Package Exports

@neural-trader/portfolio
@neural-trader/portfolio/index.js

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Readme

@neural-trader/portfolio

Portfolio management and optimization for Neural Trader. Manage positions, track P&L, and optimize allocations using modern portfolio theory with Rust-powered performance.

Features

Position Management: Track positions, cost basis, and P&L in real-time
Portfolio Optimization: Mean-variance optimization, risk parity, and efficient frontier
Rebalancing: Automatic rebalancing with transaction cost optimization
Risk Metrics: Portfolio VaR, beta, correlation analysis
Performance Attribution: Analyze contribution by position
Rust Performance: Lightning-fast optimization algorithms

Installation

npm install @neural-trader/portfolio @neural-trader/core

Quick Start

import { PortfolioManager, PortfolioOptimizer } from '@neural-trader/portfolio';

// Create portfolio manager
const portfolio = new PortfolioManager(100000); // $100k initial cash

// Update positions
await portfolio.updatePosition('AAPL', 100, 150.00);
await portfolio.updatePosition('MSFT', 50, 300.00);

// Get portfolio summary
const cash = await portfolio.getCash();
const totalValue = await portfolio.getTotalValue();
const pnl = await portfolio.getTotalPnl();

console.log(`Cash: $${cash}, Total Value: $${totalValue}, P&L: $${pnl}`);

// Optimize portfolio
const optimizer = new PortfolioOptimizer({ riskFreeRate: 0.02 });
const optimization = await optimizer.optimize(
  ['AAPL', 'MSFT', 'GOOGL'],
  expectedReturns,
  covarianceMatrix
);

console.log('Optimal Allocations:', optimization.allocations);
console.log(`Expected Return: ${(optimization.expectedReturn * 100).toFixed(2)}%`);
console.log(`Sharpe Ratio: ${optimization.sharpeRatio.toFixed(2)}`);

API Reference

PortfolioManager

class PortfolioManager {
  constructor(initialCash: number);
  getPositions(): Promise<Position[]>;
  getPosition(symbol: string): Promise<Position | null>;
  updatePosition(symbol: string, quantity: number, price: number): Promise<Position>;
  getCash(): Promise<number>;
  getTotalValue(): Promise<number>;
  getTotalPnl(): Promise<number>;
}

PortfolioOptimizer

class PortfolioOptimizer {
  constructor(config: OptimizerConfig);
  optimize(symbols: string[], returns: number[], covariance: number[]): Promise<PortfolioOptimization>;
  calculateRisk(positions: Record<string, number>): RiskMetrics;
}

License

MIT OR Apache-2.0