Reverted Portfolio-Calc

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

@@ -16,7 +16,6 @@ import {
   addMilliseconds,
   addMonths,
   addYears,
-  differenceInDays,
   endOfDay,
   format,
   isAfter,
@@ -45,7 +44,7 @@ import { TransactionPointSymbol } from './interfaces/transaction-point-symbol.in
 import { TransactionPoint } from './interfaces/transaction-point.interface';
 
 export class PortfolioCalculator {
-  private static readonly CALCULATE_PERCENTAGE_PERFORMANCE_WITH_TIME_WEIGHTED_INVESTMENT =
+  private static readonly CALCULATE_PERCENTAGE_PERFORMANCE_WITH_MAX_INVESTMENT =
     true;
 
   private static readonly ENABLE_LOGGING = false;
@@ -622,6 +621,7 @@ export class PortfolioCalculator {
     if (firstIndex > 0) {
       firstIndex--;
     }
+    const initialValues: { [symbol: string]: Big } = {};
 
     const positions: TimelinePosition[] = [];
     let hasAnySymbolMetricsErrors = false;
@@ -635,9 +635,9 @@ export class PortfolioCalculator {
         grossPerformance,
         grossPerformancePercentage,
         hasErrors,
+        initialValue,
         netPerformance,
-        netPerformancePercentage,
-        timeWeightedInvestment
+        netPerformancePercentage
       } = this.getSymbolMetrics({
         end,
         marketSymbolMap,
@@ -646,9 +646,9 @@ export class PortfolioCalculator {
       });
 
       hasAnySymbolMetricsErrors = hasAnySymbolMetricsErrors || hasErrors;
+      initialValues[item.symbol] = initialValue;
 
       positions.push({
-        timeWeightedInvestment,
         averagePrice: item.quantity.eq(0)
           ? new Big(0)
           : item.investment.div(item.quantity),
@@ -683,7 +683,7 @@ export class PortfolioCalculator {
       }
     }
 
-    const overall = this.calculateOverallPerformance(positions);
+    const overall = this.calculateOverallPerformance(positions, initialValues);
 
     return {
       ...overall,
@@ -906,13 +906,18 @@ export class PortfolioCalculator {
     };
   }
 
-  private calculateOverallPerformance(positions: TimelinePosition[]) {
+  private calculateOverallPerformance(
+    positions: TimelinePosition[],
+    initialValues: { [symbol: string]: Big }
+  ) {
     let currentValue = new Big(0);
     let grossPerformance = new Big(0);
+    let grossPerformancePercentage = new Big(0);
     let hasErrors = false;
     let netPerformance = new Big(0);
+    let netPerformancePercentage = new Big(0);
+    let sumOfWeights = new Big(0);
     let totalInvestment = new Big(0);
-    let totalTimeWeightedInvestment = new Big(0);
 
     for (const currentPosition of positions) {
       if (currentPosition.marketPrice) {
@@ -960,18 +965,22 @@ export class PortfolioCalculator {
       }
     }
 
+    if (sumOfWeights.gt(0)) {
+      grossPerformancePercentage = grossPerformancePercentage.div(sumOfWeights);
+      netPerformancePercentage = netPerformancePercentage.div(sumOfWeights);
+    } else {
+      grossPerformancePercentage = new Big(0);
+      netPerformancePercentage = new Big(0);
+    }
+
     return {
       currentValue,
       grossPerformance,
+      grossPerformancePercentage,
       hasErrors,
       netPerformance,
-      totalInvestment,
-      netPerformancePercentage: totalTimeWeightedInvestment.eq(0)
-        ? new Big(0)
-        : netPerformance.div(totalTimeWeightedInvestment),
-      grossPerformancePercentage: totalTimeWeightedInvestment.eq(0)
-        ? new Big(0)
-        : grossPerformance.div(totalTimeWeightedInvestment)
+      netPerformancePercentage,
+      totalInvestment
     };
   }
 
@@ -1185,7 +1194,6 @@ export class PortfolioCalculator {
 
     let averagePriceAtEndDate = new Big(0);
     let averagePriceAtStartDate = new Big(0);
-    const currentValues: { [date: string]: Big } = {};
     let feesAtStartDate = new Big(0);
     let fees = new Big(0);
     let grossPerformance = new Big(0);
@@ -1193,6 +1201,7 @@ export class PortfolioCalculator {
     let grossPerformanceFromSells = new Big(0);
     let initialValue: Big;
     let investmentAtStartDate: Big;
+    const currentValues: { [date: string]: Big } = {};
     const investmentValues: { [date: string]: Big } = {};
     const maxInvestmentValues: { [date: string]: Big } = {};
     let lastAveragePrice = new Big(0);
@@ -1240,9 +1249,6 @@ export class PortfolioCalculator {
       return order.itemType === 'end';
     });
 
-    let totalInvestmentDays = 0;
-    let sumOfTimeWeightedInvestments = new Big(0);
-
     return this.calculatePerformanceOfSymbol(
       orders,
       indexOfStartOrder,
@@ -1974,9 +1980,6 @@ export class PortfolioCalculator {
           2
         )} -> ${averagePriceAtEndDate.toFixed(2)}
         Total investment: ${totalInvestment.toFixed(2)}
-        Time weighted investment: ${timeWeightedAverageInvestmentBetweenStartAndEndDate.toFixed(
-          2
-        )}
         Max. total investment: ${maxTotalInvestment.toFixed(2)}
         Gross performance: ${totalGrossPerformance.toFixed(
           2

libs/common/src/lib/interfaces/timeline-position.interface.ts

@@ -16,6 +16,5 @@ export interface TimelinePosition {
   quantity: Big;
   symbol: string;
   tags?: Tag[];
-  timeWeightedInvestment: Big;
   transactionCount: number;
 }