Python 中最大回撤的开始、结束和持续时间 [英] Start, End and Duration of Maximum Drawdown in Python

问题描述

给定一个时间序列，我想计算最大回撤，我还想定位最大回撤的起点和终点，以便计算持续时间.我想像这样在时间序列图上标记回撤的开始和结束:

Given a time series, I want to calculate the maximum drawdown, and I also want to locate the beginning and end points of the maximum drawdown so I can calculate the duration. I want to mark the beginning and end of the drawdown on a plot of the timeseries like this:

到目前为止，我已经有了生成随机时间序列的代码，并且我已经有了计算最大回撤的代码.如果有人知道如何确定缩编开始和结束的位置，我将不胜感激！

So far I've got code to generate a random time series, and I've got code to calculate the max drawdown. If anyone knows how to identify the places where the drawdown begins and ends, I'd really appreciate it!

import pandas as pd
import matplotlib.pyplot as plt
import numpy as np

# create random walk which I want to calculate maximum drawdown for:

T = 50
mu = 0.05
sigma = 0.2
S0 = 20
dt = 0.01
N = round(T/dt)
t = np.linspace(0, T, N)
W = np.random.standard_normal(size = N) 
W = np.cumsum(W)*np.sqrt(dt) ### standard brownian motion ###
X = (mu-0.5*sigma**2)*t + sigma*W 

S = S0*np.exp(X) ### geometric brownian motion ###
plt.plot(S)

# Max drawdown function      

def max_drawdown(X):
    mdd = 0
    peak = X[0]
    for x in X:
        if x > peak: 
            peak = x
        dd = (peak - x) / peak
        if dd > mdd:
            mdd = dd
    return mdd    

drawSeries = max_drawdown(S)
MaxDD = abs(drawSeries.min()*100)
print MaxDD


plt.show()

推荐答案

只要找出运行最大值减去当前值最大的地方:

Just find out where running maximum minus current value is largest:

n = 1000
xs = np.random.randn(n).cumsum()
i = np.argmax(np.maximum.accumulate(xs) - xs) # end of the period
j = np.argmax(xs[:i]) # start of period

plt.plot(xs)
plt.plot([i, j], [xs[i], xs[j]], 'o', color='Red', markersize=10)

这篇关于Python 中最大回撤的开始、结束和持续时间的文章就介绍到这了，希望我们推荐的答案对大家有所帮助，也希望大家多多支持IT屋！