From a38ff21d8a11e1f31c3af16037eb241c47fed5d1 Mon Sep 17 00:00:00 2001 From: Mike Clark Date: Sat, 10 Feb 2018 07:56:49 +0800 Subject: [PATCH] rename MDD --- rl_portfolio_management/util.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) 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]