Module 9Returns & VolatilityLesson 3 of 818 min
Drawdown Basics
Running peak and max drawdown on a wealth path.
Drawdown
DD_t = (peak_t - value_t) / peak_t
Max drawdown
Maximum of DD_t over the sample — key risk stat for strategies.
Algorithm
Track running max; update DD.
Challenge
Also return the index where max DD trough occurs.
Tips
- Peak must update first
- DD is unitless fraction
- Useful for strategy labs
Try it live
Drawdown BasicsRust 2021
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Output
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