okama.AssetList.drawdowns

property AssetList.drawdowns

Calculate drawdowns time series for the assets.

The drawdown is the percent decline from a previous peak in wealth index.

Returns:

DataFrame

Time series of drawdowns.

See also

risk_monthly

Calculate montly risk for each asset.

risk_annual

Calculate annualized risks.

semideviation_monthly

Calculate semideviation monthly values.

semideviation_annual

Calculate semideviation annualized values.

get_var_historic

Calculate historic Value at Risk (VaR).

get_cvar_historic

Calculate historic Conditional Value at Risk (CVaR).

Examples

>>> import matplotlib.pyplot as plt
>>> al = ok.AssetList(['SPY.US', 'BND.US'], last_date='2021-08')
>>> al.drawdowns.plot()
>>> plt.show()