nautilus_analysis/python/statistics/
max_drawdown.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::collections::BTreeMap;
17
18use pyo3::prelude::*;
19
20use super::transform_returns;
21use crate::{statistic::PortfolioStatistic, statistics::max_drawdown::MaxDrawdown};
22
23#[pymethods]
24#[pyo3_stub_gen::derive::gen_stub_pymethods]
25impl MaxDrawdown {
26    /// Calculates the Maximum Drawdown for returns.
27    ///
28    /// Maximum Drawdown is the maximum observed loss from a peak to a trough,
29    /// before a new peak is attained. It is an indicator of downside risk over
30    /// a specified time period.
31    ///
32    /// Formula: Max((Peak - Trough) / Peak) for all peak-trough sequences
33    #[new]
34    fn py_new() -> Self {
35        Self::new()
36    }
37
38    #[getter]
39    #[pyo3(name = "name")]
40    fn py_name(&self) -> String {
41        self.name()
42    }
43
44    #[pyo3(name = "calculate_from_returns")]
45    #[expect(clippy::needless_pass_by_value)]
46    fn py_calculate_from_returns(&self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
47        self.calculate_from_returns(&transform_returns(&raw_returns))
48    }
49
50    #[pyo3(name = "calculate_from_realized_pnls")]
51    fn py_calculate_from_realized_pnls(&self, _realized_pnls: Vec<f64>) -> Option<f64> {
52        None
53    }
54
55    #[pyo3(name = "calculate_from_positions")]
56    fn py_calculate_from_positions(&self, _positions: Vec<Py<PyAny>>) -> Option<f64> {
57        None
58    }
59
60    fn __repr__(&self) -> String {
61        format!("MaxDrawdown({})", self.name())
62    }
63}
nautilus_analysis/python/statistics/max_drawdown.rs

nautilus_analysis/python/statistics/
max_drawdown.rs
