TradingView
luminaryfi
31 aug 2020 14:29

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

S&P 500SP

Beskrivning

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

Versionsinformation

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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Versionsinformation

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)

Versionsinformation

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Kommentarer
PineCoders
mikeruderman
This is amazing, thank you!
PineCoders
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
Good job
luminaryfi
important note: these scripts will not be accurate for the recent stock splits of TSLA and AAPL. Will release an adjusted returns script.
blackcat1402
Thanks for sharing
Joestrickland
Nice work
Arielwillson
Nice job
Rickycag
keep posting
Mer