skfolio.measures.max_drawdown

skfolio.measures.max_drawdown(drawdowns)

Compute the maximum drawdown.

Parameters:

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

Vector of drawdowns.

Returns:

valuefloat or ndarray of shape (n_assets,)

Maximum drawdown. If returns is a 1D-array, the result is a float. If returns is a 2D-array, the result is a ndarray of shape (n_assets,).