trading-platform/docs/02-definicion-modulos/OQI-008-portfolio-manager/especificaciones/ET-PFM-002-calculo-metricas.md

id	title	type	status	priority	epic	project	version	created_date	updated_date
ET-PFM-002	Cálculo de Métricas de Portfolio	Technical Specification	Done	Alta	OQI-008	trading-platform	1.0.0	2025-12-05	2026-01-04

ET-PFM-002: Cálculo de Métricas de Portfolio

Épica: OQI-008 - Portfolio Manager Versión: 1.0 Fecha: 2025-12-05 Estado: Planificado

---

Métricas Implementadas

Métricas Básicas (Todos los planes)

• Total Value
• Total P&L
• Day P&L
• Position Weights

Métricas de Riesgo (Pro/Premium)

• Volatilidad (std dev anualizada)
• Beta vs S&P 500
• Maximum Drawdown
• Value at Risk (VaR) 95%

Métricas Avanzadas (Premium)

• Sharpe Ratio
• Sortino Ratio
• Information Ratio
• Calmar Ratio
• VaR 99%

---

Fórmulas de Cálculo

// src/modules/portfolio/services/metrics.service.ts

@Injectable()
export class MetricsService {

  // Volatilidad anualizada
  calculateVolatility(returns: number[]): number {
    const mean = returns.reduce((a, b) => a + b, 0) / returns.length;
    const variance = returns.reduce((sum, r) =>
      sum + Math.pow(r - mean, 2), 0) / (returns.length - 1);
    const stdDev = Math.sqrt(variance);
    return stdDev * Math.sqrt(252); // Anualizar
  }

  // Sharpe Ratio
  calculateSharpe(returns: number[], riskFreeRate = 0.05): number {
    const annualReturn = this.calculateAnnualizedReturn(returns);
    const volatility = this.calculateVolatility(returns);
    return (annualReturn - riskFreeRate) / volatility;
  }

  // Value at Risk (método histórico)
  calculateVaR(returns: number[], confidence = 0.95): number {
    const sorted = [...returns].sort((a, b) => a - b);
    const index = Math.floor((1 - confidence) * sorted.length);
    return sorted[index];
  }

  // Maximum Drawdown
  calculateMaxDrawdown(values: number[]): number {
    let peak = values[0];
    let maxDD = 0;

    for (const value of values) {
      if (value > peak) peak = value;
      const drawdown = (peak - value) / peak;
      if (drawdown > maxDD) maxDD = drawdown;
    }

    return maxDD;
  }

  // Beta vs Benchmark
  calculateBeta(
    portfolioReturns: number[],
    benchmarkReturns: number[]
  ): number {
    const covariance = this.calculateCovariance(
      portfolioReturns,
      benchmarkReturns
    );
    const benchmarkVariance = this.calculateVariance(benchmarkReturns);
    return covariance / benchmarkVariance;
  }
}

---

Cache Strategy

Métrica	TTL	Trigger Update
Básicas	15s	Price change
Volatilidad	1h	New trade
Sharpe/Sortino	1d	End of day
VaR	1h	New trade

---

Referencias

• RF-PFM-002: Análisis de Riesgo

---

Especificación técnica - Sistema NEXUS