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Editors' picksOPEN-SOURCE SCRIPT

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

By luminaryfi
Updated
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
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Release Notes
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alphabetaBreadth IndicatorscorrelationGEOMETRICLOGmeanportfolioreturnsStandard Deviation (Volatility)Trend Analysis

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 publication is governed by House rules. You can favorite it to use it on a chart.

Want to use this script on a chart?

luminaryfi

Disclaimer

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