Added Time Weighted Performance calculation

Not correct yet

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

@@ -1585,26 +1585,38 @@ export class PortfolioCalculator {
       const previousOrder = orders[i - 1];
 
       if (order.unitPrice.toNumber() && previousOrder.unitPrice.toNumber()) {
-        netPerformanceValuesPercentage[order.date] = previousOrder.unitPrice
+        netPerformanceValuesPercentage[order.date] = order.unitPrice
-          .div(order.unitPrice)
+          .div(previousOrder.unitPrice)
           .minus(1);
       } else if (
         order.type === 'STAKE' &&
-        marketSymbolMap[order.date][order.symbol]
+        marketSymbolMap[order.date][order.symbol] &&
+        ((marketSymbolMap[previousOrder.date][
+          previousOrder.symbol
+        ]?.toNumber() &&
+          previousOrder.type === 'STAKE') ||
+          (previousOrder.type !== 'STAKE' &&
+            previousOrder.unitPrice.toNumber()))
       ) {
-        netPerformanceValuesPercentage[order.date] =
+        let previousUnitPrice =
           previousOrder.type === 'STAKE'
             ? marketSymbolMap[previousOrder.date][previousOrder.symbol]
-            : previousOrder.unitPrice
+            : previousOrder.unitPrice;
-                .div(marketSymbolMap[order.date][order.symbol])
+        netPerformanceValuesPercentage[order.date] = marketSymbolMap[
-                .minus(1);
+          order.date
+        ][order.symbol]
+          ? marketSymbolMap[order.date][order.symbol]
+              .div(previousUnitPrice)
+              .minus(1)
+          : new Big(0);
       } else if (previousOrder.unitPrice.toNumber()) {
         netPerformanceValuesPercentage[order.date] = new Big(-1);
-      } else if (previousOrder.type === 'STAKE' && order.unitPrice.toNumber()) {
+      } else if (
-        netPerformanceValuesPercentage[order.date] = marketSymbolMap[
+        previousOrder.type === 'STAKE' &&
-          previousOrder.date
+        marketSymbolMap[previousOrder.date][previousOrder.symbol]?.toNumber()
-        ][previousOrder.symbol]
+      ) {
-          .div(order.unitPrice)
+        netPerformanceValuesPercentage[order.date] = order.unitPrice
+          .div(marketSymbolMap[previousOrder.date][previousOrder.symbol])
           .minus(1);
       } else {
         netPerformanceValuesPercentage[order.date] = new Big(0);

apps/api/src/app/user/update-user-setting.dto.ts

@@ -68,4 +68,8 @@ export class UpdateUserSettingDto {
   @IsIn(<ViewMode[]>['DEFAULT', 'ZEN'])
   @IsOptional()
   viewMode?: ViewMode;
+
+  @IsIn(<string[]>['N', 'B', 'O'])
+  @IsOptional()
+  timeWeightedPerformance?: string;
 }

apps/client/src/app/components/benchmark-comparator/benchmark-comparator.component.scss

@@ -7,5 +7,6 @@
     ngx-skeleton-loader {
       height: 100%;
     }
+    margin-bottom: 0.5rem;
   }
 }

apps/client/src/app/components/benchmark-comparator/benchmark-comparator.component.ts

@@ -53,6 +53,7 @@ export class BenchmarkComparatorComponent implements OnChanges, OnDestroy {
   @Input() isLoading: boolean;
   @Input() locale: string;
   @Input() performanceDataItems: LineChartItem[];
+  @Input() timeWeightedPerformanceDataItems: LineChartItem[];
   @Input() user: User;
 
   @Output() benchmarkChanged = new EventEmitter<string>();
@@ -83,7 +84,10 @@ export class BenchmarkComparatorComponent implements OnChanges, OnDestroy {
       permissions.accessAdminControl
     );
 
-    if (this.performanceDataItems) {
+    if (
+      this.performanceDataItems ||
+      this.timeWeightedPerformanceDataItems?.length > 0
+    ) {
       this.initialize();
     }
   }
@@ -108,6 +112,15 @@ export class BenchmarkComparatorComponent implements OnChanges, OnDestroy {
           }),
           label: $localize`Portfolio`
         },
+        {
+          backgroundColor: `rgb(${primaryColorRgb.r}, ${primaryColorRgb.g}, ${primaryColorRgb.b})`,
+          borderColor: `rgb(${primaryColorRgb.r}, ${primaryColorRgb.g}, ${primaryColorRgb.b})`,
+          borderWidth: 2,
+          data: this.timeWeightedPerformanceDataItems.map(({ date, value }) => {
+            return { x: parseDate(date).getTime(), y: value };
+          }),
+          label: $localize`Portfolio (time-weighted)`
+        },
         {
           backgroundColor: `rgb(${secondaryColorRgb.r}, ${secondaryColorRgb.g}, ${secondaryColorRgb.b})`,
           borderColor: `rgb(${secondaryColorRgb.r}, ${secondaryColorRgb.g}, ${secondaryColorRgb.b})`,

apps/client/src/app/pages/portfolio/analysis/analysis-page.component.ts

@@ -19,6 +19,7 @@ import { hasPermission, permissions } from '@ghostfolio/common/permissions';
 import { DateRange, GroupBy, ToggleOption } from '@ghostfolio/common/types';
 import { translate } from '@ghostfolio/ui/i18n';
 import { AssetClass, DataSource, SymbolProfile } from '@prisma/client';
+import Big from 'big.js';
 import { differenceInDays } from 'date-fns';
 import { isNumber, sortBy } from 'lodash';
 import { DeviceDetectorService } from 'ngx-device-detector';
@@ -37,6 +38,12 @@ export class AnalysisPageComponent implements OnDestroy, OnInit {
   public benchmarks: Partial<SymbolProfile>[];
   public bottom3: Position[];
   public dateRangeOptions = ToggleComponent.DEFAULT_DATE_RANGE_OPTIONS;
+  public timeWeightedPerformanceOptions = [
+    { label: $localize`No`, value: 'N' },
+    { label: $localize`Both`, value: 'B' },
+    { label: $localize`Only`, value: 'O' }
+  ];
+  public selectedTimeWeightedPerformanceOption: string;
   public daysInMarket: number;
   public deviceType: string;
   public dividendsByGroup: InvestmentItem[];
@@ -56,6 +63,8 @@ export class AnalysisPageComponent implements OnDestroy, OnInit {
   ];
   public performanceDataItems: HistoricalDataItem[];
   public performanceDataItemsInPercentage: HistoricalDataItem[];
+  public performanceDataItemsTimeWeightedInPercentage: HistoricalDataItem[] =
+    [];
   public placeholder = '';
   public portfolioEvolutionDataLabel = $localize`Deposit`;
   public streaks: PortfolioInvestments['streaks'];
@@ -212,6 +221,24 @@ export class AnalysisPageComponent implements OnDestroy, OnInit {
       });
   }
 
+  public onTimeWeightedPerformanceChanged(timeWeightedPerformance: string) {
+    this.dataService
+      .putUserSetting({ timeWeightedPerformance })
+      .pipe(takeUntil(this.unsubscribeSubject))
+      .subscribe(() => {
+        this.userService.remove();
+
+        this.userService
+          .get()
+          .pipe(takeUntil(this.unsubscribeSubject))
+          .subscribe((user) => {
+            this.user = user;
+
+            this.changeDetectorRef.markForCheck();
+          });
+      });
+  }
+
   public onChangeGroupBy(aMode: GroupBy) {
     this.mode = aMode;
     this.fetchDividendsAndInvestments();
@@ -314,7 +341,9 @@ export class AnalysisPageComponent implements OnDestroy, OnInit {
     this.dataService
       .fetchPortfolioPerformance({
         filters: this.activeFilters,
-        range: this.user?.settings?.dateRange
+        range: this.user?.settings?.dateRange,
+        timeWeightedPerformance:
+          this.user?.settings?.timeWeightedPerformance === 'N' ? false : true
       })
       .pipe(takeUntil(this.unsubscribeSubject))
       .subscribe(({ chart, firstOrderDate }) => {
@@ -324,6 +353,7 @@ export class AnalysisPageComponent implements OnDestroy, OnInit {
         this.investments = [];
         this.performanceDataItems = [];
         this.performanceDataItemsInPercentage = [];
+        this.performanceDataItemsTimeWeightedInPercentage = [];
 
         for (const [
           index,
@@ -332,7 +362,8 @@ export class AnalysisPageComponent implements OnDestroy, OnInit {
             netPerformanceInPercentage,
             totalInvestment,
             value,
-            valueInPercentage
+            valueInPercentage,
+            timeWeightedPerformance
           }
         ] of chart.entries()) {
           if (index > 0 || this.user?.settings?.dateRange === 'max') {
@@ -347,6 +378,23 @@ export class AnalysisPageComponent implements OnDestroy, OnInit {
             date,
             value: netPerformanceInPercentage
           });
+          if ((this.user?.settings?.timeWeightedPerformance ?? 'N') !== 'N') {
+            let lastPerformance = 0;
+            if (index > 0) {
+              lastPerformance = new Big(
+                chart[index - 1].timeWeightedPerformance
+              )
+                .plus(1)
+                .mul(new Big(chart[index].timeWeightedPerformance).plus(1))
+                .minus(1)
+                .toNumber();
+            }
+            chart[index].timeWeightedPerformance = lastPerformance;
+            this.performanceDataItemsTimeWeightedInPercentage.push({
+              date,
+              value: lastPerformance
+            });
+          }
         }
 
         this.isLoadingInvestmentChart = false;

apps/client/src/app/pages/portfolio/analysis/analysis-page.html

@@ -17,7 +17,7 @@
   <div class="mb-5 row">
     <div class="col-lg">
       <gf-benchmark-comparator
-        class="h-100"
+        class="h-auto"
         [benchmark]="user?.settings?.benchmark"
         [benchmarkDataItems]="benchmarkDataItems"
         [benchmarks]="benchmarks"
@@ -26,9 +26,25 @@
         [isLoading]="isLoadingBenchmarkComparator || isLoadingInvestmentChart"
         [locale]="user?.settings?.locale"
         [performanceDataItems]="performanceDataItemsInPercentage"
+        [timeWeightedPerformanceDataItems]="performanceDataItemsTimeWeightedInPercentage"
         [user]="user"
         (benchmarkChanged)="onChangeBenchmark($event)"
       ></gf-benchmark-comparator>
+      <div>
+        <div class="col-md-6 col-xs-12 d-flex">
+          <div
+            class="align-items-center d-flex flex-grow-1 h6 mb-0 py-2 text-truncate"
+          >
+            <span i18n>Include time-weighted performance </span>
+            <gf-toggle
+              [defaultValue]="user?.settings?.timeWeightedPerformance ?? 'N'"
+              [isLoading]="isLoadingBenchmarkComparator || isLoadingInvestmentChart"
+              [options]="timeWeightedPerformanceOptions"
+              (change)="onTimeWeightedPerformanceChanged($event.value)"
+            ></gf-toggle>
+          </div>
+        </div>
+      </div>
     </div>
   </div>
 

apps/client/src/app/services/data.service.ts

@@ -398,11 +398,13 @@ export class DataService {
   public fetchPortfolioPerformance({
     filters,
     range,
-    withExcludedAccounts = false
+    withExcludedAccounts = false,
+    timeWeightedPerformance = false
   }: {
     filters?: Filter[];
     range: DateRange;
     withExcludedAccounts?: boolean;
+    timeWeightedPerformance?: boolean;
   }): Observable<PortfolioPerformanceResponse> {
     let params = this.buildFiltersAsQueryParams({ filters });
     params = params.append('range', range);
@@ -410,6 +412,12 @@ export class DataService {
     if (withExcludedAccounts) {
       params = params.append('withExcludedAccounts', withExcludedAccounts);
     }
+    if (timeWeightedPerformance) {
+      params = params.append(
+        'timeWeightedPerformance',
+        timeWeightedPerformance
+      );
+    }
 
     return this.http
       .get<any>(`/api/v2/portfolio/performance`, {

libs/common/src/lib/interfaces/historical-data-item.interface.ts

@@ -12,4 +12,5 @@ export interface HistoricalDataItem {
   totalInvestment?: number;
   value?: number;
   valueInPercentage?: number;
+  timeWeightedPerformance?: number;
 }

libs/common/src/lib/interfaces/user-settings.interface.ts

@@ -15,4 +15,5 @@ export interface UserSettings {
   retirementDate?: string;
   savingsRate?: number;
   viewMode?: ViewMode;
+  timeWeightedPerformance?: string;
 }