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)