Skip to content

get_max_drawdown_underwater fix #667

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
wants to merge 1 commit into
base: master
Choose a base branch
from
Open

get_max_drawdown_underwater fix #667

Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
2 changes: 1 addition & 1 deletion pyfolio/timeseries.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -890,7 +890,7 @@ def get_max_drawdown_underwater(underwater):
The maximum drawdown's recovery.
"""

valley = underwater.idxmin() # end of the period
valley = underwater.index[underwater.values.argmin()] # end of the period
# Find first 0
peak = underwater[:valley][underwater[:valley] == 0].index[-1]
# Find last 0
Expand Down