Comments (4)
fja05680
commented on August 29, 2024
1
tombohub,
I just merged a fix for this issue. Now there is
stats['drawdown_loss_period']
stats['drawdown_recovery_period']
stats['annualized_return_over_max_drawdown']
See double-7s example which I updated to demonstrate this fix.
Thanks for pointing this out these issues with drawdown statistics. Farrell
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fja05680
commented on August 29, 2024
1
Thanks. It is in days. Will actually print 284 days, for example.
…On Tue, Feb 16, 2021, 5:04 PM tombohub ***@***.***> wrote:
@fja05680 <https://github.com/fja05680> that sounds good!
Me personally I would like to see that numbers in days or months. It seems
more easier to reason than for example 0.25years.
But, it's your decision, we can always manipulate in excel or code if
needed.
no problem, thank for fixing it so quick
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fja05680
commented on August 29, 2024
tombohub, good points. What I have is properly called loss-recovery-period, which covers both the loss-period and the reovery-period. I'm thinking of including all three, i.e.
drawdown_loss_recovery_period
drawdown_loss_period
drawdown_recovery_period
I agree, they should all be positive. How does that sound?
This website was informative:
https://www.greystonefs.co.uk/wp-content/uploads/2018/11/GWM_Time-To-Recovery_VT-Greystone-Conservative-Managed_Jan19.pdf
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tombohub
commented on August 29, 2024
@fja05680 that sounds good!
Me personally I would like to see that numbers in days or months. It seems more easier to reason than for example 0.25years.
But, it's your decision, we can always manipulate in excel or code if needed.
no problem, thank for fixing it so quick
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