Max Drawdown
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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​
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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%
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)
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​
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empyrial(portfolio)
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