Fix time weighted average investment in ROAI calculator

apps/api/src/app/portfolio/calculator/mwr/portfolio-calculator.ts

@@ -24,6 +24,7 @@ export class MwrPortfolioCalculator extends PortfolioCalculator {
 
   protected getHoldingPerformance({}: {
     chartDates: string[];
+    daysUntilNextChartDate: { [date: string]: number };
     end: Date;
     exchangeRates: { [dateString: string]: number };
     marketSymbolMap: {

apps/api/src/app/portfolio/calculator/portfolio-calculator.ts

@@ -362,6 +362,17 @@ export abstract class PortfolioCalculator {
       return chartDate;
     });
 
+    // The chart dates are the same for each holding and each date range. Thus
+    // calculate the number of days until the next chart date one time only.
+    const daysUntilNextChartDate: { [date: string]: number } = {};
+
+    for (let i = 0; i < chartDates.length - 1; i += 1) {
+      daysUntilNextChartDate[chartDates[i]] = differenceInDays(
+        parseDate(chartDates[i + 1]),
+        parseDate(chartDates[i])
+      );
+    }
+
     const errors: ResponseError['errors'] = [];
     let hasAnyHoldingPerformanceErrors = false;
 
@@ -438,6 +449,7 @@ export abstract class PortfolioCalculator {
         totalLiabilitiesInBaseCurrency
       } = this.getHoldingPerformance({
         chartDates,
+        daysUntilNextChartDate,
         marketSymbolMap,
         dataSource: item.dataSource,
         end: this.endDate,
@@ -935,6 +947,7 @@ export abstract class PortfolioCalculator {
   protected abstract getHoldingPerformance({
     chartDates,
     dataSource,
+    daysUntilNextChartDate,
     end,
     exchangeRates,
     marketSymbolMap,
@@ -942,6 +955,7 @@ export abstract class PortfolioCalculator {
     symbol
   }: {
     chartDates: string[];
+    daysUntilNextChartDate: { [date: string]: number };
     end: Date;
     exchangeRates: { [dateString: string]: number };
     marketSymbolMap: {

apps/api/src/app/portfolio/calculator/roai/portfolio-calculator-btcusd-buy-and-sell-partially.spec.ts

@@ -112,7 +112,7 @@ describe('PortfolioCalculator', () => {
 
       const performanceByDateRange = await getPerformanceByDateRange({
         portfolioCalculator,
-        dateRanges: ['1d', 'max', 'ytd']
+        dateRanges: ['1d', '2017', 'max', 'ytd']
       });
 
       const investments = portfolioCalculator.getInvestments();
@@ -162,6 +162,7 @@ describe('PortfolioCalculator', () => {
             netPerformancePercentage: new Big('42.41978276196153750666'),
             netPerformancePercentageWithCurrencyEffectMap: {
               '1d': new Big('-0.04016229506406263535'),
+              '2017': new Big('43.14843430282283692638'),
               max: new Big('41.65910103572163194783'),
               ytd: new Big('-0.04016229506406263535')
             },
@@ -258,6 +259,15 @@ describe('PortfolioCalculator', () => {
           totalInvestmentValueWithCurrencyEffect: 318.54266729999995,
           valueWithCurrencyEffect: 13298.425356
         },
+        '2017': {
+          date: '2017-12-31',
+          netPerformance: 26957.033439,
+          netPerformanceInPercentage: 44.109822737327406,
+          netPerformanceInPercentageWithCurrencyEffect: 43.14859823223876,
+          netPerformanceWithCurrencyEffect: 27081.23736,
+          totalInvestmentValueWithCurrencyEffect: 318.54266729999995,
+          valueWithCurrencyEffect: 13854.86868
+        },
         max: {
           date: '2018-01-01',
           netPerformance: 26458.9121202,
@@ -285,7 +295,8 @@ describe('PortfolioCalculator', () => {
       const environmentConfigurationService = new ConfigurationService();
 
       // Fewer chart items give fewer chart dates, which must not change the
-      // average investment
+      // average investment. The range 2017 starts with a gross performance
+      // and ends with the sell.
       jest.spyOn(configurationService, 'get').mockImplementation((key) => {
         return key === 'MAX_CHART_ITEMS'
           ? 50
@@ -308,17 +319,27 @@ describe('PortfolioCalculator', () => {
 
       const performanceByDateRange = await getPerformanceByDateRange({
         portfolioCalculator,
-        dateRanges: ['max']
+        dateRanges: ['2017', 'max']
       });
 
       expect(
         portfolioSnapshot.positions[0]
           .netPerformancePercentageWithCurrencyEffectMap
       ).toMatchObject({
+        '2017': new Big('43.14843430282283692638'),
         max: new Big('41.65910103572163194783')
       });
 
       // Other weights give another rounding of the floating point numbers
+      expect(
+        performanceByDateRange['2017'].netPerformanceInPercentage
+      ).toBeCloseTo(44.109822737327406, 10);
+
+      expect(
+        performanceByDateRange['2017']
+          .netPerformanceInPercentageWithCurrencyEffect
+      ).toBeCloseTo(43.14859823223876, 10);
+
       expect(performanceByDateRange.max.netPerformanceInPercentage).toBeCloseTo(
         42.43911719562077,
         10

apps/api/src/app/portfolio/calculator/roai/portfolio-calculator.ts

@@ -211,6 +211,7 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
   }): { [date: string]: PerformancePercentages } {
     let grossPerformanceAtStartDate: number;
     let grossPerformanceWithCurrencyEffectAtStartDate: number;
+    let previousDate: Date;
     let sumOfWeightedInvestments = 0;
     let sumOfWeightedInvestmentsWithCurrencyEffect = 0;
     let totalInvestmentDays = 0;
@@ -221,6 +222,8 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
     } = {};
 
     for (const [index, historicalDataItem] of historicalDataItems.entries()) {
+      const date = parseDate(historicalDataItem.date);
+
       // Take the values at the start date from the first day of the date
       // range
       if (index === 0) {
@@ -236,10 +239,7 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
         // applies to each day until this chart date.
         const previousHistoricalDataItem = historicalDataItems[index - 1];
 
-        const daysSincePreviousChartDate = differenceInDays(
+        const daysSincePreviousChartDate = differenceInDays(date, previousDate);
-          parseDate(historicalDataItem.date),
-          parseDate(previousHistoricalDataItem.date)
-        );
 
         if (previousHistoricalDataItem.totalInvestment > 0) {
           sumOfWeightedInvestments +=
@@ -264,28 +264,22 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
 
       // Add the gross performance at the start date of the range to the
       // investment of each day. Thus the range starts with the value of its
-      // first day, and subsequent buy and sell activities stay included. The
+      // first day, and subsequent buy and sell activities stay included.
-      // investment of this chart date counts for this day only.
+      const averageInvestmentValue = this.getAverageInvestment({
-      const averageInvestmentValue =
+        grossPerformanceAtStartDate,
-        historicalDataItem.totalInvestment > 0
+        sumOfWeightedInvestments,
-          ? (sumOfWeightedInvestments +
+        totalInvestmentDays,
-              (historicalDataItem.totalInvestment +
+        investment: historicalDataItem.totalInvestment
-                grossPerformanceAtStartDate)) /
+      });
-            (totalInvestmentDays + 1)
-          : totalInvestmentDays > 0
-            ? sumOfWeightedInvestments / totalInvestmentDays
-            : 0;
 
       const averageInvestmentValueWithCurrencyEffect =
-        historicalDataItem.totalInvestmentValueWithCurrencyEffect > 0
+        this.getAverageInvestment({
-          ? (sumOfWeightedInvestmentsWithCurrencyEffect +
+          grossPerformanceAtStartDate:
-              (historicalDataItem.totalInvestmentValueWithCurrencyEffect +
+            grossPerformanceWithCurrencyEffectAtStartDate,
-                grossPerformanceWithCurrencyEffectAtStartDate)) /
+          investment: historicalDataItem.totalInvestmentValueWithCurrencyEffect,
-            (totalInvestmentDaysWithCurrencyEffect + 1)
+          sumOfWeightedInvestments: sumOfWeightedInvestmentsWithCurrencyEffect,
-          : totalInvestmentDaysWithCurrencyEffect > 0
+          totalInvestmentDays: totalInvestmentDaysWithCurrencyEffect
-            ? sumOfWeightedInvestmentsWithCurrencyEffect /
+        });
-              totalInvestmentDaysWithCurrencyEffect
-            : 0;
 
       performancePercentagesByDate[historicalDataItem.date] = {
         dividendInPercentageWithCurrencyEffect:
@@ -303,6 +297,8 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
               averageInvestmentValueWithCurrencyEffect
             : 0
       };
+
+      previousDate = date;
     }
 
     return performancePercentagesByDate;
@@ -311,6 +307,7 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
   protected getHoldingPerformance({
     chartDates,
     dataSource,
+    daysUntilNextChartDate,
     end,
     exchangeRates,
     marketSymbolMap,
@@ -318,6 +315,7 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
     symbol
   }: {
     chartDates: string[];
+    daysUntilNextChartDate: { [date: string]: number };
     end: Date;
     exchangeRates: { [dateString: string]: number };
     marketSymbolMap: {
@@ -661,7 +659,6 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
 
       let average = new Big(0);
       let dayCount = 0;
-      let nextChartDateString: string;
 
       for (let i = chartDates.length - 1; i >= 0; i -= 1) {
         const date = chartDates[i];
@@ -672,15 +669,16 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
           break;
         }
 
+        const isLastChartDateOfRange =
+          i === chartDates.length - 1 || chartDates[i + 1] > rangeEndDateString;
+
         // The chart dates are not evenly spaced, and the investment changes
         // on a chart date only. Thus the investment of a chart date applies to
         // each day until the next chart date. The investment of the last chart
         // date of the range counts for this day only.
-        const daysUntilNextChartDate = nextChartDateString
+        const investmentDays = isLastChartDateOfRange
-          ? differenceInDays(parseDate(nextChartDateString), parseDate(date))
+          ? 1
-          : 1;
+          : daysUntilNextChartDate[date];
-
-        nextChartDateString = date;
 
         if (
           investmentValuesAccumulatedWithCurrencyEffect[date] instanceof Big &&
@@ -689,10 +687,10 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
           average = average.add(
             investmentValuesAccumulatedWithCurrencyEffect[date]
               .add(grossPerformanceAtDateRangeStartWithCurrencyEffect)
-              .mul(daysUntilNextChartDate)
+              .mul(investmentDays)
           );
 
-          dayCount += daysUntilNextChartDate;
+          dayCount += investmentDays;
         }
       }
 
@@ -793,4 +791,29 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
   protected getPerformanceCalculationType() {
     return PerformanceCalculationType.ROAI;
   }
+
+  private getAverageInvestment({
+    grossPerformanceAtStartDate,
+    investment,
+    sumOfWeightedInvestments,
+    totalInvestmentDays
+  }: {
+    grossPerformanceAtStartDate: number;
+    investment: number;
+    sumOfWeightedInvestments: number;
+    totalInvestmentDays: number;
+  }) {
+    // The investment of the current chart date counts for this day only
+    if (investment > 0) {
+      return (
+        (sumOfWeightedInvestments +
+          (investment + grossPerformanceAtStartDate)) /
+        (totalInvestmentDays + 1)
+      );
+    }
+
+    return totalInvestmentDays > 0
+      ? sumOfWeightedInvestments / totalInvestmentDays
+      : 0;
+  }
 }

apps/api/src/app/portfolio/calculator/roi/portfolio-calculator.ts

@@ -24,6 +24,7 @@ export class RoiPortfolioCalculator extends PortfolioCalculator {
 
   protected getHoldingPerformance({}: {
     chartDates: string[];
+    daysUntilNextChartDate: { [date: string]: number };
     end: Date;
     exchangeRates: { [dateString: string]: number };
     marketSymbolMap: {

apps/api/src/app/portfolio/calculator/twr/portfolio-calculator.ts

@@ -24,6 +24,7 @@ export class TwrPortfolioCalculator extends PortfolioCalculator {
 
   protected getHoldingPerformance({}: {
     chartDates: string[];
+    daysUntilNextChartDate: { [date: string]: number };
     end: Date;
     exchangeRates: { [dateString: string]: number };
     marketSymbolMap: {