Drawdown Calculation

drawdown.py

import numpy as np
import matplotlib.pyplot as plt

def drawdown2(series):
	MDD = 0
	peak = -99999
	length = len(series)
	DD = np.zeros(length)
	for i in range(length):
		if (series[i] > peak): # peak will be the maximum value seen so far (0 to i)
			peak = series[i]
		DD[i] = 100.0 * (peak - series[i]) / peak
		if (DD[i] > MDD): # Same idea as peak variable, MDD keeps track of the maximum drawdown so far.
			MDD = DD[i]
	return DD
series = np.random.rand(5,1)

maxdd = 0
drawdown = list()
length = len(series)
for i in range(length):
	cur = series[i]
	dd = cur - series[0]
	for j in range(1,i):
		if (cur - series[j] < dd):
			dd = 100 * (cur - series[j])/series[j]
	drawdown.append(dd) 
maxdd = min(drawdown)	
plt.plot(series)
print("The Maxdrawdown is %s \n Drawdowns are %s " % (maxdd,  drawdown))
print(drawdown2(series))
plt.show()