Add test (#237)
* Add test * fix calculation for overall gross performance percentage Co-authored-by: Valentin Zickner <github@zickner.ch>
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Thomas
parent
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@ -7,7 +7,7 @@ import { TimelineSpecification } from '@ghostfolio/api/app/core/interfaces/timel
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import { TransactionPoint } from '@ghostfolio/api/app/core/interfaces/transaction-point.interface';
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import { PortfolioCalculator } from '@ghostfolio/api/app/core/portfolio-calculator';
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import { OrderType } from '@ghostfolio/api/models/order-type';
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import { DATE_FORMAT, parseDate, resetHours } from '@ghostfolio/common/helper';
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import { parseDate, resetHours } from '@ghostfolio/common/helper';
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import { Currency } from '@prisma/client';
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import Big from 'big.js';
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import {
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@ -15,8 +15,7 @@ import {
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differenceInCalendarDays,
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endOfDay,
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isBefore,
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isSameDay,
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parse
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isSameDay
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} from 'date-fns';
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function mockGetValue(symbol: string, date: Date) {
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@ -25,7 +24,7 @@ function mockGetValue(symbol: string, date: Date) {
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if (isSameDay(today, date)) {
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return { marketPrice: 213.32 };
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} else {
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const startDate = parse('2019-02-01', DATE_FORMAT, new Date());
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const startDate = parseDate('2019-02-01');
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const daysInBetween = differenceInCalendarDays(date, startDate);
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const marketPrice = new Big('144.38').plus(
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@ -44,11 +43,23 @@ function mockGetValue(symbol: string, date: Date) {
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return { marketPrice: 1.097884981 }; // 1192328 / 1086022.689344541
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}
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return { marketPrice: 0 };
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} else if (symbol === 'SPA') {
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if (isSameDay(parseDate('2013-12-31'), date)) {
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return { marketPrice: 1.025 }; // 205 / 200
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}
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return { marketPrice: 0 };
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} else if (symbol === 'SPB') {
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if (isSameDay(parseDate('2013-12-31'), date)) {
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return { marketPrice: 1.04 }; // 312 / 300
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}
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return { marketPrice: 0 };
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} else if (symbol === 'TSLA') {
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if (isSameDay(parse('2021-07-26', DATE_FORMAT, new Date()), date)) {
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if (isSameDay(parseDate('2021-07-26'), date)) {
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return { marketPrice: 657.62 };
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} else if (isSameDay(parse('2021-01-02', DATE_FORMAT, new Date()), date)) {
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} else if (isSameDay(parseDate('2021-01-02'), date)) {
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return { marketPrice: 666.66 };
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}
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@ -617,7 +628,7 @@ describe('PortfolioCalculator', () => {
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.spyOn(Date, 'now')
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.mockImplementation(() => new Date(Date.UTC(2021, 6, 26)).getTime()); // 2021-07-26
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const currentPositions = await portfolioCalculator.getCurrentPositions(
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parse('2020-01-21', DATE_FORMAT, new Date())
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parseDate('2020-01-21')
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);
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spy.mockRestore();
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@ -625,7 +636,7 @@ describe('PortfolioCalculator', () => {
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hasErrors: false,
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currentValue: new Big('657.62'),
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grossPerformance: new Big('-61.84'),
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grossPerformancePercentage: new Big('-0.08456342256692519389'),
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grossPerformancePercentage: new Big('-0.08595335390431712673'),
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positions: [
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{
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averagePrice: new Big('719.46'),
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@ -655,7 +666,7 @@ describe('PortfolioCalculator', () => {
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.spyOn(Date, 'now')
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.mockImplementation(() => new Date(Date.UTC(2021, 6, 26)).getTime()); // 2021-07-26
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const currentPositions = await portfolioCalculator.getCurrentPositions(
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parse('2021-01-01', DATE_FORMAT, new Date())
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parseDate('2021-01-01')
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);
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spy.mockRestore();
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@ -663,7 +674,7 @@ describe('PortfolioCalculator', () => {
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hasErrors: false,
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currentValue: new Big('657.62'),
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grossPerformance: new Big('-61.84'),
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grossPerformancePercentage: new Big('-0.08456342256692519389'),
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grossPerformancePercentage: new Big('-0.08595335390431712673'),
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positions: [
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{
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averagePrice: new Big('719.46'),
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@ -693,7 +704,7 @@ describe('PortfolioCalculator', () => {
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.spyOn(Date, 'now')
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.mockImplementation(() => new Date(Date.UTC(2021, 6, 26)).getTime()); // 2021-07-26
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const currentPositions = await portfolioCalculator.getCurrentPositions(
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parse('2021-01-02', DATE_FORMAT, new Date())
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parseDate('2021-01-02')
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);
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spy.mockRestore();
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@ -701,7 +712,7 @@ describe('PortfolioCalculator', () => {
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hasErrors: false,
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currentValue: new Big('657.62'),
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grossPerformance: new Big('-9.04'),
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grossPerformancePercentage: new Big('-0.01206012060120601206'),
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grossPerformancePercentage: new Big('-0.01356013560135601356'),
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positions: [
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{
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averagePrice: new Big('719.46'),
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@ -731,7 +742,7 @@ describe('PortfolioCalculator', () => {
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.spyOn(Date, 'now')
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.mockImplementation(() => new Date(Date.UTC(2020, 9, 24)).getTime()); // 2020-10-24
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const currentPositions = await portfolioCalculator.getCurrentPositions(
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parse('2019-01-01', DATE_FORMAT, new Date())
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parseDate('2019-01-01')
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);
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spy.mockRestore();
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@ -739,7 +750,7 @@ describe('PortfolioCalculator', () => {
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hasErrors: false,
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currentValue: new Big('4871.5'),
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grossPerformance: new Big('240.4'),
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grossPerformancePercentage: new Big('0.08908669575467971768'),
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grossPerformancePercentage: new Big('0.08839407904876477102'),
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positions: [
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{
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averagePrice: new Big('178.438'),
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@ -811,7 +822,7 @@ describe('PortfolioCalculator', () => {
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// gross performance percentage: 1.100526008 * 1.158880728 = 1.275378381 => 27.5378381 %
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const currentPositions = await portfolioCalculator.getCurrentPositions(
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parse('2020-01-01', DATE_FORMAT, new Date())
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parseDate('2020-01-01')
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);
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spy.mockRestore();
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@ -819,7 +830,7 @@ describe('PortfolioCalculator', () => {
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hasErrors: false,
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currentValue: new Big('3897.2'),
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grossPerformance: new Big('303.2'),
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grossPerformancePercentage: new Big('0.2759628350186678759'),
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grossPerformancePercentage: new Big('0.27537838148272398344'),
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positions: [
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{
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averagePrice: new Big('146.185'),
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@ -892,7 +903,7 @@ describe('PortfolioCalculator', () => {
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hasErrors: false,
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currentValue: new Big('1192327.999656600298238721'),
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grossPerformance: new Big('92327.999656600898394721'),
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grossPerformancePercentage: new Big('0.09788598099999947809'),
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grossPerformancePercentage: new Big('0.09788498099999947809'),
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positions: [
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{
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averagePrice: new Big('1.01287018290924923237'), // 1'100'000 / 1'086'022.689344542
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@ -910,6 +921,108 @@ describe('PortfolioCalculator', () => {
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]
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});
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});
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/**
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* Source: https://www.chsoft.ch/en/assets/Dateien/files/PDF/ePoca/en/Practical%20Performance%20Calculation.pdf
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*/
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it('with example from chsoft.ch: Performance of a Combination of Investments', async () => {
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const portfolioCalculator = new PortfolioCalculator(
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currentRateService,
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Currency.CHF
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);
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portfolioCalculator.setTransactionPoints([
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{
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date: '2012-12-31',
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items: [
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{
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name: 'Sub Portfolio A',
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quantity: new Big('200'),
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symbol: 'SPA',
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investment: new Big('200'),
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currency: Currency.CHF,
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firstBuyDate: '2012-12-31',
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transactionCount: 1
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},
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{
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name: 'Sub Portfolio B',
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quantity: new Big('300'),
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symbol: 'SPB',
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investment: new Big('300'),
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currency: Currency.CHF,
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firstBuyDate: '2012-12-31',
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transactionCount: 1
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}
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]
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},
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{
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date: '2013-12-31',
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items: [
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{
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name: 'Sub Portfolio A',
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quantity: new Big('200'),
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symbol: 'SPA',
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investment: new Big('200'),
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currency: Currency.CHF,
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firstBuyDate: '2012-12-31',
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transactionCount: 1
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},
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{
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name: 'Sub Portfolio B',
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quantity: new Big('300'),
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symbol: 'SPB',
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investment: new Big('300'),
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currency: Currency.CHF,
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firstBuyDate: '2012-12-31',
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transactionCount: 1
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}
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]
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}
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]);
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const spy = jest
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.spyOn(Date, 'now')
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.mockImplementation(() => new Date(Date.UTC(2013, 11, 31)).getTime()); // 2013-12-31
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const currentPositions = await portfolioCalculator.getCurrentPositions(
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parseDate('2012-12-31')
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);
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spy.mockRestore();
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expect(currentPositions).toEqual({
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currentValue: new Big('517'),
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grossPerformance: new Big('17'), // 517 - 500
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grossPerformancePercentage: new Big('0.034'), // ((200 * 0.025) + (300 * 0.04)) / (200 + 300) = 3.4%
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hasErrors: false,
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positions: [
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{
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averagePrice: new Big('1'),
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firstBuyDate: '2012-12-31',
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quantity: new Big('200'),
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symbol: 'SPA',
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investment: new Big('200'),
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marketPrice: 1.025, // 205 / 200
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transactionCount: 1,
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grossPerformance: new Big('5'), // 205 - 200
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grossPerformancePercentage: new Big('0.025'),
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name: 'Sub Portfolio A',
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currency: 'CHF'
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},
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{
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averagePrice: new Big('1'),
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firstBuyDate: '2012-12-31',
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quantity: new Big('300'),
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symbol: 'SPB',
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investment: new Big('300'),
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marketPrice: 1.04, // 312 / 300
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transactionCount: 1,
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grossPerformance: new Big('12'), // 312 - 300
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grossPerformancePercentage: new Big('0.04'),
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name: 'Sub Portfolio B',
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currency: 'CHF'
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}
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]
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});
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});
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});
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describe('calculate timeline', () => {
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@ -297,48 +297,15 @@ export class PortfolioCalculator {
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transactionCount: item.transactionCount
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});
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}
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let currentValue = new Big(0);
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let overallGrossPerformance = new Big(0);
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let grossPerformancePercentage = new Big(1);
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let completeInitialValue = new Big(0);
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for (const currentPosition of positions) {
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currentValue = currentValue.add(
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new Big(currentPosition.marketPrice).mul(currentPosition.quantity)
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);
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if (currentPosition.grossPerformance) {
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overallGrossPerformance = overallGrossPerformance.plus(
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currentPosition.grossPerformance
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);
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} else {
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hasErrors = true;
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}
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if (
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currentPosition.grossPerformancePercentage &&
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initialValues[currentPosition.symbol]
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) {
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const currentInitialValue = initialValues[currentPosition.symbol];
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completeInitialValue = completeInitialValue.plus(currentInitialValue);
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grossPerformancePercentage = grossPerformancePercentage.plus(
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currentPosition.grossPerformancePercentage.mul(currentInitialValue)
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);
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} else {
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console.log(initialValues);
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console.error(
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'initial value is missing for symbol',
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currentPosition.symbol
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);
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hasErrors = true;
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}
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}
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const overall = this.calculateOverallGrossPerformance(
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positions,
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initialValues
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);
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return {
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hasErrors,
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positions,
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grossPerformance: overallGrossPerformance,
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grossPerformancePercentage:
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grossPerformancePercentage.div(completeInitialValue),
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currentValue
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...overall,
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hasErrors: hasErrors || overall.hasErrors,
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positions
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};
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}
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@ -404,6 +371,53 @@ export class PortfolioCalculator {
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return flatten(timelinePeriods);
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}
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private calculateOverallGrossPerformance(
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positions: TimelinePosition[],
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initialValues: { [p: string]: Big }
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) {
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let hasErrors = false;
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let currentValue = new Big(0);
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let grossPerformance = new Big(0);
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let grossPerformancePercentage = new Big(0);
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let completeInitialValue = new Big(0);
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for (const currentPosition of positions) {
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currentValue = currentValue.add(
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new Big(currentPosition.marketPrice).mul(currentPosition.quantity)
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);
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if (currentPosition.grossPerformance) {
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grossPerformance = grossPerformance.plus(
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currentPosition.grossPerformance
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);
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} else {
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hasErrors = true;
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}
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if (
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currentPosition.grossPerformancePercentage &&
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initialValues[currentPosition.symbol]
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) {
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const currentInitialValue = initialValues[currentPosition.symbol];
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completeInitialValue = completeInitialValue.plus(currentInitialValue);
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grossPerformancePercentage = grossPerformancePercentage.plus(
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currentPosition.grossPerformancePercentage.mul(currentInitialValue)
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);
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} else {
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console.error(
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'initial value is missing for symbol',
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currentPosition.symbol
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);
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hasErrors = true;
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}
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}
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return {
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currentValue,
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grossPerformance,
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grossPerformancePercentage:
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grossPerformancePercentage.div(completeInitialValue),
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hasErrors
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};
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}
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private async getTimePeriodForDate(
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j: number,
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startDate: Date,
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