topaLE
/
ghostfolio
mirror of https://github.com/ghostfolio/ghostfolio
1
0
Fork 0
Code Issues Projects Releases Wiki Activity
Browse Source

add net performance to current positions #324

pull/339/head
Valentin Zickner 4 years ago
parent
0abcc31f9f
commit
3a14df7c00
4 changed files with 442 additions and 217 deletions
Whitespace
Show all changes Ignore whitespace when comparing lines Ignore changes in amount of whitespace Ignore changes in whitespace at EOL
Unified View
Diff Options
Show Stats Download Patch File Download Diff File
  1. 2
      apps/api/src/app/portfolio/interfaces/current-positions.interface.ts
  2. 594
      apps/api/src/app/portfolio/portfolio-calculator.spec.ts
  3. 61
      apps/api/src/app/portfolio/portfolio-calculator.ts
  4. 2
      libs/common/src/lib/interfaces/timeline-position.interface.ts

2
apps/api/src/app/portfolio/interfaces/current-positions.interface.ts
View File

@ -6,6 +6,8 @@ export interface CurrentPositions {
positions: TimelinePosition[]; positions: TimelinePosition[];
grossPerformance: Big; grossPerformance: Big;
grossPerformancePercentage: Big; grossPerformancePercentage: Big;
netPerformance: Big;
netPerformancePercentage: Big;
currentValue: Big; currentValue: Big;
totalInvestment: Big; totalInvestment: Big;
} }

594
apps/api/src/app/portfolio/portfolio-calculator.spec.ts
View File

@ -712,27 +712,29 @@ describe('PortfolioCalculator', () => {
); );
spy.mockRestore(); spy.mockRestore();
expect(currentPositions).toEqual({ expect(currentPositions).toEqual(
hasErrors: false, expect.objectContaining({
currentValue: new Big('657.62'), hasErrors: false,
grossPerformance: new Big('-61.84'), currentValue: new Big('657.62'),
grossPerformancePercentage: new Big('-0.08595335390431712673'), grossPerformance: new Big('-61.84'),
totalInvestment: new Big('719.46'), grossPerformancePercentage: new Big('-0.08595335390431712673'),
positions: [ totalInvestment: new Big('719.46'),
{ positions: [
averagePrice: new Big('719.46'), expect.objectContaining({
currency: 'USD', averagePrice: new Big('719.46'),
firstBuyDate: '2021-01-01', currency: 'USD',
grossPerformance: new Big('-61.84'), // 657.62-719.46=-61.84 firstBuyDate: '2021-01-01',
grossPerformancePercentage: new Big('-0.08595335390431712673'), // (657.62-719.46)/719.46=-0.08595335390431712673 grossPerformance: new Big('-61.84'), // 657.62-719.46=-61.84
investment: new Big('719.46'), grossPerformancePercentage: new Big('-0.08595335390431712673'), // (657.62-719.46)/719.46=-0.08595335390431712673
marketPrice: 657.62, investment: new Big('719.46'),
quantity: new Big('1'), marketPrice: 657.62,
symbol: 'TSLA', quantity: new Big('1'),
transactionCount: 1 symbol: 'TSLA',
} transactionCount: 1
] })
}); ]
})
);
}); });
it('with single TSLA and buy day start', async () => { it('with single TSLA and buy day start', async () => {
@ -750,27 +752,29 @@ describe('PortfolioCalculator', () => {
); );
spy.mockRestore(); spy.mockRestore();
expect(currentPositions).toEqual({ expect(currentPositions).toEqual(
hasErrors: false, expect.objectContaining({
currentValue: new Big('657.62'), hasErrors: false,
grossPerformance: new Big('-61.84'), currentValue: new Big('657.62'),
grossPerformancePercentage: new Big('-0.08595335390431712673'), grossPerformance: new Big('-61.84'),
totalInvestment: new Big('719.46'), grossPerformancePercentage: new Big('-0.08595335390431712673'),
positions: [ totalInvestment: new Big('719.46'),
{ positions: [
averagePrice: new Big('719.46'), expect.objectContaining({
currency: 'USD', averagePrice: new Big('719.46'),
firstBuyDate: '2021-01-01', currency: 'USD',
grossPerformance: new Big('-61.84'), // 657.62-719.46=-61.84 firstBuyDate: '2021-01-01',
grossPerformancePercentage: new Big('-0.08595335390431712673'), // (657.62-719.46)/719.46=-0.08595335390431712673 grossPerformance: new Big('-61.84'), // 657.62-719.46=-61.84
investment: new Big('719.46'), grossPerformancePercentage: new Big('-0.08595335390431712673'), // (657.62-719.46)/719.46=-0.08595335390431712673
marketPrice: 657.62, investment: new Big('719.46'),
quantity: new Big('1'), marketPrice: 657.62,
symbol: 'TSLA', quantity: new Big('1'),
transactionCount: 1 symbol: 'TSLA',
} transactionCount: 1
] })
}); ]
})
);
}); });
it('with single TSLA and late start', async () => { it('with single TSLA and late start', async () => {
@ -788,27 +792,29 @@ describe('PortfolioCalculator', () => {
); );
spy.mockRestore(); spy.mockRestore();
expect(currentPositions).toEqual({ expect(currentPositions).toEqual(
hasErrors: false, expect.objectContaining({
currentValue: new Big('657.62'), hasErrors: false,
grossPerformance: new Big('-9.04'), currentValue: new Big('657.62'),
grossPerformancePercentage: new Big('-0.01356013560135601356'), grossPerformance: new Big('-9.04'),
totalInvestment: new Big('719.46'), grossPerformancePercentage: new Big('-0.01356013560135601356'),
positions: [ totalInvestment: new Big('719.46'),
{ positions: [
averagePrice: new Big('719.46'), expect.objectContaining({
currency: 'USD', averagePrice: new Big('719.46'),
firstBuyDate: '2021-01-01', currency: 'USD',
grossPerformance: new Big('-9.04'), // 657.62-666.66=-9.04 firstBuyDate: '2021-01-01',
grossPerformancePercentage: new Big('-0.01356013560135601356'), // 657.62/666.66-1=-0.013560136 grossPerformance: new Big('-9.04'), // 657.62-666.66=-9.04
investment: new Big('719.46'), grossPerformancePercentage: new Big('-0.01356013560135601356'), // 657.62/666.66-1=-0.013560136
marketPrice: 657.62, investment: new Big('719.46'),
quantity: new Big('1'), marketPrice: 657.62,
symbol: 'TSLA', quantity: new Big('1'),
transactionCount: 1 symbol: 'TSLA',
} transactionCount: 1
] })
}); ]
})
);
}); });
it('with VTI only', async () => { it('with VTI only', async () => {
@ -826,30 +832,32 @@ describe('PortfolioCalculator', () => {
); );
spy.mockRestore(); spy.mockRestore();
expect(currentPositions).toEqual({ expect(currentPositions).toEqual(
hasErrors: false, expect.objectContaining({
currentValue: new Big('4871.5'), hasErrors: false,
grossPerformance: new Big('240.4'), currentValue: new Big('4871.5'),
grossPerformancePercentage: new Big('0.08839407904876477102'), grossPerformance: new Big('240.4'),
totalInvestment: new Big('4460.95'), grossPerformancePercentage: new Big('0.08839407904876477102'),
positions: [ totalInvestment: new Big('4460.95'),
{ positions: [
averagePrice: new Big('178.438'), expect.objectContaining({
currency: 'USD', averagePrice: new Big('178.438'),
firstBuyDate: '2019-02-01', currency: 'USD',
// see next test for details about how to calculate this firstBuyDate: '2019-02-01',
grossPerformance: new Big('240.4'), // see next test for details about how to calculate this
grossPerformancePercentage: new Big( grossPerformance: new Big('240.4'),
'0.0883940790487647710162214425767848424215253864940558186258745429269647266073266478435285352186572448' grossPerformancePercentage: new Big(
), '0.0883940790487647710162214425767848424215253864940558186258745429269647266073266478435285352186572448'
investment: new Big('4460.95'), ),
marketPrice: 194.86, investment: new Big('4460.95'),
quantity: new Big('25'), marketPrice: 194.86,
symbol: 'VTI', quantity: new Big('25'),
transactionCount: 5 symbol: 'VTI',
} transactionCount: 5
] })
}); ]
})
);
}); });
it('with buy and sell', async () => { it('with buy and sell', async () => {
@ -867,41 +875,43 @@ describe('PortfolioCalculator', () => {
); );
spy.mockRestore(); spy.mockRestore();
expect(currentPositions).toEqual({ expect(currentPositions).toEqual(
hasErrors: false, expect.objectContaining({
currentValue: new Big('4871.5'), hasErrors: false,
grossPerformance: new Big('240.4'), currentValue: new Big('4871.5'),
grossPerformancePercentage: new Big('0.01104605615757711361'), grossPerformance: new Big('240.4'),
totalInvestment: new Big('4460.95'), grossPerformancePercentage: new Big('0.01104605615757711361'),
positions: [ totalInvestment: new Big('4460.95'),
{ positions: [
averagePrice: new Big('0'), expect.objectContaining({
currency: 'USD', averagePrice: new Big('0'),
firstBuyDate: '2019-09-01', currency: 'USD',
grossPerformance: new Big('0'), firstBuyDate: '2019-09-01',
grossPerformancePercentage: new Big('0'), grossPerformance: new Big('0'),
investment: new Big('0'), grossPerformancePercentage: new Big('0'),
marketPrice: 2021.99, investment: new Big('0'),
quantity: new Big('0'), marketPrice: 2021.99,
symbol: 'AMZN', quantity: new Big('0'),
transactionCount: 2 symbol: 'AMZN',
}, transactionCount: 2
{ }),
averagePrice: new Big('178.438'), expect.objectContaining({
currency: 'USD', averagePrice: new Big('178.438'),
firstBuyDate: '2019-02-01', currency: 'USD',
grossPerformance: new Big('240.4'), firstBuyDate: '2019-02-01',
grossPerformancePercentage: new Big( grossPerformance: new Big('240.4'),
'0.08839407904876477101219019935616297754969945667391763908415656216989674494965785538864363782688167989866968512455219637257546280462751601552' grossPerformancePercentage: new Big(
), '0.08839407904876477101219019935616297754969945667391763908415656216989674494965785538864363782688167989866968512455219637257546280462751601552'
investment: new Big('4460.95'), ),
marketPrice: 194.86, investment: new Big('4460.95'),
quantity: new Big('25'), marketPrice: 194.86,
symbol: 'VTI', quantity: new Big('25'),
transactionCount: 5 symbol: 'VTI',
} transactionCount: 5
] })
}); ]
})
);
}); });
it('with buy, sell, buy', async () => { it('with buy, sell, buy', async () => {
@ -962,29 +972,31 @@ describe('PortfolioCalculator', () => {
); );
spy.mockRestore(); spy.mockRestore();
expect(currentPositions).toEqual({ expect(currentPositions).toEqual(
hasErrors: false, expect.objectContaining({
currentValue: new Big('1086.7'), hasErrors: false,
grossPerformance: new Big('207.6'), currentValue: new Big('1086.7'),
grossPerformancePercentage: new Big('0.2516103956224511062'), grossPerformance: new Big('207.6'),
totalInvestment: new Big('1013.9'), grossPerformancePercentage: new Big('0.2516103956224511062'),
positions: [ totalInvestment: new Big('1013.9'),
{ positions: [
averagePrice: new Big('202.78'), expect.objectContaining({
currency: 'USD', averagePrice: new Big('202.78'),
firstBuyDate: '2019-09-01', currency: 'USD',
grossPerformance: new Big('207.6'), firstBuyDate: '2019-09-01',
grossPerformancePercentage: new Big( grossPerformance: new Big('207.6'),
'0.2516103956224511061954915466429950404846' grossPerformancePercentage: new Big(
), '0.2516103956224511061954915466429950404846'
investment: new Big('1013.9'), ),
marketPrice: 217.34, investment: new Big('1013.9'),
quantity: new Big('5'), marketPrice: 217.34,
symbol: 'VTI', quantity: new Big('5'),
transactionCount: 3 symbol: 'VTI',
} transactionCount: 3
] })
}); ]
})
);
}); });
it('with performance since Jan 1st, 2020', async () => { it('with performance since Jan 1st, 2020', async () => {
@ -1042,12 +1054,101 @@ describe('PortfolioCalculator', () => {
parseDate('2020-01-01') parseDate('2020-01-01')
); );
spy.mockRestore();
expect(currentPositions).toEqual(
expect.objectContaining({
hasErrors: false,
currentValue: new Big('3897.2'),
grossPerformance: new Big('303.2'),
grossPerformancePercentage: new Big('0.27537838148272398344'),
totalInvestment: new Big('2923.7'),
positions: [
expect.objectContaining({
averagePrice: new Big('146.185'),
firstBuyDate: '2019-02-01',
quantity: new Big('20'),
symbol: 'VTI',
investment: new Big('2923.7'),
marketPrice: 194.86,
transactionCount: 2,
grossPerformance: new Big('303.2'),
grossPerformancePercentage: new Big(
'0.2753783814827239834392742298083677500037'
),
currency: 'USD'
})
]
})
);
});
it('with net performance since Jan 1st, 2020 - include fees', async () => {
const portfolioCalculator = new PortfolioCalculator(
currentRateService,
Currency.USD
);
const transactionPoints = [
{
date: '2019-02-01',
items: [
{
quantity: new Big('10'),
name: 'Vanguard Total Stock Market Index Fund ETF Shares',
symbol: 'VTI',
investment: new Big('1443.8'),
currency: Currency.USD,
firstBuyDate: '2019-02-01',
fee: new Big(50),
transactionCount: 1
}
]
},
{
date: '2020-08-03',
items: [
{
quantity: new Big('20'),
name: 'Vanguard Total Stock Market Index Fund ETF Shares',
symbol: 'VTI',
investment: new Big('2923.7'),
currency: Currency.USD,
firstBuyDate: '2019-02-01',
fee: new Big(50),
transactionCount: 2
}
]
}
];
portfolioCalculator.setTransactionPoints(transactionPoints);
const spy = jest
.spyOn(Date, 'now')
.mockImplementation(() => new Date(Date.UTC(2020, 9, 24)).getTime()); // 2020-10-24
// 2020-01-01 -> days 334 => value: VTI: 144.38+334*0.08=171.1 => 10*171.10=1711
// 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 10*188.30=1883 => 1883/1711 = 1.100526008
// 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 20*188.30=3766
// cash flow: 2923.7-1443.8=1479.9
// 2020-10-24 [today] -> days 631 => value: VTI: 144.38+631*0.08=194.86 => 20*194.86=3897.2 => 3897.2/(1883+1479.9) = 1.158880728
// and net: 3897.2/(1883+1479.9+50) = 1.14190278
// gross performance: 1883-1711 + 3897.2-3766 = 303.2
// gross performance percentage: 1.100526008 * 1.158880728 = 1.275378381 => 27.5378381 %
// net performance percentage: 1.100526008 * 1.14190278 = 1.25669371 => 25.669371 %
// more details: https://github.com/ghostfolio/ghostfolio/issues/324#issuecomment-910530823
const currentPositions = await portfolioCalculator.getCurrentPositions(
parseDate('2020-01-01')
);
spy.mockRestore(); spy.mockRestore();
expect(currentPositions).toEqual({ expect(currentPositions).toEqual({
hasErrors: false, hasErrors: false,
currentValue: new Big('3897.2'), currentValue: new Big('3897.2'),
grossPerformance: new Big('303.2'), grossPerformance: new Big('303.2'),
grossPerformancePercentage: new Big('0.27537838148272398344'), grossPerformancePercentage: new Big('0.27537838148272398344'),
netPerformance: new Big('253.2'),
netPerformancePercentage: new Big('0.2566937088951485493'),
totalInvestment: new Big('2923.7'), totalInvestment: new Big('2923.7'),
positions: [ positions: [
{ {
@ -1062,12 +1163,101 @@ describe('PortfolioCalculator', () => {
grossPerformancePercentage: new Big( grossPerformancePercentage: new Big(
'0.2753783814827239834392742298083677500037' '0.2753783814827239834392742298083677500037'
), ),
netPerformance: new Big('253.2'), // gross - 50 fees
netPerformancePercentage: new Big(
'0.2566937088951485493029975263687800261527'
), // see details above
currency: 'USD' currency: 'USD'
} }
] ]
}); });
}); });
it('with net performance since Feb 1st, 2019 - include fees', async () => {
const portfolioCalculator = new PortfolioCalculator(
currentRateService,
Currency.USD
);
const transactionPoints = [
{
date: '2019-02-01',
items: [
{
quantity: new Big('10'),
name: 'Vanguard Total Stock Market Index Fund ETF Shares',
symbol: 'VTI',
investment: new Big('1443.8'),
currency: Currency.USD,
firstBuyDate: '2019-02-01',
fee: new Big(50),
transactionCount: 1
}
]
},
{
date: '2020-08-03',
items: [
{
quantity: new Big('20'),
name: 'Vanguard Total Stock Market Index Fund ETF Shares',
symbol: 'VTI',
investment: new Big('2923.7'),
currency: Currency.USD,
firstBuyDate: '2019-02-01',
fee: new Big(50),
transactionCount: 2
}
]
}
];
portfolioCalculator.setTransactionPoints(transactionPoints);
const spy = jest
.spyOn(Date, 'now')
.mockImplementation(() => new Date(Date.UTC(2020, 9, 24)).getTime()); // 2020-10-24
// 2019-02-01 -> value: VTI: 1443.8
// 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 10*188.30=1883 => net: 1883/(1443.8+50) = 1.26054358
// 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 20*188.30=3766
// cash flow: 2923.7-1443.8=1479.9
// 2020-10-24 [today] -> days 631 => value: VTI: 144.38+631*0.08=194.86 => 20*194.86=3897.2 => net: 3897.2/(1883+1479.9+50) = 1.14190278
// gross performance: 1883-1443.8 + 3897.2-3766 = 570.4 => net performance: 470.4
// net performance percentage: 1.26054358 * 1.14190278 = 1.43941822 => 43.941822 %
// more details: https://github.com/ghostfolio/ghostfolio/issues/324#issuecomment-910530823
const currentPositions = await portfolioCalculator.getCurrentPositions(
parseDate('2019-02-01')
);
spy.mockRestore();
expect(currentPositions).toEqual(
expect.objectContaining({
hasErrors: false,
currentValue: new Big('3897.2'),
netPerformance: new Big('470.4'),
netPerformancePercentage: new Big('0.4394182192526437059'),
totalInvestment: new Big('2923.7'),
positions: [
expect.objectContaining({
averagePrice: new Big('146.185'),
firstBuyDate: '2019-02-01',
quantity: new Big('20'),
symbol: 'VTI',
investment: new Big('2923.7'),
marketPrice: 194.86,
transactionCount: 2,
netPerformance: new Big('470.4'),
netPerformancePercentage: new Big(
'0.4394182192526437058970248283134805555953'
), // see details above
currency: 'USD'
})
]
})
);
});
/** /**
* Source: https://www.investopedia.com/terms/t/time-weightedror.asp * Source: https://www.investopedia.com/terms/t/time-weightedror.asp
*/ */
@ -1116,27 +1306,31 @@ describe('PortfolioCalculator', () => {
); );
spy.mockRestore(); spy.mockRestore();
expect(currentPositions).toEqual({ expect(currentPositions).toEqual(
hasErrors: false, expect.objectContaining({
currentValue: new Big('1192327.999656600298238721'), hasErrors: false,
grossPerformance: new Big('92327.999656600898394721'), currentValue: new Big('1192327.999656600298238721'),
grossPerformancePercentage: new Big('0.09788498099999947809'), grossPerformance: new Big('92327.999656600898394721'),
totalInvestment: new Big('1100000'), grossPerformancePercentage: new Big('0.09788498099999947809'),
positions: [ totalInvestment: new Big('1100000'),
{ positions: [
averagePrice: new Big('1.01287018290924923237'), // 1'100'000 / 1'086'022.689344542 expect.objectContaining({
firstBuyDate: '2010-12-31', averagePrice: new Big('1.01287018290924923237'), // 1'100'000 / 1'086'022.689344542
quantity: new Big('1086022.689344541'), firstBuyDate: '2010-12-31',
symbol: 'MFA', quantity: new Big('1086022.689344541'),
investment: new Big('1100000'), symbol: 'MFA',
marketPrice: 1.097884981, investment: new Big('1100000'),
transactionCount: 2, marketPrice: 1.097884981,
grossPerformance: new Big('92327.999656600898394721'), // 1'192'328 - 1'100'000 = 92'328 transactionCount: 2,
grossPerformancePercentage: new Big('0.09788498099999947808927632'), // 9.79 % grossPerformance: new Big('92327.999656600898394721'), // 1'192'328 - 1'100'000 = 92'328
currency: 'USD' grossPerformancePercentage: new Big(
} '0.09788498099999947808927632'
] ), // 9.79 %
}); currency: 'USD'
})
]
})
);
}); });
/** /**
@ -1205,39 +1399,41 @@ describe('PortfolioCalculator', () => {
); );
spy.mockRestore(); spy.mockRestore();
expect(currentPositions).toEqual({ expect(currentPositions).toEqual(
currentValue: new Big('517'), expect.objectContaining({
grossPerformance: new Big('17'), // 517 - 500 currentValue: new Big('517'),
grossPerformancePercentage: new Big('0.034'), // ((200 * 0.025) + (300 * 0.04)) / (200 + 300) = 3.4% grossPerformance: new Big('17'), // 517 - 500
totalInvestment: new Big('500'), grossPerformancePercentage: new Big('0.034'), // ((200 * 0.025) + (300 * 0.04)) / (200 + 300) = 3.4%
hasErrors: false, totalInvestment: new Big('500'),
positions: [ hasErrors: false,
{ positions: [
averagePrice: new Big('1'), expect.objectContaining({
firstBuyDate: '2012-12-31', averagePrice: new Big('1'),
quantity: new Big('200'), firstBuyDate: '2012-12-31',
symbol: 'SPA', quantity: new Big('200'),
investment: new Big('200'), symbol: 'SPA',
marketPrice: 1.025, // 205 / 200 investment: new Big('200'),
transactionCount: 1, marketPrice: 1.025, // 205 / 200
grossPerformance: new Big('5'), // 205 - 200 transactionCount: 1,
grossPerformancePercentage: new Big('0.025'), grossPerformance: new Big('5'), // 205 - 200
currency: 'CHF' grossPerformancePercentage: new Big('0.025'),
}, currency: 'CHF'
{ }),
averagePrice: new Big('1'), expect.objectContaining({
firstBuyDate: '2012-12-31', averagePrice: new Big('1'),
quantity: new Big('300'), firstBuyDate: '2012-12-31',
symbol: 'SPB', quantity: new Big('300'),
investment: new Big('300'), symbol: 'SPB',
marketPrice: 1.04, // 312 / 300 investment: new Big('300'),
transactionCount: 1, marketPrice: 1.04, // 312 / 300
grossPerformance: new Big('12'), // 312 - 300 transactionCount: 1,
grossPerformancePercentage: new Big('0.04'), grossPerformance: new Big('12'), // 312 - 300
currency: 'CHF' grossPerformancePercentage: new Big('0.04'),
} currency: 'CHF'
] })
}); ]
})
);
}); });
}); });

61
apps/api/src/app/portfolio/portfolio-calculator.ts
View File

@ -123,6 +123,8 @@ export class PortfolioCalculator {
positions: [], positions: [],
grossPerformance: new Big(0), grossPerformance: new Big(0),
grossPerformancePercentage: new Big(0), grossPerformancePercentage: new Big(0),
netPerformance: new Big(0),
netPerformancePercentage: new Big(0),
currentValue: new Big(0), currentValue: new Big(0),
totalInvestment: new Big(0) totalInvestment: new Big(0)
}; };
@ -188,7 +190,9 @@ export class PortfolioCalculator {
const startString = format(start, DATE_FORMAT); const startString = format(start, DATE_FORMAT);
const holdingPeriodReturns: { [symbol: string]: Big } = {}; const holdingPeriodReturns: { [symbol: string]: Big } = {};
const netHoldingPeriodReturns: { [symbol: string]: Big } = {};
const grossPerformance: { [symbol: string]: Big } = {}; const grossPerformance: { [symbol: string]: Big } = {};
const netPerformance: { [symbol: string]: Big } = {};
const todayString = format(today, DATE_FORMAT); const todayString = format(today, DATE_FORMAT);
if (firstIndex > 0) { if (firstIndex > 0) {
@ -209,10 +213,6 @@ export class PortfolioCalculator {
const items = this.transactionPoints[i].items; const items = this.transactionPoints[i].items;
for (const item of items) { for (const item of items) {
let oldHoldingPeriodReturn = holdingPeriodReturns[item.symbol];
if (!oldHoldingPeriodReturn) {
oldHoldingPeriodReturn = new Big(1);
}
if (!marketSymbolMap[nextDate]?.[item.symbol]) { if (!marketSymbolMap[nextDate]?.[item.symbol]) {
invalidSymbols.push(item.symbol); invalidSymbols.push(item.symbol);
hasErrors = true; hasErrors = true;
@ -231,6 +231,12 @@ export class PortfolioCalculator {
const itemValue = marketSymbolMap[currentDate]?.[item.symbol]; const itemValue = marketSymbolMap[currentDate]?.[item.symbol];
let initialValue = itemValue?.mul(lastQuantity); let initialValue = itemValue?.mul(lastQuantity);
let investedValue = itemValue?.mul(item.quantity); let investedValue = itemValue?.mul(item.quantity);
const isFirstOrderAndIsStartBeforeCurrentDate =
i === firstIndex &&
isBefore(parseDate(this.transactionPoints[i].date), start);
const fee = isFirstOrderAndIsStartBeforeCurrentDate
? new Big(0)
: item.fee;
if (!isAfter(parseDate(currentDate), parseDate(item.firstBuyDate))) { if (!isAfter(parseDate(currentDate), parseDate(item.firstBuyDate))) {
initialValue = item.investment; initialValue = item.investment;
investedValue = item.investment; investedValue = item.investment;
@ -254,15 +260,22 @@ export class PortfolioCalculator {
); );
const holdingPeriodReturn = endValue.div(initialValue.plus(cashFlow)); const holdingPeriodReturn = endValue.div(initialValue.plus(cashFlow));
holdingPeriodReturns[item.symbol] = holdingPeriodReturns[item.symbol] = (
oldHoldingPeriodReturn.mul(holdingPeriodReturn); holdingPeriodReturns[item.symbol] ?? new Big(1)
let oldGrossPerformance = grossPerformance[item.symbol]; ).mul(holdingPeriodReturn);
if (!oldGrossPerformance) { grossPerformance[item.symbol] = (
oldGrossPerformance = new Big(0); grossPerformance[item.symbol] ?? new Big(0)
} ).plus(endValue.minus(investedValue));
const currentPerformance = endValue.minus(investedValue);
grossPerformance[item.symbol] = const netHoldingPeriodReturn = endValue.div(
oldGrossPerformance.plus(currentPerformance); initialValue.plus(cashFlow).plus(fee)
);
netHoldingPeriodReturns[item.symbol] = (
netHoldingPeriodReturns[item.symbol] ?? new Big(1)
).mul(netHoldingPeriodReturn);
netPerformance[item.symbol] = (
netPerformance[item.symbol] ?? new Big(0)
).plus(endValue.minus(investedValue).minus(fee));
} }
lastInvestments[item.symbol] = item.investment; lastInvestments[item.symbol] = item.investment;
lastQuantities[item.symbol] = item.quantity; lastQuantities[item.symbol] = item.quantity;
@ -287,6 +300,11 @@ export class PortfolioCalculator {
isValid && holdingPeriodReturns[item.symbol] isValid && holdingPeriodReturns[item.symbol]
? holdingPeriodReturns[item.symbol].minus(1) ? holdingPeriodReturns[item.symbol].minus(1)
: null, : null,
netPerformance: isValid ? netPerformance[item.symbol] ?? null : null,
netPerformancePercentage:
isValid && netHoldingPeriodReturns[item.symbol]
? netHoldingPeriodReturns[item.symbol].minus(1)
: null,
investment: item.investment, investment: item.investment,
marketPrice: marketValue?.toNumber() ?? null, marketPrice: marketValue?.toNumber() ?? null,
quantity: item.quantity, quantity: item.quantity,
@ -294,10 +312,7 @@ export class PortfolioCalculator {
transactionCount: item.transactionCount transactionCount: item.transactionCount
}); });
} }
const overall = this.calculateOverallGrossPerformance( const overall = this.calculateOverallPerformance(positions, initialValues);
positions,
initialValues
);
return { return {
...overall, ...overall,
@ -385,7 +400,7 @@ export class PortfolioCalculator {
return flatten(timelinePeriods); return flatten(timelinePeriods);
} }
private calculateOverallGrossPerformance( private calculateOverallPerformance(
positions: TimelinePosition[], positions: TimelinePosition[],
initialValues: { [p: string]: Big } initialValues: { [p: string]: Big }
) { ) {
@ -394,6 +409,8 @@ export class PortfolioCalculator {
let totalInvestment = new Big(0); let totalInvestment = new Big(0);
let grossPerformance = new Big(0); let grossPerformance = new Big(0);
let grossPerformancePercentage = new Big(0); let grossPerformancePercentage = new Big(0);
let netPerformance = new Big(0);
let netPerformancePercentage = new Big(0);
let completeInitialValue = new Big(0); let completeInitialValue = new Big(0);
for (const currentPosition of positions) { for (const currentPosition of positions) {
if (currentPosition.marketPrice) { if (currentPosition.marketPrice) {
@ -408,6 +425,7 @@ export class PortfolioCalculator {
grossPerformance = grossPerformance.plus( grossPerformance = grossPerformance.plus(
currentPosition.grossPerformance currentPosition.grossPerformance
); );
netPerformance = netPerformance.plus(currentPosition.netPerformance);
} else if (!currentPosition.quantity.eq(0)) { } else if (!currentPosition.quantity.eq(0)) {
hasErrors = true; hasErrors = true;
} }
@ -421,6 +439,9 @@ export class PortfolioCalculator {
grossPerformancePercentage = grossPerformancePercentage.plus( grossPerformancePercentage = grossPerformancePercentage.plus(
currentPosition.grossPerformancePercentage.mul(currentInitialValue) currentPosition.grossPerformancePercentage.mul(currentInitialValue)
); );
netPerformancePercentage = netPerformancePercentage.plus(
currentPosition.netPerformancePercentage.mul(currentInitialValue)
);
} else if (!currentPosition.quantity.eq(0)) { } else if (!currentPosition.quantity.eq(0)) {
console.error( console.error(
`Initial value is missing for symbol ${currentPosition.symbol}` `Initial value is missing for symbol ${currentPosition.symbol}`
@ -432,12 +453,16 @@ export class PortfolioCalculator {
if (!completeInitialValue.eq(0)) { if (!completeInitialValue.eq(0)) {
grossPerformancePercentage = grossPerformancePercentage =
grossPerformancePercentage.div(completeInitialValue); grossPerformancePercentage.div(completeInitialValue);
netPerformancePercentage =
netPerformancePercentage.div(completeInitialValue);
} }
return { return {
currentValue, currentValue,
grossPerformance, grossPerformance,
grossPerformancePercentage, grossPerformancePercentage,
netPerformance,
netPerformancePercentage,
hasErrors, hasErrors,
totalInvestment totalInvestment
}; };

2
libs/common/src/lib/interfaces/timeline-position.interface.ts
View File

@ -7,6 +7,8 @@ export interface TimelinePosition {
firstBuyDate: string; firstBuyDate: string;
grossPerformance: Big; grossPerformance: Big;
grossPerformancePercentage: Big; grossPerformancePercentage: Big;
netPerformance: Big;
netPerformancePercentage: Big;
investment: Big; investment: Big;
marketPrice: number; marketPrice: number;
quantity: Big; quantity: Big;

Write Preview
Loading…
Cancel
Save