OPEN-SOURCE SCRIPT
已更新 Alpha & Beta
Alpha & Beta Indicators for Portfolio Performance
β = Σ Correlation (RP, RM) * (σP/σM)
α P = E(RP) – [RF + βP(E(RM) – RF)]
Where,
RP = Portfolio Return (or Investment Return)
RM = Market Return (or Benchmark Index)
RF = Risk-Free Rate
How to use the Indicator
RM = SPX (Default)
The Market Return for the indicator has the options of
SPX, 
NDX, or 
DJI (S&P 500, Nasdaq 100, Dow 30)
RF = FRED: DTB3
The Risk-Free Rate in the Indicator is set to the 3-Month Treasury Bill: Secondary Market Rate
The Default Timeframe is 1260 or 5-Years (252 Trading Days in One Year)
RP = The symbol you enter
HOWEVER, you can determine your portfolio value by following the following directions below.
Note: I am currently working on an indicator that will allow you to insert the weights of your positions.
Complete Portfolio Analysis Directions
You will first need...
a) spreadsheet application - Google Sheets is Free, but Microsoft Excel will convert ticker symbols to Stocks and Retrieve Data.
b) your current stock tickers, quantity of shares, and last price information
In the spreadsheet,
In the first column list the stock tickers...
AMZN
AAPL
TSLA
In the second column list the quantity of shares you own...
5
10
0.20
In the third column insert the last price
Excel: Three tickers will automatically give you the option to "Convert to Stocks",
after conversion, click once on cell and click the small tab in the upper right-hand of the highlighted cell.
Click the tab and a menu pops up
Find "Price", "Price Extended-Hours", or "Previous Close"...
$3,284.72
$497.48
$2,049.98
Next, multiply the number of shares by the price (Stock Market Value)
Excel: in fourth column type "=(B1*C1)", "=(B2*C2)", "=(B3*C3)"...
= $16,423.60
= $4,974.80
= $410.00
add the three calculated numbers together or click "ΣAutoSum" (Portfolio Market Value)
= $21,808.40
Last, divide the market value of AMZN ($16,423.60) by the Portfolio Market Value ($21,808.40) for each of the stocks.
= 0.7531
= 0.2281
= 0.0188
These values are the weight of the stock in your portfolio.
Go back to TradingView
Enter into the "search box" the following...
AMZN*0.7531 + AAPL*0.2281 + TSLA*0.0188
and click Enter
Now you can use the "Alpha & Beta" Indicator to analyze your entire portfolio!
β = Σ Correlation (RP, RM) * (σP/σM)
α P = E(RP) – [RF + βP(E(RM) – RF)]
Where,
RP = Portfolio Return (or Investment Return)
RM = Market Return (or Benchmark Index)
RF = Risk-Free Rate
How to use the Indicator
RM = SPX (Default)
The Market Return for the indicator has the options of
SPX, NDX, or DJI (S&P 500, Nasdaq 100, Dow 30)RF = FRED: DTB3
The Risk-Free Rate in the Indicator is set to the 3-Month Treasury Bill: Secondary Market Rate
The Default Timeframe is 1260 or 5-Years (252 Trading Days in One Year)
RP = The symbol you enter
HOWEVER, you can determine your portfolio value by following the following directions below.
Note: I am currently working on an indicator that will allow you to insert the weights of your positions.
Complete Portfolio Analysis Directions
You will first need...
a) spreadsheet application - Google Sheets is Free, but Microsoft Excel will convert ticker symbols to Stocks and Retrieve Data.
b) your current stock tickers, quantity of shares, and last price information
In the spreadsheet,
In the first column list the stock tickers...
AMZN
AAPL
TSLA
In the second column list the quantity of shares you own...
5
10
0.20
In the third column insert the last price
Excel: Three tickers will automatically give you the option to "Convert to Stocks",
after conversion, click once on cell and click the small tab in the upper right-hand of the highlighted cell.
Click the tab and a menu pops up
Find "Price", "Price Extended-Hours", or "Previous Close"...
$3,284.72
$497.48
$2,049.98
Next, multiply the number of shares by the price (Stock Market Value)
Excel: in fourth column type "=(B1*C1)", "=(B2*C2)", "=(B3*C3)"...
= $16,423.60
= $4,974.80
= $410.00
add the three calculated numbers together or click "ΣAutoSum" (Portfolio Market Value)
= $21,808.40
Last, divide the market value of AMZN ($16,423.60) by the Portfolio Market Value ($21,808.40) for each of the stocks.
= 0.7531
= 0.2281
= 0.0188
These values are the weight of the stock in your portfolio.
Go back to TradingView
Enter into the "search box" the following...
AMZN*0.7531 + AAPL*0.2281 + TSLA*0.0188
and click Enter
Now you can use the "Alpha & Beta" Indicator to analyze your entire portfolio!
發行說明
Update: hline(0.0) and hline(-0.5).發行說明
Correction in Beta.Alpha is now expressed in a percentage.
發行說明
alpha = jensen's measure (expected portfolio return or 'ex-ante'added DGS2, DGS5, DGS10, DGS30 risk-free rates
發行說明
//ticker change for reference開源腳本
秉持TradingView一貫精神，這個腳本的創作者將其設為開源，以便交易者檢視並驗證其功能。向作者致敬！您可以免費使用此腳本，但請注意，重新發佈代碼需遵守我們的社群規範。
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。
開源腳本
秉持TradingView一貫精神，這個腳本的創作者將其設為開源，以便交易者檢視並驗證其功能。向作者致敬！您可以免費使用此腳本，但請注意，重新發佈代碼需遵守我們的社群規範。
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。