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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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4 changes: 4 additions & 0 deletions pyfolio/timeseries.py
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Original file line number Diff line number Diff line change
Expand Up @@ -16,6 +16,7 @@

from collections import OrderedDict
from functools import partial
from datetime import datetime

import empyrical as ep
import numpy as np
Expand Down Expand Up @@ -898,6 +899,9 @@ def get_max_drawdown_underwater(underwater):
recovery = underwater[valley:][underwater[valley:] == 0].index[0]
except IndexError:
recovery = np.nan # drawdown not recovered
if not isinstance(valley, datetime):
valley = underwater.index[valley]

return peak, valley, recovery


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