drawdown¶

Defined in fynance.features.metrics

drawdown(X, raw=False, axis=0, dtype=None)[source]

Measures the drawdown of each X’ series.

Function to compute measure of the decline from a historical peak in some variable [5] (typically the cumulative profit or total open equity of a financial trading strategy).

Parameters:

Xnp.ndarray[dtype, ndim=1 or 2]

Time-series of prices, performances or index. Must be positive values.

rawbool, optional

If True then compute the raw drawdown.
Else (default) compute the drawdown in percentage.

axis{0, 1}, optional

Axis along wich the computation is done. Default is 0.

dtypenp.dtype, optional

The type of the output array. If dtype is not given, infer the data type from X input.

Returns:

np.ndarray[dtype, ndim=1 or 2]: Series of drawdown for each series.

See also

mdd, calmar, sharpe, roll_mdd

Notes

Let DD the drawdown vector, \(\forall t \in [1:T]\):

\[\begin{split}DD_t = \begin{cases}max(X_{1:t}) - X_t \text{, if raw=True} \\ 1 - \frac{X_t}{max(X_{1:t})} \text{, otherwise} \\ \end{cases}\end{split}\]

References

[5]

https://en.wikipedia.org/wiki/Drawdown_(economics)

Examples

>>> X = np.array([70, 100, 80, 120, 160, 80]).astype(np.float64)
>>> drawdown(X)
array([0. , 0. , 0.2, 0. , 0. , 0.5])
>>> drawdown(X.reshape([6, 1])).T
array([[0. , 0. , 0.2, 0. , 0. , 0.5]])
>>> drawdown(X, raw=True)
array([ 0.,  0., 20.,  0.,  0., 80.])