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Remove dependency on multiple max drawdown functions #28

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gusgordon opened this issue Jun 26, 2015 · 4 comments
Closed

Remove dependency on multiple max drawdown functions #28

gusgordon opened this issue Jun 26, 2015 · 4 comments

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@gusgordon
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Currently, we have max_drawdown and get_max_draw_down, the latter likely being the better version.

@gusgordon gusgordon self-assigned this Jun 26, 2015
@twiecki
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twiecki commented Jun 26, 2015

Yes, I noticed that too. We should try to have the plot use only the latter version and remove max_drawdown.

@gusgordon
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These actually do different things, get_max_draw_down just gets the extrema dates. These definitely need renaming, but maybe there is a good way to combine them.

@twiecki
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twiecki commented Jun 26, 2015

We can probably call gen_drawdown_table(df_rets, top=1) and get the drawdown value from there https://github.com/quantopian/quantrisk/blob/master/quantrisk/timeseries.py#L368

@eigenfoo
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Couldn't find a get_max_draw_down function in the code base, assuming this issue has been resolved.

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