Untitled

#%% Drawdown functions

def findDrawdowns(dfReturn, treshold):
    df = pd.DataFrame()

    df['Return'] = dfReturn
    df['Value'] = np.cumprod(1 + df['Return'])
    df['Drawdown'] = df['Value'] / df['Value'].expanding().max() - 1

    dfDrawdown = pd.DataFrame(columns=['Start', 'Bottom', 'End', 'MaxDwon', 'TimeToBottom', 'TimeToRecovery'])
    idx = 1
    start, bottom, maxDown, toBottom, monthCount = None, None, 0, 0, 0

    for t, down in zip(df.index, df['Drawdown']):

        if down == 0:
            if maxDown < treshold:
                dfDrawdown.loc[idx] = [start, bottom, t, maxDown, toBottom, monthCount + 1 - toBottom]
                idx += 1

            start = t
            bottom, maxDown, toBottom, monthCount = None, 0, 0, 0

        else:  # in drawdown
            monthCount += 1

            if down < min(treshold, maxDown):
                bottom = t
                maxDown = down
                toBottom = monthCount

    return dfDrawdown