def sl_choice_nb(col, from_i, to_i, ts, stop, trailing, first):
"""`choice_func_nb` that returns the first index of `ts` being below the stop defined at `from_i-1`."""
ts = ts[from_i - 1:to_i, col]
stop = stop[from_i - 1:to_i, col]
if trailing:
# Propagate the maximum value from the entry using expanding max
stop = (1 - stop) * generic_nb.expanding_max_1d_nb(ts)
# Get the absolute index of the first ts being below that stop
exits = from_i + np.flatnonzero(ts[1:] <= stop[1:])
else:
exits = from_i + np.flatnonzero(ts[1:] <= (1 - stop[0]) * ts[0])
if first:
return exits[:1]
return exits
def drawdown_1d_nb(returns):
"""Drawdown of cumulative returns."""
cum_returns = cum_returns_1d_nb(returns, start_value=100.)
max_returns = generic_nb.expanding_max_1d_nb(cum_returns, minp=1)
return cum_returns / max_returns - 1