Function computeReturns

packages/dataflows/src/returns.ts:81–100

(
  symbol: string,
  fromDate: string,
  holdDays: number,
  benchmark: string,
  fetchImpl: typeof fetch = globalThis.fetch,
)

}

export async function computeReturns(
  symbol: string,
  fromDate: string,
  holdDays: number,
  benchmark: string,
  fetchImpl: typeof fetch = globalThis.fetch,
): Promise<ReturnsResult> {
  const endDate = addDays(fromDate, holdDays);
  const [symSeries, benchSeries] = await Promise.all([
    fetchSeries(symbol, fetchImpl),
    fetchSeries(benchmark, fetchImpl),
  ]);
  const symbolReturn = pctChange(symSeries, fromDate, endDate);
  const benchmarkReturn = pctChange(benchSeries, fromDate, endDate);
  const alpha =
    symbolReturn != null && benchmarkReturn != null
      ? symbolReturn - benchmarkReturn
      : null;
  return { symbolReturn, benchmarkReturn, alpha };
}