113 lines
2.6 KiB
Markdown
113 lines
2.6 KiB
Markdown
# ET-PFM-002: Cálculo de Métricas de Portfolio
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**Épica:** OQI-008 - Portfolio Manager
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**Versión:** 1.0
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**Fecha:** 2025-12-05
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**Estado:** Planificado
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---
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## Métricas Implementadas
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### Métricas Básicas (Todos los planes)
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- Total Value
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- Total P&L
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- Day P&L
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- Position Weights
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### Métricas de Riesgo (Pro/Premium)
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- Volatilidad (std dev anualizada)
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- Beta vs S&P 500
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- Maximum Drawdown
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- Value at Risk (VaR) 95%
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### Métricas Avanzadas (Premium)
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- Sharpe Ratio
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- Sortino Ratio
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- Information Ratio
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- Calmar Ratio
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- VaR 99%
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---
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## Fórmulas de Cálculo
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```typescript
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// src/modules/portfolio/services/metrics.service.ts
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@Injectable()
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export class MetricsService {
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// Volatilidad anualizada
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calculateVolatility(returns: number[]): number {
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const mean = returns.reduce((a, b) => a + b, 0) / returns.length;
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const variance = returns.reduce((sum, r) =>
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sum + Math.pow(r - mean, 2), 0) / (returns.length - 1);
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const stdDev = Math.sqrt(variance);
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return stdDev * Math.sqrt(252); // Anualizar
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}
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// Sharpe Ratio
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calculateSharpe(returns: number[], riskFreeRate = 0.05): number {
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const annualReturn = this.calculateAnnualizedReturn(returns);
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const volatility = this.calculateVolatility(returns);
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return (annualReturn - riskFreeRate) / volatility;
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}
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// Value at Risk (método histórico)
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calculateVaR(returns: number[], confidence = 0.95): number {
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const sorted = [...returns].sort((a, b) => a - b);
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const index = Math.floor((1 - confidence) * sorted.length);
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return sorted[index];
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}
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// Maximum Drawdown
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calculateMaxDrawdown(values: number[]): number {
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let peak = values[0];
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let maxDD = 0;
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for (const value of values) {
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if (value > peak) peak = value;
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const drawdown = (peak - value) / peak;
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if (drawdown > maxDD) maxDD = drawdown;
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}
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return maxDD;
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}
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// Beta vs Benchmark
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calculateBeta(
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portfolioReturns: number[],
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benchmarkReturns: number[]
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): number {
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const covariance = this.calculateCovariance(
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portfolioReturns,
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benchmarkReturns
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);
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const benchmarkVariance = this.calculateVariance(benchmarkReturns);
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return covariance / benchmarkVariance;
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}
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}
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```
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---
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## Cache Strategy
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| Métrica | TTL | Trigger Update |
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|---------|-----|----------------|
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| Básicas | 15s | Price change |
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| Volatilidad | 1h | New trade |
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| Sharpe/Sortino | 1d | End of day |
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| VaR | 1h | New trade |
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---
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## Referencias
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- [RF-PFM-002: Análisis de Riesgo](../requerimientos/RF-PFM-002-analisis-riesgo.md)
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---
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*Especificación técnica - Sistema NEXUS*
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