# 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
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from datetime import datetime
from typing import Tuple, List
from qf_lib.common.utils.returns.drawdown_tms import drawdown_tms
from qf_lib.containers.series.qf_series import QFSeries
[docs]def list_longest_drawdowns(prices_tms: QFSeries, count: int) -> List[Tuple[datetime, datetime]]:
"""
Analyses the specified series and finds the top ``count`` longest drawdowns.
Returns
-------
Tuple[datetime, datetime]
A list of 2-item tuples. The first tuple item contains the start date and the second the end date of the drawdown
period.
"""
result = []
drawdown_timeseries = drawdown_tms(prices_tms)
start_date = None
for date, value in drawdown_timeseries.items():
if value == 0:
if start_date is not None:
result.append((start_date, date))
start_date = None
else:
if start_date is None:
start_date = date
if start_date is not None:
result.append((start_date, drawdown_timeseries.index[-1]))
# Sort according to drawdown length.
result.sort(key=lambda val: val[0] - val[1])
return result[:count]