回撤率 python_最大回撤用python怎么计算

如何使用python计算最大回撤，下面给大家举个小例子：

1. 单期简单收益率

import datetime

import pandas as pd

pd.core.common.is_list_like = pd.api.types.is_list_likeprice = pd.Series([3.42,3.51,3.68,3.43,3.56,3.67], index=[datetime.date(2015,7,x) for x in range(3,9)])

price2015-07-03 3.42

2015-07-04 3.51

2015-07-05 3.68

2015-07-06 3.43

2015-07-07 3.56

2015-07-08 3.67

dtype: float64

利用ffn库计算单期简单收益import ffnr = ffn.to_returns(price)

r2015-07-03 NaN

2015-07-04 0.026316

2015-07-05 0.048433

2015-07-06 -0.067935

2015-07-07 0.037901

2015-07-08 0.030899

dtype: float64

2. 最大回撤