Fix time weighted average investment in ROAI calculator

1 week ago · a95f9c1aa5
4 changed files with 134 additions and 44 deletions
--- 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
@ -162,7 +162,7 @@ describe('PortfolioCalculator', () => {
            netPerformancePercentage: new Big('42.41978276196153750666'),
            netPerformancePercentageWithCurrencyEffectMap: {
              '1d': new Big('-0.04016229506406263535'),
-              max: new Big('41.72313811883729606471'),
+              max: new Big('41.65910103572163194783'),
              ytd: new Big('-0.04016229506406263535')
            },
            netPerformanceWithCurrencyEffectMap: {
@ -261,8 +261,8 @@ describe('PortfolioCalculator', () => {
        max: {
          date: '2018-01-01',
          netPerformance: 26458.9121202,
-          netPerformanceInPercentage: 42.50435329547954,
-          netPerformanceInPercentageWithCurrencyEffect: 41.72313811883715,
+          netPerformanceInPercentage: 42.43911719562077,
+          netPerformanceInPercentageWithCurrencyEffect: 41.65910103572173,
          netPerformanceWithCurrencyEffect: 26516.2087014,
          totalInvestmentValueWithCurrencyEffect: 318.54266729999995,
          valueWithCurrencyEffect: 13298.425356
@ -278,5 +278,55 @@ describe('PortfolioCalculator', () => {
        }
      });
    });
+
+    it.only('with BTCUSD buy and sell partially and fewer chart items', async () => {
+      jest.useFakeTimers().setSystemTime(parseDate('2018-01-01').getTime());
+
+      const environmentConfigurationService = new ConfigurationService();
+
+      // Fewer chart items give fewer chart dates, which must not change the
+      // average investment
+      jest.spyOn(configurationService, 'get').mockImplementation((key) => {
+        return key === 'MAX_CHART_ITEMS'
+          ? 50
+          : environmentConfigurationService.get(key);
+      });
+
+      const { activities, userCurrency } = loadActivitiesFromExportFile(
+        'btcusd-buy-and-sell-partially.json'
+      );
+
+      const portfolioCalculator = portfolioCalculatorFactory.createCalculator({
+        activities,
+        calculationType: PerformanceCalculationType.ROAI,
+        currency: userCurrency,
+        usePortfolioSnapshotCache: false,
+        userId: userDummyData.id
+      });
+
+      const portfolioSnapshot = await portfolioCalculator.computeSnapshot();
+
+      const performanceByDateRange = await getPerformanceByDateRange({
+        portfolioCalculator,
+        dateRanges: ['max']
+      });
+
+      expect(
+        portfolioSnapshot.positions[0]
+          .netPerformancePercentageWithCurrencyEffectMap
+      ).toMatchObject({
+        max: new Big('41.65910103572163194783')
+      });
+
+      // Other weights give another rounding of the floating point numbers
+      expect(performanceByDateRange.max.netPerformanceInPercentage).toBeCloseTo(
+        42.43911719562077,
+        10
+      );
+
+      expect(
+        performanceByDateRange.max.netPerformanceInPercentageWithCurrencyEffect
+      ).toBeCloseTo(41.65910103572173, 10);
+    });
  });
 });
--- a/apps/api/src/app/portfolio/calculator/roai/portfolio-calculator-googl-fee-and-dividend.spec.ts
+++ b/apps/api/src/app/portfolio/calculator/roai/portfolio-calculator-googl-fee-and-dividend.spec.ts
@ -190,9 +190,9 @@ describe('PortfolioCalculator', () => {
      expect(performanceByDateRange).toMatchObject({
        max: {
          dividendInBaseCurrency: 5.62,
-          dividendInPercentageWithCurrencyEffect: 0.01882242615044535,
+          dividendInPercentageWithCurrencyEffect: 0.01882242615044543,
          netPerformance: 18.87,
-          netPerformanceInPercentage: 0.06319914260834586
+          netPerformanceInPercentage: 0.06319914260834614
        }
      });
    });
@ -282,9 +282,9 @@ describe('PortfolioCalculator', () => {
      expect(performanceByDateRange).toMatchObject({
        max: {
          dividendInBaseCurrency: 5.62,
-          dividendInPercentageWithCurrencyEffect: 0.01882242615044535,
+          dividendInPercentageWithCurrencyEffect: 0.01882242615044543,
          netPerformance: 19.87,
-          netPerformanceInPercentage: 0.06654832875611194
+          netPerformanceInPercentage: 0.06654832875611222
        }
      });
    });
@ -373,9 +373,9 @@ describe('PortfolioCalculator', () => {
      expect(performanceByDateRange).toMatchObject({
        max: {
          dividendInBaseCurrency: 0.62,
-          dividendInPercentageWithCurrencyEffect: 0.002076495411614967,
+          dividendInPercentageWithCurrencyEffect: 0.002076495411614976,
          netPerformance: 14.87,
-          netPerformanceInPercentage: 0.049802398017281556
+          netPerformanceInPercentage: 0.049802398017281764
        }
      });
    });
@ -458,11 +458,11 @@ describe('PortfolioCalculator', () => {
        },
        max: {
          dividendInBaseCurrency: 1.3,
-          dividendInPercentageWithCurrencyEffect: 0.004353941992095899
+          dividendInPercentageWithCurrencyEffect: 0.004353941992095918
        },
        ytd: {
          dividendInBaseCurrency: 0.68,
-          dividendInPercentageWithCurrencyEffect: 0.002002886512915673
+          dividendInPercentageWithCurrencyEffect: 0.002002886512915671
        }
      });
    });
--- a/apps/api/src/app/portfolio/calculator/roai/portfolio-calculator-msft-buy-with-dividend.spec.ts
+++ b/apps/api/src/app/portfolio/calculator/roai/portfolio-calculator-msft-buy-with-dividend.spec.ts
@ -177,10 +177,10 @@ describe('PortfolioCalculator', () => {
        max: {
          date: '2023-07-10',
          dividendInBaseCurrency: 0.62,
-          dividendInPercentageWithCurrencyEffect: 0.002076495411614967,
+          dividendInPercentageWithCurrencyEffect: 0.002076495411614976,
          netPerformance: 14.87,
-          netPerformanceInPercentage: 0.049802398017281556,
-          netPerformanceInPercentageWithCurrencyEffect: 0.049802398017281556,
+          netPerformanceInPercentage: 0.049802398017281764,
+          netPerformanceInPercentageWithCurrencyEffect: 0.049802398017281764,
          netPerformanceWithCurrencyEffect: 14.87,
          totalInvestmentValueWithCurrencyEffect: 298.58,
          valueWithCurrencyEffect: 331.83
@ -190,8 +190,8 @@ describe('PortfolioCalculator', () => {
          dividendInBaseCurrency: 0,
          dividendInPercentageWithCurrencyEffect: 0,
          netPerformance: -7.6800000000000015,
-          netPerformanceInPercentage: -0.022620835910577015,
-          netPerformanceInPercentageWithCurrencyEffect: -0.022620835910577015,
+          netPerformanceInPercentage: -0.022620835910576995,
+          netPerformanceInPercentageWithCurrencyEffect: -0.022620835910576995,
          netPerformanceWithCurrencyEffect: -7.6800000000000015,
          totalInvestmentValueWithCurrencyEffect: 298.58,
          valueWithCurrencyEffect: 331.83
--- a/apps/api/src/app/portfolio/calculator/roai/portfolio-calculator.ts
+++ b/apps/api/src/app/portfolio/calculator/roai/portfolio-calculator.ts
@ -29,7 +29,6 @@ import {
  isBefore,
  isThisYear
 } from 'date-fns';
-import { sum } from 'lodash-es';

 export class RoaiPortfolioCalculator extends PortfolioCalculator {
  protected calculateOverallPerformance(
@ -210,10 +209,12 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
  }: {
    historicalDataItems: HistoricalDataItem[];
  }): { [date: string]: PerformancePercentages } {
-    const averageInvestmentValues: number[] = [];
-    const averageInvestmentValuesWithCurrencyEffect: number[] = [];
    let grossPerformanceAtStartDate: number;
    let grossPerformanceWithCurrencyEffectAtStartDate: number;
+    let sumOfWeightedInvestments = 0;
+    let sumOfWeightedInvestmentsWithCurrencyEffect = 0;
+    let totalInvestmentDays = 0;
+    let totalInvestmentDaysWithCurrencyEffect = 0;

    const performancePercentagesByDate: {
      [date: string]: PerformancePercentages;
@ -229,34 +230,62 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
        grossPerformanceWithCurrencyEffectAtStartDate =
          historicalDataItem.valueWithCurrencyEffect -
          historicalDataItem.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.
-      if (historicalDataItem.totalInvestment > 0) {
-        averageInvestmentValues.push(
-          historicalDataItem.totalInvestment + grossPerformanceAtStartDate
+      } 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];
+
+        const daysSincePreviousChartDate = differenceInDays(
+          parseDate(historicalDataItem.date),
+          parseDate(previousHistoricalDataItem.date)
        );
-      }

-      if (historicalDataItem.totalInvestmentValueWithCurrencyEffect > 0) {
-        averageInvestmentValuesWithCurrencyEffect.push(
-          historicalDataItem.totalInvestmentValueWithCurrencyEffect +
-            grossPerformanceWithCurrencyEffectAtStartDate
-        );
+        if (previousHistoricalDataItem.totalInvestment > 0) {
+          sumOfWeightedInvestments +=
+            (previousHistoricalDataItem.totalInvestment +
+              grossPerformanceAtStartDate) *
+            daysSincePreviousChartDate;
+
+          totalInvestmentDays += daysSincePreviousChartDate;
+        }
+
+        if (
+          previousHistoricalDataItem.totalInvestmentValueWithCurrencyEffect > 0
+        ) {
+          sumOfWeightedInvestmentsWithCurrencyEffect +=
+            (previousHistoricalDataItem.totalInvestmentValueWithCurrencyEffect +
+              grossPerformanceWithCurrencyEffectAtStartDate) *
+            daysSincePreviousChartDate;
+
+          totalInvestmentDaysWithCurrencyEffect += daysSincePreviousChartDate;
+        }
      }

+      // 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 =
-        averageInvestmentValues.length > 0
-          ? sum(averageInvestmentValues) / averageInvestmentValues.length
-          : 0;
+        historicalDataItem.totalInvestment > 0
+          ? (sumOfWeightedInvestments +
+              (historicalDataItem.totalInvestment +
+                grossPerformanceAtStartDate)) /
+            (totalInvestmentDays + 1)
+          : totalInvestmentDays > 0
+            ? sumOfWeightedInvestments / totalInvestmentDays
+            : 0;

      const averageInvestmentValueWithCurrencyEffect =
-        averageInvestmentValuesWithCurrencyEffect.length > 0
-          ? sum(averageInvestmentValuesWithCurrencyEffect) /
-            averageInvestmentValuesWithCurrencyEffect.length
-          : 0;
+        historicalDataItem.totalInvestmentValueWithCurrencyEffect > 0
+          ? (sumOfWeightedInvestmentsWithCurrencyEffect +
+              (historicalDataItem.totalInvestmentValueWithCurrencyEffect +
+                grossPerformanceWithCurrencyEffectAtStartDate)) /
+            (totalInvestmentDaysWithCurrencyEffect + 1)
+          : totalInvestmentDaysWithCurrencyEffect > 0
+            ? sumOfWeightedInvestmentsWithCurrencyEffect /
+              totalInvestmentDaysWithCurrencyEffect
+            : 0;

      performancePercentagesByDate[historicalDataItem.date] = {
        dividendInPercentageWithCurrencyEffect:
@ -632,6 +661,7 @@ 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];
@ -642,17 +672,27 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
          break;
        }

+        // 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;
+
        if (
          investmentValuesAccumulatedWithCurrencyEffect[date] instanceof Big &&
          investmentValuesAccumulatedWithCurrencyEffect[date].gt(0)
        ) {
          average = average.add(
-            investmentValuesAccumulatedWithCurrencyEffect[date].add(
-              grossPerformanceAtDateRangeStartWithCurrencyEffect
-            )
+            investmentValuesAccumulatedWithCurrencyEffect[date]
+              .add(grossPerformanceAtDateRangeStartWithCurrencyEffect)
+              .mul(daysUntilNextChartDate)
          );

-          dayCount++;
+          dayCount += daysUntilNextChartDate;
        }
      }