python 水位_Python中最大水位下降的开始、结束和持续时间

给定一个时间序列，我想计算最大下降，我也想找到最大下降的起点和终点，这样我就可以计算持续时间。我想在时间序列图上标记缩编的开始和结束，如下所示：

到目前为止，我已经有了生成随机时间序列的代码，还有计算最大下降的代码。如果有人知道如何确定开始和结束的地方，我真的很感激！import pandas as pd

import matplotlib.pyplot as plt

import numpy as np

# create random walk which I want to calculate maximum drawdown for:

T = 50

mu = 0.05

sigma = 0.2

S0 = 20

dt = 0.01

N = round(T/dt)

t = np.linspace(0, T, N)

W = np.random.standard_normal(size = N)

W = np.cumsum(W)*np.sqrt(dt) ### standard brownian motion ###

X = (mu-0.5*sigma**2)*t + sigma*W

S = S0*np.exp(X) ### geometric brownian motion ###

plt.plot(S)

# Max drawdown function

def max_drawdown(X):

mdd = 0

peak = X[0]

for x in X:

if x > peak:

peak = x

dd = (peak - x) / peak

if dd > mdd:

mdd = dd

return mdd

drawSeries = max_drawdown(S)

MaxDD = abs(drawSeries.min()*100)

print MaxDD

plt.show()