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Feature/fix twr performance (#679)

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* Fix TWR performance

Co-authored-by: Reto Kaul <retokaul@sublimd.com>
This commit is contained in:
gizmodus 2022-02-06 16:54:14 +01:00 committed by GitHub
parent 8d2fcc6b42
commit 9b5ec0c56d
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GPG Key ID: 4AEE18F83AFDEB23
1 changed files with 43 additions and 34 deletions
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77
apps/api/src/app/portfolio/portfolio-calculator-new.ts
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@ -337,8 +337,8 @@ export class PortfolioCalculatorNew {
let grossPerformanceFromSells = new Big(0);
let initialValue: Big;
let lastAveragePrice = new Big(0);
let lastValueOfInvestment = new Big(0);
let lastNetValueOfInvestment = new Big(0);
let lastTransactionInvestment = new Big(0);
let lastValueOfInvestmentBeforeTransaction = new Big(0);
let timeWeightedGrossPerformancePercentage = new Big(1);
let timeWeightedNetPerformancePercentage = new Big(1);
let totalInvestment = new Big(0);
@ -394,7 +394,13 @@ export class PortfolioCalculatorNew {
for (let i = 0; i < orders.length; i += 1) {
const order = orders[i];
const transactionInvestment = order.quantity.mul(order.unitPrice);
const valueOfInvestmentBeforeTransaction = totalUnits.mul(
order.unitPrice
);
const transactionInvestment = order.quantity
.mul(order.unitPrice)
.mul(this.getFactor(order.type));
if (
!initialValue &&
@ -411,7 +417,6 @@ export class PortfolioCalculatorNew {
);
const valueOfInvestment = totalUnits.mul(order.unitPrice);
const netValueOfInvestment = totalUnits.mul(order.unitPrice).sub(fees);
const grossPerformanceFromSell =
order.type === TypeOfOrder.SELL
@ -423,7 +428,7 @@ export class PortfolioCalculatorNew {
);
totalInvestment = totalInvestment
.plus(transactionInvestment.mul(this.getFactor(order.type)))
.plus(transactionInvestment)
.plus(grossPerformanceFromSell);
lastAveragePrice = totalUnits.eq(0)
@ -436,48 +441,52 @@ export class PortfolioCalculatorNew {
if (
i > indexOfStartOrder &&
!lastValueOfInvestment
.plus(transactionInvestment.mul(this.getFactor(order.type)))
!lastValueOfInvestmentBeforeTransaction
.plus(lastTransactionInvestment)
.eq(0)
) {
const grossHoldingPeriodReturn = valueOfInvestmentBeforeTransaction
.sub(
lastValueOfInvestmentBeforeTransaction.plus(
lastTransactionInvestment
)
)
.div(
lastValueOfInvestmentBeforeTransaction.plus(
lastTransactionInvestment
)
);
timeWeightedGrossPerformancePercentage =
timeWeightedGrossPerformancePercentage.mul(
new Big(1).plus(
valueOfInvestment
.minus(
lastValueOfInvestment.plus(
transactionInvestment.mul(this.getFactor(order.type))
)
)
.div(
lastValueOfInvestment.plus(
transactionInvestment.mul(this.getFactor(order.type))
)
)
new Big(1).plus(grossHoldingPeriodReturn)
);
const netHoldingPeriodReturn = valueOfInvestmentBeforeTransaction
.sub(fees.sub(order.fee))
.sub(
lastValueOfInvestmentBeforeTransaction.plus(
lastTransactionInvestment
)
)
.div(
lastValueOfInvestmentBeforeTransaction.plus(
lastTransactionInvestment
)
);
timeWeightedNetPerformancePercentage =
timeWeightedNetPerformancePercentage.mul(
new Big(1).plus(
netValueOfInvestment
.minus(
lastNetValueOfInvestment.plus(
transactionInvestment.mul(this.getFactor(order.type))
)
)
.div(
lastNetValueOfInvestment.plus(
transactionInvestment.mul(this.getFactor(order.type))
)
)
)
new Big(1).plus(netHoldingPeriodReturn)
);
}
grossPerformance = newGrossPerformance;
lastNetValueOfInvestment = netValueOfInvestment;
lastValueOfInvestment = valueOfInvestment;
lastTransactionInvestment = transactionInvestment;
lastValueOfInvestmentBeforeTransaction =
valueOfInvestmentBeforeTransaction;
if (order.itemType === 'start') {
feesAtStartDate = fees;