# 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.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
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from statistics import mean
from qf_lib.containers.series.qf_series import QFSeries
[docs]def avg_drawdown_duration(prices_tms: QFSeries) -> float:
"""
Finds the average duration of a drawdown for the given timeseries of prices.
Parameters
----------
prices_tms: QFSeries
timeseries of prices
Returns
-------
float
average duration of a drawdown for the given timeseries of prices expressed in days
"""
from qf_lib.common.utils.returns.list_of_max_drawdowns import list_of_max_drawdowns
series_of_max_drawdowns, duration_of_drawdowns = list_of_max_drawdowns(prices_tms)
if len(duration_of_drawdowns) > 0:
return mean(duration_of_drawdowns)
else:
return 0.0