def compute(self, today, assets, out, data):
drawdowns = fmax.accumulate(data, axis=0) - data
drawdowns[isnan(drawdowns)] = NINF
drawdown_ends = nanargmax(drawdowns, axis=0)
# TODO: Accelerate this loop in Cython or Numba.
for i, end in enumerate(drawdown_ends):
peak = nanmax(data[:end + 1, i])
out[i] = (peak - data[end, i]) / data[end, i]
def compute(self, today, assets, out, data):
drawdowns = fmax.accumulate(data, axis=0) - data
drawdowns[isnan(drawdowns)] = NINF
drawdown_ends = nanargmax(drawdowns, axis=0)
# TODO: Accelerate this loop in Cython or Numba.
for i, end in enumerate(drawdown_ends):
peak = nanmax(data[:end + 1, i])
out[i] = (peak - data[end, i]) / data[end, i]
