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Peak to trough calculation

Hi everyone,
Once I have my algorithm set I would like to know not only what's the max drawdown but the period when it happened. As the summary results are monthly, is there any piece of code I can include so that I see the peak to trough and the exact dates?. For instance, in the attached backtest, the max drawdown is 62,5%, but in 12 months the max was 60,8%, maybe in this case the drawdown lasted more than 12...

Clone Algorithm
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
from quantopian.algorithm import calendars

def initialize(context):
    context.stock= [sid(12915), #MDY US
                   sid(21769), #IEV UE
                   sid(24705), #EEM Emerg
                   sid(23134), #ILF Lat Am
                   sid(23118)] #EPP Asia ex-jap
    schedule_function(market_open, date_rules.month_start(), time_rules.market_open(), calendar=calendars.US_EQUITIES)  
def market_open(context, data):
    for stock in context.stock:
        if data.can_trade(stock):
            order_target_percent(stock, 1.0 / len(context.stock)) 

There was a runtime error.
1 response

Maybe the drawdown plots in pyfolio will help. Check out this lecture for more information:


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