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

luminaryfi Updated   
Portfolio Metrics **New**

'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.


The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.

Want to use this script on a chart?