to each registered statistic in turn, calculating their values (with a default configuration). Any output is then displayed in the tear sheet under the Portfolio Performance heading, grouped as.

• Realized PnL statistics (per currency)
• Returns statistics (for the entire portfolio)
• General statistics derived from position and order data (for the entire portfolio)