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portfolio-macro-scenario

Skill7 starsChanged 4 months agoLicence not identifiedView on GitHub

Prescriptive macro scenario analysis on a current book. Given a position book (CSV of ticker,shares) and a scenario stated as flags (--rates-bp, --dxy-pct, --oil-pct, --gld-pct), it regresses each position's daily returns on four macro factor ETFs (TLT for rates, UUP for the dollar/DXY, USO for oil, GLD for gold), translates the scenario into factor return shocks, and reports the expected per-position and book-level P&L with a rough 90% band, plus the dominant position and factor contributors. Use when the question is forward-looking and conditional: "what happens to my book if rates keep rising / the dollar keeps rallying / oil spikes / gold falls." This is the prescriptive counterpart to risk-report and portfolio-review, which are descriptive of the past. Runs on any stocks tier (Free Basic works with --sleep 13).

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