skfolio.measures.get_drawdowns

skfolio.measures.get_drawdowns(returns, compounded=False)

Compute the drawdowns’ series from the returns.

Parameters:

returnsndarray of shape (n_observations,) or (n_observations, n_assets)

Array of return values.

compoundedbool, default=False

If this is set to True, the cumulative returns are compounded otherwise they are uncompounded.

Returns:

values: ndarray of shape (n_observations,) or (n_observations, n_assets)

Drawdowns.

Notes

NaN handling: Missing values (NaNs) remain at their original locations in the output and are treated as neutral elements during accumulation, so they do not propagate to subsequent values.