luminaryfi

31 авг 2020 г., 14:29

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

S&P 500SP

Описание

⋅ 31 авг 2020 г., 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

Информация о релизе

⋅ 3 сен 2020 г., 16:13

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

Информация о релизе

⋅ 6 сен 2020 г., 20:34

//corrected errors

Информация о релизе

⋅ 10 сен 2020 г., 16:19

//no update - adjusted chart and indicator

Информация о релизе

⋅ 10 сен 2020 г., 18:06

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

Информация о релизе

⋅ 10 сен 2020 г., 18:09

hexidecimal color switch

Информация о релизе

⋅ 10 сен 2020 г., 18:15

Информация о релизе

⋅ 12 сен 2020 г., 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)

Информация о релизе

⋅ 12 сен 2020 г., 15:02

Информация о релизе

⋅ 12 сен 2020 г., 15:55

Комментарии

PineCoders

⋅ 31 дек 2020 г., 15:08

mikeruderman

⋅ 10 ноя 2023 г., 22:35

This is amazing, thank you!

PineCoders

⋅ 9 сен 2020 г., 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 сен 2020 г., 05:02

Good job

luminaryfi

⋅ 3 сен 2020 г., 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 сен 2020 г., 02:44

Thanks for sharing

Joestrickland

⋅ 10 сен 2020 г., 09:23

Nice work

Arielwillson

⋅ 10 сен 2020 г., 06:06

Nice job

Rickycag

⋅ 10 сен 2020 г., 05:38

keep posting

Ещё