def test_drawdown(self):
returns = factory.create_returns_from_list(
[1.0, -0.5, 0.8, .17, 1.0, -0.1, -0.45], self.sim_params)
# 200, 100, 180, 210.6, 421.2, 379.8, 208.494
metrics = risk.RiskMetricsPeriod(returns[0].date, returns[-1].date,
returns)
self.assertEqual(metrics.max_drawdown, 0.505)
def test_drawdown(self):
returns = factory.create_returns_from_list(
[1.0, -0.5, 0.8, .17, 1.0, -0.1, -0.45], self.sim_params)
# 200, 100, 180, 210.6, 421.2, 379.8, 208.494
metrics = risk.RiskMetricsPeriod(
returns.index[0],
returns.index[-1],
returns,
env=self.env,
benchmark_returns=self.env.benchmark_returns,
)
self.assertEqual(metrics.max_drawdown, 0.505)