diff --git a/rl_portfolio_management/util.py b/rl_portfolio_management/util.py index 5910869..02d5494 100644 --- a/rl_portfolio_management/util.py +++ b/rl_portfolio_management/util.py @@ -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]