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

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

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

Want to use this script on a chart?

Comments

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