I have a strategy on a stock (such as Buy and Hold) on which I have to calculate the maximum drawdown. The problem is that I'm working on returns expressed in percentages, so I do not have the time series of prices but the one of returns obtained at each step. So I wrote this code:
def MDD(returns): rend_cum=returns.cumsum() rend_max=pd.Series(rend_cum).cummax() drawdown=rend_cum-rend_max MDD=max(abs(drawdown)) return(MDD)
Is it correct?