luminaryfi

Aug 31, 2020 2:29 PM

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

S&P 500SP

Description

⋅ Aug 31, 2020 2:29 PM

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

Release Notes

⋅ Sep 3, 2020 4:13 PM

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

Release Notes

⋅ Sep 6, 2020 8:34 PM

//corrected errors

Release Notes

⋅ Sep 10, 2020 4:19 PM

//no update - adjusted chart and indicator

Release Notes

⋅ Sep 10, 2020 6:06 PM

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

Release Notes

⋅ Sep 10, 2020 6:09 PM

hexidecimal color switch

Release Notes

⋅ Sep 10, 2020 6:15 PM

Release Notes

⋅ Sep 12, 2020 3:00 PM

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)

Release Notes

⋅ Sep 12, 2020 3:02 PM

Release Notes

⋅ Sep 12, 2020 3:55 PM

Comments

PineCoders

⋅ Dec 31, 2020 3:08 PM

mikeruderman

⋅ Nov 10, 2023 10:35 PM

This is amazing, thank you!

PineCoders

⋅ Sep 9, 2020 12:32 PM

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

⋅ Sep 10, 2020 5:02 AM

Good job

luminaryfi

⋅ Sep 3, 2020 4:15 PM

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

blackcat1402

⋅ Sep 12, 2020 2:44 AM

Thanks for sharing

Joestrickland

⋅ Sep 10, 2020 9:23 AM

Nice work

Arielwillson

⋅ Sep 10, 2020 6:06 AM

Nice job

Rickycag

⋅ Sep 10, 2020 5:38 AM

keep posting