# Copyright 2016-present CERN – European Organization for Nuclear Research
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
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#
# http://www.apache.org/licenses/LICENSE-2.0
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from qf_lib.common.utils.returns.drawdown_tms import drawdown_tms
from qf_lib.containers.series.qf_series import QFSeries
[docs]def avg_drawdown(prices_tms: QFSeries) -> float:
"""
Finds the average drawdown for the given timeseries of prices.
Parameters
----------
prices_tms: QFSeries
timeseries of prices
Returns
-------
float
average drawdown for the given timeseries of prices expressed as the percentage value (e.g. 0.5 corresponds
to the 50% drawdown)
"""
return drawdown_tms(prices_tms).mean()