MichaelJMath
7/20/2017 - 2:28 AM

Create a time series representing the drawdown from high-water mark given a series of prices

Create a time series representing the drawdown from high-water mark given a series of prices

calculate_drawdown.py
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def calculate_drawdown(prices):
    """Create a time series representing the
    drawdown from high-water mark given a
    series of prices"""
    high_water_mark = prices.iloc[0]
    drawdown_amount = 0.
    drawdown_list = [0]
    for price in prices.iloc[1:]:
        if price > high_water_mark:
            drawdown_amount = 0.
            high_water_mark = price
        else:
            drawdown_amount = price / high_water_mark - 1
        drawdown_list.append(drawdown_amount) 
    return pd.Series(data=drawdown_list, index=prices.index)