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Errors in calculating drawdowns? #354
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We have also seen errors in the drawdown dates. However, this repo seems to no longer be maintained, so we are pushing our mods to quantstats-lumi. We will replicate this issue there for tracking. |
Check out https://github.com/Lumiwealth/quantstats_lumi, which is being updated regularly. We are a fork of this library that is being maintained by Lumiwealth |
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Is it possible the max drawdown periods are giving the wrong dates as an output? For example see this:
Here I'm finding the max drawdown for the dot-com and great recession crashes for QQQ.
OUTPUT:
_[Worst 5 Drawdowns]
Start Valley End Days Max Drawdown 99% Max Drawdown
1 2000-03-28 2002-10-09 2016-09-02 6003 -82.96 -80.06
2 2018-08-30 2018-12-24 2019-04-16 230 -23.16 -19.77
3 2019-05-06 2019-06-03 2019-07-02 58 -10.98 -8.98
4 2018-03-13 2018-04-02 2018-06-01 81 -10.67 -10.02
5 2000-01-24 2000-01-28 2000-02-02 10 -10.65 -7.27_
OUTPUT:
Date
2000-03-28 114.75
Name: Close, dtype: float64
Date
2016-09-02 117.120003
Name: Close, dtype: float64
Date
2016-08-30 116.559998
Name: Close, dtype: float64
Note, the 2016-08-30 has already surpassed the close from the previous high water mark. Therefore the drawdown end date that quant stats is calculating appears erroneous.Thoughts? Maybe I'm missing something.
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