Performance
Drawdown
This indicator traces the peak-to-trough decline over a specific period. Commonly quoted as the percentage between the peak and the subsequent trough.
Sources
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
close | Series |
| required |
offset | int | Post shift. Default: | None |
Other Parameters:
| Name | Type | Description |
|---|---|---|
fillna | value |
|
Returns:
| Type | Description |
|---|---|
DataFrame | 3 columns |
Log Return
Calculates the logarithmic return.
Sources
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
close | Series |
| required |
length | int | The period. Default: | None |
cumulative | bool | If True, returns the cumulative returns. Default: | None |
offset | int | Post shift. Default: | None |
Other Parameters:
| Name | Type | Description |
|---|---|---|
fillna | value |
|
Returns:
| Type | Description |
|---|---|
Series | 1 column |
Percent Return
Calculates the percent return.
Sources
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
close | Series |
| required |
length | int | The period. Default: | None |
cumulative | bool | If True, returns the cumulative returns. Default: | None |
offset | int | Post shift. Default: | None |
Other Parameters:
| Name | Type | Description |
|---|---|---|
fillna | value |
|
Returns:
| Type | Description |
|---|---|
Series | 1 column |
NOTICE
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