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luminaryfi
31 Th08 2020 14:29

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

SP:SPX1W
S&P 500SP

Mô tả

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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

Phát hành các Ghi chú

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

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//corrected errors

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//no update - adjusted chart and indicator

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

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hexidecimal color switch

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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)

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Trend AnalysisBreadth IndicatorsalphabetaportfolioStandard Deviation (Volatility)correlationmeanGEOMETRICLOGreturns
Bình luận
PineCoders
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mikeruderman
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This is amazing, thank you!
PineCoders
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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
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Good job
luminaryfi
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important note: these scripts will not be accurate for the recent stock splits of TSLA and AAPL. Will release an adjusted returns script.
blackcat1402
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Thanks for sharing
Joestrickland
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Nice work
Arielwillson
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Nice job
Rickycag
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keep posting
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