투자와 자산배분¶

import numpy as np
np.maximum.accumulate(np.array([100, 120, 130, 100, 65, 80, 100, 120, 140, 160]))

values = [100, 120, 130, 100, 65, 80, 100, 120, 140, 160]
values = [100,  80,  75,  90,140,180, 220, 160, 190]
values = [500000,750000,400000,600000,350000]

def cummax( nums ):
    cum = []
    max = 0
    for item in nums:
        if item > max:
            max = item
        cum.append( max )
    return cum

drawdown = [x - y for x, y in zip(values, cummax(values))]
idx_lower = drawdown.index(min(drawdown)) 
idx_upper = values.index(max(values[:idx_lower])) 
print((values[idx_lower]-values[idx_upper])/values[idx_upper])

import numpy as np

def mdd(x):
    arr = np.array(x)    
    idx_lower = np.argmin(arr - np.maximum.accumulate(arr))
    idx_upper = np.argmax(arr[:idx_lower])
    return (arr[idx_lower] - arr[idx_upper]) / arr[idx_upper]

print(mdd(values))   

values = [100, 120, 130, 100, 65, 80, 100, 120, 140, 160]
print(cummax(values))
print(np.maximum.accumulate(np.array(values)))