qf_lib.common.utils.returns.drawdown_tms.drawdown_tms(input_data: InputData, frequency: Optional[Frequency] = None) InputData[source]

Calculates the timeseries of the same dates as prices_tms, which contains the drawdown value for each date.

  • input_data (QFSeries, QFDataFrame) – QF timeseries or multiple timeseries grouped into a DataFrame

  • frequency (Frequency) – optional parameter that improves teh performance of the function as to_prices does not need to infer the frequency


series of drawdowns (drawdown for each day). Drawdown for a given date is defined as the percentage difference between the the maximal price value up to the given date and the price value for that date.

Return type:

QFSeries, QFDataFrame