list_of_max_drawdowns

qf_lib.common.utils.returns.list_of_max_drawdowns.list_of_max_drawdowns(prices_tms: QFSeries)

Finds the values of individual maximum drawdowns and the duration of each drawdown.

Parameters:

prices_tms (QFSeries) – timeseries of prices

Returns:

(max_drawdowns, duration_of_drawdowns) - list of all maximum values in individual drawdowns, list of all durations of drawdowns expressed in days

Return type:

List[float], List[float]