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

Task/refactor average investment of ROAI calculator (#8078) 

Refactor average investment calculation in ROAI calculator
pull/8083/head
Thomas Kaul 2 days ago
committed by GitHub
parent
a53a057f4c
commit
817c6775de
No known key found for this signature in database GPG Key ID: B5690EEEBB952194
4 changed files with 140 additions and 112 deletions
Whitespace
Show all changes Ignore whitespace when comparing lines Ignore changes in amount of whitespace Ignore changes in whitespace at EOL
Split View
Diff Options
Show Stats Download Patch File Download Diff File
  1. 12
      apps/api/src/app/portfolio/calculator/roai/portfolio-calculator-btcusd-buy-and-sell-partially.spec.ts
  2. 222
      apps/api/src/app/portfolio/calculator/roai/portfolio-calculator.ts
  3. 6
      apps/api/src/app/portfolio/interfaces/average-investment-item.interface.ts
  4. 8
      apps/api/src/app/portfolio/interfaces/weighted-investment.interface.ts

12
apps/api/src/app/portfolio/calculator/roai/portfolio-calculator-btcusd-buy-and-sell-partially.spec.ts
View File

@ -264,7 +264,7 @@ describe('PortfolioCalculator', () => {
'2017': {
date: '2017-12-31',
netPerformance: 26957.033439,
netPerformanceInPercentage: 44.10965416175681,
netPerformanceInPercentage: 44.10965416175668,
netPerformanceInPercentageWithCurrencyEffect: 43.148434302822835,
netPerformanceWithCurrencyEffect: 27081.23736,
totalInvestmentValueWithCurrencyEffect: 318.54266729999995,
@ -273,8 +273,8 @@ describe('PortfolioCalculator', () => {
max: {
date: '2018-01-01',
netPerformance: 26458.9121202,
netPerformanceInPercentage: 42.43911719562077,
netPerformanceInPercentageWithCurrencyEffect: 41.65910103572173,
netPerformanceInPercentage: 42.439117195620575,
netPerformanceInPercentageWithCurrencyEffect: 41.65910103572163,
netPerformanceWithCurrencyEffect: 26516.2087014,
totalInvestmentValueWithCurrencyEffect: 318.54266729999995,
valueWithCurrencyEffect: 13298.425356
@ -346,7 +346,7 @@ describe('PortfolioCalculator', () => {
// Other weights give another rounding of the floating point numbers
expect(
performanceByDateRange['2017'].netPerformanceInPercentage
).toBeCloseTo(44.10965416175681, 10);
).toBeCloseTo(44.10965416175668, 10);
expect(
performanceByDateRange['2017']
@ -354,13 +354,13 @@ describe('PortfolioCalculator', () => {
).toBeCloseTo(43.148434302822835, 10);
expect(performanceByDateRange.max.netPerformanceInPercentage).toBeCloseTo(
42.43911719562077,
42.439117195620575,
10
);
expect(
performanceByDateRange.max.netPerformanceInPercentageWithCurrencyEffect
).toBeCloseTo(41.65910103572173, 10);
).toBeCloseTo(41.65910103572163, 10);
});
});
});

222
apps/api/src/app/portfolio/calculator/roai/portfolio-calculator.ts
View File

@ -1,8 +1,10 @@
import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator';
import { AccumulatedValues } from '@ghostfolio/api/app/portfolio/interfaces/accumulated-values.interface';
import { AverageInvestmentItem } from '@ghostfolio/api/app/portfolio/interfaces/average-investment-item.interface';
import { HoldingPerformance } from '@ghostfolio/api/app/portfolio/interfaces/holding-performance.interface';
import { PortfolioCalculatorActivityItem } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-calculator-activity-item.interface';
import { PortfolioCalculatorHolding } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-calculator-holding.interface';
import { WeightedInvestment } from '@ghostfolio/api/app/portfolio/interfaces/weighted-investment.interface';
import { PerformancePercentages } from '@ghostfolio/api/app/portfolio/types/performance-percentages.type';
import {
getAnnualizedPerformancePercent,
@ -29,6 +31,7 @@ import {
isBefore,
isThisYear
} from 'date-fns';
import { sortedIndex } from 'lodash-es';
export class RoaiPortfolioCalculator extends PortfolioCalculator {
protected calculateOverallPerformance(
@ -209,77 +212,60 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
}: {
historicalDataItems: HistoricalDataItem[];
}): { [date: string]: PerformancePercentages } {
let grossPerformanceAtStartDate: number;
let grossPerformanceWithCurrencyEffectAtStartDate: number;
let previousDate: Date;
let sumOfWeightedInvestments = 0;
let sumOfWeightedInvestmentsWithCurrencyEffect = 0;
let totalInvestmentDays = 0;
let totalInvestmentDaysWithCurrencyEffect = 0;
const performancePercentagesByDate: {
[date: string]: PerformancePercentages;
} = {};
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) {
grossPerformanceAtStartDate =
historicalDataItem.value - historicalDataItem.totalInvestment;
grossPerformanceWithCurrencyEffectAtStartDate =
historicalDataItem.valueWithCurrencyEffect -
historicalDataItem.totalInvestmentValueWithCurrencyEffect;
} else {
// The chart dates are not evenly spaced, and the investment changes on
// a chart date only. Thus the investment of the previous chart date
// applies to each day until this chart date.
const previousHistoricalDataItem = historicalDataItems[index - 1];
if (historicalDataItems.length === 0) {
return performancePercentagesByDate;
}
const daysSincePreviousChartDate = differenceInDays(date, previousDate);
const parsedDates = historicalDataItems.map(({ date }) => {
return parseDate(date);
});
if (previousHistoricalDataItem.totalInvestment > 0) {
sumOfWeightedInvestments +=
(previousHistoricalDataItem.totalInvestment +
grossPerformanceAtStartDate) *
daysSincePreviousChartDate;
const daysUntilNextItem = parsedDates.slice(1).map((nextDate, index) => {
return differenceInDays(nextDate, parsedDates[index]);
});
totalInvestmentDays += daysSincePreviousChartDate;
}
// Take the values at the start date from the first day of the date range
const [firstHistoricalDataItem] = historicalDataItems;
if (
previousHistoricalDataItem.totalInvestmentValueWithCurrencyEffect > 0
) {
sumOfWeightedInvestmentsWithCurrencyEffect +=
(previousHistoricalDataItem.totalInvestmentValueWithCurrencyEffect +
grossPerformanceWithCurrencyEffectAtStartDate) *
daysSincePreviousChartDate;
const weightedInvestments = this.getWeightedInvestments({
grossPerformanceAtStartDate: new Big(firstHistoricalDataItem.value).minus(
firstHistoricalDataItem.totalInvestment
),
items: historicalDataItems.map(({ totalInvestment }, index) => {
return {
daysUntilNextItem: daysUntilNextItem[index],
investment: new Big(totalInvestment)
};
})
});
totalInvestmentDaysWithCurrencyEffect += daysSincePreviousChartDate;
}
const weightedInvestmentsWithCurrencyEffect = this.getWeightedInvestments({
grossPerformanceAtStartDate: new Big(
firstHistoricalDataItem.valueWithCurrencyEffect
).minus(firstHistoricalDataItem.totalInvestmentValueWithCurrencyEffect),
items: historicalDataItems.map(
({ totalInvestmentValueWithCurrencyEffect }, index) => {
return {
daysUntilNextItem: daysUntilNextItem[index],
investment: new Big(totalInvestmentValueWithCurrencyEffect)
};
}
// 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.
const averageInvestmentValue = this.getAverageInvestment({
grossPerformanceAtStartDate,
sumOfWeightedInvestments,
totalInvestmentDays,
investment: historicalDataItem.totalInvestment
)
});
for (const [index, historicalDataItem] of historicalDataItems.entries()) {
const averageInvestmentValue = this.getAverageInvestment(
weightedInvestments[index]
).toNumber();
const averageInvestmentValueWithCurrencyEffect =
this.getAverageInvestment({
grossPerformanceAtStartDate:
grossPerformanceWithCurrencyEffectAtStartDate,
investment: historicalDataItem.totalInvestmentValueWithCurrencyEffect,
sumOfWeightedInvestments: sumOfWeightedInvestmentsWithCurrencyEffect,
totalInvestmentDays: totalInvestmentDaysWithCurrencyEffect
});
this.getAverageInvestment(
weightedInvestmentsWithCurrencyEffect[index]
).toNumber();
performancePercentagesByDate[historicalDataItem.date] = {
dividendInPercentageWithCurrencyEffect:
@ -297,8 +283,6 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
averageInvestmentValueWithCurrencyEffect
: 0
};
previousDate = date;
}
return performancePercentagesByDate;
@ -657,46 +641,35 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
investmentValuesAccumulatedAtStartDateWithCurrencyEffect
);
let average = new Big(0);
let dayCount = 0;
const averageInvestmentItems: AverageInvestmentItem[] = [];
for (let i = chartDates.length - 1; i >= 0; i -= 1) {
for (
let i = sortedIndex(chartDates, rangeStartDateString);
i < chartDates.length;
i += 1
) {
const date = chartDates[i];
if (date > rangeEndDateString) {
continue;
} else if (date < rangeStartDateString) {
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 investmentDays = isLastChartDateOfRange
? 1
: daysUntilNextChartDate[i];
if (
investmentValuesAccumulatedWithCurrencyEffect[date] instanceof Big &&
investmentValuesAccumulatedWithCurrencyEffect[date].gt(0)
) {
average = average.add(
investmentValuesAccumulatedWithCurrencyEffect[date]
.add(grossPerformanceAtDateRangeStartWithCurrencyEffect)
.mul(investmentDays)
);
dayCount += investmentDays;
}
averageInvestmentItems.push({
daysUntilNextItem: daysUntilNextChartDate[i],
investment:
investmentValuesAccumulatedWithCurrencyEffect[date] ?? new Big(0)
});
}
if (dayCount > 0) {
average = average.div(dayCount);
}
const weightedInvestment = this.getWeightedInvestments({
grossPerformanceAtStartDate:
grossPerformanceAtDateRangeStartWithCurrencyEffect,
items: averageInvestmentItems
}).at(-1);
const average = weightedInvestment
? this.getAverageInvestment(weightedInvestment)
: new Big(0);
netPerformanceWithCurrencyEffectMap[dateRange] =
netPerformanceValuesWithCurrencyEffect[rangeEndDateString]?.minus(
@ -797,23 +770,64 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
investment,
sumOfWeightedInvestments,
totalInvestmentDays
}: WeightedInvestment) {
// The investment of the current item counts for this day only
if (investment.gt(0)) {
return sumOfWeightedInvestments
.add(investment.add(grossPerformanceAtStartDate))
.div(totalInvestmentDays + 1);
}
return totalInvestmentDays > 0
? sumOfWeightedInvestments.div(totalInvestmentDays)
: new Big(0);
}
/**
* Returns the sum of the weighted investments and the number of investment
* days before each item of a date range. The chart dates are not evenly
* spaced, and the investment changes on a chart date only. Thus the
* investment of an item applies to each day until the next item.
*
* The gross performance at the start date of the range is added to each
* investment. Thus the range starts with the value of its first day, and
* subsequent buy and sell activities stay included.
*/
private getWeightedInvestments({
grossPerformanceAtStartDate,
items
}: {
grossPerformanceAtStartDate: number;
investment: number;
sumOfWeightedInvestments: number;
totalInvestmentDays: number;
grossPerformanceAtStartDate: Big;
items: AverageInvestmentItem[];
}) {
// The investment of the current chart date counts for this day only
if (investment > 0) {
return (
(sumOfWeightedInvestments +
(investment + grossPerformanceAtStartDate)) /
(totalInvestmentDays + 1)
const weightedInvestments: WeightedInvestment[] = [];
let sumOfWeightedInvestments = new Big(0);
let totalInvestmentDays = 0;
for (const [index, { investment }] of items.entries()) {
if (index > 0) {
const previousItem = items[index - 1];
if (previousItem.investment.gt(0)) {
sumOfWeightedInvestments = sumOfWeightedInvestments.add(
previousItem.investment
.add(grossPerformanceAtStartDate)
.mul(previousItem.daysUntilNextItem)
);
totalInvestmentDays += previousItem.daysUntilNextItem;
}
}
return totalInvestmentDays > 0
? sumOfWeightedInvestments / totalInvestmentDays
: 0;
weightedInvestments.push({
grossPerformanceAtStartDate,
investment,
sumOfWeightedInvestments,
totalInvestmentDays
});
}
return weightedInvestments;
}
}

6
apps/api/src/app/portfolio/interfaces/average-investment-item.interface.ts
View File

@ -0,0 +1,6 @@
import { Big } from 'big.js';
export interface AverageInvestmentItem {
daysUntilNextItem: number;
investment: Big;
}

8
apps/api/src/app/portfolio/interfaces/weighted-investment.interface.ts
View File

@ -0,0 +1,8 @@
import { Big } from 'big.js';
export interface WeightedInvestment {
grossPerformanceAtStartDate: Big;
investment: Big;
sumOfWeightedInvestments: Big;
totalInvestmentDays: number;
}
Write Preview
Loading…
Cancel
Save