luminaryfi

31 Ogs 2020 pukul 14.29

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

S&P 500SP

Huraian

⋅ 31 Ogs 2020 pukul 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

Nota Keluaran

⋅ 3 Sep 2020 pukul 16.13

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

Nota Keluaran

⋅ 6 Sep 2020 pukul 20.34

//corrected errors

Nota Keluaran

⋅ 10 Sep 2020 pukul 16.19

//no update - adjusted chart and indicator

Nota Keluaran

⋅ 10 Sep 2020 pukul 18.06

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

Nota Keluaran

⋅ 10 Sep 2020 pukul 18.09

hexidecimal color switch

Nota Keluaran

⋅ 10 Sep 2020 pukul 18.15

Nota Keluaran

⋅ 12 Sep 2020 pukul 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)

Nota Keluaran

⋅ 12 Sep 2020 pukul 15.02

Nota Keluaran

⋅ 12 Sep 2020 pukul 15.55

Komen

PineCoders

⋅ 31 Dis 2020 pukul 15.08

mikeruderman

⋅ 10 Nov 2023 pukul 22.35

This is amazing, thank you!

PineCoders

⋅ 9 Sep 2020 pukul 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 Sep 2020 pukul 05.02

Good job

luminaryfi

⋅ 3 Sep 2020 pukul 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 Sep 2020 pukul 02.44

Thanks for sharing

Joestrickland

⋅ 10 Sep 2020 pukul 09.23

Nice work

Arielwillson

⋅ 10 Sep 2020 pukul 06.06

Nice job

Rickycag

⋅ 10 Sep 2020 pukul 05.38

keep posting

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