Interface: Drawdown

Defined in: finance/transforms.ts:287

An equity curve's underwater profile and its worst stretch.

Properties

maxDrawdown

maxDrawdown: number;

Defined in: finance/transforms.ts:293

The deepest drawdown (a negative fraction, e.g. −0.32 for −32%).

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peak

peak: Float64Array;

Defined in: finance/transforms.ts:291

Running peak equity.

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peakIndex

peakIndex: number;

Defined in: finance/transforms.ts:297

Index of the peak that drawdown fell from, or −1.

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troughIndex

troughIndex: number;

Defined in: finance/transforms.ts:295

Index where the max drawdown bottomed, or −1.

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values

values: Float64Array;

Defined in: finance/transforms.ts:289

Fractional drawdown from the running peak at each point (≤ 0).