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ghostfolio
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Fix time weighted Performance

pull/5027/head
Dan 1 year ago
parent
5553f27753
commit
872d1b3d43
1 changed files with 170 additions and 89 deletions
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  1. 259
      apps/api/src/app/portfolio/portfolio-calculator.ts

259
apps/api/src/app/portfolio/portfolio-calculator.ts
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@ -390,13 +390,11 @@ export class PortfolioCalculator {
? format(previousDate, DATE_FORMAT)
: null;
let totalCurrentValue = new Big(0);
let maxTotalInvestmentValue = new Big(0);
let previousTotalInvestmentValue = new Big(0);
let timeWeightedPerformance = new Big(0);
if (calculateTimeWeightedPerformance && previousDateString) {
previousTotalInvestmentValue =
accumulatedValuesByDate[previousDateString].totalInvestmentValue;
accumulatedValuesByDate[previousDateString].totalCurrentValue;
}
for (const symbol of Object.keys(valuesBySymbol)) {
@ -406,6 +404,8 @@ export class PortfolioCalculator {
totalCurrentValue = totalCurrentValue.plus(symbolCurrentValues);
let timeWeightedPerformanceContribution = new Big(0);
if (
previousTotalInvestmentValue.toNumber() &&
symbolValues.netPerformanceValuesPercentage &&
@ -418,26 +418,16 @@ export class PortfolioCalculator {
const netPerformance =
symbolValues.netPerformanceValuesPercentage?.[dateString] ??
new Big(0);
const timeWeightedPerformanceContribution = previousValue
timeWeightedPerformanceContribution = previousValue
.div(previousTotalInvestmentValue)
.mul(netPerformance)
.mul(100);
timeWeightedPerformance = timeWeightedPerformance.plus(
timeWeightedPerformanceContribution
);
.mul(netPerformance);
}
let totalTimeWeightedPerformance = timeWeightedPerformance.plus(
accumulatedValuesByDate[previousDateString]
?.totalTimeWeightedPerformance ?? new Big(0)
);
accumulatedValuesByDate = this.accumulatedValuesByDate(
valuesBySymbol,
symbol,
dateString,
accumulatedValuesByDate,
totalTimeWeightedPerformance
timeWeightedPerformanceContribution
);
}
@ -453,6 +443,19 @@ export class PortfolioCalculator {
totalNetPerformanceValue
} = accumulatedValuesByDate[dateString];
let totalNetTimeWeightedPerformance = new Big(0);
if (previousDateString) {
totalNetTimeWeightedPerformance = (
accumulatedValuesByDate[previousDateString]
?.totalTimeWeightedPerformance ?? new Big(0)
)
.plus(1)
.mul(totalTimeWeightedPerformance.plus(1))
.minus(1)
.mul(100);
}
const netPerformanceInPercentage = totalTimeWeightedInvestmentValue.eq(0)
? 0
: totalNetPerformanceValue
@ -476,7 +479,7 @@ export class PortfolioCalculator {
totalInvestment: totalInvestmentValue.toNumber(),
value: totalCurrentValue.toNumber(),
valueWithCurrencyEffect: totalCurrentValueWithCurrencyEffect.toNumber(),
timeWeightedPerformance: totalTimeWeightedPerformance.toNumber(),
timeWeightedPerformance: totalNetTimeWeightedPerformance.toNumber(),
investmentValueWithCurrencyEffect:
investmentValueWithCurrencyEffect.toNumber(),
netPerformanceWithCurrencyEffect:
@ -589,7 +592,10 @@ export class PortfolioCalculator {
accumulatedValuesByDate[dateString]
?.totalTimeWeightedInvestmentValueWithCurrencyEffect ?? new Big(0)
).add(timeWeightedInvestmentValueWithCurrencyEffect),
totalTimeWeightedPerformance: timeWeightedPerformance
totalTimeWeightedPerformance: (
accumulatedValuesByDate[dateString]?.totalTimeWeightedPerformance ??
new Big(0)
).add(timeWeightedPerformance)
};
return accumulatedValuesByDate;
@ -1162,78 +1168,55 @@ export class PortfolioCalculator {
symbol: string;
calculatePerformance?: boolean;
}): SymbolMetrics {
const currentExchangeRate = exchangeRates[format(new Date(), DATE_FORMAT)];
const currentValues: WithCurrencyEffect<{ [date: string]: Big }> = {
Value: {},
WithCurrencyEffect: {}
};
let fees: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
let feesAtStartDate: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
let grossPerformance: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
let grossPerformanceAtStartDate: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
let grossPerformanceFromSells: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
let averagePriceAtEndDate = new Big(0);
let averagePriceAtStartDate = new Big(0);
const investmentValues: WithCurrencyEffect<{ [date: string]: Big }> = {
Value: {},
WithCurrencyEffect: {}
};
const maxInvestmentValues: { [date: string]: Big } = {};
let maxTotalInvestment = new Big(0);
const netPerformanceValuesPercentage: { [date: string]: Big } = {};
let initialValue;
let investmentAtStartDate;
const investmentValuesAccumulated: WithCurrencyEffect<{
[date: string]: Big;
}> = {
Value: {},
WithCurrencyEffect: {}
};
let lastAveragePrice: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
const netPerformanceValues: WithCurrencyEffect<{ [date: string]: Big }> = {
Value: {},
WithCurrencyEffect: {}
};
const timeWeightedInvestmentValues: WithCurrencyEffect<{
[date: string]: Big;
}> = {
Value: {},
WithCurrencyEffect: {}
};
let totalInvestment: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
let totalInvestmentWithGrossPerformanceFromSell: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
let {
averagePriceAtStartDate,
totalUnits,
totalInvestment,
investmentAtStartDate,
valueAtStartDate,
maxTotalInvestment,
averagePriceAtEndDate,
initialValue,
fees,
feesAtStartDate,
lastAveragePrice,
grossPerformanceFromSells,
totalInvestmentWithGrossPerformanceFromSell,
grossPerformance,
grossPerformanceAtStartDate,
currentValues,
netPerformanceValues,
netPerformanceValuesPercentage,
investmentValues,
investmentValuesAccumulated,
maxInvestmentValues,
timeWeightedInvestmentValues
}: {
averagePriceAtStartDate: Big;
totalUnits: Big;
totalInvestment: WithCurrencyEffect<Big>;
investmentAtStartDate: any;
valueAtStartDate: WithCurrencyEffect<Big>;
maxTotalInvestment: Big;
averagePriceAtEndDate: Big;
initialValue: any;
fees: WithCurrencyEffect<Big>;
feesAtStartDate: WithCurrencyEffect<Big>;
lastAveragePrice: WithCurrencyEffect<Big>;
grossPerformanceFromSells: WithCurrencyEffect<Big>;
totalInvestmentWithGrossPerformanceFromSell: WithCurrencyEffect<Big>;
grossPerformance: WithCurrencyEffect<Big>;
grossPerformanceAtStartDate: WithCurrencyEffect<Big>;
currentValues: WithCurrencyEffect<{ [date: string]: Big }>;
netPerformanceValues: WithCurrencyEffect<{ [date: string]: Big }>;
netPerformanceValuesPercentage: { [date: string]: Big };
investmentValues: WithCurrencyEffect<{ [date: string]: Big }>;
investmentValuesAccumulated: WithCurrencyEffect<{ [date: string]: Big }>;
maxInvestmentValues: { [date: string]: Big };
timeWeightedInvestmentValues: WithCurrencyEffect<{ [date: string]: Big }>;
} = this.InitializeSymbolMetricValues();
let totalUnits = new Big(0);
let valueAtStartDate: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
const currentExchangeRate = exchangeRates[format(new Date(), DATE_FORMAT)];
// Clone orders to keep the original values in this.orders
let orders: PortfolioOrderItem[] = cloneDeep(this.orders).filter(
@ -1426,6 +1409,104 @@ export class PortfolioCalculator {
};
}
private InitializeSymbolMetricValues() {
const currentValues: WithCurrencyEffect<{ [date: string]: Big }> = {
Value: {},
WithCurrencyEffect: {}
};
let fees: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
let feesAtStartDate: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
let grossPerformance: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
let grossPerformanceAtStartDate: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
let grossPerformanceFromSells: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
let averagePriceAtEndDate = new Big(0);
let averagePriceAtStartDate = new Big(0);
const investmentValues: WithCurrencyEffect<{ [date: string]: Big }> = {
Value: {},
WithCurrencyEffect: {}
};
const maxInvestmentValues: { [date: string]: Big } = {};
let maxTotalInvestment = new Big(0);
const netPerformanceValuesPercentage: { [date: string]: Big } = {};
let initialValue;
let investmentAtStartDate;
const investmentValuesAccumulated: WithCurrencyEffect<{
[date: string]: Big;
}> = {
Value: {},
WithCurrencyEffect: {}
};
let lastAveragePrice: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
const netPerformanceValues: WithCurrencyEffect<{ [date: string]: Big }> = {
Value: {},
WithCurrencyEffect: {}
};
const timeWeightedInvestmentValues: WithCurrencyEffect<{
[date: string]: Big;
}> = {
Value: {},
WithCurrencyEffect: {}
};
let totalInvestment: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
let totalInvestmentWithGrossPerformanceFromSell: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
let totalUnits = new Big(0);
let valueAtStartDate: WithCurrencyEffect<Big> = {
Value: new Big(0),
WithCurrencyEffect: new Big(0)
};
return {
averagePriceAtStartDate,
totalUnits,
totalInvestment,
investmentAtStartDate,
valueAtStartDate,
maxTotalInvestment,
averagePriceAtEndDate,
initialValue,
fees,
feesAtStartDate,
lastAveragePrice,
grossPerformanceFromSells,
totalInvestmentWithGrossPerformanceFromSell,
grossPerformance,
grossPerformanceAtStartDate,
currentValues,
netPerformanceValues,
netPerformanceValuesPercentage,
investmentValues,
investmentValuesAccumulated,
maxInvestmentValues,
timeWeightedInvestmentValues
};
}
@LogPerformance
private calculatePerformanceOfSymbol(
orders: PortfolioOrderItem[],

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