sigmaquant.performance.risk.time_underwater#
- sigmaquant.performance.risk.time_underwater(drawdown)#
Count consecutive underwater periods.
An underwater period is defined as a period where the drawdown is strictly negative.
- Parameters:
drawdown – Drawdown time series.
- Returns:
Time series of consecutive underwater counts. The value is zero when the system is not underwater and increases sequentially during each underwater spell.
- Return type:
pandas.Series