最长回撤定义:资产价值一直下跌,回报率为负的最长时长
思路:
- 将非连续时间序列标签改写为连续的整数标签(避免休息日影响)
- 找出回报为负的整数标签
- 使用pd.cumsum(pd.diff()-1)函数,同一个数出现的最大频次为连续下跌的最大天数
按周期计算(月最长回撤):
生成时间序列和随机回报:
import pandas as pd
import numpy as np
data = pd.DataFrame()
data.index = pd.date_range(start = '20100101',end = '20191231',freq = 'B',closed = 'right')
a = np.random.standard_normal(len(data))
b = a/(a.max()-a.min())*0.02
data['Ret'] = b
打标签:
freq = 'M'
data = pd.DataFrame(data['Ret'])
data_s = pd.DataFrame()
data_s['group'] = data.resample('{}'.format(freq)).sum()
data_s['group'] = data_s.index
data = data.join(data_s['group'], how='outer')
data