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]