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added index for valley in drawdown #681

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added index for valley in drawdown #681

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92de3de
added index for valley in drawdown
thlautenschlaeger Sep 23, 2021
11cf948
added fix
thlautenschlaeger Sep 27, 2021
cbe9a79
missing imports
thlautenschlaeger Sep 27, 2021
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added index for valley in drawdown
@thlautenschlaeger
thlautenschlaeger authored Sep 23, 2021
commit 92de3ded1bd3aa90febf5a257a141256bd2fbc83
1 change: 1 addition & 0 deletions pyfolio/timeseries.py
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Original file line number Diff line number Diff line change
@@ -898,6 +898,7 @@ def get_max_drawdown_underwater(underwater):
recovery = underwater[valley:][underwater[valley:] == 0].index[0]
except IndexError:
recovery = np.nan # drawdown not recovered
valley = underwater.index[valley]
return peak, valley, recovery