Portfolio Backtester and Analyzer

OpenAlgo provides two authenticated, read-only portfolio workflows:

• Portfolio Backtester simulates a target allocation over a historical window.

• Portfolio Analyzer reads the holdings currently reported by the connected broker, weights them by current market value, and tests how that allocation would have behaved over a selected lookback.

Neither workflow places, modifies, or cancels an order.

Before You Start

• Create an OpenAlgo API key.

• For the default Historify source, ingest daily history for every holding and the selected benchmark.

• For the Broker API source, log in to the broker and confirm that its history API covers the required symbols and dates.

• The engine supports long-only NSE/BSE cash equities and ETFs. It does not model derivatives, short positions, or a separate cash sleeve.

Backtest a Portfolio

1. Open /portfolio-backtester.

2. Add up to 50 unique NSE/BSE holdings and assign a positive weight to each. Weights can be percentages or fractions; OpenAlgo normalizes their ratio.

3. Choose the date range and optional index benchmark.

4. Choose a history source:

   • db reads the local Historify store in one multi-symbol query.

   • api calls the active broker's history service sequentially.

5. Select never, monthly, quarterly, or yearly rebalancing. An optional drift band can trigger an earlier rebalance.

6. Configure capital, risk-free rate, slippage, and either the Indian delivery-cost schedule or a flat basis-point cost.

7. Run the backtest. The results page uses one internally consistent result object; changing tabs does not rerun the simulation.

Understand the Results

The analysis can include:

• portfolio and benchmark equity curves;

• returns, volatility, drawdown, Sharpe/Sortino, capture, and rolling statistics;

• holding contributions and trailing returns;

• correlation, effective-holdings concentration, co-movement groups, and allocation drift;

• realized trading costs, turnover, and rebalancing dates;

• walk-forward windows, Monte Carlo paths, crisis periods, attribution, and seasonality;

• a portfolio-health grade whose inputs, formulas, and pillar weights are returned with the score.

Use Download tearsheet to export the same model as a self-contained portfolio-tearsheet.html file.

Analyze Current Holdings

1. Log in to the broker.

2. Open /portfolio-analyzer.

3. Choose a 60-3650 day lookback, history source, benchmark, and risk-free rate.

4. OpenAlgo loads usable broker holdings, calculates market-value weights, and runs the same analytics engine.

Unsupported exchanges remain visible in the holdings summary and are listed as skipped. This is a current-allocation historical scenario, not an account-performance report: holdings data does not reveal when each lot was bought or the investor's cash flows.

Limits

• Results use close-to-close price returns. Dividends are absent unless the selected history source embeds an adjusted series.

• Missing holding history fails the run instead of silently dropping the asset.

• Missing benchmark history degrades benchmark-relative sections but does not invalidate the portfolio calculation.

• Results depend on history quality, the chosen allocation, and cost assumptions. They are not a forecast or investment advice.

See the Portfolio API for automation and Portfolio Analytics Architecture for implementation boundaries.