max_drawdown¶

max_drawdown(x, w=Window(w=None, r=0))[source]¶

Compute the maximum peak to trough drawdown over a rolling window.

Parameters

x (Series) – time series
w (Union[Window, int]) – Window or int: size of window and ramp up to use. e.g. Window(22, 10) where 22 is the window size and 10 the ramp up value. Window size defaults to length of series.

Return type

Series

Returns

time series of rolling maximum drawdown

Examples

Compute the maximum peak to trough drawdown

>>> series = generate_series(100)
>>> max_drawdown(series)

See also

returns()