A maximum drawdown (MDD) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period. (Source: Investopedia)
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from empyrial import empyrial, Engine
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portfolio = Engine(
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start_date ="2018-01-01",
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portfolio=["BABA","PDD","KO","AMD","^IXIC"],
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risk_manager ={"Max Drawdown":-0.2}#Stop the investment when the drawdown becomes superior to -20%