XIRR table

fava_investor/__init__.py

@@ -8,6 +8,7 @@
 from .modules.cashdrag import libcashdrag
 from .modules.summarizer import libsummarizer
 from .modules.minimizegains import libminimizegains
+from .modules.performance import libperformance
 from .common.favainvestorapi import FavaInvestorAPI
 
 
@@ -50,6 +51,10 @@ def build_minimizegains(self):
         accapi = FavaInvestorAPI()
         return libminimizegains.find_minimized_gains(accapi, self.config.get('minimizegains', {}))
 
+    def build_performance(self):
+        accapi = FavaInvestorAPI()
+        return libperformance.find_xirrs(accapi, self.config.get('performance', {}))
+
     def recently_sold_at_loss(self):
         accapi = FavaInvestorAPI()
         return libtlh.recently_sold_at_loss(accapi, self.config.get('tlh', {}))

fava_investor/cli/investor.py

@@ -8,6 +8,7 @@
 import fava_investor.modules.summarizer.summarizer as summarizer
 import fava_investor.modules.tlh.tlh as tlh
 import fava_investor.modules.minimizegains.minimizegains as minimizegains
+import fava_investor.modules.performance.performance as performance
 
 
 @click.group()
@@ -21,6 +22,7 @@ def cli():
 cli.add_command(summarizer.summarizer)
 cli.add_command(tlh.tlh)
 cli.add_command(minimizegains.minimizegains)
+cli.add_command(performance.performance)
 
 
 if __name__ == '__main__':

fava_investor/examples/huge-example.beancount

@@ -15,6 +15,12 @@ option "operating_currency" "USD"
      'wash_pattern': 'Assets:US',
   },
 
+  'performance' : {
+     'account_field': 'account',
+     'accounts_pattern': 'Assets:US:Vanguard',
+     'accuracy': 2,
+  },
+
   'asset_alloc_by_account': [{
       'title':            'Allocation by Account',
       'pattern_type':     'account_name',

fava_investor/modules/performance/README.md

@@ -0,0 +1,21 @@
+# Performance
+_Show XIRR of investments_
+
+## Introduction
+This modules shows the XIRR of chosen investments and the summary of all the investments chosen.
+
+## Using this module
+- Accounts contains account name
+- XIRR contains XIRR of investments
+
+## Limitations
+XIRR are calculated using a maximum of 10 newton iterations for speed, so while the output is close to the final value, the accuracy cannot be guaranteed.
+
+## Example configuration:
+```
+  'performance' : {
+     'account_field': 'account',
+     'accounts_pattern': 'Assets:Investments',
+     'accuracy': 2,
+  },
+```

fava_investor/modules/performance/example.beancount

@@ -0,0 +1,61 @@
+option "title" "Test"
+option "operating_currency" "USD"
+option "render_commas" "True"
+option "booking_method" "FIFO"
+
+2010-01-01 open Assets:Investments:BNCT
+2010-01-01 open Assets:Investments:COFE
+2010-01-01 open Assets:Bank
+2010-01-01 open Income:Gains
+
+2010-01-01 custom "fava-extension" "fava_investor" "{
+  'performance' : {
+     'account_field': 'account',
+     'accounts_pattern': 'Assets:Investments',
+     'accuracy': 2,
+  },
+}"
+
+
+2010-01-01 commodity BNCT
+2010-01-01 commodity COFE
+
+2020-01-01 * "Buy stock"
+   Assets:Investments:BNCT                   1000 BNCT {100 USD}
+   Assets:Investments:COFE                   1000 COFE {10 USD}
+   Assets:Bank
+
+2021-03-12 * "Buy stock"
+   Assets:Investments:BNCT                   1000 BNCT {100 USD}
+   Assets:Investments:COFE                   1000 COFE {10 USD}
+   Assets:Bank
+
+2022-01-01 * "Sell stock"
+   Assets:Investments:BNCT                  -1500 BNCT {} @ 100 USD
+   Assets:Investments:COFE                  -1500 COFE {} @ 10 USD
+   Assets:Bank                          165000 USD
+   Income:Gains
+
+2022-06-01 * "Sell stock"
+   Assets:Investments:BNCT                  -500 BNCT {} @ 160 USD
+   Assets:Bank                           88000 USD
+   Income:Gains
+
+2024-07-14 * "Sell stock"
+   Assets:Investments:COFE                  -500 COFE {} @ 25 USD
+   Assets:Bank                               12500 USD
+   Income:Gains
+
+
+2020-01-01 price BNCT 100 USD
+2021-03-12 price BNCT 100 USD
+2022-01-01 price BNCT 100 USD
+2022-06-01 price BNCT 160 USD
+
+2020-01-01 price COFE 10 USD
+2021-03-12 price COFE 10 USD
+2022-01-01 price COFE 10 USD
+2022-06-01 price COFE 16 USD
+2023-01-01 price COFE 20 USD
+2024-01-01 price COFE 25 USD
+

fava_investor/modules/performance/libperformance.py

@@ -0,0 +1,97 @@
+#!/bin/env python3
+"""
+# Performance
+_Calculate XIRR for investments._
+
+See accompanying README.txt
+"""
+
+import collections
+from datetime import date, timedelta
+from fava_investor.common.libinvestor import build_config_table
+from beancount.core.number import Decimal
+from fava_investor.modules.tlh import libtlh
+
+
+def calculate_error_grad(investments: list[date, Decimal], guess: Decimal) -> tuple[Decimal, Decimal]:
+    sum: Decimal = 0
+    grad: Decimal = 0
+    init_date: date = investments[0][0]
+    for item in investments:
+        investment_date = item[0]
+        value = item[1]
+        time_step = Decimal(((investment_date - init_date)/timedelta(days=1))/365)
+        sum += value / (1 + guess)**time_step
+        grad += -time_step * value / (1 + guess)**(time_step + 1)
+
+    return sum, grad
+
+
+def calculate_xirr(investments: list[date, Decimal], accuracy) -> Decimal:
+    guess = Decimal(0.1)
+
+    for _ in range(10):
+        value, grad = calculate_error_grad(investments, guess)
+        correction: Decimal = value / grad
+        guess -= correction
+        if abs(value) < 1 and correction < 10**(-accuracy-2):
+            break
+
+    return round(guess*100, accuracy)
+
+
+def find_xirrs(accapi, options):
+    account_field = libtlh.get_account_field(options)
+    accounts_pattern = options.get('accounts_pattern', '')
+    accuracy = int(options.get('accuracy', 2))
+
+    currency = accapi.get_operating_currencies()[0]
+
+    sql = f"""
+    SELECT
+        {account_field} as account,
+        CONVERT(value(position, date), '{currency}') as market_value,
+        date as date
+      WHERE account_sortkey(account) ~ "^[01]" AND
+        account ~ '{accounts_pattern}'
+    """
+    rtypes, rrows = accapi.query_func(sql)
+    if not rtypes:
+        return [], {}, [[]]
+
+    sql = f"""
+    SELECT
+        {account_field} as account,
+        ONLY('{currency}', NEG(CONVERT(sum(position), '{currency}'))) as market_value,
+        cost_date as date
+      WHERE account_sortkey(account) ~ "^[01]" AND
+        account ~ '{accounts_pattern}'
+      GROUP BY {account_field}, date, account_sortkey(account)
+      ORDER BY account_sortkey(account)
+    """
+    remaintypes, remainrows = accapi.query_func(sql)
+    if not remaintypes:
+        return [], {}, [[]]
+
+    investments = {}
+    investments["Summary"] = []
+    for row in rrows:
+        if row.account not in investments.keys():
+            investments[row.account] = []
+        investments[row.account].append([row.date, row.market_value.number])
+        investments["Summary"].append([row.date, row.market_value.number])
+    for row in remainrows:
+        if row.market_value.number == 0:
+            continue
+        investments[row.account].append([date.today(), row.market_value.number])
+        investments["Summary"].append([date.today(), row.market_value.number])
+
+    xirr = {key: calculate_xirr(investments[key], accuracy) for key in investments}
+
+    retrow_types = [('Account', str), ('XIRR', Decimal)]
+    RetRow = collections.namedtuple('RetRow', [i[0] for i in retrow_types])
+    rrows = [RetRow(key, value) for key, value in xirr.items()]
+
+    tables = [build_config_table(options)]
+    tables.append(('XIRR performance', (retrow_types, rrows, None, None)))
+    return tables

fava_investor/modules/performance/performance.py

@@ -0,0 +1,52 @@
+#!/usr/bin/env python3
+"""Beancount Tool to find lots to sell with lowest gains, to minimize the tax burden."""
+
+import fava_investor.modules.performance.libperformance as libpf
+import fava_investor.common.beancountinvestorapi as api
+from fava_investor.common.clicommon import pretty_print_table, write_table_csv
+import click
+
+
+@click.command()
+@click.argument('beancount-file', type=click.Path(exists=True), envvar='BEANCOUNT_FILE')
+@click.option('--csv-output', help='In addition to summary, output to performance.csv', is_flag=True)
+def performance(beancount_file, csv_output):
+    """Generate XIRR for each investment.
+
+       The BEANCOUNT_FILE environment variable can optionally be set instead of specifying the file on the
+       command line.
+
+       The configuration for this module is expected to be supplied as a custom directive like so in your
+       beancount file:
+
+       \b
+        2010-01-01 custom "fava-extension" "fava_investor" "{
+              'performance' : {
+                 'account_field': 'account',
+                 'accounts_pattern': 'Assets:Investments',
+                 'accuracy': 2,
+              },
+           }}"
+
+    """
+    accapi = api.AccAPI(beancount_file, {})
+    config = accapi.get_custom_config('performance')
+    tables = libpf.find_xirrs(accapi, config)
+
+    # TODO:
+    # - use same return return API for all of fava_investor
+    #   - ordered dictionary of title: [retrow_types, table]
+    # - make output printing and csv a common function
+
+    if csv_output:
+        write_table_csv('performance.csv', tables[1])
+    else:
+        def _gen_output():
+            for title, (rtypes, rrows, _, _) in tables:
+                yield pretty_print_table(title, rtypes, rrows)
+
+        click.echo_via_pager(_gen_output())
+
+
+if __name__ == '__main__':
+    performance()

fava_investor/modules/performance/test_performance.py

@@ -0,0 +1,72 @@
+#!/usr/bin/env python3
+
+import beancountinvestorapi as api
+import sys
+import os
+from beancount.utils import test_utils
+sys.path.append(os.path.join(os.path.dirname(__file__), '.'))
+import libperformance as libpf
+
+
+class TestScriptCheck(test_utils.TestCase):
+    def setUp(self):
+        self.options = {
+            'account_field': 'account',
+            'accounts_pattern': 'Assets:Investments',
+            'accuracy': 2,
+        }
+
+    @test_utils.docfile
+    def test_performance_basic(self, f):
+        """
+2010-01-01 commodity BNCT
+2010-01-01 commodity COFE
+
+2020-01-01 * "Buy stock"
+   Assets:Investments:BNCT                   1000 BNCT {100 USD}
+   Assets:Investments:COFE                   1000 COFE {10 USD}
+   Assets:Bank
+
+2021-03-12 * "Buy stock"
+   Assets:Investments:BNCT                   1000 BNCT {100 USD}
+   Assets:Investments:COFE                   1000 COFE {10 USD}
+   Assets:Bank
+
+2022-01-01 * "Sell stock"
+   Assets:Investments:BNCT                  -1500 BNCT {} @ 100 USD
+   Assets:Investments:COFE                  -1500 COFE {} @ 10 USD
+   Assets:Bank                               165000 USD
+   Income:Gains
+
+2022-06-01 * "Sell stock"
+   Assets:Investments:BNCT                  -500 BNCT {} @ 160 USD
+   Assets:Bank                               88000 USD
+   Income:Gains
+
+2024-07-14 * "Sell stock"
+   Assets:Investments:COFE                  -500 COFE {} @ 25 USD
+   Assets:Bank                               12500 USD
+   Income:Gains
+
+2020-01-01 price BNCT 100 USD
+2021-03-12 price BNCT 100 USD
+2022-01-01 price BNCT 100 USD
+2022-06-01 price BNCT 160 USD
+
+2020-01-01 price COFE 10 USD
+2021-03-12 price COFE 10 USD
+2022-01-01 price COFE 10 USD
+2022-06-01 price COFE 16 USD
+2023-01-01 price COFE 20 USD
+2024-01-01 price COFE 25 USD
+
+        """
+        accapi = api.AccAPI(f, {})
+        ret = libpf.find_xirrs(accapi, self.options)
+        title, (retrow_types, xirrs, _, _) = ret[1]
+
+        self.assertEqual(2, len(xirrs))
+        self.assertEqual("Assets:Investments:BNCT", xirrs[0].account)
+        self.assertEqual(9.35, xirrs[0].XIRR)
+        self.assertEqual("Assets:Investments:COFE", xirrs[1].account)
+        self.assertEqual(13.70, xirrs[1].XIRR)

fava_investor/templates/Investor.html

@@ -7,7 +7,8 @@
                         ('cashdrag', _('Cash Drag')),
                         ('tlh', _('Tax Loss Harvestor')),
                         ('summarizer', _('Summarizer')),
-                        ('minimizegains', _('Gains Minimizer'))
+                        ('minimizegains', _('Gains Minimizer')),
+                        ('performance', _('Performance'))
                         ] %}
   <h3><b>{% if not (module == key) %}<a href="{{ url_for('extension_report', extension_name='Investor', module=key) }}">{{ label }}</a>{% else %} {{ label }}{% endif %}</b></h3>
   {% endfor %}
@@ -50,6 +51,10 @@ <h2>{{table[0]}}</h2>
   {{ table_list_renderer('', extension.build_minimizegains()) }}
 {% endif %}
 
+{% if (module == 'performance') %}
+  {{ table_list_renderer('', extension.build_performance()) }}
+{% endif %}
+
 <!-- -------------------------------------------------------------------------------- -->
 
 {% if (module == 'tlh') %}