sigmaquant.performance.risk.drawdown_stats#

sigmaquant.performance.risk.drawdown_stats(returns, kind='simple', starting_value=0.0)#

Compute summary statistics for drawdowns.

Parameters:

  • returns (array-like) –

    Input sequence of returns or PnL values. The interpretation of the input depends on the kind parameter.

    This is typically a one-dimensional array-like object such as a numpy.ndarray or pandas.Series.

  • kind ({"simple", "pnl", "log"}, optional) –

    Type of input values.

    • "simple": simple (decimal) returns, compounded multiplicatively

    • "log": log-returns, aggregated additively

    • "pnl": additive profit-and-loss values

  • starting_value – Initial cumulative level.

Returns:

Dictionary containing drawdown magnitude and time-underwater statistics.

Return type:

dict