luminaryfi

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

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

Notes de version: Removed log and geometric returns. Will release adjusted returns script.
Notes de version: //corrected errors
Notes de version: //no update - adjusted chart and indicator
Notes de version: adjusted hexidecimal colors for better UX.
default is set to logarithmic returns with lookahead off
Notes de version: hexidecimal color switch
Notes de version: //
Notes de version: 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)
Notes de version: //
Notes de version: //
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Commentaires

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!
+4 Répondre
Good job
+2 Répondre
important note: these scripts will not be accurate for the recent stock splits of TSLA and AAPL. Will release an adjusted returns script.
+2 Répondre
Thanks for sharing
+1 Répondre
Nice work
+1 Répondre
Nice job
+1 Répondre
keep posting
+1 Répondre
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