Drawdown

Description

Running drawdown from the cumulative-since-inception peak:

\[ \text{Drawdown}[t] = \frac{\text{price}[t]}{\text{CumMax}(\text{price})[t]} - 1 \]

A flat or new-high series gives 0. A 30 % loss from the prior peak gives -0.30. Composes CumMax. No warmup.

Notes

• Bit-exact to a pandas.Series.cummax-based reference.

• See also MaxDrawdown (running min of Drawdown) and RollingMaxDrawdown (worst drawdown inside a trailing window).

NaN handling

Policy: ignore. A NaN in any input at index t causes the function to skip that step: output at t is NaN and internal state is unchanged. Subsequent finite samples are processed as if step t had not occurred.

Examples

Usage example

import numpy as np
import plotly.graph_objects as go
from plotly.subplots import make_subplots
from screamer import Drawdown

np.random.seed(0)
price = 100 * np.exp(np.cumsum(np.random.normal(0.0005, 0.02, size=300)))
dd = Drawdown()(price)                  # 0 at a new peak, negative in a drawdown

fig = make_subplots(rows=2, cols=1, shared_xaxes=True,
                    row_heights=[0.6, 0.4], vertical_spacing=0.08)
fig.add_trace(go.Scatter(y=price, mode="lines", name="price"), row=1, col=1)
fig.add_trace(go.Scatter(y=dd, mode="lines", name="drawdown",
                         line=dict(color="red"), fill="tozeroy"), row=2, col=1)
fig.update_layout(title="Running drawdown from the peak (Drawdown)",
                  margin=dict(l=20, r=20, t=60, b=20),
                  legend=dict(orientation="h", yanchor="bottom", y=1.02, xanchor="right", x=1))
fig.update_yaxes(title_text="price", row=1, col=1)
fig.update_yaxes(title_text="drawdown", row=2, col=1)
fig.show()