avg_drawdown

qf_lib.common.utils.returns.avg_drawdown.avg_drawdown(prices_tms: qf_lib.containers.series.qf_series.QFSeries) → float

Finds the average drawdown for the given timeseries of prices.

Parameters

prices_tms (QFSeries) – timeseries of prices

Returns

average drawdown for the given timeseries of prices expressed as the percentage value (e.g. 0.5 corresponds to the 50% drawdown)

Return type

float