# 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 typing import List
from pandas import Timedelta
from qf_lib.common.utils.dateutils.to_days import to_days
from qf_lib.common.utils.returns.drawdown_tms import drawdown_tms
from qf_lib.containers.series.qf_series import QFSeries
[docs]def list_of_max_drawdowns(prices_tms: QFSeries) -> (List[float], List[float]):
"""
Finds the values of individual maximum drawdowns and the duration of each drawdown.
Parameters
----------
prices_tms: QFSeries
timeseries of prices
Returns
-------
List[float], List[float]
(max_drawdowns, duration_of_drawdowns) - list of all maximum values in individual drawdowns, list of all
durations of drawdowns expressed in days
"""
drawdown_timeseries = drawdown_tms(prices_tms)
max_drawdowns = []
duration_of_drawdowns = []
series_sample = QFSeries()
for date, value in drawdown_timeseries.iteritems():
if value == 0:
if not series_sample.empty: # empty sequence returns false
max_drawdowns.append(series_sample.max())
time_span = series_sample.index[-1] - series_sample.index[0] + Timedelta('1 days')
duration_of_drawdowns.append(time_span)
series_sample = QFSeries() # reset the sample series
else:
series_sample[date] = value
if not series_sample.empty: # the last element was not added if the drawdown did not recovered
max_drawdowns.append(series_sample.max())
time_span = series_sample.index[-1] - series_sample.index[0] + Timedelta('1 days')
duration_of_drawdowns.append(time_span)
# convert the duration of drawdown to float value expressed in days
duration_of_drawdowns = list(map(to_days, duration_of_drawdowns))
return max_drawdowns, duration_of_drawdowns