Created
November 17, 2015 09:07
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Compute the drawdown for a price time series...
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| import numpy as np | |
| import pandas as pd | |
| def drawdown(price): | |
| high_water_mark = np.empty(len(price.index)) | |
| moving_max_value = 0 | |
| for i, value in enumerate(price.values): | |
| moving_max_value = max(moving_max_value, value) | |
| high_water_mark[i] = moving_max_value | |
| return pd.Series(data=1.0 - (price / high_water_mark), index=price.index) |
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