Fix time weighted average investment in ROAI calculator

1 week ago · 564c6511bd
6 changed files with 96 additions and 35 deletions
--- a/apps/api/src/app/portfolio/calculator/mwr/portfolio-calculator.ts
+++ b/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: {
--- a/apps/api/src/app/portfolio/calculator/portfolio-calculator.ts
+++ b/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: {
--- a/apps/api/src/app/portfolio/calculator/roai/portfolio-calculator-btcusd-buy-and-sell-partially.spec.ts
+++ b/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
--- a/apps/api/src/app/portfolio/calculator/roai/portfolio-calculator.ts
+++ b/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(
-          parseDate(historicalDataItem.date),
-          parseDate(previousHistoricalDataItem.date)
-        );
+        const daysSincePreviousChartDate = differenceInDays(date, previousDate);

        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
-      // investment of this chart date counts for this day only.
-      const averageInvestmentValue =
-        historicalDataItem.totalInvestment > 0
-          ? (sumOfWeightedInvestments +
-              (historicalDataItem.totalInvestment +
-                grossPerformanceAtStartDate)) /
-            (totalInvestmentDays + 1)
-          : totalInvestmentDays > 0
-            ? sumOfWeightedInvestments / totalInvestmentDays
-            : 0;
+      // first day, and subsequent buy and sell activities stay included.
+      const averageInvestmentValue = this.getAverageInvestment({
+        grossPerformanceAtStartDate,
+        sumOfWeightedInvestments,
+        totalInvestmentDays,
+        investment: historicalDataItem.totalInvestment
+      });

      const averageInvestmentValueWithCurrencyEffect =
-        historicalDataItem.totalInvestmentValueWithCurrencyEffect > 0
-          ? (sumOfWeightedInvestmentsWithCurrencyEffect +
-              (historicalDataItem.totalInvestmentValueWithCurrencyEffect +
-                grossPerformanceWithCurrencyEffectAtStartDate)) /
-            (totalInvestmentDaysWithCurrencyEffect + 1)
-          : totalInvestmentDaysWithCurrencyEffect > 0
-            ? sumOfWeightedInvestmentsWithCurrencyEffect /
-              totalInvestmentDaysWithCurrencyEffect
-            : 0;
+        this.getAverageInvestment({
+          grossPerformanceAtStartDate:
+            grossPerformanceWithCurrencyEffectAtStartDate,
+          investment: historicalDataItem.totalInvestmentValueWithCurrencyEffect,
+          sumOfWeightedInvestments: sumOfWeightedInvestmentsWithCurrencyEffect,
+          totalInvestmentDays: totalInvestmentDaysWithCurrencyEffect
+        });

      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
-          ? differenceInDays(parseDate(nextChartDateString), parseDate(date))
-          : 1;
-
-        nextChartDateString = date;
+        const investmentDays = isLastChartDateOfRange
+          ? 1
+          : daysUntilNextChartDate[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;
+  }
 }
--- a/apps/api/src/app/portfolio/calculator/roi/portfolio-calculator.ts
+++ b/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: {
--- a/apps/api/src/app/portfolio/calculator/twr/portfolio-calculator.ts
+++ b/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: {