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rename MDD

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Mike Clark
2018-02-10 07:56:49 +08:00
committed by GitHub
parent 200d52a26b
commit a38ff21d8a
1 changed files with 1 additions and 1 deletions
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rl_portfolio_management/util.py
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@@ -6,7 +6,7 @@ def sharpe(returns, freq=30, rfr=0.0):
return (np.sqrt(freq) * np.mean(returns - rfr)) / (np.std(returns - rfr) + eps)
def max_drawdown(X):
def MDD(X):
"""By nicktids, see issue 15."""
mdd = 0
peak = X[0]