Drawdowns

v1.0.0

Compute the drawdown function - also called the underwater equity curve -, as well as the worst 10 drawdowns of one or several portfolio(s).

References

Input

{
  "type": "object",
  "required": [
    "portfolios"
  ],
  "properties": {
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "portfolioValues"
        ],
        "properties": {
          "portfolioValues": {
            "type": "array",
            "description": "portfolioValues[t] is the value of the portfolio at the time t",
            "items": {
              "type": "number"
            }
          }
        }
      }
    }
  }
}

Output

{
  "type": "object",
  "required": [
    "portfolios"
  ],
  "properties": {
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "portfolioDrawdowns",
          "portfolioWorstDrawdowns"
        ],
        "properties": {
          "portfolioDrawdowns": {
            "type": "array",
            "description": "portfolioDrawdowns[t] is the value of the drawdown function at the time t",
            "items": {
              "type": "number"
            }
          },
          "portfolioWorstDrawdowns": {
            "type": "array",
            "items": {
              "type": "object",
              "required": [
                "drawdownDepth",
                "drawdownStart",
                "drawdownBottom",
                "drawdownEnd"
              ],
              "properties": {
                "drawdownBottom": {
                  "type": "integer"
                },
                "drawdownDepth": {
                  "type": "number"
                },
                "drawdownEnd": {
                  "type": "integer"
                },
                "drawdownStart": {
                  "type": "integer"
                }
              }
            }
          }
        }
      }
    }
  }
}