okama.AssetList.recovery_periods

property AssetList.recovery_periods

Calculate the longest recovery periods for the assets.

The recovery period (drawdown duration) is the number of months to reach the value of the last maximum.

Returns:

Series

Max recovery period for each asset (in months).

See also

drawdowns

Calculate drawdowns time series.

Notes

If the last asset maximum value is not recovered NaN is returned. The largest recovery period does not necessary correspond to the max drawdown.

Examples

>>> x = ok.AssetList(['SPY.US', 'AGG.US'])
>>> x.recovery_periods
SPY.US    52
AGG.US    15
dtype: int32