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Calculation of Cumulative Max Drawdown

Has anyone performed this calculation in their algo? I'm assuming data from 'context.portfolio...' would be utilized?
Any guidance would be greatly appreciated.

Thanks!

1 response

Hi Adam,

You'd want to track context.portfolio.returns (total cumulative returns since the algorithm's inception) and look for the maximum peak to trough move during the simulation. As you may have seen in the UI, we calculate and display max drawdown during a full backtest. You can read the implementation of our max drawdown calculation to get an idea of how the calculation works -- it is part of our open source backtesting engine, zipline. Here is a link to the source: https://github.com/quantopian/zipline/blob/master/zipline/finance/risk/period.py#L254

thanks,
fawce

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