luminaryfi

31. Aug. 2020 14:29

Portfolio: alpha, beta, stdev, variance, mean, max drawdown...

S&P 500SP

Beschreibung

⋅ 31. Aug. 2020 14:29

Portfolio Metrics **New**

'returns'
'log returns'
'geometric returns'

portfolio alpha
portfolio beta
portfolio,market correlation
portfolio standard deviation
portfolio variance
mean portfolio returns
maximum drawdown
maximum gain

Versionshinweise

⋅ 3. Sept. 2020 16:13

Removed log and geometric returns. Will release adjusted returns script.

Versionshinweise

⋅ 6. Sept. 2020 20:34

//corrected errors

Versionshinweise

⋅ 10. Sept. 2020 16:19

//no update - adjusted chart and indicator

Versionshinweise

⋅ 10. Sept. 2020 18:06

adjusted hexidecimal colors for better UX.
default is set to logarithmic returns with lookahead off

Versionshinweise

⋅ 10. Sept. 2020 18:09

hexidecimal color switch

Versionshinweise

⋅ 10. Sept. 2020 18:15

Versionshinweise

⋅ 12. Sept. 2020 15:00

Fixed Risk-Free Rate Bug
Added Display Options:
Group-Coefficents (Alpha, Beta)
Group-Proft.Loss (Max Drawdown, Max Gain)
Group-Stats (Standard Deviation, Variance, Correlation, R-Squared)

Versionshinweise

⋅ 12. Sept. 2020 15:02

Versionshinweise

⋅ 12. Sept. 2020 15:55

Kommentare

PineCoders

⋅ 31. Dez. 2020 15:08

mikeruderman

⋅ 10. Nov. 2023 22:35

This is amazing, thank you!

PineCoders

⋅ 9. Sept. 2020 12:32

This publication is now featured in our Editors' Picks. In the name of all TradingView traders, thank you for your valuable contribution to the TradingView community, and congrats!

max_well12

⋅ 10. Sept. 2020 05:02

Good job

luminaryfi

⋅ 3. Sept. 2020 16:15

important note: these scripts will not be accurate for the recent stock splits of TSLA and AAPL. Will release an adjusted returns script.

blackcat1402

⋅ 12. Sept. 2020 02:44

Thanks for sharing

Joestrickland

⋅ 10. Sept. 2020 09:23

Nice work

Arielwillson

⋅ 10. Sept. 2020 06:06

Nice job

Rickycag

⋅ 10. Sept. 2020 05:38

keep posting

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