skfolio.measures.get_drawdowns

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

Compute the drawdowns’ series from the returns.

Parameters:

returnsndarray of shape (n_observations,)

Vector of returns.

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,)

Drawdowns.