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

Add TWR test scenario 1 (#236) 

* Add TWR test scenario 1

* fix second transaction item

* change time-weighted rate algorithm

Co-authored-by: Valentin Zickner <valentin.zickner@flowable.com>
pull/189/head
Thomas 4 years ago
parent
132994e08d
commit
cc7d5bb632
2 changed files with 116 additions and 18 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. 95
      apps/api/src/app/core/portfolio-calculator.spec.ts
  2. 39
      apps/api/src/app/core/portfolio-calculator.ts

95
apps/api/src/app/core/portfolio-calculator.spec.ts
View File

@ -7,7 +7,7 @@ import { TimelineSpecification } from '@ghostfolio/api/app/core/interfaces/timel
import { TransactionPoint } from '@ghostfolio/api/app/core/interfaces/transaction-point.interface';
import { PortfolioCalculator } from '@ghostfolio/api/app/core/portfolio-calculator';
import { OrderType } from '@ghostfolio/api/models/order-type';
import { DATE_FORMAT, resetHours } from '@ghostfolio/common/helper';
import { DATE_FORMAT, parseDate, resetHours } from '@ghostfolio/common/helper';
import { Currency } from '@prisma/client';
import Big from 'big.js';
import {
@ -35,13 +35,23 @@ function mockGetValue(symbol: string, date: Date) {
}
} else if (symbol === 'AMZN') {
return { marketPrice: 2021.99 };
} else if (symbol === 'MFA') {
if (isSameDay(parseDate('2010-12-31'), date)) {
return { marketPrice: 1 };
} else if (isSameDay(parseDate('2011-08-15'), date)) {
return { marketPrice: 1.162484 }; // 1162484 / 1000000
} else if (isSameDay(parseDate('2011-12-31'), date)) {
return { marketPrice: 1.097884981 }; // 1192328 / 1086022.689344541
}
return { marketPrice: 0 };
} else if (symbol === 'TSLA') {
if (isSameDay(parse('2021-07-26', DATE_FORMAT, new Date()), date)) {
return { marketPrice: 657.62 };
}
if (isSameDay(parse('2021-01-02', DATE_FORMAT, new Date()), date)) {
} else if (isSameDay(parse('2021-01-02', DATE_FORMAT, new Date()), date)) {
return { marketPrice: 666.66 };
}
return { marketPrice: 0 };
} else {
return { marketPrice: 0 };
@ -726,7 +736,7 @@ describe('PortfolioCalculator', () => {
// see next test for details about how to calculate this
grossPerformance: new Big('240.4'),
grossPerformancePercentage: new Big(
'0.349632913145865078264579821060810370805662039085569533288730749607797361322474717934042420125015808'
'0.0883940790487647710162214425767848424215253864940558186258745429269647266073266478435285352186572448'
),
investment: new Big('4460.95'),
marketPrice: 194.86,
@ -781,11 +791,12 @@ describe('PortfolioCalculator', () => {
.mockImplementation(() => new Date(Date.UTC(2020, 9, 24)).getTime()); // 2020-10-24
// 2020-01-01 -> days 334 => value: VTI: 144.38+334*0.08=171.1 => 10*171.10=1711
// 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 10*188.30=1883 => 1883/1711=1.100526008 - 1 = 0.100526008
// 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 10*188.30=1883 => 1883/1711 = 1.100526008
// 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 20*188.30=3766
// 2020-10-24 [today] -> days 631 => value: VTI: 144.38+631*0.08=194.86 => 20*194.86=3897.2 => 3897.2/3766=1.034838024 - 1 = 0.034838024
// cash flow: 2923.7-1443.8=1479.9
// 2020-10-24 [today] -> days 631 => value: VTI: 144.38+631*0.08=194.86 => 20*194.86=3897.2 => 3897.2/(1883+1479.9) = 1.158880728
// gross performance: 1883-1711 + 3897.2-3766 = 303.2
// gross performance percentage: 1.100526008 * 1.034838024 = 1.138866159 => 13.89 %
// gross performance percentage: 1.100526008 * 1.158880728 = 1.275378381 => 27.5378381 %
const currentPositions = await portfolioCalculator.getCurrentPositions(
parse('2020-01-01', DATE_FORMAT, new Date())
@ -805,7 +816,7 @@ describe('PortfolioCalculator', () => {
transactionCount: 2,
grossPerformance: new Big('303.2'),
grossPerformancePercentage: new Big(
'0.1388661601402688486251911721754180022242'
'0.2753783814827239834392742298083677500037'
),
name: 'Vanguard Total Stock Market Index Fund ETF Shares',
currency: 'USD'
@ -813,6 +824,74 @@ describe('PortfolioCalculator', () => {
]
});
});
/**
* Source: https://www.investopedia.com/terms/t/time-weightedror.asp
*/
it('with TWR example from Investopedia: Scenario 1', async () => {
const portfolioCalculator = new PortfolioCalculator(
currentRateService,
Currency.USD
);
portfolioCalculator.setTransactionPoints([
{
date: '2010-12-31',
items: [
{
name: 'Mutual Fund A',
quantity: new Big('1000000'), // 1 million
symbol: 'MFA',
investment: new Big('1000000'), // 1 million
currency: Currency.USD,
firstBuyDate: '2010-12-31',
transactionCount: 1
}
]
},
{
date: '2011-08-15',
items: [
{
name: 'Mutual Fund A',
quantity: new Big('1086022.689344541'), // 1,000,000 + 100,000 / 1.162484
symbol: 'MFA',
investment: new Big('1100000'), // 1,000,000 + 100,000
currency: Currency.USD,
firstBuyDate: '2010-12-31',
transactionCount: 2
}
]
}
]);
const spy = jest
.spyOn(Date, 'now')
.mockImplementation(() => new Date(Date.UTC(2011, 11, 31)).getTime()); // 2011-12-31
const currentPositions = await portfolioCalculator.getCurrentPositions(
parseDate('2010-12-31')
);
spy.mockRestore();
expect(currentPositions).toEqual({
hasErrors: false,
positions: [
{
averagePrice: new Big('1.01287018290924923237'), // 1'100'000 / 1'086'022.689344542
firstBuyDate: '2010-12-31',
quantity: new Big('1086022.689344541'),
symbol: 'MFA',
investment: new Big('1100000'),
marketPrice: 1.097884981,
transactionCount: 2,
grossPerformance: new Big('92327.999656600898394721'), // 1'192'328 - 1'100'000 = 92'328
grossPerformancePercentage: new Big('0.09788498099999947808927632'), // 9.79 %
name: 'Mutual Fund A',
currency: 'USD'
}
]
});
});
});
describe('calculate timeline', () => {

39
apps/api/src/app/core/portfolio-calculator.ts
View File

@ -195,6 +195,8 @@ export class PortfolioCalculator {
firstIndex--;
}
const invalidSymbols = [];
const lastInvestments: { [symbol: string]: Big } = {};
const lastQuantities: { [symbol: string]: Big } = {};
for (let i = firstIndex; i < this.transactionPoints.length; i++) {
const currentDate =
i === firstIndex ? startString : this.transactionPoints[i].date;
@ -217,11 +219,21 @@ export class PortfolioCalculator {
);
continue;
}
let currentValue = marketSymbolMap[currentDate]?.[item.symbol];
let lastInvestment: Big = new Big(0);
let lastQuantity: Big = item.quantity;
if (lastInvestments[item.symbol] && lastQuantities[item.symbol]) {
lastInvestment = item.investment.minus(lastInvestments[item.symbol]);
lastQuantity = lastQuantities[item.symbol];
}
const itemValue = marketSymbolMap[currentDate]?.[item.symbol];
let initialValue = itemValue?.mul(lastQuantity);
let investedValue = itemValue?.mul(item.quantity);
if (!isAfter(parseDate(currentDate), parseDate(item.firstBuyDate))) {
currentValue = item.investment.div(item.quantity);
initialValue = item.investment;
investedValue = item.investment;
}
if (!currentValue) {
if (!initialValue) {
invalidSymbols.push(item.symbol);
hasErrors = true;
console.error(
@ -229,18 +241,25 @@ export class PortfolioCalculator {
);
continue;
}
holdingPeriodReturns[item.symbol] = oldHoldingPeriodReturn.mul(
marketSymbolMap[nextDate][item.symbol].div(currentValue)
const cashFlow = lastInvestment;
const endValue = marketSymbolMap[nextDate][item.symbol].mul(
item.quantity
);
const holdingPeriodReturn = endValue.div(initialValue.plus(cashFlow));
holdingPeriodReturns[item.symbol] =
oldHoldingPeriodReturn.mul(holdingPeriodReturn);
let oldGrossPerformance = grossPerformance[item.symbol];
if (!oldGrossPerformance) {
oldGrossPerformance = new Big(0);
}
grossPerformance[item.symbol] = oldGrossPerformance.plus(
marketSymbolMap[nextDate][item.symbol]
.minus(currentValue)
.mul(item.quantity)
);
const currentPerformance = endValue.minus(investedValue);
grossPerformance[item.symbol] =
oldGrossPerformance.plus(currentPerformance);
lastInvestments[item.symbol] = item.investment;
lastQuantities[item.symbol] = item.quantity;
}
}

Write Preview
Loading…
Cancel
Save