list_of_max_drawdowns¶
-
qf_lib.common.utils.returns.list_of_max_drawdowns.
list_of_max_drawdowns
(prices_tms: qf_lib.containers.series.qf_series.QFSeries)[source]¶ 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]