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BUG: Compute drawdown in a vectorized manner

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Fixes https://github.com/kernc/backtesting.py/issues/46
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Kernc
2020-03-04 04:27:40 +01:00
parent 25e2e2fdc6
commit 73f893145e
3 changed files with 23 additions and 22 deletions
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4
backtesting/_plotting.py
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@@ -224,9 +224,7 @@ return this.labels[index] || "";
dd_start = dd_end = equity.index[0]
timedelta = 0
else:
dd_end = (equity[argmax:] > equity[dd_start]).idxmax()
if dd_end == argmax:
dd_end = index[-1]
dd_end = argmax
if is_datetime_index and omit_missing:
# "Calendar" duration
timedelta = df.datetime.iloc[dd_end] - df.datetime.iloc[dd_start]