open-source-mirrors
/
ghostfolio
mirror of https://github.com/ghostfolio/ghostfolio
1
0
Fork 0
Code Issues Packages Projects Releases Wiki Activity

Add TWR test scenario 1 (#236)

Browse Source 
* Add TWR test scenario 1

* fix second transaction item

* change time-weighted rate algorithm

Co-authored-by: Valentin Zickner <valentin.zickner@flowable.com>
pull/239/head
Thomas 3 years ago
parent ed731afc66
commit 9821b7f8f0
2 changed files with 116 additions and 18 deletions
Show Stats Download Patch File Download Diff File

95
apps/api/src/app/core/portfolio-calculator.spec.ts
Unescape View File

@ -7,7 +7,7 @@ import { TimelineSpecification } from '@ghostfolio/api/app/core/interfaces/timel
import { TransactionPoint } from '@ghostfolio/api/app/core/interfaces/transaction-point.interface';
import { PortfolioCalculator } from '@ghostfolio/api/app/core/portfolio-calculator';
import { OrderType } from '@ghostfolio/api/models/order-type';
import { DATE_FORMAT, resetHours } from '@ghostfolio/common/helper';
import { DATE_FORMAT, parseDate, resetHours } from '@ghostfolio/common/helper';
import { Currency } from '@prisma/client';
import Big from 'big.js';
import {
@ -35,13 +35,23 @@ function mockGetValue(symbol: string, date: Date) {
}
} else if (symbol === 'AMZN') {
return { marketPrice: 2021.99 };
} else if (symbol === 'MFA') {
if (isSameDay(parseDate('2010-12-31'), date)) {
return { marketPrice: 1 };
} else if (isSameDay(parseDate('2011-08-15'), date)) {
return { marketPrice: 1.162484 }; // 1162484 / 1000000
} else if (isSameDay(parseDate('2011-12-31'), date)) {
return { marketPrice: 1.097884981 }; // 1192328 / 1086022.689344541
}
return { marketPrice: 0 };
} else if (symbol === 'TSLA') {
if (isSameDay(parse('2021-07-26', DATE_FORMAT, new Date()), date)) {
return { marketPrice: 657.62 };
}
if (isSameDay(parse('2021-01-02', DATE_FORMAT, new Date()), date)) {
} else if (isSameDay(parse('2021-01-02', DATE_FORMAT, new Date()), date)) {
return { marketPrice: 666.66 };
}
return { marketPrice: 0 };
} else {
return { marketPrice: 0 };
@ -726,7 +736,7 @@ describe('PortfolioCalculator', () => {
// see next test for details about how to calculate this
grossPerformance: new Big('240.4'),
grossPerformancePercentage: new Big(
'0.349632913145865078264579821060810370805662039085569533288730749607797361322474717934042420125015808'
'0.0883940790487647710162214425767848424215253864940558186258745429269647266073266478435285352186572448'
),
investment: new Big('4460.95'),
marketPrice: 194.86,
@ -781,11 +791,12 @@ describe('PortfolioCalculator', () => {
.mockImplementation(() => new Date(Date.UTC(2020, 9, 24)).getTime()); // 2020-10-24
// 2020-01-01 -> days 334 => value: VTI: 144.38+334*0.08=171.1 => 10*171.10=1711
// 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 10*188.30=1883 => 1883/1711=1.100526008 - 1 = 0.100526008
// 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 10*188.30=1883 => 1883/1711 = 1.100526008
// 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 20*188.30=3766
// 2020-10-24 [today] -> days 631 => value: VTI: 144.38+631*0.08=194.86 => 20*194.86=3897.2 => 3897.2/3766=1.034838024 - 1 = 0.034838024
// cash flow: 2923.7-1443.8=1479.9
// 2020-10-24 [today] -> days 631 => value: VTI: 144.38+631*0.08=194.86 => 20*194.86=3897.2 => 3897.2/(1883+1479.9) = 1.158880728
// gross performance: 1883-1711 + 3897.2-3766 = 303.2
// gross performance percentage: 1.100526008 * 1.034838024 = 1.138866159 => 13.89 %
// gross performance percentage: 1.100526008 * 1.158880728 = 1.275378381 => 27.5378381 %
const currentPositions = await portfolioCalculator.getCurrentPositions(
parse('2020-01-01', DATE_FORMAT, new Date())
@ -805,7 +816,7 @@ describe('PortfolioCalculator', () => {
transactionCount: 2,
grossPerformance: new Big('303.2'),
grossPerformancePercentage: new Big(
'0.1388661601402688486251911721754180022242'
'0.2753783814827239834392742298083677500037'
),
name: 'Vanguard Total Stock Market Index Fund ETF Shares',
currency: 'USD'
@ -813,6 +824,74 @@ describe('PortfolioCalculator', () => {
]
});
});
/**
* Source: https://www.investopedia.com/terms/t/time-weightedror.asp
*/
it('with TWR example from Investopedia: Scenario 1', async () => {
const portfolioCalculator = new PortfolioCalculator(
currentRateService,
Currency.USD
);
portfolioCalculator.setTransactionPoints([
{
date: '2010-12-31',
items: [
{
name: 'Mutual Fund A',
quantity: new Big('1000000'), // 1 million
symbol: 'MFA',
investment: new Big('1000000'), // 1 million
currency: Currency.USD,
firstBuyDate: '2010-12-31',
transactionCount: 1
}
]
},
{
date: '2011-08-15',
items: [
{
name: 'Mutual Fund A',
quantity: new Big('1086022.689344541'), // 1,000,000 + 100,000 / 1.162484
symbol: 'MFA',
investment: new Big('1100000'), // 1,000,000 + 100,000
currency: Currency.USD,
firstBuyDate: '2010-12-31',
transactionCount: 2
}
]
}
]);
const spy = jest
.spyOn(Date, 'now')
.mockImplementation(() => new Date(Date.UTC(2011, 11, 31)).getTime()); // 2011-12-31
const currentPositions = await portfolioCalculator.getCurrentPositions(
parseDate('2010-12-31')
);
spy.mockRestore();
expect(currentPositions).toEqual({
hasErrors: false,
positions: [
{
averagePrice: new Big('1.01287018290924923237'), // 1'100'000 / 1'086'022.689344542
firstBuyDate: '2010-12-31',
quantity: new Big('1086022.689344541'),
symbol: 'MFA',
investment: new Big('1100000'),
marketPrice: 1.097884981,
transactionCount: 2,
grossPerformance: new Big('92327.999656600898394721'), // 1'192'328 - 1'100'000 = 92'328
grossPerformancePercentage: new Big('0.09788498099999947808927632'), // 9.79 %
name: 'Mutual Fund A',
currency: 'USD'
}
]
});
});
});
describe('calculate timeline', () => {

39
apps/api/src/app/core/portfolio-calculator.ts
Unescape View File

@ -195,6 +195,8 @@ export class PortfolioCalculator {
firstIndex--;
}
const invalidSymbols = [];
const lastInvestments: { [symbol: string]: Big } = {};
const lastQuantities: { [symbol: string]: Big } = {};
for (let i = firstIndex; i < this.transactionPoints.length; i++) {
const currentDate =
i === firstIndex ? startString : this.transactionPoints[i].date;
@ -217,11 +219,21 @@ export class PortfolioCalculator {
);
continue;
}
let currentValue = marketSymbolMap[currentDate]?.[item.symbol];
let lastInvestment: Big = new Big(0);
let lastQuantity: Big = item.quantity;
if (lastInvestments[item.symbol] && lastQuantities[item.symbol]) {
lastInvestment = item.investment.minus(lastInvestments[item.symbol]);
lastQuantity = lastQuantities[item.symbol];
}
const itemValue = marketSymbolMap[currentDate]?.[item.symbol];
let initialValue = itemValue?.mul(lastQuantity);
let investedValue = itemValue?.mul(item.quantity);
if (!isAfter(parseDate(currentDate), parseDate(item.firstBuyDate))) {
currentValue = item.investment.div(item.quantity);
initialValue = item.investment;
investedValue = item.investment;
}
if (!currentValue) {
if (!initialValue) {
invalidSymbols.push(item.symbol);
hasErrors = true;
console.error(
@ -229,18 +241,25 @@ export class PortfolioCalculator {
);
continue;
}
holdingPeriodReturns[item.symbol] = oldHoldingPeriodReturn.mul(
marketSymbolMap[nextDate][item.symbol].div(currentValue)
const cashFlow = lastInvestment;
const endValue = marketSymbolMap[nextDate][item.symbol].mul(
item.quantity
);
const holdingPeriodReturn = endValue.div(initialValue.plus(cashFlow));
holdingPeriodReturns[item.symbol] =
oldHoldingPeriodReturn.mul(holdingPeriodReturn);
let oldGrossPerformance = grossPerformance[item.symbol];
if (!oldGrossPerformance) {
oldGrossPerformance = new Big(0);
}
grossPerformance[item.symbol] = oldGrossPerformance.plus(
marketSymbolMap[nextDate][item.symbol]
.minus(currentValue)
.mul(item.quantity)
);
const currentPerformance = endValue.minus(investedValue);
grossPerformance[item.symbol] =
oldGrossPerformance.plus(currentPerformance);
lastInvestments[item.symbol] = item.investment;
lastQuantities[item.symbol] = item.quantity;
}
}

Write Preview
Loading…
Cancel
Save