ENH: Provide all drawdowns and max drawdowns in cumulative risk.

The values are not part of the risk report, but can be useful for
examining the behavior of the drawdown calculations.

zipline/finance/risk/cumulative.py

@@ -200,6 +200,8 @@ class RiskMetricsCumulative(object):
         self.metrics = pd.DataFrame(index=cont_index,
                                     columns=self.METRIC_NAMES)
 
+        self.drawdowns = pd.Series(index=cont_index)
+        self.max_drawdowns = pd.Series(index=cont_index)
         self.max_drawdown = 0
         self.current_max = -np.inf
         self.daily_treasury = pd.Series(index=self.trading_days)
@@ -318,6 +320,7 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
         self.metrics.sortino[dt] = self.calculate_sortino()
         self.metrics.information[dt] = self.calculate_information()
         self.max_drawdown = self.calculate_max_drawdown()
+        self.max_drawdowns[dt] = self.max_drawdown
 
         if self.create_first_day_stats:
             # Remove placeholder 0 return
@@ -410,6 +413,8 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
             self.compounded_log_returns[self.latest_dt] -
             self.current_max)
 
+        self.drawdowns[self.latest_dt] = cur_drawdown
+
         if self.max_drawdown < cur_drawdown:
             return cur_drawdown
         else: