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 nautilus_model::position::Position;
19use pyo3::prelude::*;
20
21use super::transform_returns;
22use crate::{statistic::PortfolioStatistic, statistics::max_drawdown::MaxDrawdown};
23
24#[pymethods]
25#[pyo3_stub_gen::derive::gen_stub_pymethods]
26impl MaxDrawdown {
27    /// Calculates the Maximum Drawdown for returns.
28    ///
29    /// Maximum Drawdown is the maximum observed loss from a peak to a trough,
30    /// before a new peak is attained. It is an indicator of downside risk over
31    /// a specified time period.
32    ///
33    /// Formula: Max((Peak - Trough) / Peak) for all peak-trough sequences
34    ///
35    /// The equity curve compounds returns from a starting value of `1.0`, and the
36    /// result is reported as a negative fraction (e.g. `-0.20` is a 20% drawdown).
37    ///
38    /// # References
39    ///
40    /// - Bacon, C. R. (2008). *Practical Portfolio Performance Measurement and Attribution*
41    ///   (2nd ed.). Wiley.
42    #[new]
43    fn py_new() -> Self {
44        Self::new()
45    }
46
47    #[getter]
48    #[pyo3(name = "name")]
49    fn py_name(&self) -> String {
50        self.name()
51    }
52
53    #[pyo3(name = "calculate_from_returns")]
54    #[expect(clippy::needless_pass_by_value)]
55    fn py_calculate_from_returns(&self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
56        self.calculate_from_returns(&transform_returns(&raw_returns))
57    }
58
59    #[pyo3(name = "calculate_from_realized_pnls")]
60    fn py_calculate_from_realized_pnls(&self, _realized_pnls: Vec<f64>) -> Option<f64> {
61        None
62    }
63
64    #[pyo3(name = "calculate_from_positions")]
65    fn py_calculate_from_positions(&self, _positions: Vec<Position>) -> Option<f64> {
66        None
67    }
68
69    fn __repr__(&self) -> String {
70        format!("MaxDrawdown({})", self.name())
71    }
72}
nautilus_analysis/python/statistics/max_drawdown.rs

nautilus_analysis/python/statistics/
max_drawdown.rs
