quantlab.runs.backtest_stats.drawdown_span#

quantlab.runs.backtest_stats.drawdown_span(value)[source]#

Return the deepest drawdown of a value curve, from its valley to its recovery.

The drawdowns are vectorbt’s records of the curve (a drawdown starts after a peak and ends on the bar that regains it, or, still running, on the last bar; NaN bars are skipped) and the one returned is the deepest by valley / peak - 1, never the longest. This is the span the report marks on the equity curve and names in its “Setup” table.

Parameters:

valuexarray.DataArray: Portfolio value on a timestamp axis.

Returns:

dict or None: valley and end (bar_label strings of the deepest bar and of the bar it recovered on, or the last bar), bars (bars from the valley to the end, not calendar days), depth (a negative fraction) and recovered; None when the curve has no drawdown with a finite depth.

Examples

>>> bars = pd.bdate_range("2024-01-01", periods=6)
>>> value = xr.DataArray([100.0, 90.0, 80.0, 95.0, 101.0, 99.0],
...                      dims="timestamp", coords={"timestamp": bars})
>>> drawdown_span(value)
{'valley': '2024-01-03', 'end': '2024-01-05', 'bars': 2, 'depth': -0.19999999999999996, 'recovered': True}