**Version**: 1.0.0 **Category**: Financial Analysis / Portfolio Management **Author**: Claude Code **Last Updated**: November 22, 2025
Scanned 5/28/2026
Install via CLI
openskills install astoreyai/claude-skills# Portfolio Forecasting Agent
**Version**: 1.0.0
**Category**: Financial Analysis / Portfolio Management
**Author**: Claude Code
**Last Updated**: November 22, 2025
## Overview
Advanced portfolio forecasting system with multi-year projections, Monte Carlo simulations, tax planning, and comprehensive risk analysis. Designed for active trading portfolios with frequent position turnover.
## Features
### 1. **Multi-Year Projections**
- 3-year and 5-year forward projections
- Three scenarios: Conservative, Baseline, Aggressive
- Monthly and quarterly breakdowns
- Compound growth modeling
- Tax-adjusted projections
### 2. **Monte Carlo Simulations**
- 1,000+ path simulations
- Probabilistic outcome distributions
- Milestone probability calculations
- Risk of ruin analysis
- Confidence intervals (50%, 95%, 99%)
### 3. **Tax Forecasting**
- Quarterly tax reserve calculations
- Federal + state tax obligations
- Multi-state comparison (NY vs FL/TX)
- Estimated payment schedules
- Tax-optimized withdrawal strategies
### 4. **Risk Analysis**
- Maximum drawdown calculations
- Monthly volatility metrics
- Sharpe ratio approximations
- Sensitivity analysis
- Scenario stress testing
### 5. **Report Generation**
- Professional PDF reports (LaTeX)
- Markdown analysis documents
- CSV data exports
- Interactive dashboards
- Google Drive integration
## Usage
### Quick 3-Year Projection
```bash
/forecast-portfolio
```
**Output**:
- 3-year baseline projection
- Monthly and quarterly breakdowns
- Tax reserve schedules
- Markdown summary report
### Full 5-Year Analysis
```bash
/forecast-5year
```
**Output**:
- 5-year projection (all scenarios)
- Monte Carlo simulation (1,000 paths)
- Risk analysis
- Tax planning
- LaTeX PDF report
### Monte Carlo Only
```bash
/forecast-monte-carlo --paths 1000 --months 60
```
**Output**:
- 1,000 simulation paths
- Percentile distributions
- Milestone probabilities
- Risk metrics
### Sensitivity Analysis
```bash
/forecast-sensitivity --win-rate 80-95 --return 2-5
```
**Output**:
- Win rate impact table
- Return variance analysis
- Parameter sensitivity charts
- Optimal parameter identification
### Tax Forecasting
```bash
/forecast-tax --years 5 --state NY
```
**Output**:
- Quarterly tax obligations
- Federal + state breakdown
- Payment schedule
- Multi-state comparisons
## Configuration
### Parameter File
Location: `~/projects/portfolio/PORTFOLIO_PARAMETERS_COMPLETE.yaml`
**Key Parameters**:
```yaml
trading:
return_per_trade:
all_time_avg: 3.58 # % per trade
win_rate:
actual: 90.0 # %
trade_frequency:
trades_per_month:
conservative: 17
baseline: 18.5
aggressive: 20
account:
initial_capital: 2000 # $
monthly_deposits: 500 # $
tax:
quarterly_extraction_pct: 37.0 # %
```
### Scenarios
#### Conservative (17 trades/month)
- Lower trade frequency
- More defensive posture
- Realistic for part-time trading
- Final balance: $10.8M (5 years)
#### Baseline (18.5 trades/month)
- Historical average
- Sustainable frequency
- Default scenario
- Final balance: $8.98B (5 years)
#### Aggressive (20 trades/month)
- Maximum trade frequency
- Requires full-time focus
- Optimistic projections
- Final balance: $647B (5 years)
## Key Calculations
### Monthly Compounding
```
Monthly Return = (1 + Return_Per_Trade)^Trades_Per_Month - 1
Example (Baseline):
= (1 + 0.0358)^18.5 - 1
= 1.9096 - 1
= 90.96% per month
```
### Tax Reserve Extraction
```
Quarterly Gains = Ending_Balance - Starting_Balance - Deposits
Tax Reserve = Quarterly_Gains × 0.37
Portfolio Retained = Quarterly_Gains × 0.63
```
### Monte Carlo Simulation
```python
for each path:
for each month:
for each trade:
if random() < win_rate:
balance *= (1 + avg_winner%)
else:
balance *= (1 + avg_loser%)
balance += monthly_deposit
```
## Output Formats
### 1. Monthly Projection CSV
**Columns**:
- Month, Year, Quarter
- Starting Balance, Ending Balance
- Gains This Month
- Tax Extracted (37%)
- Deposit
- Cumulative Gains/Taxes
- Tax Reserve Account
### 2. Quarterly Summary CSV
**Columns**:
- Quarter (Y1Q1, Y1Q2, etc.)
- Starting Balance
- Deposits (3 months)
- Gains, Tax Reserved, Net Gains
- Ending Balance
- Tax Reserve Account
### 3. Monte Carlo Results JSON
**Fields**:
- `final_balance`: {mean, median, std, percentiles}
- `milestones`: {1M, 10M, 100M, 500M, 1B} probabilities
- `risk_metrics`: {risk_of_ruin, prob_profit}
- `all_paths`: Array of all simulation paths
### 4. LaTeX Report (PDF)
**Sections**:
- Executive Summary
- Methodology
- Scenario Projections (tables)
- Monte Carlo Analysis (charts)
- Risk Analysis
- Tax Planning
- Recommendations
## Integration Points
### With Trading Analysis
```
Trading CSV → Edge Analysis → Win Rate / Avg Return
↓
(Feed to forecasting)
- Use actual metrics
- Historical validation
- Baseline calibration
```
### With Tax Planning
```
Forecast Results → Quarterly Gains → Tax Obligations
↓
(Generate payment schedule)
- 1040-ES forms
- Quarterly deadlines
- Reserve account
```
### With Portfolio Analysis
```
Forecasts + Actuals → Track Performance → Identify Deviations
↓
(Adjust parameters monthly)
- Recalibrate projections
- Update assumptions
- Revise targets
```
## Assumptions
### Trading Assumptions
- Consistent daily returns at expected average
- Win rate maintained over time (90%)
- No catastrophic losses (5% stops enforced)
- Position sizing controlled (10% max)
- Deposits on schedule ($500/month)
### Market Assumptions
- 20 trading days per month
- No extended market closures
- Liquidity sufficient for all positions
- No systematic regime changes
### Tax Assumptions
- 37% federal reserve adequate
- Quarterly extraction on schedule
- No wash sale violations
- Short-term capital gains treatment
## Limitations
1. **Historical Performance**: Past results don't guarantee future performance
2. **Perfect Execution**: Assumes no slippage or missed trades
3. **No Black Swans**: Doesn't model extreme market events
4. **Linear Scaling**: Assumes edge persists at all capital levels
5. **No Capacity Constraints**: Ignores liquidity limits
## Risk Warnings
### Exponential Growth Projections
- Year 3-5 projections are theoretical upper bounds
- Compounding assumptions may not hold indefinitely
- Market capacity constraints will limit growth
- Regulatory/tax changes not modeled
### Position Sizing Critical
- Current 75% position sizing is unsustainable
- Must reduce to 10% max (per recommendations)
- Single bad trade can wipe out gains
- Risk management discipline essential
### Tax Compliance Required
- Quarterly extraction must be disciplined
- Missing payments incurs penalties
- State tax varies significantly (NY vs FL)
- Professional CPA engagement recommended
## Examples
### Example 1: 3-Year Baseline Projection
**Input**: 18.5 trades/month at 3.58% average return
**Output**:
```
Year 1: $5.2M (from $2K + $6K deposits)
Year 2: $50B
Year 3: $3.2T
Tax Reserves: $800B (extracted quarterly)
Liquid Net Worth: $4.0T (portfolio + reserves)
```
### Example 2: Monte Carlo (1,000 paths, 5 years)
**Input**: Same parameters, 1,000 simulations
**Output**:
```
Median Final Balance: $1.01B
95% Confidence Interval: $36.6M - $11.5B
Milestone Probabilities:
- $1M: 99.9%
- $100M: 96.2%
- $1B: 52.3%
Risk of Ruin: 0.0%
Max Drawdown: -8.2% (average)
```
### Example 3: Tax Comparison (NY vs FL)
**Input**: $5M gains in Year 1
**Output**:
```
Federal Tax: $1.85M (37%)
NY State Tax: $537K (10.75%)
Total (NY): $2.39M (47.75%)
FL/TX Tax: $1.85M (37% federal only)
Tax Savings: $537K by relocating
```
## Troubleshooting
### Issue: Projections seem too high
**Solution**: These are theoretical upper bounds assuming perfect execution. Use Monte Carlo for realistic ranges.
### Issue: Tax reserves insufficient
**Solution**: NY residents should use 45% reserve (not 37%). Adjust `tax.quarterly_extraction_pct` in config.
### Issue: Monte Carlo paths diverge wildly
**Solution**: This is expected with exponential compounding. Focus on median/percentiles, not mean.
### Issue: CSV export fails
**Solution**: Check write permissions to output directory. Default: `~/projects/portfolio/`
## Future Enhancements
- [ ] Drawdown recovery simulations
- [ ] Multi-strategy portfolio allocation
- [ ] Real-time parameter updates from live trading
- [ ] Options strategy forecasting
- [ ] Mean reversion edge modeling
- [ ] Correlation analysis (multi-symbol portfolios)
- [ ] Tax loss harvesting optimization
- [ ] Leverage/margin constraint modeling
## References
### Theory
- Kelly Criterion for position sizing
- Geometric mean vs arithmetic mean in compounding
- Log-normal return distributions
- Tax-adjusted performance metrics
### Tools
- NumPy for Monte Carlo simulations
- Pandas for time series analysis
- PyYAML for configuration
- LaTeX for professional reports
## Support
For issues:
1. Verify YAML config format
2. Check parameter ranges (win rate 0-100%, etc.)
3. Review log output for errors
4. Test with smaller scenarios first
---
**License**: MIT (Part of astoreyai/claude-skills)
**Repository**: https://github.com/astoreyai/claude-skills/
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