Michael Halls-Moore
33 lines
923 B
Python
33 lines
923 B
Python
import numpy as np
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import pandas as pd
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def create_drawdowns(pnl):
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"""
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Calculate the largest peak-to-trough drawdown of the PnL curve
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as well as the duration of the drawdown. Requires that the
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pnl_returns is a pandas Series.
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Parameters:
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pnl - A pandas Series representing period percentage returns.
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Returns:
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drawdown, duration - Highest peak-to-trough drawdown and duration.
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"""
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# Calculate the cumulative returns curve
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# and set up the High Water Mark
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hwm = [0]
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# Create the drawdown and duration series
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idx = pnl.index
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drawdown = pd.Series(index = idx)
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duration = pd.Series(index = idx)
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# Loop over the index range
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for t in range(1, len(idx)):
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hwm.append(max(hwm[t-1], pnl[t]))
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drawdown[t]= (hwm[t]-pnl[t])
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duration[t]= (0 if drawdown[t] == 0 else duration[t-1]+1)
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return drawdown, drawdown.max(), duration.max()
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