# 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,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from typing import Union
from qf_lib.common.enums.frequency import Frequency
from qf_lib.common.utils.returns.drawdown_tms import drawdown_tms
from qf_lib.containers.dataframe.qf_dataframe import QFDataFrame
from qf_lib.containers.series.qf_series import QFSeries
[docs]def max_drawdown(input_data: Union[QFSeries, QFDataFrame], frequency: Frequency = None) -> Union[float, QFSeries]:
"""
Finds maximal drawdown for the given timeseries of prices.
Parameters
----------
input_data: QFSeries, QFDataFrame
timeseries of prices/returns
frequency: Frequency
optional parameter that improves teh performance of the function it is not need to infer the frequency
Returns
-------
maximal drawdown for the given timeseries of prices expressed as the percentage value (e.g. 0.5 corresponds
to the 50% drawdown)
"""
return drawdown_tms(input_data, frequency=frequency).max()