Module performance 

Performance and path-risk statistics: drawdowns and risk-adjusted return ratios.

Functions

max_drawdown

Maximum drawdown of a value series, as a positive fraction of the running peak (0.25 = a 25% peak-to-trough fall), with the peak and trough indices.

sharpe_ratio

Annualized Sharpe ratio of per-period returns against a per-period risk-free rate.

sortino_ratio

Annualized Sortino ratio: excess return over the downside deviation (root mean square of returns below the risk-free rate).