sigmaquant.performance.risk.max_drawdown#

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

Compute the maximum drawdown.

The maximum drawdown is defined as the minimum value of the drawdown series over the full sample.

Parameters:

  • returns – Input time series.

  • kind – Type of input values.

  • starting_value – Initial cumulative level.

Returns:

Maximum drawdown (non-positive).

Return type:

float

Notes

The maximum drawdown is defined as:

\[\mathrm{MaxDD} = \min_t \mathrm{DD}_t\]