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Feature/refactor getAnnualizedPerformancePercent to portfolio calculator (#3226)

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* Move getAnnualizedPerformancePercent() to portfolio calculator
This commit is contained in:
Thomas Kaul 2024-04-01 10:42:15 +02:00 committed by GitHub
parent b8533050b0
commit d7b579e3e8
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GPG Key ID: B5690EEEBB952194
4 changed files with 112 additions and 111 deletions
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19
apps/api/src/app/portfolio/calculator/portfolio-calculator.ts
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@ -29,7 +29,7 @@ import {
max,
subDays
} from 'date-fns';
import { isNumber, last, uniq } from 'lodash';
import { last, uniq } from 'lodash';
export abstract class PortfolioCalculator {
protected static readonly ENABLE_LOGGING = false;
@ -80,23 +80,6 @@ export abstract class PortfolioCalculator {
positions: TimelinePosition[]
): CurrentPositions;
public getAnnualizedPerformancePercent({
daysInMarket,
netPerformancePercent
}: {
daysInMarket: number;
netPerformancePercent: Big;
}): Big {
if (isNumber(daysInMarket) && daysInMarket > 0) {
const exponent = new Big(365).div(daysInMarket).toNumber();
return new Big(
Math.pow(netPerformancePercent.plus(1).toNumber(), exponent)
).minus(1);
}
return new Big(0);
}
public async getChartData({
end = new Date(Date.now()),
start,

68
apps/api/src/app/portfolio/calculator/twr/portfolio-calculator.spec.ts
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@ -1,12 +1,7 @@
import {
PerformanceCalculationType,
PortfolioCalculatorFactory
} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator.factory';
import { PortfolioCalculatorFactory } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator.factory';
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
import { Big } from 'big.js';
describe('PortfolioCalculator', () => {
let currentRateService: CurrentRateService;
let exchangeRateDataService: ExchangeRateDataService;
@ -28,64 +23,5 @@ describe('PortfolioCalculator', () => {
);
});
describe('annualized performance percentage', () => {
it('Get annualized performance', async () => {
const portfolioCalculator = factory.createCalculator({
activities: [],
calculationType: PerformanceCalculationType.TWR,
currency: 'CHF'
});
expect(
portfolioCalculator
.getAnnualizedPerformancePercent({
daysInMarket: NaN, // differenceInDays of date-fns returns NaN for the same day
netPerformancePercent: new Big(0)
})
.toNumber()
).toEqual(0);
expect(
portfolioCalculator
.getAnnualizedPerformancePercent({
daysInMarket: 0,
netPerformancePercent: new Big(0)
})
.toNumber()
).toEqual(0);
/**
* Source: https://www.readyratios.com/reference/analysis/annualized_rate.html
*/
expect(
portfolioCalculator
.getAnnualizedPerformancePercent({
daysInMarket: 65, // < 1 year
netPerformancePercent: new Big(0.1025)
})
.toNumber()
).toBeCloseTo(0.729705);
expect(
portfolioCalculator
.getAnnualizedPerformancePercent({
daysInMarket: 365, // 1 year
netPerformancePercent: new Big(0.05)
})
.toNumber()
).toBeCloseTo(0.05);
/**
* Source: https://www.investopedia.com/terms/a/annualized-total-return.asp#annualized-return-formula-and-calculation
*/
expect(
portfolioCalculator
.getAnnualizedPerformancePercent({
daysInMarket: 575, // > 1 year
netPerformancePercent: new Big(0.2374)
})
.toNumber()
).toBeCloseTo(0.145);
});
});
test.skip('Skip empty test', () => 1);
});

78
apps/api/src/app/portfolio/portfolio.service.spec.ts Normal file
View File

@ -0,0 +1,78 @@
import { Big } from 'big.js';
import { PortfolioService } from './portfolio.service';
describe('PortfolioService', () => {
let portfolioService: PortfolioService;
beforeAll(async () => {
portfolioService = new PortfolioService(
null,
null,
null,
null,
null,
null,
null,
null,
null,
null,
null
);
});
describe('annualized performance percentage', () => {
it('Get annualized performance', async () => {
expect(
portfolioService
.getAnnualizedPerformancePercent({
daysInMarket: NaN, // differenceInDays of date-fns returns NaN for the same day
netPerformancePercent: new Big(0)
})
.toNumber()
).toEqual(0);
expect(
portfolioService
.getAnnualizedPerformancePercent({
daysInMarket: 0,
netPerformancePercent: new Big(0)
})
.toNumber()
).toEqual(0);
/**
* Source: https://www.readyratios.com/reference/analysis/annualized_rate.html
*/
expect(
portfolioService
.getAnnualizedPerformancePercent({
daysInMarket: 65, // < 1 year
netPerformancePercent: new Big(0.1025)
})
.toNumber()
).toBeCloseTo(0.729705);
expect(
portfolioService
.getAnnualizedPerformancePercent({
daysInMarket: 365, // 1 year
netPerformancePercent: new Big(0.05)
})
.toNumber()
).toBeCloseTo(0.05);
/**
* Source: https://www.investopedia.com/terms/a/annualized-total-return.asp#annualized-return-formula-and-calculation
*/
expect(
portfolioService
.getAnnualizedPerformancePercent({
daysInMarket: 575, // > 1 year
netPerformancePercent: new Big(0.2374)
})
.toNumber()
).toBeCloseTo(0.145);
});
});
});

58
apps/api/src/app/portfolio/portfolio.service.ts
View File

@ -78,7 +78,7 @@ import {
parseISO,
set
} from 'date-fns';
import { isEmpty, last, uniq, uniqBy } from 'lodash';
import { isEmpty, isNumber, last, uniq, uniqBy } from 'lodash';
import { PortfolioCalculator } from './calculator/portfolio-calculator';
import {
@ -217,6 +217,24 @@ export class PortfolioService {
};
}
public getAnnualizedPerformancePercent({
daysInMarket,
netPerformancePercent
}: {
daysInMarket: number;
netPerformancePercent: Big;
}): Big {
if (isNumber(daysInMarket) && daysInMarket > 0) {
const exponent = new Big(365).div(daysInMarket).toNumber();
return new Big(
Math.pow(netPerformancePercent.plus(1).toNumber(), exponent)
).minus(1);
}
return new Big(0);
}
public async getDividends({
activities,
groupBy
@ -1769,34 +1787,20 @@ export class PortfolioService {
const daysInMarket = differenceInDays(new Date(), firstOrderDate);
const annualizedPerformancePercent = this.calculatorFactory
.createCalculator({
activities: [],
calculationType: PerformanceCalculationType.TWR,
currency: userCurrency
})
.getAnnualizedPerformancePercent({
daysInMarket,
netPerformancePercent: new Big(
performanceInformation.performance.currentNetPerformancePercent
)
})
?.toNumber();
const annualizedPerformancePercent = this.getAnnualizedPerformancePercent({
daysInMarket,
netPerformancePercent: new Big(
performanceInformation.performance.currentNetPerformancePercent
)
})?.toNumber();
const annualizedPerformancePercentWithCurrencyEffect =
this.calculatorFactory
.createCalculator({
activities: [],
calculationType: PerformanceCalculationType.TWR,
currency: userCurrency
})
.getAnnualizedPerformancePercent({
daysInMarket,
netPerformancePercent: new Big(
performanceInformation.performance.currentNetPerformancePercentWithCurrencyEffect
)
})
?.toNumber();
this.getAnnualizedPerformancePercent({
daysInMarket,
netPerformancePercent: new Big(
performanceInformation.performance.currentNetPerformancePercentWithCurrencyEffect
)
})?.toNumber();
return {
...performanceInformation.performance,