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fynance.features.metrics.perf_index

# fynance.features.metrics.mdd¶

fynance.features.metrics.mdd(X, raw=False, axis=0, dtype=None)

Compute the maximum drawdown for each X’ series.

Drawdown (:func:~fynance.features.metrics.drawdown) is the 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: X : np.ndarray[np.dtype, ndim=1 or 2] Time-series of prices, performances or index. raw : bool, 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. dtype : np.dtype, optional The type of the output array. If dtype is not given, infer the data type from X input. dtype or np.ndarray[dtype, ndim=1] Value of Maximum DrawDown for each series.

Notes

Let DD the drawdown vector:

$MDD = max(DD_{1:T})$

Where, $$DD_t = \begin{cases}max(X_{1:t}) - X_t \text{, if raw=True} \\ 1 - \frac{X_t}{max(X_{1:t})} \text{, otherwise} \\ \end{cases}$$, $$\forall t \in [1:T]$$.

References

Examples

>>> X = np.array([70, 100, 80, 120, 160, 80]).astype(np.float64)
>>> mdd(X)
0.5
>>> mdd(X.reshape([6, 1]))
array([0.5])