@ -1,8 +1,10 @@
import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator' ; import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator' ;
import { AccumulatedValues } from '@ghostfolio/api/app/portfolio/interfaces/accumulated-values.interface' ; 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 { HoldingPerformance } from '@ghostfolio/api/app/portfolio/interfaces/holding-performance.interface' ;
import { PortfolioCalculatorActivityItem } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-calculator-activity-item.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 { 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 { PerformancePercentages } from '@ghostfolio/api/app/portfolio/types/performance-percentages.type' ;
import { import {
getAnnualizedPerformancePercent , getAnnualizedPerformancePercent ,
@ -29,6 +31,7 @@ import {
isBefore , isBefore ,
isThisYear isThisYear
} from 'date-fns' ; } from 'date-fns' ;
import { sortedIndex } from 'lodash-es' ;
export class RoaiPortfolioCalculator extends PortfolioCalculator { export class RoaiPortfolioCalculator extends PortfolioCalculator {
protected calculateOverallPerformance ( protected calculateOverallPerformance (
@ -209,77 +212,60 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
} : { } : {
historicalDataItems : HistoricalDataItem [ ] ; historicalDataItems : HistoricalDataItem [ ] ;
} ) : { [ date : string ] : PerformancePercentages } { } ) : { [ 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 : { const performancePercentagesByDate : {
[ date : string ] : PerformancePercentages ; [ date : string ] : PerformancePercentages ;
} = { } ; } = { } ;
for ( const [ index , historicalDataItem ] of historicalDataItems . entries ( ) ) { if ( historicalDataItems . length === 0 ) {
const date = parseDate ( historicalDataItem . date ) ; return performancePercentagesByDate ;
}
// 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 ] ;
const daysSincePreviousChartDate = differenceInDays ( date , previousDate ) ; const parsedDates = historicalDataItems . map ( ( { date } ) = > {
return parseDate ( date ) ;
} ) ;
if ( previousHistoricalDataItem . totalInvestment > 0 ) { const daysUntilNextItem = parsedDates . slice ( 1 ) . map ( ( nextDate , index ) = > {
sumOfWeightedInvestments += return differenceInDays ( nextDate , parsedDates [ index ] ) ;
( previousHistoricalDataItem . totalInvestment + } ) ;
grossPerformanceAtStartDate ) *
daysSincePreviousChartDate ;
totalInvestmentDays += daysSincePreviousChartDate ; // Take the values at the start date from the first day of the date range
} const [ firstHistoricalDataItem ] = historicalDataItems ;
if ( const weightedInvestments = this . getWeightedInvestments ( {
previousHistoricalDataItem . totalInvestmentValueWithCurrencyEffect > 0 grossPerformanceAtStartDate : new Big ( firstHistoricalDataItem . value ) . minus (
) { firstHistoricalDataItem . totalInvestment
sumOfWeightedInvestmentsWithCurrencyEffect += ) ,
( previousHistoricalDataItem . totalInvestmentValueWithCurrencyEffect + items : historicalDataItems.map ( ( { totalInvestment } , index ) = > {
grossPerformanceWithCurrencyEffectAtStartDate ) * return {
daysSincePreviousChartDate ; 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 = const averageInvestmentValueWithCurrencyEffect =
this . getAverageInvestment ( { this . getAverageInvestment (
grossPerformanceAtStartDate : weightedInvestmentsWithCurrencyEffect [ index ]
grossPerformanceWithCurrencyEffectAtStartDate , ) . toNumber ( ) ;
investment : historicalDataItem.totalInvestmentValueWithCurrencyEffect ,
sumOfWeightedInvestments : sumOfWeightedInvestmentsWithCurrencyEffect ,
totalInvestmentDays : totalInvestmentDaysWithCurrencyEffect
} ) ;
performancePercentagesByDate [ historicalDataItem . date ] = { performancePercentagesByDate [ historicalDataItem . date ] = {
dividendInPercentageWithCurrencyEffect : dividendInPercentageWithCurrencyEffect :
@ -297,8 +283,6 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
averageInvestmentValueWithCurrencyEffect averageInvestmentValueWithCurrencyEffect
: 0 : 0
} ; } ;
previousDate = date ;
} }
return performancePercentagesByDate ; return performancePercentagesByDate ;
@ -657,46 +641,35 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
investmentValuesAccumulatedAtStartDateWithCurrencyEffect investmentValuesAccumulatedAtStartDateWithCurrencyEffect
) ; ) ;
let average = new Big ( 0 ) ; const averageInvestmentItems : AverageInvestmentItem [ ] = [ ] ;
let dayCount = 0 ;
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 ] ; const date = chartDates [ i ] ;
if ( date > rangeEndDateString ) { if ( date > rangeEndDateString ) {
continue ;
} else if ( date < rangeStartDateString ) {
break ; break ;
} }
const isLastChartDateOfRange = averageInvestmentItems . push ( {
i === chartDates . length - 1 || chartDates [ i + 1 ] > rangeEndDateString ; daysUntilNextItem : daysUntilNextChartDate [ i ] ,
investment :
// The chart dates are not evenly spaced, and the investment changes
investmentValuesAccumulatedWithCurrencyEffect [ date ] ? ? new Big ( 0 )
// 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 ;
}
} }
if ( dayCount > 0 ) { const weightedInvestment = this . getWeightedInvestments ( {
average = average . div ( dayCount ) ; grossPerformanceAtStartDate :
} grossPerformanceAtDateRangeStartWithCurrencyEffect ,
items : averageInvestmentItems
} ) . at ( - 1 ) ;
const average = weightedInvestment
? this . getAverageInvestment ( weightedInvestment )
: new Big ( 0 ) ;
netPerformanceWithCurrencyEffectMap [ dateRange ] = netPerformanceWithCurrencyEffectMap [ dateRange ] =
netPerformanceValuesWithCurrencyEffect [ rangeEndDateString ] ? . minus ( netPerformanceValuesWithCurrencyEffect [ rangeEndDateString ] ? . minus (
@ -797,23 +770,64 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
investment , investment ,
sumOfWeightedInvestments , sumOfWeightedInvestments ,
totalInvestmentDays 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 ; grossPerformanceAtStartDate : Big ;
investment : number ; items : AverageInvestmentItem [ ] ;
sumOfWeightedInvestments : number ;
totalInvestmentDays : number ;
} ) { } ) {
// The investment of the current chart date counts for this day only
const weightedInvestments : WeightedInvestment [ ] = [ ] ;
if ( investment > 0 ) {
return ( let sumOfWeightedInvestments = new Big ( 0 ) ;
( sumOfWeightedInvestments + let totalInvestmentDays = 0 ;
( investment + grossPerformanceAtStartDate ) ) /
( totalInvestmentDays + 1 ) 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 weightedInvestments . push ( {
? sumOfWeightedInvestments / totalInvestmentDays grossPerformanceAtStartDate ,
: 0 ; investment ,
sumOfWeightedInvestments ,
totalInvestmentDays
} ) ;
}
return weightedInvestments ;
} }
} }
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Thomas Kaul
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Eren Emre Arik