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Eddie Hebert
6cdd5ddb10
The input into max drawdown was incorrect, causing the bad results. i.e. the `compounded_log_returns` were not values representative of the algorithms total return at a given time, though `calculate_max_drawdown` was treating the values as if they were. Instead, use the `algorithm_period_returns` series, which does provide the total return. Update risk answer key with an Excel calculation of max drawdown to help corroborate the calculations. Also, remove `compounded_log_returns`, (which actually had stopped being the `compounded_log_returns` at some point), since the max drawdown was the only calculation using the values in that series.
15 lines
462 B
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15 lines
462 B
Plaintext
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